MRCI's ScenarioSM Study

ScenarioSM Study for June RBOB Gasoline(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		7	17	19	22	24	25	25	25	25	25	25
Closed Higher		4	10	10	9	13	12	13	17	12	20	18
Exceeded High		4	10	9	7	8	9	13	15	12	19	14
Scenario Percentage		100%	100%	90%	78%	62%	75%	100%	88%	100%	95%	78%
Avg Max Increase		4.35%	11.04%	8.45%	7.81%	10.63%	13.11%	9.45%	13.51%	18.34%	13.99%	10.68%
Max Increase		6.66%	52.68%	28.27%	17.83%	17.58%	23.63%	23.34%	32.68%	36.66%	36.31%	33.03%
Avg Days To Max Increase		12	18	15	17	24	15	18	20	21	16	15
Avg Max Decline		-3.67%	-1.05%	-0.89%	-1.92%	-1.71%	-1.72%	-1.80%	-5.38%	-2.12%	-3.89%	-1.86%
Max Decline		-12.14%	-7.48%	-3.53%	-7.12%	-5.04%	-8.45%	-8.61%	-17.33%	-7.19%	-14.14%	-9.92%
Avg Days to Max Decline		6	9	11	3	17	4	10	12	8	6	4
2010 Contract Condition		Yes	Yes			Yes	Yes			Yes	Yes	Yes
Action		Yes	Yes			No	Yes			Yes	Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		7	17	19	22	24	25	25	25	25	25	25
Closed Lower		3	7	9	13	11	13	12	8	13	5	7
Penetrated Low		1	5	6	8	9	11	7	5	8	3	2
Scenario Percentage		33%	71%	67%	62%	82%	85%	58%	63%	62%	60%	29%
Avg Max Decline		4.81%	10.58%	12.81%	15.65%	13.79%	11.22%	14.92%	14.91%	8.15%	11.59%	6.00%
Max Decline		4.81%	23.55%	44.81%	50.50%	40.45%	27.97%	39.48%	35.67%	18.62%	18.26%	7.96%
Avg Days To Max Decline		16	20	20	21	18	19	18	16	10	4	9
Avg Max Increase		0.32%	-3.15%	-1.66%	0.43%	-2.32%	-1.81%	-3.10%	-1.40%	-2.89%	-1.99%	-1.86%
Max Increase		0.32%	-10.55%	-9.12%	-2.94%	-4.79%	-11.90%	-6.95%	-6.40%	-9.52%	-4.71%	-2.60%
Avg Days to Max Increase		8	16	9	7	3	15	10	6	12	1	5
2010 Contract Condition				Yes	Yes			Yes	Yes
Action				Yes	No			Yes	Yes
High	198.00	212.05	208.56	215.80	206.50	227.30	224.85	224.48	230.82	222.84	230.40	240.48
Low	170.46	196.10	177.77	198.80	187.76	194.00	212.98	201.69	202.76	196.40	214.61	223.57
Close/Last	196.93	202.33	208.56	202.10	198.43	215.10	220.31	219.69	203.58	219.32	230.13	239.94