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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June RBOB Gasoline(NYM) as of Dec 30, 2011
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   8 18 20 23 25 26 26 26 26 26 26
Closed Higher   4 11 10 10 14 13 14 18 13 21 19
Exceeded High   4 11 9 8 9 10 14 16 13 20 15
Scenario Percentage   100% 100% 90% 80% 64% 77% 100% 89% 100% 95% 79%
Avg Max Increase   4.35% 10.36% 8.45% 7.64% 10.87% 13.43% 10.15% 13.73% 18.22% 13.82% 10.00%
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 17 15 16 25 16 19 21 21 15 14
Avg Max Decline   -3.67% -0.83% -0.89% -1.85% -1.66% -1.44% -1.80% -5.21% -2.32% -3.71% -1.91%
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 8 11 5 17 4 10 11 9 6 4
2011 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes   Yes Yes Yes Yes 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   8 18 20 23 25 26 26 26 26 26 26
Closed Lower   4 7 10 13 11 13 12 8 13 5 7
Penetrated Low   2 5 6 8 9 11 7 5 8 3 2
Scenario Percentage   50% 71% 60% 62% 82% 85% 58% 63% 62% 60% 29%
Avg Max Decline   4.98% 10.58% 12.81% 15.65% 13.79% 11.22% 14.92% 14.91% 8.15% 11.59% 6.00%
Max Decline   5.14% 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   11 20 20 21 18 19 18 16 10 4 9
Avg Max Increase   0.99% -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   7 16 9 7 3 15 10 6 12 1 5
2011 Contract Condition   Yes   Yes                
Action   Yes   No                
High 251.22 226.70 221.50 229.48 223.88 232.10 238.29 252.99 267.95 301.20 310.12 340.26
Low 202.64 210.10 201.80 203.62 208.50 220.75 221.45 232.83 248.16 258.16 277.45 308.00
Close/Last 214.79 212.73 221.50 208.88 223.88 224.28 230.34 252.72 265.10 291.14 309.18 339.84

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