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