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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 Jan 01, 2013
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   9 19 21 24 26 27 27 27 27 27 27
Closed Higher   4 12 10 10 15 14 15 19 14 22 19
Exceeded High   4 11 9 8 10 11 15 17 14 20 15
Scenario Percentage   100% 92% 90% 80% 67% 79% 100% 89% 100% 91% 79%
Avg Max Increase   4.35% 10.36% 8.45% 7.64% 10.28% 13.18% 10.80% 13.74% 17.31% 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 23 17 19 21 21 15 14
Avg Max Decline   -3.67% -0.83% -0.89% -1.85% -1.82% -1.71% -1.59% -4.95% -2.14% -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 16 5 9 11 9 6 4
2012 Contract Condition     Yes     Yes Yes Yes Yes Yes Yes  
Action     No     Yes Yes Yes Yes Yes No  
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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   9 19 21 24 26 27 27 27 27 27 27
Closed Lower   5 7 11 14 11 13 12 8 13 5 8
Penetrated Low   3 5 7 9 9 11 7 5 8 3 3
Scenario Percentage   60% 71% 64% 64% 82% 85% 58% 63% 62% 60% 38%
Avg Max Decline   6.82% 10.58% 13.15% 14.35% 13.79% 11.22% 14.92% 14.91% 8.15% 11.59% 7.07%
Max Decline   10.51% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 35.67% 18.62% 18.26% 9.21%
Avg Days To Max Decline   10 20 18 19 18 19 18 16 10 4 16
Avg Max Increase   -1.11% -3.15% -1.55% 0.40% -2.32% -1.81% -3.10% -1.40% -2.89% -1.99% -1.23%
Max Increase   -5.30% -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   13 16 9 7 3 15 10 6 12 1 4
2012 Contract Condition   Yes   Yes Yes             Yes
Action   Yes   Yes Yes             Yes
High 314.40 301.50 305.00 304.78 292.20 281.50 284.83 281.43 301.27 328.64 336.89 334.39
Low 272.89 273.20 285.98 259.20 254.97 245.54 261.95 260.38 278.01 293.33 319.93 307.44
Close/Last 296.48 289.65 300.44 289.56 255.45 271.48 272.20 274.10 295.62 322.24 324.93 312.46

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