MRCI's ScenarioSM Study

ScenarioSM Study for July RBOB Gasoline(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	4	13	16	17	21	24	24	24	24	24	24
Closed Higher	2	7	7	8	9	13	17	11	19	18	13
Exceeded High	2	6	6	5	7	12	15	11	17	15	8
Scenario Percentage	100%	86%	86%	62%	78%	92%	88%	100%	89%	83%	62%
Avg Max Increase	3.91%	5.33%	8.73%	7.57%	13.13%	9.02%	12.81%	17.49%	12.26%	12.52%	6.60%
Max Increase	4.39%	10.73%	17.64%	12.12%	21.01%	21.50%	32.57%	30.89%	32.29%	43.55%	12.35%
Avg Days To Max Increase	23	15	18	23	13	19	20	19	17	12	18
Avg Max Decline	-4.78%	-2.01%	-1.39%	-1.42%	-0.10%	-1.59%	-4.95%	-2.06%	-3.55%	-1.41%	-2.91%
Max Decline	-7.41%	-3.52%	-6.49%	-3.35%	-3.19%	-8.15%	-17.05%	-6.69%	-13.26%	-3.89%	-6.34%
Avg Days to Max Decline	14	14	3	14	3	11	12	9	5	4	7
2009 Contract Condition							Yes		Yes	Yes	Yes
Action							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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	4	13	16	17	21	24	24	24	24	24	24
Closed Lower	2	6	8	9	12	11	7	13	5	6	11
Penetrated Low	2	4	6	7	10	6	4	7	3	4	10
Scenario Percentage	100%	67%	75%	78%	83%	55%	57%	54%	60%	67%	91%
Avg Max Decline	13.52%	15.90%	16.70%	13.96%	10.20%	15.29%	17.18%	8.15%	10.03%	8.02%	9.88%
Max Decline	23.47%	44.50%	49.69%	39.46%	27.20%	39.30%	36.30%	20.02%	15.58%	10.52%	25.46%
Avg Days To Max Decline	16	23	18	16	17	18	17	10	4	14	17
Avg Max Increase	-2.02%	-1.37%	0.31%	-2.16%	-0.24%	-2.56%	0.00%	-3.10%	-1.22%	-3.79%	-1.59%
Max Increase	-3.70%	-8.90%	-2.07%	-4.82%	-5.67%	-5.94%	-1.10%	-9.55%	-4.65%	-7.01%	-5.48%
Avg Days to Max Increase	14	7	8	5	12	10	8	14	1	12	4
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	Yes	No		No
High	373.62	324.43	293.92	258.05	188.13	142.43	148.25	142.02	156.37	154.39	190.35
Low	319.07	296.67	247.43	168.95	134.09	109.57	123.68	114.40	126.00	137.00	145.50
Close/Last	323.29	304.42	266.52	180.99	150.51	133.60	137.92	135.85	143.89	147.15	189.53