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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   5 14 17 18 22 25 25 25 25 25 25
Closed Higher   3 7 7 9 10 13 17 12 20 19 13
Exceeded High   3 6 6 5 8 12 15 12 18 16 8
Scenario Percentage   100% 86% 86% 56% 80% 92% 88% 100% 90% 84% 62%
Avg Max Increase   3.75% 5.33% 8.73% 7.57% 12.01% 9.02% 12.81% 16.87% 11.94% 11.85% 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   17 15 18 23 13 19 20 20 16 12 18
Avg Max Decline   -2.41% -2.01% -1.39% -1.42% -1.10% -1.59% -4.95% -2.06% -3.46% -1.33% -2.91%
Max Decline   -7.41% -3.52% -6.49% -3.35% -8.06% -8.15% -17.05% -6.69% -13.26% -3.89% -6.34%
Avg Days to Max Decline   10 14 3 14 4 11 12 8 6 4 7
2010 Contract Condition   Yes     Yes Yes     Yes Yes Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   5 14 17 18 22 25 25 25 25 25 25
Closed Lower   2 7 9 9 12 12 8 13 5 6 12
Penetrated Low   2 5 6 7 10 7 5 7 3 4 10
Scenario Percentage   100% 71% 67% 78% 83% 58% 63% 54% 60% 67% 83%
Avg Max Decline   13.52% 14.11% 16.70% 13.96% 10.20% 14.57% 14.34% 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 16 15 10 4 14 17
Avg Max Increase   -2.02% -1.53% 0.31% -2.16% -0.24% -2.84% -1.32% -3.10% -1.22% -3.79% -1.59%
Max Increase   -3.70% -8.90% -2.07% -4.82% -5.67% -5.94% -6.58% -9.55% -4.65% -7.01% -5.48%
Avg Days to Max Increase   14 9 8 5 12 10 7 14 1 12 4
2010 Contract Condition     Yes Yes     Yes Yes       Yes
Action     Yes No     Yes Yes       Not Yet
High 212.09 208.56 215.70 206.31 225.72 224.37 224.65 229.90 221.68 229.57 240.65 244.28
Low 197.28 179.09 201.00 187.96 194.15 214.75 203.00 202.40 197.30 214.14 225.00 188.88
Close/Last 202.38 208.56 202.00 198.68 215.01 220.79 219.90 203.35 218.62 229.38 240.14 202.66

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