MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		6	15	18	19	23	26	26	26	26	26	26
Closed Higher		4	7	8	10	11	14	18	13	21	20	13
Exceeded High		4	6	7	6	9	13	16	13	19	17	8
Scenario Percentage		100%	86%	88%	60%	82%	93%	89%	100%	90%	85%	62%
Avg Max Increase		3.70%	5.33%	8.38%	8.41%	12.46%	9.71%	13.03%	16.75%	11.81%	11.18%	6.60%
Max Increase		4.39%	10.73%	17.64%	12.61%	21.01%	21.50%	32.57%	30.89%	32.29%	43.55%	12.35%
Avg Days To Max Increase		14	15	17	24	15	19	20	20	15	11	18
Avg Max Decline		-1.22%	-2.01%	-1.35%	-1.34%	-0.79%	-1.58%	-4.75%	-2.29%	-3.30%	-1.42%	-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		8	14	6	16	4	10	11	9	6	4	7
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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		6	15	18	19	23	26	26	26	26	26	26
Closed Lower		2	8	9	9	12	12	8	13	5	6	13
Penetrated Low		2	5	6	7	10	7	5	7	3	4	11
Scenario Percentage		100%	63%	67%	78%	83%	58%	63%	54%	60%	67%	85%
Avg Max Decline		13.52%	14.11%	16.70%	13.96%	10.20%	14.57%	14.34%	8.15%	10.03%	8.02%	9.92%
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	18
Avg Max Increase		-2.02%	-1.53%	0.31%	-2.16%	-0.24%	-2.84%	-1.32%	-3.10%	-1.22%	-3.79%	-1.51%
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	5
2011 Contract Condition			Yes									Yes
Action			No									Yes
High	222.91	221.70	229.63	223.72	230.64	237.71	252.36	267.12	297.33	307.59	335.22	336.52
Low	210.35	204.79	204.34	211.90	221.17	222.00	233.85	248.30	260.00	276.11	306.25	282.16
Close/Last	213.01	221.70	209.29	223.72	224.10	230.10	251.85	264.50	290.67	307.54	334.94	305.03