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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   7 16 19 20 24 27 27 27 27 27 27
Closed Higher   5 7 8 11 12 15 19 14 22 20 13
Exceeded High   4 6 7 7 10 14 17 14 19 17 7
Scenario Percentage   80% 86% 88% 64% 83% 93% 89% 100% 86% 85% 54%
Avg Max Increase   3.70% 5.33% 8.38% 7.78% 12.20% 10.42% 13.08% 15.93% 11.81% 11.18% 7.12%
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 22 16 19 20 21 15 11 14
Avg Max Decline   -1.22% -2.01% -1.35% -1.51% -1.09% -1.31% -4.49% -2.10% -3.30% -1.42% -2.32%
Max Decline   -7.41% -3.52% -6.49% -3.35% -8.06% -8.15% -17.05% -6.69% -13.26% -3.89% -6.00%
Avg Days to Max Decline   8 14 6 14 5 10 11 8 6 4 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   7 16 19 20 24 27 27 27 27 27 27
Closed Lower   2 9 10 9 12 12 8 13 5 7 14
Penetrated Low   2 6 7 7 10 7 5 7 3 5 12
Scenario Percentage   100% 67% 70% 78% 83% 58% 63% 54% 60% 71% 86%
Avg Max Decline   13.52% 14.12% 14.73% 13.96% 10.20% 14.57% 14.34% 8.15% 10.03% 9.96% 9.66%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 36.30% 20.02% 15.58% 17.72% 25.46%
Avg Days To Max Decline   16 20 16 16 17 16 15 10 4 16 18
Avg Max Increase   -2.02% -1.40% 0.30% -2.16% -0.24% -2.84% -1.32% -3.10% -1.22% -3.04% -1.47%
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 8 7 5 12 10 7 14 1 10 6
2012 Contract Condition     Yes Yes             Yes Yes
Action     Yes Yes             Yes Yes
High 298.93 303.19 302.00 289.46 277.77 280.22 276.70 296.36 324.66 332.18 327.47 308.54
Low 273.00 287.04 262.50 253.77 246.48 259.02 259.60 277.44 290.73 317.01 303.76 271.95
Close/Last 288.45 298.53 287.28 253.77 269.37 269.78 271.47 291.81 318.47 319.47 308.42 272.27

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