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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August RBOB Gasoline(NYM) as of Jan 01, 2009
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 Jun
Tested Years   6 16 17 18 21 21 23 23 23 23 23
Closed Higher   4 8 8 7 12 13 13 18 16 13 11
Exceeded High   3 6 5 6 11 11 13 17 13 11 10
Scenario Percentage   75% 75% 63% 86% 92% 85% 100% 94% 81% 85% 91%
Avg Max Increase   11.78% 8.37% 6.98% 11.60% 8.93% 15.24% 13.97% 9.79% 10.80% 10.60% 9.15%
Max Increase   27.22% 17.17% 11.02% 20.89% 20.34% 33.07% 26.78% 24.96% 35.06% 16.94% 18.79%
Avg Days To Max Increase   19 17 24 13 19 18 17 15 17 16 16
Avg Max Decline   0.64% -1.50% -0.99% 0.27% -0.89% -2.30% -2.06% -2.51% -2.23% -5.11% -1.96%
Max Decline   -2.71% -6.20% -2.70% -1.00% -7.85% -8.53% -6.78% -7.23% -12.59% -11.35% -4.69%
Avg Days to Max Decline   6 4 15 6 9 10 6 6 8 12 4
2008 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   6 16 17 18 21 21 23 23 23 23 23
Closed Lower   2 7 9 11 9 8 10 5 7 10 12
Penetrated Low   1 5 7 9 6 4 5 4 5 9 7
Scenario Percentage   50% 71% 78% 82% 67% 50% 50% 80% 71% 90% 58%
Avg Max Decline   4.84% 9.67% 10.17% 9.23% 15.03% 16.54% 8.17% 7.76% 7.87% 11.61% 11.07%
Max Decline   4.84% 16.46% 19.18% 24.00% 38.53% 36.69% 20.43% 12.79% 11.10% 22.71% 21.86%
Avg Days To Max Decline   5 19 15 19 17 17 11 10 16 19 22
Avg Max Increase   -2.09% -0.24% -1.96% -1.35% -2.16% 0.02% -3.19% -0.92% -3.43% -2.85% -1.81%
Max Increase   -2.09% -1.81% -4.96% -11.66% -5.81% -1.13% -8.84% -5.11% -7.24% -10.57% -4.95%
Avg Days to Max Increase   5 9 3 9 10 8 12 6 12 10 5
2008 Contract Condition   Yes     Yes   Yes   Yes      
Action   No     Yes   No   No      
High 217.84 212.67 221.08 244.01 255.20 260.42 265.99 270.23 273.07 303.54 342.17 360.21
Low 209.45 198.39 207.26 213.25 238.21 237.42 237.12 238.41 250.00 256.77 279.96 314.75
Close/Last 214.14 206.30 217.81 244.01 238.21 257.33 249.47 266.74 259.86 287.88 330.77 349.91

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