MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	7	17	18	19	22	22	24	24	24	24	24
Closed Higher	4	8	8	7	12	14	13	19	17	14	12
Exceeded High	3	6	5	6	11	12	13	18	14	12	10
Scenario Percentage	75%	75%	62%	86%	92%	86%	100%	95%	82%	86%	83%
Avg Max Increase	11.78%	8.37%	6.98%	11.60%	8.93%	15.08%	13.97%	10.94%	12.97%	10.62%	9.15%
Max Increase	27.22%	17.17%	11.02%	20.89%	20.34%	33.07%	26.78%	30.63%	41.22%	16.94%	18.79%
Avg Days To Max Increase	19	17	24	13	19	19	17	15	17	16	16
Avg Max Decline	0.64%	-1.50%	-0.99%	0.27%	-0.89%	-3.49%	-2.06%	-2.62%	-2.10%	-4.83%	-1.96%
Max Decline	-2.71%	-6.20%	-2.70%	-1.00%	-7.85%	-16.59%	-6.78%	-7.23%	-12.59%	-11.35%	-4.69%
Avg Days to Max Decline	6	4	15	6	9	11	6	6	7	11	4
2009 Contract Condition						Yes		Yes	Yes	Yes	Yes
Action						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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	7	17	18	19	22	22	24	24	24	24	24
Closed Lower	3	8	10	12	10	8	11	5	7	10	12
Penetrated Low	2	6	8	10	6	4	5	4	5	9	8
Scenario Percentage	67%	75%	80%	83%	60%	50%	45%	80%	71%	90%	67%
Avg Max Decline	24.52%	16.20%	13.76%	10.99%	15.03%	16.54%	8.17%	7.76%	7.87%	11.61%	11.71%
Max Decline	44.19%	48.88%	38.92%	26.88%	38.53%	36.69%	20.43%	12.79%	11.10%	22.71%	21.86%
Avg Days To Max Decline	16	19	16	19	17	17	11	10	16	19	21
Avg Max Increase	0.65%	0.32%	-2.15%	-0.63%	-2.16%	0.02%	-3.19%	-0.92%	-3.43%	-2.85%	-4.27%
Max Increase	-2.09%	-1.81%	-4.96%	-11.66%	-5.81%	-1.13%	-8.84%	-5.11%	-7.24%	-10.57%	-21.30%
Avg Days to Max Increase	3	8	3	9	10	8	12	6	12	10	11
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	No		No
High	330.00	292.32	257.05	188.22	143.00	149.75	142.07	156.67	155.15	188.70	208.44
Low	294.62	245.98	168.85	135.69	111.07	125.09	115.25	124.93	137.93	146.89	182.50
Close/Last	302.57	265.42	181.84	151.91	135.15	138.17	135.20	144.45	147.60	188.02	190.20