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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 Apr 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   8 18 19 20 23 23 25 25 25 25 25
Closed Higher   4 8 9 8 12 14 14 20 18 14 13
Exceeded High   3 6 5 7 11 12 14 19 15 12 10
Scenario Percentage   75% 75% 56% 88% 92% 86% 100% 95% 83% 86% 77%
Avg Max Increase   11.78% 8.37% 6.98% 10.39% 8.93% 15.08% 13.72% 10.73% 12.22% 9.72% 8.33%
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 18 15 16 15 14
Avg Max Decline   0.64% -1.50% -0.99% -0.86% -0.89% -3.49% -2.05% -2.54% -1.97% -4.83% -1.96%
Max Decline   -2.71% -6.20% -2.70% -7.68% -7.85% -16.59% -6.78% -7.23% -12.59% -11.35% -4.69%
Avg Days to Max Decline   6 4 15 7 9 11 6 7 7 11 4
2011 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes    
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   8 18 19 20 23 23 25 25 25 25 25
Closed Lower   4 9 10 12 11 9 11 5 7 11 12
Penetrated Low   3 6 8 10 7 5 5 4 5 9 7
Scenario Percentage   75% 67% 80% 83% 64% 56% 45% 80% 71% 82% 58%
Avg Max Decline   18.67% 16.20% 13.76% 10.99% 14.46% 13.95% 8.17% 7.76% 7.87% 11.44% 10.83%
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   20 19 16 19 15 15 11 10 16 18 21
Avg Max Increase   -0.25% 0.32% -2.15% -0.63% -2.38% -1.22% -3.19% -0.92% -3.43% -2.85% -1.81%
Max Increase   -2.09% -1.81% -4.96% -11.66% -5.81% -6.19% -8.84% -5.11% -7.24% -10.57% -4.95%
Avg Days to Max Increase   8 8 3 9 10 7 12 6 12 10 5
2011 Contract Condition   Yes                 Yes  
Action   No                    
High 221.45 229.33 223.52 230.24 237.27 250.37 264.50 297.30 305.42 331.00 331.88  
Low 204.47 204.44 211.50 220.96 222.41 233.50 246.88 259.38 274.70 304.79 322.66  
Close/Last 221.45 209.39 223.52 223.66 229.50 250.37 263.64 289.92 305.27 330.62 326.79  

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