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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 5 17 19 22 22 23 24 25 25 25 25
Closed Higher 3 7 7 12 13 13 20 19 14 13 15
Exceeded High 3 4 6 11 11 12 19 16 12 13 13
Scenario Percentage 100% 57% 86% 92% 85% 92% 95% 84% 86% 100% 87%
Avg Max Increase 7.86% 7.49% 10.56% 8.43% 13.60% 13.66% 10.86% 11.24% 8.41% 14.10% 17.83%
Max Increase 16.67% 10.23% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 59.71% 77.71%
Avg Days To Max Increase 16 28 13 18 17 17 16 17 16 17 21
Avg Max Decline -0.89% -1.77% -0.06% -0.95% -3.70% -1.24% -3.14% -2.04% -4.10% -4.08% -1.60%
Max Decline -1.81% -2.49% -1.66% -7.48% -16.73% -5.52% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline 4 13 9 9 11 7 7 7 13 10 5
2009 Contract Condition         Yes   Yes Yes Yes Yes Yes
Action         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 5 17 19 22 22 23 24 25 25 25 25
Closed Lower 2 10 12 10 9 10 4 6 11 12 10
Penetrated Low 2 8 9 6 4 4 3 5 9 8 6
Scenario Percentage 100% 80% 75% 60% 44% 40% 75% 83% 82% 67% 60%
Avg Max Decline 25.90% 13.39% 12.00% 15.04% 16.09% 9.40% 6.46% 5.96% 10.40% 8.97% 10.18%
Max Decline 48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 9.47% 19.59% 20.50% 22.97%
Avg Days To Max Decline 13 16 21 17 22 14 10 15 18 15 15
Avg Max Increase 0.05% -1.83% 0.42% -1.56% 0.71% -2.96% -1.34% -3.39% -2.04% -2.70% -2.23%
Max Increase 0.00% -5.28% -6.38% -5.91% -1.36% -8.64% -4.73% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase 1 6 8 5 6 15 12 19 8 4 2
2009 Contract Condition Yes Yes Yes Yes   Yes          
Action Yes Yes Yes No   No          
High 289.87 263.62 188.97 144.33 149.75 141.79 156.48 155.70 187.20 205.85 201.70
Low 243.83 168.30 136.26 111.97 125.16 115.10 125.00 138.25 146.49 182.09 159.57
Close/Last 263.62 181.84 152.91 136.00 138.22 134.55 144.44 147.73 186.56 189.65 201.26

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