|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September RBOB Gasoline(NYM) as of May 31, 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 |
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 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
No |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
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 |
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 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
| Action |
|
No |
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
| High |
213.90 |
204.51 |
224.37 |
223.99 |
222.83 |
226.91 |
219.41 |
227.25 |
239.79 |
243.45 |
205.75 |
|
| Low |
200.35 |
186.76 |
194.32 |
214.14 |
203.50 |
201.81 |
194.30 |
212.57 |
226.00 |
188.66 |
198.65 |
|
| Close/Last |
200.35 |
197.58 |
213.91 |
220.06 |
218.89 |
201.81 |
216.68 |
227.00 |
239.35 |
203.03 |
199.01 |
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
