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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   6 18 20 23 23 24 25 26 26 26 26
Closed Higher   3 8 8 12 13 14 21 20 14 14 16
Exceeded High   3 4 7 11 11 13 20 17 12 14 14
Scenario Percentage   100% 50% 88% 92% 85% 93% 95% 85% 86% 100% 88%
Avg Max Increase   7.86% 7.49% 9.50% 8.43% 13.60% 13.43% 10.68% 10.68% 8.41% 13.60% 16.81%
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 12 18 17 18 16 16 16 16 19
Avg Max Decline   -0.89% -1.77% -1.13% -0.95% -3.70% -1.29% -3.01% -1.90% -4.10% -4.17% -1.49%
Max Decline   -1.81% -2.49% -7.53% -7.48% -16.73% -5.52% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   4 13 10 9 11 6 6 7 13 10 5
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   6 18 20 23 23 24 25 26 26 26 26
Closed Lower   3 10 12 11 10 10 4 6 12 12 10
Penetrated Low   2 8 9 7 5 4 3 5 9 8 6
Scenario Percentage   67% 80% 75% 64% 50% 40% 75% 83% 75% 67% 60%
Avg Max Decline   25.90% 13.39% 12.00% 14.50% 13.61% 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 15 19 14 10 15 18 15 15
Avg Max Increase   0.05% -1.83% 0.42% -1.86% -0.64% -2.96% -1.34% -3.39% -2.04% -2.70% -2.23%
Max Increase   0.00% -5.28% -6.38% -5.91% -6.05% -8.64% -4.73% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   1 6 8 6 5 15 12 19 8 4 2
2011 Contract Condition                   Yes    
Action                        
High 228.23 222.72 229.21 236.29 248.44 263.00 295.15 302.36 327.25 327.68    
Low 203.84 212.14 220.22 221.45 234.30 245.40 257.00 274.20 300.69 320.60    
Close/Last 208.74 222.72 222.83 228.40 248.44 261.98 288.39 302.29 326.62 323.40    

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