|
 |
| 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 |
|
|
|
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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|
