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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2009
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 Aug
Tested Years   4 14 15 17 19 22 24 24 24 24 24
Closed Higher   2 6 8 8 12 17 17 12 12 15 16
Exceeded High   2 5 7 7 11 17 12 10 12 14 13
Scenario Percentage   100% 83% 88% 88% 92% 100% 71% 83% 100% 93% 81%
Avg Max Increase   8.68% 11.19% 7.37% 9.76% 12.57% 9.15% 9.09% 7.76% 13.09% 19.25% 9.87%
Max Increase   10.38% 20.39% 16.69% 21.39% 23.01% 21.67% 28.14% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   28 14 17 15 17 16 16 19 19 16 15
Avg Max Decline   -2.30% -0.42% -1.26% -1.66% -1.56% -2.68% -2.04% -3.29% -2.89% -2.27% -1.05%
Max Decline   -3.21% -1.88% -7.27% -5.69% -6.42% -9.22% -9.97% -6.60% -12.56% -11.37% -5.49%
Avg Days to Max Decline   30 11 10 11 9 7 9 13 13 11 4
2008 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 Aug
Tested Years   4 14 15 17 19 22 24 24 24 24 24
Closed Lower   2 8 7 9 7 5 7 12 12 9 8
Penetrated Low   2 7 4 5 1 2 4 7 9 7 4
Scenario Percentage   100% 88% 57% 56% 14% 40% 57% 58% 75% 78% 50%
Avg Max Decline   12.70% 10.65% 12.62% 7.35% 8.53% 6.78% 6.54% 11.15% 7.88% 8.40% 14.00%
Max Decline   19.91% 25.34% 26.11% 10.58% 8.53% 9.93% 8.98% 17.41% 20.74% 21.75% 18.20%
Avg Days To Max Decline   8 18 16 17 17 24 16 14 14 12 17
Avg Max Increase   -0.67% -0.31% -0.89% -1.05% -0.25% 0.99% -3.55% -0.36% -1.95% -1.68% -1.59%
Max Increase   -2.59% -6.92% -2.71% -3.30% -0.25% -0.66% -7.04% -1.11% -7.84% -5.05% -3.71%
Avg Days to Max Increase   15 8 5 3 2 23 18 2 4 3 1
2008 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     Yes   No   No       Yes Yes
High 205.33 225.86 236.00 241.65 246.99 254.13 258.27 284.82 327.21 347.29 354.32 310.07
Low 191.91 198.50 219.47 218.60 221.20 223.24 237.25 242.35 264.35 296.49 289.05 270.14
Close/Last 201.86 225.86 220.61 238.53 233.37 251.89 245.06 271.03 311.92 338.91 298.39 285.42

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