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