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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 5 15 16 18 20 23 25 25 25 25 25
Closed Higher 2 6 8 9 12 18 18 13 13 16 16
Exceeded High 2 5 7 8 11 18 13 11 13 15 13
Scenario Percentage 100% 83% 88% 89% 92% 100% 72% 85% 100% 94% 81%
Avg Max Increase 8.68% 11.19% 7.37% 10.29% 12.57% 10.29% 11.39% 7.97% 12.82% 18.22% 9.87%
Max Increase 10.38% 20.39% 16.69% 21.39% 23.01% 29.75% 39.07% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase 28 14 17 17 17 17 16 19 18 15 15
Avg Max Decline -2.30% -0.42% -1.26% -3.55% -1.56% -2.79% -1.86% -3.08% -3.93% -2.14% -1.05%
Max Decline -3.21% -1.88% -7.27% -16.80% -6.42% -9.22% -9.97% -6.60% -16.43% -11.37% -5.49%
Avg Days to Max Decline 30 11 10 11 9 7 8 12 13 10 4
2009 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 5 15 16 18 20 23 25 25 25 25 25
Closed Lower 3 9 8 9 8 5 7 12 12 9 9
Penetrated Low 3 8 4 5 1 2 4 7 9 7 5
Scenario Percentage 100% 89% 50% 56% 12% 40% 57% 58% 75% 78% 56%
Avg Max Decline 21.78% 12.87% 12.62% 7.35% 8.53% 6.78% 6.54% 11.15% 7.88% 8.40% 13.51%
Max Decline 39.95% 28.37% 26.11% 10.58% 8.53% 9.93% 8.98% 17.41% 20.74% 21.75% 18.20%
Avg Days To Max Decline 13 19 16 17 17 24 16 14 14 12 19
Avg Max Increase -1.89% 0.53% -0.89% -1.05% -0.25% 0.99% -3.55% -0.36% -1.95% -1.68% -1.97%
Max Increase -4.35% -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 11 7 5 3 2 23 18 2 4 3 4
2009 Contract Condition Yes Yes Yes   Yes           Yes
Action Yes Yes No   No           Yes
High 250.00 179.62 135.09 139.87 132.00 147.30 147.02 176.00 193.00 190.50 197.20
Low 158.30 125.40 103.37 118.57 107.47 116.00 129.50 139.15 171.63 150.51 176.48
Close/Last 172.14 144.31 127.25 129.17 125.25 135.65 138.78 175.39 180.09 189.93 180.99

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