|
MRCI's ScenarioSM Study |
ScenarioSM Study for October RBOB Gasoline(NYM) as of May 31, 2010 |
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 |
|
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 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
|
Action |
|
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 |
Sep |
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% |
13% |
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 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
|
Action |
|
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
|
High |
194.01 |
213.77 |
214.31 |
213.10 |
218.03 |
208.92 |
216.46 |
229.45 |
232.85 |
195.59 |
|
|
Low |
176.76 |
184.22 |
204.34 |
194.16 |
192.08 |
186.00 |
203.55 |
215.07 |
178.50 |
189.19 |
|
|
Close/Last |
187.63 |
203.46 |
210.46 |
209.04 |
192.08 |
206.28 |
216.21 |
229.08 |
193.38 |
189.58 |
|
|
|
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