MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	6	15	17	19	23	24	24	25	25	25	25
Closed Higher	3	8	8	12	17	18	12	12	16	16	13
Exceeded High	2	7	7	12	16	15	10	12	14	16	9
Scenario Percentage	67%	88%	88%	100%	94%	83%	83%	100%	88%	100%	69%
Avg Max Increase	17.68%	7.27%	11.21%	10.73%	10.30%	10.10%	8.09%	11.32%	15.31%	10.80%	8.61%
Max Increase	20.71%	17.16%	21.12%	21.93%	28.31%	37.88%	14.84%	40.62%	71.91%	29.31%	15.24%
Avg Days To Max Increase	16	17	17	15	18	17	20	17	19	18	21
Avg Max Decline	1.09%	-1.54%	-4.17%	-1.35%	-3.10%	-1.99%	-2.51%	-3.51%	-2.09%	-4.24%	-2.18%
Max Decline	0.70%	-7.21%	-16.67%	-6.02%	-9.73%	-9.50%	-6.04%	-16.10%	-9.62%	-14.50%	-4.71%
Avg Days to Max Decline	20	10	12	8	6	8	12	11	10	12	2
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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	6	15	17	19	23	24	24	25	25	25	25
Closed Lower	3	7	9	7	6	6	12	13	9	9	12
Penetrated Low	2	3	5	1	3	3	8	9	6	5	8
Scenario Percentage	67%	43%	56%	14%	50%	50%	67%	69%	67%	56%	67%
Avg Max Decline	26.88%	15.59%	7.20%	8.40%	6.51%	6.33%	9.41%	6.93%	10.69%	19.72%	12.44%
Max Decline	28.08%	26.63%	10.55%	8.40%	9.60%	7.80%	15.05%	17.36%	24.70%	49.55%	42.21%
Avg Days To Max Decline	27	19	17	17	21	21	14	14	14	16	16
Avg Max Increase	2.70%	0.48%	-0.91%	0.33%	-0.27%	-4.03%	-0.48%	-1.77%	-4.87%	-1.85%	-2.92%
Max Increase	-0.15%	-2.00%	-3.39%	0.33%	-1.88%	-6.96%	-1.32%	-7.83%	-19.85%	-3.97%	-6.24%
Avg Days to Max Increase	3	7	5	2	16	12	4	5	14	7	4
2009 Contract Condition	Yes	Yes		Yes						Yes	Yes
Action	Yes	No		No						Yes	Yes
High	179.62	137.00	140.93	130.28	147.50	145.91	174.25	191.56	188.14	194.87	187.34
Low	129.04	104.32	121.01	108.22	116.92	130.50	141.36	170.50	150.45	175.88	161.59
Close/Last	145.06	128.10	129.87	126.00	135.80	138.93	173.75	179.33	187.95	180.18	175.16