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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November RBOB Gasoline(NYM) as of Dec 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   7 16 18 20 24 25 25 26 26 26 26
Closed Higher   4 8 8 13 18 19 12 12 17 16 14
Exceeded High   3 7 7 13 17 16 10 12 15 16 10
Scenario Percentage   75% 88% 88% 100% 94% 84% 83% 100% 88% 100% 71%
Avg Max Increase   13.06% 7.27% 11.21% 10.77% 10.17% 9.57% 8.09% 11.32% 14.58% 10.74% 8.20%
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   14 17 17 16 17 16 20 17 18 18 19
Avg Max Decline   -1.85% -1.54% -4.17% -1.34% -2.88% -1.82% -2.51% -3.51% -1.93% -4.24% -1.99%
Max Decline   -7.75% -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   17 10 12 7 6 8 12 11 9 12 2
2010 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 Sep
Tested Years   7 16 18 20 24 25 25 26 26 26 26
Closed Lower   3 8 10 7 6 6 13 14 9 10 12
Penetrated Low   2 4 6 1 3 3 8 10 6 5 7
Scenario Percentage   67% 50% 60% 14% 50% 50% 62% 71% 67% 50% 58%
Avg Max Decline   26.88% 14.46% 6.55% 8.40% 6.51% 6.33% 9.41% 6.97% 10.69% 19.72% 12.32%
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 15 15 17 21 21 14 15 14 16 14
Avg Max Increase   2.70% -0.81% -1.72% 0.33% -0.27% -4.03% -0.48% -2.47% -4.87% -1.85% -2.74%
Max Increase   -0.15% -4.68% -5.77% 0.33% -1.88% -6.96% -1.32% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   3 8 4 2 16 12 4 8 14 7 3
2010 Contract Condition     Yes Yes       Yes Yes   Yes  
Action     Yes Yes       No Yes   No  
High 212.57 215.09 212.95 218.03 207.29 214.55 228.20 231.76 205.50 202.04 209.97 204.00
Low 183.62 203.23 193.73 191.58 185.21 202.58 215.83 178.62 187.19 183.24 178.80 185.80
Close/Last 202.51 210.01 208.29 191.58 205.23 214.52 228.15 193.23 193.04 201.07 186.03 203.61

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