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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 30, 2011
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   8 17 19 21 25 26 26 27 27 27 27
Closed Higher   5 9 9 14 19 20 12 12 18 16 14
Exceeded High   4 8 8 14 18 17 10 12 16 16 10
Scenario Percentage   80% 89% 89% 100% 95% 85% 83% 100% 89% 100% 71%
Avg Max Increase   13.81% 8.48% 11.59% 10.86% 10.03% 9.01% 8.09% 11.32% 13.83% 11.18% 8.90%
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   18 18 19 17 16 16 20 17 17 20 19
Avg Max Decline   -0.68% -1.46% -3.79% -1.61% -2.74% -1.81% -2.51% -3.51% -1.92% -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   13 10 11 8 6 8 12 11 9 12 2
2011 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes    
Action   Yes 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   8 17 19 21 25 26 26 27 27 27 27
Closed Lower   3 8 10 7 6 6 14 15 9 11 13
Penetrated Low   2 4 6 1 3 3 9 11 6 5 9
Scenario Percentage   67% 50% 60% 14% 50% 50% 64% 73% 67% 45% 69%
Avg Max Decline   26.88% 14.46% 6.55% 8.40% 6.51% 6.33% 9.53% 7.40% 10.69% 19.88% 11.47%
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 15 15 14 20 17
Avg Max Increase   2.70% -0.81% -1.72% 0.33% -0.27% -4.03% -0.60% -2.88% -4.87% -1.85% -2.66%
Max Increase   -0.15% -4.68% -5.77% 0.33% -1.88% -6.96% -1.64% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   3 8 4 2 16 12 5 10 14 7 4
2011 Contract Condition               Yes Yes   Yes Yes
Action               Yes Yes   No Yes
High 218.56 225.98 235.93 252.00 276.05 285.52 307.07 307.23 287.74 294.15 295.88 287.27
Low 209.53 210.66 223.31 233.78 247.07 260.24 284.85 261.34 253.41 269.96 244.23 247.16
Close/Last 212.58 217.12 235.93 249.93 274.14 285.52 306.88 283.11 276.56 288.52 282.89 253.81

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