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