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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 Jan 01, 2013
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   9 18 20 22 26 27 27 28 28 28 28
Closed Higher   5 10 10 15 20 20 12 12 19 17 15
Exceeded High   4 9 9 15 18 17 10 12 17 17 11
Scenario Percentage   80% 90% 90% 100% 90% 85% 83% 100% 89% 100% 73%
Avg Max Increase   13.81% 9.52% 11.68% 10.40% 10.03% 9.01% 8.09% 11.32% 14.03% 10.74% 8.32%
Max Increase   20.71% 17.79% 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 18 17 16 16 20 17 17 19 19
Avg Max Decline   -0.68% -0.94% -3.34% -1.47% -2.74% -1.81% -2.51% -3.51% -1.84% -4.36% -2.33%
Max Decline   -7.75% -7.21% -16.67% -6.02% -9.73% -9.50% -6.04% -16.10% -9.62% -14.50% -5.70%
Avg Days to Max Decline   13 10 10 8 6 8 12 11 8 12 2
2012 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   9 18 20 22 26 27 27 28 28 28 28
Closed Lower   4 8 10 7 6 7 15 16 9 11 13
Penetrated Low   3 4 6 1 3 4 10 11 6 5 9
Scenario Percentage   75% 50% 60% 14% 50% 57% 67% 69% 67% 45% 69%
Avg Max Decline   19.26% 14.46% 6.55% 8.40% 6.51% 10.47% 9.65% 7.40% 10.69% 19.88% 11.47%
Max Decline   28.08% 26.63% 10.55% 8.40% 9.60% 22.90% 15.05% 17.36% 24.70% 49.55% 42.21%
Avg Days To Max Decline   24 15 15 17 21 21 16 15 14 20 17
Avg Max Increase   0.95% -0.81% -1.72% 0.33% -0.27% -3.10% -0.54% -2.88% -4.87% -1.85% -2.66%
Max Increase   -2.56% -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   4 8 4 2 16 9 6 10 14 7 4
2012 Contract Condition   Yes       Yes Yes Yes Yes      
Action   Yes       Yes Yes Yes No      
High 257.20 260.79 255.55 266.77 294.34 298.51 295.01 283.83 244.36 261.14 290.22 296.54
Low 229.16 239.27 239.12 257.95 266.27 287.37 278.80 243.52 218.15 230.64 251.57 270.29
Close/Last 250.80 249.17 249.88 265.52 288.78 287.40 282.94 244.42 236.47 253.16 288.45 292.01

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