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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   9 20 22 24 26 28 28 28 28 28 28
Closed Higher   5 9 14 17 18 12 12 19 15 16 15
Exceeded High   5 8 13 15 16 9 12 17 14 13 7
Scenario Percentage   100% 89% 93% 88% 89% 75% 100% 89% 93% 81% 47%
Avg Max Increase   10.77% 12.93% 10.13% 9.54% 8.97% 8.90% 10.27% 12.76% 10.39% 9.16% 8.24%
Max Increase   17.43% 22.03% 21.85% 27.32% 35.93% 15.46% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   22 14 17 14 15 20 17 17 19 15 16
Avg Max Decline   -1.42% -3.32% -1.84% -3.05% -1.78% -2.56% -3.46% -1.71% -3.57% -2.74% -1.80%
Max Decline   -7.37% -17.20% -5.42% -9.08% -8.98% -5.66% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   8 7 9 5 8 16 11 8 11 4 2
2012 Contract Condition   Yes Yes Yes         Yes Yes    
Action   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 Oct
Tested Years   9 20 22 24 26 28 28 28 28 28 28
Closed Lower   4 10 8 7 8 16 16 9 13 12 13
Penetrated Low   2 6 2 3 5 10 10 7 7 10 9
Scenario Percentage   50% 60% 25% 43% 63% 63% 63% 78% 54% 83% 69%
Avg Max Decline   19.05% 6.79% 13.76% 6.55% 9.42% 8.80% 7.14% 9.17% 17.54% 13.94% 13.89%
Max Decline   26.89% 11.17% 18.56% 9.10% 22.73% 13.77% 16.11% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   12 15 24 21 19 16 18 16 16 13 20
Avg Max Increase   -3.33% -1.58% -2.03% -0.25% -2.55% -0.83% -2.87% -4.00% -1.57% -2.42% -3.44%
Max Increase   -4.70% -5.94% -4.19% -2.10% -6.92% -3.88% -8.91% -15.40% -3.78% -6.53% -8.54%
Avg Days to Max Increase   12 10 10 16 6 5 9 15 8 5 3
2012 Contract Condition         Yes Yes Yes Yes     Yes Yes
Action         Yes Yes Yes No     Yes Yes
High 261.70 255.41 267.06 291.40 295.88 292.95 282.24 243.66 258.76 285.31 289.54 286.20
Low 238.30 236.21 251.80 262.09 284.22 277.23 241.84 217.26 228.96 248.43 264.01 255.98
Close/Last 248.11 248.14 263.28 285.79 284.94 281.16 242.89 235.42 250.28 282.80 279.20 263.03

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