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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April NY Harbor ULSD(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 20 22 27 27 28 29 29 29 30 30 30
Closed Higher 15 10 14 17 16 18 15 11 15 13 13
Exceeded High 13 8 14 15 15 12 11 8 14 9 13
Scenario Percentage 87% 80% 100% 88% 94% 67% 73% 73% 93% 69% 100%
Avg Max Increase 7.52% 10.61% 10.31% 11.28% 8.91% 8.17% 10.53% 16.38% 10.43% 14.55% 10.88%
Max Increase 30.75% 26.14% 23.82% 59.17% 31.26% 19.36% 23.56% 28.14% 37.61% 28.18% 27.13%
Avg Days To Max Increase 16 20 19 16 15 15 22 16 18 13 18
Avg Max Decline -1.94% -1.34% -2.24% -1.16% -1.68% -1.73% -2.85% -1.83% -3.64% -3.22% -2.98%
Max Decline -6.43% -4.54% -14.20% -7.62% -8.59% -8.11% -8.29% -8.06% -10.05% -8.26% -9.12%
Avg Days to Max Decline 7 10 14 9 9 6 15 4 14 7 5
2009 Contract Condition Yes Yes Yes                
Action 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 20 22 27 27 28 29 29 29 30 30 30
Closed Lower 5 12 13 10 12 11 14 18 15 17 17
Penetrated Low 3 8 10 5 6 10 13 17 14 12 14
Scenario Percentage 60% 67% 77% 50% 50% 91% 93% 94% 93% 71% 82%
Avg Max Decline 4.11% 7.58% 4.12% 9.09% 13.06% 10.19% 14.08% 12.97% 14.10% 13.73% 13.86%
Max Decline 5.22% 13.97% 11.24% 23.54% 38.98% 42.56% 41.36% 30.25% 36.13% 22.36% 52.23%
Avg Days To Max Decline 19 12 11 17 17 15 18 21 20 13 10
Avg Max Increase -3.86% -1.58% -1.78% -4.11% -2.84% -3.86% -2.26% -2.97% -4.19% -2.84% -2.97%
Max Increase -5.93% -8.90% -7.45% -12.41% -13.21% -15.93% -6.84% -11.89% -13.07% -11.25% -12.15%
Avg Days to Max Increase 10 3 6 16 12 14 6 13 13 7 10
2009 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes
Action       Yes Yes Yes Yes Yes Yes Yes Yes
High 326.02 403.50 408.71 425.00 363.25 321.02 293.64 226.30 172.23 168.43 143.04
Low 278.82 306.10 361.73 353.90 315.60 272.50 199.82 169.35 125.70 131.60 113.59
Close/Last 312.60 373.67 402.55 356.38 327.44 294.82 214.37 177.61 148.96 143.05 126.75

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