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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September RBOB Gasoline(NYM) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   5 17 19 22 22 23 24 25 25 25 25
Closed Higher   3 7 7 12 13 13 20 19 14 13 15
Exceeded High   3 4 6 11 11 12 19 16 12 13 13
Scenario Percentage   100% 57% 86% 92% 85% 92% 95% 84% 86% 100% 87%
Avg Max Increase   7.86% 7.49% 10.56% 8.43% 13.60% 13.66% 10.86% 11.24% 8.41% 14.10% 17.83%
Max Increase   16.67% 10.23% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 59.71% 77.71%
Avg Days To Max Increase   16 28 13 18 17 17 16 17 16 17 21
Avg Max Decline   -0.89% -1.77% -0.06% -0.95% -3.70% -1.24% -3.14% -2.04% -4.10% -4.08% -1.60%
Max Decline   -1.81% -2.49% -1.66% -7.48% -16.73% -5.52% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   4 13 9 9 11 7 7 7 13 10 5
2010 Contract Condition     Yes Yes     Yes Yes Yes      
Action     No 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   5 17 19 22 22 23 24 25 25 25 25
Closed Lower   2 10 12 10 9 10 4 6 11 12 10
Penetrated Low   2 8 9 6 4 4 3 5 9 8 6
Scenario Percentage   100% 80% 75% 60% 44% 40% 75% 83% 82% 67% 60%
Avg Max Decline   25.90% 13.39% 12.00% 15.04% 16.09% 9.40% 6.46% 5.96% 10.40% 8.97% 10.18%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 9.47% 19.59% 20.50% 22.97%
Avg Days To Max Decline   13 16 21 17 22 14 10 15 18 15 15
Avg Max Increase   0.05% -1.83% 0.42% -1.56% 0.71% -2.96% -1.34% -3.39% -2.04% -2.70% -2.23%
Max Increase   0.00% -5.28% -6.38% -5.91% -1.36% -8.64% -4.73% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   1 6 8 5 6 15 12 19 8 4 2
2010 Contract Condition   Yes     Yes Yes       Yes Yes  
Action   No     Yes Yes       Not Yet    
High 213.90 204.51 224.37 223.99 222.83 226.91 219.41 227.25 239.79 243.45 205.75  
Low 200.35 186.76 194.32 214.14 203.50 201.81 194.30 212.57 226.00 188.66 198.65  
Close/Last 200.35 197.58 213.91 220.06 218.89 201.81 216.68 227.00 239.35 203.03 199.01  

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