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| ScenarioSM Study for December RBOB Gasoline(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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
| Tested Years | 6 | 17 | 19 | 21 | 23 | 25 | 25 | 25 | 25 | 25 | 25 |
| Closed Higher | 3 | 7 | 11 | 14 | 16 | 12 | 12 | 16 | 14 | 15 | 13 |
| Exceeded High | 3 | 6 | 10 | 13 | 14 | 9 | 12 | 14 | 13 | 12 | 6 |
| Scenario Percentage | 100% | 86% | 91% | 93% | 88% | 75% | 100% | 88% | 93% | 80% | 46% |
| Avg Max Increase | 6.49% | 12.76% | 10.40% | 9.78% | 10.12% | 8.90% | 10.27% | 13.87% | 11.00% | 8.93% | 7.79% |
| Max Increase | 7.46% | 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 | 20 | 15 | 15 | 16 | 17 | 20 | 17 | 19 | 19 | 14 | 14 |
| Avg Max Decline | -2.32% | -4.03% | -1.77% | -3.42% | -1.81% | -2.56% | -3.46% | -1.93% | -3.72% | -2.87% | -2.10% |
| 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 | 11 | 8 | 9 | 6 | 8 | 16 | 11 | 9 | 11 | 3 | 3 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | No | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
