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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July NY Harbor ULSD(NYM) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 26 28 28 30 31 32 32 32 32 32
Closed Higher   18 14 16 12 14 13 13 15 24 24 17
Exceeded High   15 13 12 9 11 12 10 14 23 19 10
Scenario Percentage   83% 93% 75% 75% 79% 92% 77% 93% 96% 79% 59%
Avg Max Increase   9.62% 7.05% 8.31% 10.25% 10.71% 10.05% 11.18% 12.60% 11.40% 10.00% 9.05%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   15 14 16 21 14 17 12 14 16 16 17
Avg Max Decline   -0.49% -0.81% -1.83% -2.07% -1.64% -1.98% -2.01% -1.52% -2.22% -2.95% -1.57%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -5.57% -6.96% -16.05% -7.53%
Avg Days to Max Decline   9 9 5 13 6 13 6 7 8 8 7
2011 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes Yes  
Action   Yes   Yes   Yes Yes Yes Yes Yes No  
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 26 28 28 30 31 32 32 32 32 32
Closed Lower   5 12 12 16 16 17 19 17 8 8 15
Penetrated Low   4 7 9 14 13 15 13 12 7 6 12
Scenario Percentage   80% 58% 75% 88% 81% 88% 68% 71% 88% 75% 80%
Avg Max Decline   9.94% 11.47% 11.81% 13.02% 13.81% 13.52% 12.08% 6.47% 7.85% 6.26% 6.31%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 12.60% 9.83% 12.36%
Avg Days To Max Decline   19 22 16 18 19 19 15 13 14 13 14
Avg Max Increase   -3.52% -2.59% -1.20% -2.22% -1.40% -3.58% -2.30% -2.41% -2.92% -4.17% -1.88%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   19 20 7 7 10 8 7 10 7 18 3
2011 Contract Condition     Yes   Yes             Yes
Action     No   No             Yes
High 229.09 223.85 233.87 231.56 236.36 245.01 256.79 275.79 304.42 315.70 334.47 330.59
Low 215.33 207.84 207.42 215.01 225.00 226.47 240.50 249.27 271.42 294.66 311.65 278.85
Close/Last 217.30 223.85 211.97 231.56 228.59 233.24 255.49 274.27 298.74 313.46 329.15 305.30

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