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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 27 29 29 31 32 33 33 33 33 33
Closed Higher   19 14 16 13 15 13 14 16 24 24 17
Exceeded High   16 13 12 10 11 12 11 15 23 19 10
Scenario Percentage   84% 93% 75% 77% 73% 92% 79% 94% 96% 79% 59%
Avg Max Increase   9.14% 7.05% 8.31% 9.75% 10.71% 10.05% 11.17% 11.99% 11.40% 9.81% 8.71%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 27.24% 16.25%
Avg Days To Max Increase   14 14 16 21 14 17 12 14 16 15 17
Avg Max Decline   -0.54% -0.81% -1.83% -2.15% -1.64% -1.98% -1.86% -1.44% -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 11 6 13 5 7 8 8 7
2012 Contract Condition   Yes     Yes Yes   Yes Yes      
Action   Yes     Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 27 29 29 31 32 33 33 33 33 33
Closed Lower   5 13 13 16 16 18 19 17 9 9 16
Penetrated Low   4 8 10 14 13 15 13 12 8 7 13
Scenario Percentage   80% 62% 77% 88% 81% 83% 68% 71% 89% 78% 81%
Avg Max Decline   9.94% 11.91% 10.96% 13.02% 13.81% 13.52% 12.08% 6.47% 8.79% 8.40% 6.23%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 15.36% 21.22% 11.07%
Avg Days To Max Decline   19 20 14 18 19 19 15 13 16 15 15
Avg Max Increase   -3.52% -2.29% -1.05% -2.22% -1.40% -3.58% -2.30% -2.41% -2.88% -3.62% -1.85%
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 18 6 7 10 8 7 10 6 15 4
2012 Contract Condition     Yes Yes     Yes     Yes Yes Yes
Action     Yes Yes     No     Yes Yes Yes
High 316.50 315.36 316.67 303.37 296.39 307.39 302.41 305.94 329.64 331.93 327.23 319.67
Low 283.00 296.96 276.00 265.15 257.28 283.77 275.00 288.37 298.20 317.12 309.79 269.94
Close/Last 298.81 310.74 302.72 266.14 292.07 295.88 284.27 298.99 321.02 318.91 318.61 270.32

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