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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   21 25 27 28 31 32 33 33 33 33 33
Closed Higher   10 13 13 15 24 22 17 16 20 17 21
Exceeded High   7 13 10 14 23 17 13 16 17 17 16
Scenario Percentage   70% 100% 77% 93% 96% 77% 76% 100% 85% 100% 76%
Avg Max Increase   10.29% 8.08% 11.98% 12.12% 12.29% 10.96% 9.25% 10.82% 14.57% 10.73% 5.32%
Max Increase   17.86% 18.20% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   15 15 12 15 18 16 15 16 18 13 14
Avg Max Decline   -1.22% -1.30% -1.40% -1.56% -2.18% -2.00% -1.50% -3.47% -2.55% -2.89% -2.25%
Max Decline   -7.40% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   7 9 5 9 7 8 8 12 10 7 3
2011 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes    
Action   Yes Yes Yes Yes Yes No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   21 25 27 28 31 32 33 33 33 33 33
Closed Lower   11 12 14 13 7 10 16 17 13 16 12
Penetrated Low   8 10 10 8 6 7 11 14 7 10 7
Scenario Percentage   73% 83% 71% 62% 86% 70% 69% 82% 54% 63% 58%
Avg Max Decline   8.71% 12.49% 10.47% 4.92% 5.85% 5.20% 7.88% 8.11% 11.86% 12.65% 10.19%
Max Decline   25.03% 32.60% 34.45% 18.95% 7.76% 8.08% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 15 8 13 13 16 17 17 15 15
Avg Max Increase   -1.17% -3.95% -1.56% -1.21% -2.74% -4.02% -1.17% -2.30% -4.75% -2.20% -1.29%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -6.87% -3.89%
Avg Days to Max Increase   7 8 5 6 11 16 3 10 13 13 5
2011 Contract Condition               Yes Yes   Yes Yes
Action               Yes Yes   Yes Yes
High 242.71 251.25 260.49 281.86 307.91 321.01 339.21 336.18 321.80 318.65 321.91 309.75
Low 232.07 233.57 246.05 255.45 278.50 300.00 317.86 285.20 279.56 293.53 273.25 276.24
Close/Last 235.46 239.15 260.49 280.41 305.43 318.88 335.25 311.46 299.64 312.82 309.04 277.93

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