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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June RBOB Gasoline(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   5 15 17 20 22 23 23 23 23 23 23
Closed Higher   2 9 10 9 12 11 13 16 11 18 16
Exceeded High   2 9 9 7 8 8 13 14 11 17 12
Scenario Percentage   100% 100% 90% 78% 67% 73% 100% 88% 100% 94% 75%
Avg Max Increase   3.58% 11.88% 8.45% 7.81% 10.63% 14.15% 9.45% 13.50% 19.13% 12.97% 9.56%
Max Increase   4.65% 52.68% 28.27% 17.83% 17.58% 23.63% 23.34% 32.68% 36.66% 31.66% 21.12%
Avg Days To Max Increase   15 19 15 17 24 15 18 19 20 16 15
Avg Max Decline   -0.24% -1.34% -0.89% -1.92% -1.71% -0.88% -1.80% -4.53% -2.12% -3.87% -2.03%
Max Decline   -0.53% -7.48% -3.53% -7.12% -5.04% -2.84% -8.61% -14.51% -7.19% -14.14% -9.92%
Avg Days to Max Decline   2 9 11 3 17 3 10 11 9 5 4
2008 Contract Condition   Yes Yes   Yes Yes   Yes   Yes   Yes
Action   Yes Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   5 15 17 20 22 23 23 23 23 23 23
Closed Lower   3 6 7 11 10 12 10 7 12 5 7
Penetrated Low   1 4 4 7 8 10 6 4 8 3 2
Scenario Percentage   33% 67% 57% 64% 80% 83% 60% 57% 67% 60% 29%
Avg Max Decline   4.81% 7.34% 6.24% 10.68% 10.46% 9.55% 15.64% 17.75% 8.15% 11.59% 6.00%
Max Decline   4.81% 9.62% 16.98% 18.12% 19.01% 24.38% 39.48% 35.67% 18.62% 18.26% 7.96%
Avg Days To Max Decline   16 21 17 21 17 18 20 19 10 4 9
Avg Max Increase   0.32% -3.85% -2.83% 0.04% -2.03% -2.11% -2.77% -0.16% -2.89% -1.99% -1.86%
Max Increase   0.32% -10.55% -9.12% -2.94% -4.79% -11.90% -6.95% -1.47% -9.52% -4.71% -2.60%
Avg Days to Max Increase   8 20 9 8 3 17 10 7 12 1 5
2008 Contract Condition       Yes     Yes   Yes   Yes  
Action       No     Yes   No   No  
High 211.65 215.96 220.94 215.67 225.53 249.81 261.65 266.48 271.65 274.90 276.57 307.35
Low 198.10 207.00 212.50 201.09 207.79 216.43 242.76 240.21 240.20 240.30 250.70 258.73
Close/Last 206.77 215.53 217.34 209.55 222.06 249.81 242.76 262.83 252.47 269.09 262.31 290.63

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