CASE STUDIES / RISK · ANALYSIS · DEC 2025
Same forward profit, $400M apart in risk.
Three contract mixes calibrated to near-identical forward profit hide radically different risk. The dual-index book buys the spread upside and the heaviest downside; the other two are implicit hedges.
-$400M
THE DUAL-INDEX BOOK AT THE WORST CORNER OF THE STRESS GRID
Three contract mixes, one profit.
01 · THE SETUP
All three books run November 2025 to December 2027 on Revithoussa demand and Calcasieu Pass supply, one cargo per month, no cancellations. They differ only in indexation and spot access.
CARGO SIZE 3.4-3.8M MMBTU · CALIBRATED TO <1% FORWARD DIFFERENCE
S1 · Dual index
HH-indexed supply against TTF-indexed demand. Full exposure to the transatlantic spread.
S2 · Spot outlets
Same book plus optional spot outlets on both sides, usable to unwind at small losses.
S3 · TTF only
Supply switched to TTF: the spread exposure disappears by construction.
Identical at the forward curve.
02 · CALIBRATION
Indexations were tuned so all three strategies earn the same at current forwards. Every difference that follows is risk, not expected return.
$63.6M
S1 · FORWARD PROFIT
$63.6M
S2 · FORWARD PROFIT
$63.1M
S3 · FORWARD PROFIT
<1%
SPREAD ACROSS STRATEGIES
Volatility pulls the books apart.
03 · MONTE CARLO
At base volatility the dual-index book has by far the highest mean profit and the widest tails. Under high volatility the spot-outlet book overtakes it on average, because its losses are capped. S3 stays lowest and tightest throughout.
HIGH VOLATILITY: S2 ≈ $139M OVERTAKES S1 ≈ $104M
The spread is the risk.
04 · STRESS GRID
Varying HH and TTF from 0.4x to 1.6x maps each book onto a profit surface. S1 swings from roughly +$600M to -$400M as the spread flips; S2 floors its losses near zero via spot; S3 barely notices TTF at all.
05 · THE VERDICT
The dual-index book buys the largest upside and a $400M stress-case downside. Spot outlets and single-index supply are implicit hedges.
NOV 2025 - DEC 2027 · MC AT 50/100/150% VOLATILITY · DETERMINISTIC GRID 0.4x-1.6x
THIS ANALYSIS RAN ON X-LNG
The whole analysis, priced inside the optimisation that plans your fleet.
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