Screen-print style poster of cargo documents being stamped cancelled over a harbour scene

CASE STUDIES / PORTFOLIO · NOV 2​025

Henry Hub rallies decide when cargoes get cancelled.

A Mediterranean book with cancellable supply and demand, stress-tested against price, charter and spot-market shifts to map exactly when cancellations spike.

23

CARGOES CANCELLED WHEN PSV SLUMPS 25% · THE BASE PLAN EXERCISES ITS OPTIONS ON JUST 4

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A cancellable Mediterranean book.

01 · THE BOOK

A European utility sources mostly US LNG against Italian and northwest European demand, January 2027 to December 2029. All firm supply plus the Italian demand carry cancellation rights; spot outlets sit in the US, India and China. It is the same book as the call-option study, now asked a different question: not what the option is worth, but when it gets used.

BASE PROFIT $144.2M · $1.38/MMBTU · 4 CANCELLATIONS · SEQUEL TO THE REGAS-SLOT OPTION STUDY

THE BOOK · JAN 2​027 TO DEC 2​029 · CARGO SIZE 3.4 TO 3.8M MMBTU

FOB Long · Sabine Pass120% HH + $2 · 5/YR
DES Long · Livorno / NWE120% HH + $4 / $3.80
DES Short · LivornoPSV - $0.25 · 6/YR
DES Short · NWE / BizkaiaTTF - $0.10 / - $0.05
SpotFREEPORT · DAHEJ · SHENZHEN

Each index pulls a different lever.

02 · THE SWEEP

Sweeping each index from 0.75x to 1.25x shows three different machines. Henry Hub rallies drive cancellations up as firm HH-indexed supply loses to spot; PSV and TTF slumps spike them because selling on the spot market beats firm delivery.

05101520-25%-15%BASE+15%+25%INDEX LEVEL VS BASE · CANCELLED CARGOES OF THE OPTIMAL PLAN23 · PSV -25%TTF 1615 · HH +25%BASE: 4HENRY HUBTTFPSV
CANCELLED CARGOES PER RE-OPTIMISED PLAN · EXACT TABLE VALUES AT ±5/10/15%, CHART READ AT ±20/25%

Margin often moves the other way.

03 · THE TWIST

More cancellations do not mean better margins, and vice versa. A TTF rally lifts the per-MMBtu margin dramatically because several shorts are TTF-indexed, while a PSV slump shows a decent margin on a third less absolute profit: volume quietly leaves the book.

$1.00$2.00$3.00-15%-10%-5%BASE+5%+10%+15%INDEX SHIFT · PORTFOLIO P&L $/MMBTU · BASE $1.38TTF +15%: $3.48HH -15%: $2.44HH +15%: $0.75PSV -10%: $1.53 BUT $93.1M ABSOLUTEHENRY HUBTTFPSV
EXACT ENGINE VALUES PER SHIFT · BASE $1.38/MMBTU, $144.2M · PSV -10% EARNS $1.53/MMBTU BUT ONLY $93.1M ABSOLUTE

Where the cancellations live.

04 · THE SURFACES

Varying two indices at once maps the cancellation count onto a surface. Both maps agree: the quiet zone is HH down with selling prices up, and the worst corner is a Henry Hub rally meeting a PSV slump, an unlikely pairing since the two are highly correlated, but exactly the scenario hedges should be sized against.

HH X TTF · PSV AT BASE-20%BASE+20%HH+20%BASE-20%TTFHH X PSV · TTF AT BASE-20%BASE+20%HH+20%BASE-20%PSVDARK = FEW · BRIGHT = MANYWORST CORNER: HH UP, PSV DOWN · UP TO 23081523 CANCELLATIONS
CELL COLOURS QUALITATIVE, LABELLED ANCHORS FROM THE ENGINE RUNS · SCALE 0 TO 23 CANCELLATIONS

The levers that barely matter.

05 · THE OTHER LEVERS

Swapping a flat 2024 average charter rate of $53k a day for the full seasonal curve moves profit by about one percent and leaves the cancellation count unchanged at four; only the mix shifts slightly. Adding an Incheon spot outlet with a swept JKM adder re-routes deliveries port by port, but every single scenario still cancels exactly four cargoes. Price indices rule this book; freight and outlet geography are background noise.

$0M$50M$100M$119.9M4 CANCELLATIONS2024 FLAT AVERAGE · $53K/DAY$118.7M4 CANCELLATIONS2024 SEASONAL CURVEDELTA -$1.2M · ABOUT 1% · ONLY THE CANCELLATION MIX SHIFTS
CHARTER TEST · 2018-2024 SEASONAL AVERAGES CONFIRM: STILL 4 CANCELLATIONS AT $1.24/MMBTU
051015$1.38-$1$1.38-$0.50$1.38$0$1.30+$0.50$1.44+$1$1.65+$1.50INCHEON JKM ADDER · DELIVERIES PER SPOT MARKET · $/MMBTU ABOVE EACH STACKDAHEJ · BRENTSHENZHEN · JKMINCHEON · JKM + ADDER
SPOT TEST · SWITCHING TO INCHEON BECOMES FAVOURABLE AROUND +$1 · BRENT-INDEXED DAHEJ IS SURPRISINGLY ROBUST

06 · THE VERDICT

Henry Hub rallies drive cancellations up, PSV slumps spike them to 23:
and charter seasonality changes almost nothing.

Cancellation rights are a price-index story. Knowing which index moves your count, and which merely moves your margin, is what turns an option clause into a managed position.

What moves the count, what moves the money.

07 · TAKEAWAYS

✓

Each index pulls a different lever

Henry Hub rallies make firm HH supply lose to spot: 15 cancellations at HH +25%. PSV and TTF slumps make spot beat firm delivery: 23 and 16 cancellations at -25%. The base plan cancels just 4.

✓

Cancellations and margin move independently

A TTF rally lifts the margin to $3.48/MMBtu with FEWER cancellations, because several shorts are TTF-indexed. A PSV slump shows a decent $1.53/MMBtu, yet absolute profit falls to $93.1M against $144.2M base.

!

Freight and extra spot markets are background noise

The full seasonal charter curve moves profit by about one percent and leaves the count at 4; a new Incheon outlet re-routes deliveries but never changes how many cargoes get cancelled. Watch the price indices, not the periphery.

Modelled with X-LNG.

08 · THE TOOL

1

Your world goes in

Contracts, vessels, charter rates, prices, spot assumptions and constraints. The full book, not a slice.

2

One optimal plan comes out

Feasible, P&L-maximising and constraint-compliant, re-solved for every scenario in minutes.

3

Every number checks out

Each result can be recalculated by hand. Transparency your risk committee can audit.

CLOUD-BASED, ANY PORTFOLIO SIZE · BUILT AND ADVANCED DAILY BY ~25 MATHEMATICIANS, PHYSICISTS AND COMPUTER SCIENTISTS