CASE STUDIES / OPTIONALITY · AUG 2025
Choosing the destination beats every other right.
Four flexibilities priced separately on a thirty-cargo DES book across European terminals. Regional diversion dominates everything else by a factor of two.
$2.06/MMBtu
MEAN VALUE OF REGIONAL DESTINATION FLEXIBILITY · CANCELLATION $0.96, VOLUME $0.31
Thirty longs, twenty-four shorts, no ships.
01 · THE BOOK
A pure DES-DES book: thirty long cargoes with two-month windows against twenty-four shorts across eight European terminals with tight eight-day windows, plus spot on both sides. The engine matches every cargo to its most valuable destination and certifies the result: $82,647,127 at 100% optimality.
EXACT ENGINE RESULT $82,647,127 · CERTIFIED 100% OPTIMALITY · FORWARD CURVES OF 29 JULY 2025
Three rights, priced one by one.
02 · THE THREE RIGHTS
Each flexibility is valued the same way: the book with the right against the identical book without it, over 1,000 Monte Carlo paths with per-path re-optimisation. Regional diversion is worth twice the cancellation right and six times the volume range.
Germany wins on average, the others insure it.
03 · THE DESTINATION
At the forward curve Germany is the most profitable outlet in almost every month, which is exactly how the indexations were calibrated. The option value comes from the paths where Germany fails: Italy carries January, France grows into autumn, and the worst-case spread improves by $1.41/MMBtu.
Few cancellations, most of the value.
04 · THE CANCELLATIONS
With cancellation rights the book averages $25.49M against $21.95M without, a 16% uplift, yet only 15% of cargoes actually get cancelled. Negotiating limited rights on three or four cargoes captures about 80% of the benefit while minimising counterparty friction. Volume flexibility adds a steady $0.31, earned mostly in winter.
05 · THE VERDICT
On a pure DES book, choosing the destination beats every other right:
$2.06 against $0.96 for cancellation and $0.31 for volume.
Flexibility clauses are not equal. Pricing each one separately shows which is worth fighting for in the next negotiation, and which can be traded away cheaply.
Which clause is worth the fight.
06 · TAKEAWAYS
The destination right dominates everything
Regional diversion is worth a mean $2.06/MMBtu, twice the cancellation right and six times the volume range. Its value comes from risk transfer: the worst-case spread improves from -$2.38 to -$0.97/MMBtu, a $1.41 floor lift.
A few cancellations capture most of the value
Only 15% of cargoes get cancelled across all paths, 71% of paths cancel at least once, and one to three cancellations cover 47% of scenarios: negotiating rights on three or four cargoes captures about 80% of the benefit.
Each right is priced in isolation
The three comparisons run against their own base cases; combining the rights may overlap or compound, and correlations between markets are not modelled here. Winter is where volume flexibility earns its keep ($0.105/MMBtu seasonal delta; December delivers minimum volume in 80% of paths).
Modelled with X-LNG.
07 · THE TOOL
Your world goes in
Contracts, vessels, charter rates, prices, spot assumptions and constraints. The full book, not a slice.
One optimal plan comes out
Feasible, P&L-maximising and constraint-compliant, re-solved for every scenario in minutes.
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