Screen-print style poster of two forward curves one month apart over an LNG carrier

CASE STUDIES / OPTIONALITY · JUL 2​025

One month repriced the same option 45%.

The follow-up to the May study holds the portfolio fixed and updates only the forward curves. Four weeks of market evolution repriced the identical flexibility dramatically.

+45%

SAME BOOK, SAME CLAUSE: FOUR WEEKS OF CURVE MOVEMENT LIFTED THE OPTION FROM $8.6M TO $12.5M

View as slides (PDF) →

Change one thing: the date.

01 · THE EXPERIMENT

This is the May DES-Long study run again with one variable moved. By keeping the portfolio structure identical and updating only the forward curves, the effect of changing market conditions is isolated cleanly: whatever moves is the market, not the book.

1

Hold the book completely fixed

Same 24 US FOB cargoes, same 9 DES-Long into NWE, same demand, same two 174K vessels, same six optional Asia cargoes.

2

Move the curves forward one month

Replace the 21 May forward curves and simulations with those of 23 June 2025. Nothing else is touched.

3

Re-run all three regimes

Three thousand paths again, a thousand each for regular, high and low volatility, every path re-optimised for both books.

CURVES OF 21 MAY VS 23 JUNE 2​025 · HORIZON 2​026 TO 2​027 · PER-MMBTU VALUES ON 22.2M MMBTU (6 X 3.7M)

Four weeks, a different valuation.

02 · THE REPRICING

The same clause on the same cargoes is worth 45% more in a regular market, 59% more under stress and more than six times as much in a calm one, where the small base makes the move look extreme. Per MMBtu: $0.39 to $0.56, $0.60 to $0.95, $0.03 to $0.17.

$0M$5M$10M$15M$20M0.63.7+517%LOW VOLATILITY8.612.5+45%REGULAR13.321.2+59%HIGH VOLATILITY21 MAY CURVES23 JUNE CURVES · MEAN FLEX VALUE $MSAME PORTFOLIO, SAME CONTRACTS · ONLY THE FORWARD CURVES CHANGED
EXACT ENGINE VALUES · MAY $0.60M / $8.63M / $13.28M · JUNE $3.66M / $12.46M / $21.18M · +517% / +45% / +59%

From exception to norm.

03 · THE MEDIAN

The averages understate what happened. In May the median path earned nothing from the option in every regime: fewer than half the simulations ever exercised it. On June curves the median is $10.5M in a regular market and $17.2M under stress, so the typical path now uses the flexibility rather than ignoring it.

$0M$5M$10M$15M$20M$0LOW VOLATILITY$0REGULAR$0HIGH VOLATILITYIN MAY THE MEDIAN PATH NEVER USED THE OPTIONMAY MEANMAY MEDIANJUNE MEANJUNE MEDIANFLEX VALUE PER PATH · $M · 1,000 PATHS PER REGIME AND MONTH
MEDIANS · MAY $0.00M IN ALL THREE REGIMES · JUNE $2.16M (LOW) / $10.49M (REGULAR) / $17.22M (HIGH)

What the curves actually did.

04 · THE DRIVER

June brought a general upward shift in both TTF and JKM plus a structural change: a negative JKM-TTF spread in early 2026 that the May curves did not show. It never reaches the exercise threshold, so no cargo is diverted at the curve, yet it moves a large share of simulated paths into the money.

-0.50+0.5JAN 2026JULJAN 2027JULEARLY-2​026 INVERSION, NEW IN JUNE21 MAY23 JUNE · JKM MINUS TTF, $/MMBTUSPREAD SHAPE TRACED FROM THE ENGINE CURVES · DELIVERY MONTHS OF THE PORTFOLIO HORIZON
SPREAD SHAPE TRACED FROM THE ENGINE CURVES · THE INVERSION SITS BELOW THE EXERCISE THRESHOLD YET LIFTS EXTRINSIC VALUE

The whole book moved with it.

05 · THE BOOK

At the June curve both books again earn exactly the same, $271,539,493, still without matching a single Asia cargo. That is 44% above the May forward result, the unhedged book riding the spread evolution, and the simulated profits sit well above it in every regime.

$0M$100M$200M$300M297.0300.4+$3.7MLOW VOL319.3331.5+$12.5MREGULAR337.4358.4+$21.2MHIGH VOLBASE BOOKASIA-FLEX BOOKAT JUNE FORWARD: $271.5M, BOTHMEAN MC PROFIT $M ON JUNE CURVES · 1,000 IDENTICAL PATHS PER REGIME
EXACT MC MEANS ON JUNE CURVES: $297.0M / $300.4M (LOW) · $319.3M / $331.5M (REGULAR) · $337.4M / $358.4M (HIGH)

06 · THE VERDICT

The portfolio did not change:
the market did, and the same flexibility gained 45% in one month.

An optionality valuation is a snapshot, not a constant. Small shifts in curve structure move it by tens of percent, which is why the number belongs in the monthly cycle rather than in the contract file.

What four weeks of market did.

07 · TAKEAWAYS

✓

One month repriced the same clause by 45%

Regular volatility moved from $8.6M to $12.5M, high volatility from $13.3M to $21.2M, and the calm market from $0.6M to $3.7M, a 517% jump on a small base. The portfolio did not change; the market did.

✓

The median tells the sharper story

In May the median path earned nothing from the option in all three regimes. On June curves the median is $10.5M in regular and $17.2M in high volatility: the option went from an exception to the norm.

!

The option still never fires at the curve

At June forwards both books again produce $271,539,493 with no Asia cargo matched, up 44% on May because the book is unhedged. The early-2026 JKM-TTF inversion stays below the exercise threshold, yet it lifts the extrinsic value substantially. Valuations age; they need refreshing with the curve.

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