CASE STUDIES / OPTIONALITY · ANALYSIS · MAY 2025
Zero intrinsic value hides $13M of optionality.
At forward prices the Asia DES-Long option adds nothing and would be easy to concede. Simulated across a thousand paths, it is worth millions, rising sharply with volatility.
$8.6M
MEAN FLEX VALUE AT REGULAR VOLATILITY · $0 AT FORWARD
One option, out of the money.
01 · THE SETUP
A base book of US FOB length against European demand is offered six optional DES-Long Asia cargoes, exercised only when they help the whole portfolio. Indexations are calibrated so every optional cargo is out of the money at the curve.
PROFIT AT FORWARD, BOTH BOOKS: $188,895,430 · MATCHED ASIA CARGOES: 0
Base book
24 FOB Long US cargoes plus DES Long NWE against European shorts and spot.
Plus six optional Asia cargoes
DES Long Asia, taken only when portfolio-profitable.
Calibrated at the boundary
All six out of the money at forward, the best one just at the money.
Volatility prices the option.
02 · MONTE CARLO
Re-optimising both books on every simulated path, the difference in mean profit is the option value. It collapses when markets are quiet and rises to $13.3M when they are stressed.
How often the option strikes.
03 · THE EXERCISE
The number of exercised Asia matches shifts with the regime. Quiet markets almost never use more than two of the six rights; stressed markets concentrate on two to three; regular markets spread wide across three to five.
Where exercising starts to pay.
04 · THE BOUNDARY
A profit-indifference line in JKM-TTF space marks the exercise region. May 2025 forwards sit clearly outside it, and the boundary moves with shipping-cost differentials and volume effects that a pure price comparison never sees.
05 · THE VERDICT
An option worth nothing at the curve is worth $8.6M in regular markets and $13.3M in stressed ones.
CURVES OF 21 MAY 2025 · HORIZON 2026-2027 · 2 x 174K VESSELS · PER-PATH RE-OPTIMISATION
THIS ANALYSIS RAN ON X-LNG
The whole analysis, priced inside the optimisation that plans your fleet.
X-LNG runs analyses like this on whole portfolios in seconds, so the answer sits in every netback, diversion and charter call rather than in a spreadsheet weeks later.
