Screen-print style poster of an LNG carrier at a fork of sea routes, one lane lit

CASE STUDIES / OPTIONALITY · FEB 2​026

Routing options add 4.2% when prices move.

A diversified LNG book is not a fixed schedule but a bundle of embedded real options. As spreads widen, the optimiser re-routes cargo by cargo and bends a straight P&L line into a convex one.

+$16.8M

ROUTE-OPTIMISATION UPLIFT AT JKM +$1.50 · +4.2%

View as slides (PDF) →

One book, seventy-six cargoes.

01 · THE BOOK

The reference portfolio spans five supply sources and three delivery markets, indexed to Henry Hub, oil, TTF and JKM. It is a representative mid-size LNG book with firm obligations and spot access both ways.

FOB LONG · FIVE SUPPLY SOURCES

  • Sabine Pass · 18 cargoes · HH-linked
  • Cove Point · 16 cargoes · HH-linked
  • Golden Pass · 12 cargoes · HH-linked
  • Arzew · 15 cargoes · oil-linked
  • Qatargas · 15 cargoes · oil-linked

DES SHORT + SPOT · THREE MARKETS

  • Gate · 20 cargoes · TTF-linked
  • Dahej · 20 cargoes · HH-linked
  • Futtsu · 25 cargoes · JKM-linked
  • Spot access both ways: DES Long Gate (TTF), DES Short Tianjin (JKM)

76 FIRM CARGOES · 5 SUPPLY SOURCES · 3 DELIVERY MARKETS · X-LNG ENGINE

Fixed schedule against the optimiser.

02 · THE UPLIFT

Under a rising JKM the fixed schedule responds linearly while the optimiser redirects cargoes to Asia. The uplift is zero on small moves and compounds as prices deviate: nothing at +$0.50, +1.8% at +$1.00, +4.2% at +$1.50.

$0M$100M$200M$300M$400M211.9211.9+0.0%JKM +$0.50305.7311.1+1.8%JKM +$1.00399.5416.3+4.2%JKM +$1.50FIXED SCHEDULEOPTIMISED · $M
PORTFOLIO P&L BY JKM SHIFT · EXACT ENGINE RESULTS: $211.9M / $211.9M · $305.7M / $311.1M · $399.5M / $416.3M

A straight P&L line bends convex.

03 · THE CURVE

A stylised four-contract book makes the mechanics transparent: eleven flexible Sabine Pass cargoes can serve Gate or Asia. Each cargo switches the moment its JKM netback beats its TTF netback, so the profit curve is piecewise linear with a kink at every switch, and the optimised schedule never drops below the fixed one. The gap between the two lines is the premium of the embedded real options: $3.6M.

$5M$10M$15M$20M$25M$30M-0.75-0.5-0.250+0.25+0.5+0.75JKM CURVE SHIFT · $/MMBTU→ 2 JOURNEYS→ 3 JOURNEYS→ 11 JOURNEYSOPTION PREMIUM $3.6MOPTIMISEDFIXED SCHEDULE
DEEP-DIVE BOOK: FOB LONG SABINE PASS 11 · DES SHORT GATE 11 · SPOT BOTH WAYS · JKM VARIED AS PARALLEL SHIFTS

Delta jumps where routes switch.

04 · THE GREEKS

Sensitivity per $0.10 JKM move is flat at about $1.1M for the fixed book. For the optimised book it is a step function: each plateau is a stable routing, each spike is one cargo flipping to Asia. At the 11-journey threshold delta roughly quadruples to over $4M per $0.10 move. This is where exposure must be watched and hedges resized.

$0M$1M$2M$3M$4M-0.75-0.5-0.250+0.25+0.5+0.75JKM CURVE SHIFT · $/MMBTU→ 11 JOURNEYS · DELTA ×4PLATEAU = STABLE ROUTINGFIXED · FLAT $1.1MOPTIMISED$M PER $0.10 JKM
PROFIT SENSITIVITY PER $0.10 JKM · FIXED CONSTANT AT ≈$1.1M · PEAK CROSS-SENSITIVITY UP TO ≈$38.9M PER $1 MOVE

Flexibility lifts mean and floor.

05 · MONTE CARLO

Re-optimising on every simulated price path shifts the whole profit distribution to the right. Average profit and the 5% value-at-risk improve simultaneously, in both volatility regimes.

$0M$100M$200M$300M$400M$500M$600M5% VAR $118M$164MAVG $266MAVG $307MPORTFOLIO PROFIT · $M · 120% VOLATILITYLOCKED SCHEDULERE-OPTIMISED PER PATH
MONTE CARLO PROFIT DISTRIBUTION · 120% VOLATILITY · LOCKED VS RE-OPTIMISED PER PATH

+$41M

AVERAGE PROFIT · 120% VOLATILITY · $266M TO $307M

+$46M

5% VALUE-AT-RISK · 120% VOLATILITY · $118M TO $164M

+$19M

AVERAGE PROFIT · 80% VOLATILITY · $270M TO $288M

+$25M

5% VALUE-AT-RISK · 80% VOLATILITY · $173M TO $198M

PER-PATH RE-OPTIMISATION · EMBEDDED OPTION PREMIUM $3.6M · FLEXIBILITY PAYS IN CALM MARKETS TOO

06 · THE VERDICT

Fixed schedules have constant sensitivity:
optimised schedules have dynamic sensitivity, and they never underperform.

Every route-switching possibility is a real option. The optimiser prices and exercises them cargo by cargo, which is why the P&L is convex, the delta is a step function and the uplift grows precisely when markets move most.

Where the options hide, and where to watch.

07 · TAKEAWAYS

✓

The uplift compounds as prices deviate

Nothing at JKM +$0.50, +1.8% at +$1.00, +4.2% or $16.8M at +$1.50. The optimised schedule is never below the fixed one; the gap only grows.

✓

Flexibility lifts mean and floor together

Re-optimising on every simulated price path adds $41M average profit and $46M of downside protection at 120% volatility, and it still adds $19M and $25M in the calm regime.

!

Watch the 11-journey threshold

Where 11 cargoes flip to Asia, delta roughly quadruples to over $4M per $0.10 move. Hedges sized on yesterday’s plateau are wrong the moment the book crosses a switching point.

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