1) Multi-Method Valuation Framework
- Every facility is valued with multiple independent methods: intrinsic (locked seasonal spread), rolling intrinsic (curve rebalancing), spread-option approximation, daily operating-threshold simulation, and least-squares Monte Carlo.
- Methods are cross-validated against each other. When they disagree, we investigate the driver — we do not average the disagreement away.
- The result is a value range with an explanation, not a single unexplainable number.
2) Calibration to Your Facility and Market
- Facility constraints are modeled as contracted: working gas capacity, injection/withdrawal rate curves, ratchets, fuel charges, and cycling terms.
- Forward curves and implied volatility come from listed markets (NYMEX, ICE), with basis adjustment to the hub that prices your facility.
- Volatility is modeled seasonally and regime-aware — quiet-market and stressed-market dynamics are calibrated separately, because storage value concentrates in the stressed regime.
3) Simulation and Optimization
- Thousands of joint price-path scenarios simulate the range of market outcomes over the valuation horizon.
- Optimization produces daily inject/withdraw price thresholds and nomination-ready schedules aligned to gas-day settlement cycles.
- Hedge construction separates what belongs on forwards (the seasonal spread) from what belongs in daily cash execution (the operating optionality).
4) What You Receive
- A valuation report decomposing value into its sources: locked seasonal spread, curve-reshaping upside, and daily trading optionality.
- Daily operating thresholds and monthly hedge recommendations with position sizing by tenor.
- Every calibration input, assumption, and parameter disclosed — a full audit trail from market data to final valuation.
- Optionally delivered as a live dashboard that stays current with the market, rather than a static document.
5) Controls and Versioning
- Methodology changes are versioned; a valuation states which methodology version produced it.
- Model assumptions are reviewed against realized market outcomes and recalibrated when the market regime shifts.
- Deliverables are prepared per client and are not redistributed.
Important usage note
Valuations are decision-support analysis and not investment advice. Commercial decisions, execution, and risk limits remain the responsibility of the asset owner and its trading desk.
CFTC Rule 4.41: Hypothetical or simulated performance results have inherent limitations. Unlike results shown in an actual performance record, simulated results do not represent actual trading. Since the trades were not executed, results may have under- or over-compensated for certain market factors, such as liquidity. Simulated trading programs are generally designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
Have a facility or contract to value?
Bring your facility parameters and we will walk through the methodology live against a comparable valuation, end to end.