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Quantitative Finance · Glosarium

Apa itu Transport option?

Definition 22.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 22 — Storage, Transport and Physical Optionality

A transport option is the right, given by pipeline or shipping capacity, to move a commodity from one location to another in a period at a variable cost; it is worth a spread option on the destination price less the origin price, struck at that cost.

A year of monthly transport capacity from the hub to a market-area hub: the intrinsic value on today’s forwards and the spread-option value of each month, per MMBtu. Data: s2_physopt.transport_strip.
Figure 22.2. A year of monthly transport capacity from the hub to a market-area hub: the intrinsic value on today’s forwards and the spread-option value of each month, per MMBtu. Data: s2_physopt.transport_strip.
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