Allasso Raises £1.5M to Build Options Analytics for Commodity Desks
Fuel Ventures leads seed round to expand Allasso's real-time pricing platform across 60+ commodity markets and add exchange connectivity for LME and ICE.
Why SABR Calibration Fails on Commodity Smiles (And What We Do Instead)
Standard SABR parameters assume continuous trading and symmetric vol smiles. Commodity options break both assumptions, and the errors in delta show up in P&L attribution.
Calendar Spread Greeks Are Not the Sum of Individual Leg Greeks
Front-month and back-month futures are correlated. Ignoring that correlation understates your actual gamma exposure and produces systematic delta hedging errors.
Black-76 vs Bachelier for Commodity Options: Choosing the Right Model
Black-76 cannot handle negative forward prices. Bachelier can. For power and European gas options, the model choice has real consequences for Greeks and hedging accuracy.
Building Implied Volatility Surfaces for Illiquid Commodity Markets
With only three traded strikes per expiry, the surface must be constructed, not observed. Arbitrage-free interpolation and wing extrapolation methods for thin commodity markets.
Crude Oil Options and Physical Delivery Risk: What the Greeks Miss
Near expiry, WTI options are options on a physical barrel at Cushing, not a financial index. Storage constraints and roll costs can dominate financial Greeks in delivery windows.
Agricultural Options and Seasonal Volatility: Pricing Corn and Soybean Options Correctly
Corn vol rises into WASDE releases, peaks during drought season, and collapses after harvest. The smile flips from put skew to call skew at harvest. Static models miss all of it.
Metals Options Pricing: LME vs CME and the Basis That Matters
LME copper and CME copper reference the same metal but settle differently. The LME-CME basis is not constant and can swing $15–40 per tonne during supply disruption events.
Energy Spread Options: Pricing Crack Spreads, Spark Spreads, and Dark Spreads
Crack spread options price refinery margin. Spark spread options price power generation margin. Standard two-leg spread pricing misvalues both during correlation stress events.
Delta Hedging Commodity Options Portfolios: Four Things That Break It
Jumps, wrong model deltas, execution slippage in thin markets, and correlated position aggregation. Each failure mode costs money in predictable ways and can be managed explicitly.
OTC vs Exchange-Traded Commodity Options: Choosing the Right Structure
Exchange options are standardized and margin-cleared. OTC options fit bespoke hedges. The choice affects counterparty risk, EMIR reporting obligations, and cash flow management.
Options Risk Management on a Commodity Desk: From Greeks to Governance
A commodity options book needs more than accurate Greeks. It needs risk limit structures, P&L attribution frameworks, and escalation procedures matched to the specific risks of commodity derivatives.