Reply To: Modelling ICE WTI-Brent Spread Options

#8215
Israr Ahmed
Keymaster

Don’t know much about the ENGY-EXCH-CRACK-SPD-OPT Ins Type.

But we have set up Calendar Spread Options (WTI) [ for M and M+1 ] using ENGY-EXCH-CAL-SPD-OPT.

Not sure what the difference between the two Ins Types could be as the latter doesn’t restrict you to the same underlying curve for both contracts.

It could be potentially related to two things . On a ENGY-EXCH-CAL-SPD-OPT :

(1) the “near” and “far” future contracts get reversed for a PUT. So you set them up on the PUT the same as for CALL but in the pricing it will know to invert the Spread for PUTS.

(2) The Exercise date is defaulted from the one on the “near” contract

Not sure if that helps.

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