StorNav™
the storage navigator
StorNav has been specifically designed as a useful and fast responding tool to assist in the two interrelated activities of valuation and optimization. Extensive back-testing has confirmed its performance in these two areas. A single StorNav workbook has the flexibility to track a portfolio of multiple storage positions at different locations and with different terms.
The application focuses on three simple ideas.
1
Work seamlessly with the client’s desktop environment and only take a few seconds to calculate.
2
Clearly provide both option value and hedge advice, thereby allowing the client to dynamically capture the option value over time.
3
The product must be priced at a fraction of the cost charged by the vendors of other similar applications.
StorNav utilizes a very robust spread option technique, summarized in the below figure, to value storage capacity.
This schematic of the valuation process shows, on its left, the handling of the physical parameters of the facility; on the right, the handling of spread option values; and in the middle, the combination of those two components in an optimization routine that determines the optimal basket of spread options for the valuation of the storage capacity. StorNav can handle multiple ratchet layers and a variety of market input scenarios. Its results provide both valuation output and dynamic hedging advice.