Equity options tools force commodity traders into models that ignore delivery schedules, seasonal patterns, and physical settlement. Allasso starts from commodity-native assumptions: forward curves, not spot prices. Calendar spreads, not single-leg Greeks. Real-world constraints, not textbook simplifications.
Connect exchange feeds from CME Globex, ICE Endex, LME Select, and SGX via FIX 4.4 or our REST API. OTC quotes arrive through CSV upload or direct API push from your internal systems. Allasso normalizes every quote into a unified tick format — no manual mapping required.
Supports both European and American exercise styles. Handles Asian options (average price) for energy contracts. Recognizes delivery month conventions for each exchange automatically.
The engine constructs implied volatility surfaces from live option quotes using a modified SABR model tuned for commodity smile dynamics. For thin markets — common in agricultural derivatives — Allasso applies Bayesian interpolation to fill gaps without overfitting.
Each surface updates in under 200ms when new quotes arrive. You can lock a surface snapshot for end-of-day reporting while the live surface continues updating in a parallel view.
Run Black-76 for exchange-traded futures options, Bachelier for rate-like instruments, or our proprietary seasonal model that adjusts vol decay around harvest cycles and refinery turnarounds. Switch models mid-session — Allasso recalculates the entire book in under one second.
Greeks aggregate at position, book, desk, and firm level. Export hedge recommendations to your execution management system via FIX or flat file.
Allasso ingests settlement prices, broker runs, and proprietary marks to construct forward curves across 60+ commodity markets. Curves update continuously and feed directly into the pricing engine.
You can overlay multiple curve scenarios — contango steepening, backwardation flattening, seasonal humps — and see how each scenario changes your portfolio P&L and Greeks. Scenario results export as PDF or to Excel via our add-in.
For power markets specifically, Allasso handles hourly granularity (8,760 data points per year) without performance degradation. Base/peak/off-peak shaping is built in.
Crack spreads (crude vs. products), crush spreads (soybeans vs. meal/oil), and spark spreads (gas vs. power) require correlation modeling between two underlyings. Allasso uses a Kirk approximation enhanced with historical correlation adjustments.
Calendar spreads — the most traded structure in commodity futures — receive dedicated treatment. The engine calculates spread Greeks that account for the correlation between front and back months, not just the difference of individual Greeks.
You can define custom spread structures (three-leg, four-leg) and Allasso will price them as a single instrument with aggregated risk.
Portfolio margining calculations run in parallel with pricing. Allasso replicates CME SPAN methodology and ICE's proprietary margin model, so your internal margin estimates match clearing house calls within 2% tolerance.
Set alerts for margin utilization thresholds. When aggregate margin requirement exceeds 80% of available collateral, Allasso suggests position reductions ranked by margin-to-premium ratio — the positions eating the most margin relative to their value.
Allasso connects to Openlink Endur, Triple Point CXL, ION Commodities, and Aspect Enterprise via pre-built adapters. For proprietary ETRM systems, use our REST API (OpenAPI 3.0 spec, token-based auth, rate limit 1,000 req/min).
Data export supports FpML for structured trades, CSV for flat positions, and FIX drop-copy for real-time fills. Excel add-in pulls live Greeks into your existing spreadsheets without VBA.
Volatility surface update latency
Commodity markets covered
Platform uptime SLA
Data encryption at rest and in transit
Send us a sample portfolio. We will return Greeks, margin estimates, and a volatility surface within 24 hours.
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