Reversible put and call options have the property that, on exercise, the holder receives the put or call payoff (as appropriate), but also gets to hold the opposite version of the reversible option. Thus exercising a reversible put with strike price K and asset price S allows the holder to receive (K-S) as a payoff, but then leaves them holding a reversible call. This sequence can continue indefinitely, back and forth, until the option expires.

Shackleton and Wojakowski (2001) published explicit Black-Scholes-like formulae for the value of such options that hold in both the perpetual and finite horizon cases. We discuss how the formulae can be used to derive an enhanced intrinsic value calculation for storage contracts using reversible spread options, and illustrate this with some examples.