John,

Research has delivered the lookback model with fixed strike. The path is: o:\research\custom\xfxlkbk

You will find the model and the .xll that we will have to install in order to run the model. The payout for the put = MAX(K-F(T), 0) where F(T) is the daily closing of NYMEX prompt month. 

I'll also test the model and will call you later.

Thanks.

Santiago