  We derive the price of a spread option based on two assets which follow a
bivariate volatility modulated Volterra process dynamics. Such a price dynamics
is particularly relevant in energy markets, modelling for example the spot
price of power and gas. Volatility modulated Volterra processes are in general
not semimartingales, but contain several special cases of interest in energy
markets like for example continuous-time autoregressive moving average
processes. Based on a change of measure, we obtain a pricing expression based
on a univariate Fourier transform of the payoff function and the characteristic
function of the price dynamics. Moreover, the spread option price can be
expressed in terms of the forward prices on the underlying dynamics assets. We
compute a linear system of equations for the quadratic hedge for the spread
option in terms of a portfolio of underlying forward contracts.
