You are invited to an eye-opening conversation with Mauritz van den Worm, a quant researcher at Polarstar, a commodities-focused hedge fund in Cape Town, South Africa, hosted by Moritz Seibert. In this inaugural episode of the Open Interest series, Mauritz takes us on a journey through the fascinating world of commodity spreads. We explore not only calendar spreads but also delve into cross-market substitution spreads, location arbitrage trades, and processing margin spreads.

Discover how PolarStar navigates the intricate South African commodity markets and the critical role they play in their portfolio. Additionally, Mauritz shares an intriguing firsthand account of PolarStar's position in the US versus European grain spreads at the onset of Russia's invasion of Ukraine. Learn how a simultaneous limit-up in the US and limit-down in Europe led to what Mauritz humorously refers to as "a few gray hairs." This is a must-listen for anyone intrigued by the complexities and strategies behind commodity trading.

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Episode TimeStamps:

02:09 - Introduction to the new series

03:28 - Introduction to Mauritz van den Worm and PolarStar Management

09:53 - A deep dive into the South African market

16:26 - What kind of trader is Polar Star Management?

19:55 - Entering and exiting trades

23:37 - How PolarStar Management establishes and analyzes trades

30:53 - How PolarStar uses data

33:39 - Different kinds of maize (corn)

35:07 - How you size a spread within a portfolio

39:39 - The role and importance of storage

45:14 - Adjusting for seasonality

47:06 - Looking back on the last 2 years

49:47 - Why did traders not want European wheat?

55:46 - What happened to the wheat market?

56:58 - How tough is the commodity space?

59:16 - Thanks for listening

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Disclaimer

OI1: Cracking the Code of Commodity Spread Trading ft. Mauritz van den Worm

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