VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, March 28, 2006
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: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
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: : ($100 X VBI) :
: : :
All : 24,180: 3,309 6,561 268 18,793 16,159 22,370 22,988: 1,810 1,192
Old : 24,180: 3,309 6,561 268 18,793 16,159 22,370 22,988: 1,810 1,192
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: March 21, 2006 :
: 3,041: 144 282 42 5,233 2,913 5,419 3,237: -2,378 -196
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 13.7 27.1 1.1 77.7 66.8 92.5 95.1: 7.5 4.9
Old : 100.0: 13.7 27.1 1.1 77.7 66.8 92.5 95.1: 7.5 4.9
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 38: 18 8 8 7 3 33 15:
Old : 38: 18 8 8 7 3 33 15:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 74.4 88.9 83.3 93.9 51.7 60.9 57.1 65.7
Old : 74.4 88.9 83.3 93.9 51.7 60.9 57.1 65.7
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated March 31, 2006