VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 3, 2006
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($100 X VBI) :
: : :
All : 55,929: 4,360 10,577 790 42,757 40,195 47,907 51,562: 8,022 4,367
Old : 55,929: 4,360 10,577 790 42,757 40,195 47,907 51,562: 8,022 4,367
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: September 26, 2006 :
: 2,174: 988 702 -379 -779 -685 -170 -362: 2,344 2,536
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 7.8 18.9 1.4 76.4 71.9 85.7 92.2: 14.3 7.8
Old : 100.0: 7.8 18.9 1.4 76.4 71.9 85.7 92.2: 14.3 7.8
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 : 24: 8 5 2 9 5 19 11:
Old : 24: 8 5 2 9 5 19 11:
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 : 71.9 81.4 79.3 90.4 70.1 76.5 75.9 85.2
Old : 71.9 81.4 79.3 90.4 70.1 76.5 75.9 85.2
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated October 6, 2006