VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 21, 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 : 34,767: 3,786 11,149 0 25,049 20,694 28,835 31,843: 5,932 2,924
Old : 34,767: 3,786 11,149 0 25,049 20,694 28,835 31,843: 5,932 2,924
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: November 14, 2006 :
: -14,860: -3,696 37 -687 -5,460 -11,270 -9,843 -11,920: -5,017 -2,940
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 10.9 32.1 0.0 72.0 59.5 82.9 91.6: 17.1 8.4
Old : 100.0: 10.9 32.1 0.0 72.0 59.5 82.9 91.6: 17.1 8.4
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 : 27: 8 7 0 12 5 20 12:
Old : 27: 8 7 0 12 5 20 12:
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 : 59.6 73.7 71.4 87.1 59.6 68.0 68.6 80.2
Old : 59.6 73.7 71.4 87.1 59.6 68.0 68.6 80.2
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated November 27, 2006