Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF CAD 100,000)
CFTC Code #090741 Open Interest is 118,735
Positions
36,467 2,619 1,298 16,112 35,265 625 25,413 50,922 3,732 9,728 1,525 1 25,359 22,748
Changes from: December 20, 2011 Total Change is: -55,519
19,762 -18,653 -35,538 256 -316 147 -7,757 3,869 -6,096 135 7 0 -26,428 1,061
Percent of Open Interest Represented by Each Category of Trader
30.7 2.2 1.1 13.6 29.7 0.5 21.4 42.9 3.1 8.2 1.3 0.0 21.4 19.2
Number of Traders in Each Category Total Traders: 66
8 4 4 5 5 . 14 15 4 12 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
SWISS FRANC - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF CHF 125,000)
CFTC Code #092741 Open Interest is 35,741
Positions
11,035 721 0 1,059 856 265 15,670 15,405 44 537 0 0 7,131 18,450
Changes from: December 20, 2011 Total Change is: 2,721
1,079 -79 0 60 10 62 1,802 1,182 11 0 0 0 -293 1,535
Percent of Open Interest Represented by Each Category of Trader
30.9 2.0 0.0 3.0 2.4 0.7 43.8 43.1 0.1 1.5 0.0 0.0 20.0 51.6
Number of Traders in Each Category Total Traders: 35
8 . 0 . . . 6 14 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF GBP 62,500)
CFTC Code #096742 Open Interest is 183,119
Positions
128,343 2,138 202 8,644 75,330 3,108 24,880 72,242 633 3,239 3,230 0 14,070 26,236
Changes from: December 20, 2011 Total Change is: -853
-1,398 401 -124 326 -1,955 303 -953 1,727 -61 839 0 -4 219 -1,140
Percent of Open Interest Represented by Each Category of Trader
70.1 1.2 0.1 4.7 41.1 1.7 13.6 39.5 0.3 1.8 1.8 0.0 7.7 14.3
Number of Traders in Each Category Total Traders: 85
11 5 . 5 15 4 17 24 . 5 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF JPY 12,500,000)
CFTC Code #097741 Open Interest is 132,557
Positions
167 58,699 339 65,557 11,037 1,491 48,339 32,683 136 1,310 2,552 0 15,218 25,620
Changes from: December 20, 2011 Total Change is: 551
-195 -4,550 257 955 258 160 1,306 3,225 -1 45 -78 0 -1,976 1,280
Percent of Open Interest Represented by Each Category of Trader
0.1 44.3 0.3 49.5 8.3 1.1 36.5 24.7 0.1 1.0 1.9 0.0 11.5 19.3
Number of Traders in Each Category Total Traders: 75
. 13 . 7 8 5 17 23 . . 4 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
EURO FX - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF EUR 125,000)
CFTC Code #099741 Open Interest is 276,022
Positions
122,475 27,029 155 49,677 32,557 4,724 57,998 144,008 985 14,330 12,138 162 25,516 54,264
Changes from: December 20, 2011 Total Change is: 9,425
4,430 2,962 3 -1,648 -692 461 7,811 9,020 76 0 -23 0 -1,708 -2,382
Percent of Open Interest Represented by Each Category of Trader
44.4 9.8 0.1 18.0 11.8 1.7 21.0 52.2 0.4 5.2 4.4 0.1 9.2 19.7
Number of Traders in Each Category Total Traders: 170
22 10 . 15 18 10 24 60 9 6 15 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF AUD 100,000)
CFTC Code #232741 Open Interest is 111,210
Positions
22,574 18,034 2,867 2,719 44,088 1,050 57,155 28,570 0 6,642 795 0 18,203 15,806
Changes from: December 20, 2011 Total Change is: 6,393
-3,174 2,857 0 123 2,413 125 8,330 1,246 0 -12 18 0 1,001 -266
Percent of Open Interest Represented by Each Category of Trader
20.3 16.2 2.6 2.4 39.6 0.9 51.4 25.7 0.0 6.0 0.7 0.0 16.4 14.2
Number of Traders in Each Category Total Traders: 73
7 10 . . 8 . 17 23 0 4 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF RUB 2,500,000)
CFTC Code #089741 Open Interest is 119,294
Positions
41,019 34,864 72,505 0 0 0 4,067 9,705 1,292 0 0 0 411 928
Changes from: December 20, 2011 Total Change is: -327
-452 -381 252 0 0 0 -141 -468 141 0 0 0 -127 129
Percent of Open Interest Represented by Each Category of Trader
34.4 29.2 60.8 0.0 0.0 0.0 3.4 8.1 1.1 0.0 0.0 0.0 0.3 0.8
Number of Traders in Each Category Total Traders: 21
9 8 12 0 0 0 . . . 0 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF MXN 500,000)
CFTC Code #095741 Open Interest is 117,370
Positions
69,717 52,093 690 23,923 2,557 1,169 17,899 49,968 160 1,234 3,858 0 2,578 6,875
Changes from: December 20, 2011 Total Change is: 1,018
195 -1,632 -2 2,103 263 336 -2,275 1,255 -54 546 130 0 169 722
Percent of Open Interest Represented by Each Category of Trader
59.4 44.4 0.6 20.4 2.2 1.0 15.3 42.6 0.1 1.1 3.3 0.0 2.2 5.9
Number of Traders in Each Category Total Traders: 86
7 10 . 6 5 . 13 31 . 6 8 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF NZD 100,000)
CFTC Code #112741 Open Interest is 10,181
Positions
2,890 1,836 225 0 169 0 4,956 5,012 0 265 500 0 1,845 2,439
Changes from: December 20, 2011 Total Change is: 739
-399 540 0 0 -105 0 841 157 0 100 -9 0 197 156
Percent of Open Interest Represented by Each Category of Trader
28.4 18.0 2.2 0.0 1.7 0.0 48.7 49.2 0.0 2.6 4.9 0.0 18.1 24.0
Number of Traders in Each Category Total Traders: 32
7 . . 0 . 0 5 13 0 . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DJIA Consolidated - CHICAGO BOARD OF TRADE ($10 X DJIA INDEX)
CFTC Code #12460+ Open Interest is 44,765
Positions
15,844 29,468 211 3,306 2,462 287 16,261 7,980 285 3,476 185 0 5,097 3,888
Changes from: December 20, 2011 Total Change is: -745
-132 -1,338 -26 306 -163 108 -967 859 125 51 13 0 -209 -322
Percent of Open Interest Represented by Each Category of Trader
35.4 65.8 0.5 7.4 5.5 0.6 36.3 17.8 0.6 7.8 0.4 0.0 11.4 8.7
Number of Traders in Each Category Total Traders: 87
21 11 . 5 6 . 22 16 6 5 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE ($5 X DJIA INDEX)
CFTC Code #124603 Open Interest is 89,529
Positions
31,687 58,935 422 6,611 4,924 573 32,522 15,959 570 6,951 370 0 10,193 7,776
Changes from: December 20, 2011 Total Change is: -1,489
-263 -2,675 -52 611 -325 215 -1,933 1,717 249 101 25 0 -417 -643
Percent of Open Interest Represented by Each Category of Trader
35.4 65.8 0.5 7.4 5.5 0.6 36.3 17.8 0.6 7.8 0.4 0.0 11.4 8.7
Number of Traders in Each Category Total Traders: 87
21 11 . 5 6 . 22 16 6 5 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE (S&P 500 INDEX X $250.00)
CFTC Code #13874+ Open Interest is 764,761
Positions
41,891 145,608 30,356 359,822 211,754 63,294 77,711 135,407 38,053 28,229 30,392 2,538 122,868 107,360
Changes from: December 20, 2011 Total Change is: 19,370
4,663 12,523 4,738 7,046 -7,843 349 -2,390 999 10,331 1,102 449 15 -6,483 -2,191
Percent of Open Interest Represented by Each Category of Trader
5.5 19.0 4.0 47.1 27.7 8.3 10.2 17.7 5.0 3.7 4.0 0.3 16.1 14.0
Number of Traders in Each Category Total Traders: 504
31 49 26 110 66 59 80 106 55 26 36 8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE (S&P 500 INDEX X $250.00)
CFTC Code #138741 Open Interest is 242,649
Positions
15,779 82,653 1,492 105,994 49,577 11,914 35,865 22,943 1,489 4,015 13,441 611 65,490 58,529
Changes from: December 20, 2011 Total Change is: 9,520
5,866 8,755 30 -735 -726 32 10,075 1,370 -30 -1,054 191 100 -4,764 -202
Percent of Open Interest Represented by Each Category of Trader
6.5 34.1 0.6 43.7 20.4 4.9 14.8 9.5 0.6 1.7 5.5 0.3 27.0 24.1
Number of Traders in Each Category Total Traders: 99
8 15 5 23 14 11 15 18 8 . 4 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE ($50 X S&P 500 INDEX)
CFTC Code #13874A Open Interest is 2,610,560
Positions
228,118 412,334 46,760 1,298,131 839,875 227,908 352,216 705,306 39,832 121,167 84,849 9,539 286,889 244,157
Changes from: December 20, 2011 Total Change is: 49,252
11,442 36,296 6,080 37,536 -36,954 2,955 -10,175 50,297 -345 10,807 1,317 -451 -8,597 -9,943
Percent of Open Interest Represented by Each Category of Trader
8.7 15.8 1.8 49.7 32.2 8.7 13.5 27.0 1.5 4.6 3.3 0.4 11.0 9.4
Number of Traders in Each Category Total Traders: 482
36 43 18 101 60 54 80 103 48 25 34 7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE (S&P 400 INDEX X $100)
CFTC Code #33874A Open Interest is 105,902
Positions
25,717 11,537 0 53,943 64,935 9,800 6,654 10,314 9 1,681 4,838 0 8,098 4,469
Changes from: December 20, 2011 Total Change is: -1,007
-3,477 1,858 0 2,340 -1,425 -123 908 -2,115 -23 0 371 0 -632 450
Percent of Open Interest Represented by Each Category of Trader
24.3 10.9 0.0 50.9 61.3 9.3 6.3 9.7 0.0 1.6 4.6 0.0 7.6 4.2
Number of Traders in Each Category Total Traders: 89
12 8 0 30 14 14 9 10 . . 4 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 INDEX X $100)
CFTC Code #20974+ Open Interest is 51,197
Positions
8,063 24,905 156 20,320 9,552 1,495 12,481 8,222 987 1,990 3,290 0 5,704 2,588
Changes from: December 20, 2011 Total Change is: 32
-738 -61 -28 104 -417 223 -581 -522 592 217 315 0 243 -70
Percent of Open Interest Represented by Each Category of Trader
15.7 48.6 0.3 39.7 18.7 2.9 24.4 16.1 1.9 3.9 6.4 0.0 11.1 5.1
Number of Traders in Each Category Total Traders: 192
20 25 . 28 20 9 36 38 6 12 13 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 STOCK INDEX X $20)
CFTC Code #209742 Open Interest is 255,983
Positions
40,313 124,526 781 101,602 47,762 7,477 62,405 41,110 4,935 9,952 16,450 0 28,518 12,942
Changes from: December 20, 2011 Total Change is: 158
-3,692 -304 -139 519 -2,086 1,113 -2,905 -2,611 2,961 1,084 1,574 0 1,217 -350
Percent of Open Interest Represented by Each Category of Trader
15.7 48.6 0.3 39.7 18.7 2.9 24.4 16.1 1.9 3.9 6.4 0.0 11.1 5.1
Number of Traders in Each Category Total Traders: 192
20 25 . 28 20 9 36 38 6 12 13 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S. (RUSSELL 2000 INDEX X $100.00)
CFTC Code #23977A Open Interest is 408,746
Positions
196,812 24,217 12,100 115,763 214,590 26,707 37,338 97,439 1,185 3,272 17,514 113 15,456 14,881
Changes from: December 20, 2011 Total Change is: -7,861
-10,606 2,303 -1,543 4,250 -2,686 545 -76 -7,157 -84 -816 182 -400 869 979
Percent of Open Interest Represented by Each Category of Trader
48.2 5.9 3.0 28.3 52.5 6.5 9.1 23.8 0.3 0.8 4.3 0.0 3.8 3.6
Number of Traders in Each Category Total Traders: 221
21 11 . 45 46 25 25 54 5 4 15 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE (NIKKEI INDEX X $5.00)
CFTC Code #240741 Open Interest is 23,104
Positions
5,624 0 0 7,057 734 32 3,716 7,937 3 817 4,231 0 5,855 10,167
Changes from: December 20, 2011 Total Change is: 768
1 0 0 54 0 -50 161 27 0 817 0 0 -215 791
Percent of Open Interest Represented by Each Category of Trader
24.3 0.0 0.0 30.5 3.2 0.1 16.1 34.4 0.0 3.5 18.3 0.0 25.3 44.0
Number of Traders in Each Category Total Traders: 35
6 0 0 9 . . 6 8 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE (NIKKEI INDEX X JPY 500)
CFTC Code #240743 Open Interest is 35,756
Positions
13,250 6,949 732 5,997 4,324 719 6,282 2,914 1,616 1,626 0 0 5,534 18,502
Changes from: December 20, 2011 Total Change is: 3,256
2,036 -861 -172 409 -95 176 -92 -551 416 243 -238 0 240 4,581
Percent of Open Interest Represented by Each Category of Trader
37.1 19.4 2.0 16.8 12.1 2.0 17.6 8.1 4.5 4.5 0.0 0.0 15.5 51.7
Number of Traders in Each Category Total Traders: 46
11 8 . 5 . . 9 7 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50)
CFTC Code #244041 Open Interest is 42,764
Positions
2,280 3,922 39 28,472 22,355 4,975 3,468 9,307 3 205 0 0 3,322 2,163
Changes from: December 20, 2011 Total Change is: -720
203 649 -26 -102 -3,471 709 -1,184 973 0 0 0 0 -320 446
Percent of Open Interest Represented by Each Category of Trader
5.3 9.2 0.1 66.6 52.3 11.6 8.1 21.8 0.0 0.5 0.0 0.0 7.8 5.1
Number of Traders in Each Category Total Traders: 50
. . . 14 21 10 5 4 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50)
CFTC Code #244042 Open Interest is 63,820
Positions
14,183 22,094 9 30,418 23,630 2,479 7,448 9,755 616 2,222 2,771 750 5,695 1,716
Changes from: December 20, 2011 Total Change is: 670
-570 523 0 1,686 -533 216 -1,206 709 34 32 -373 429 49 -335
Percent of Open Interest Represented by Each Category of Trader
22.2 34.6 0.0 47.7 37.0 3.9 11.7 15.3 1.0 3.5 4.3 1.2 8.9 2.7
Number of Traders in Each Category Total Traders: 67
10 10 . 14 8 6 10 5 . 6 4 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020601 Open Interest is 581,902
Positions
12,810 114,098 1,903 289,091 91,887 91,029 37,649 93,620 2,613 11,561 66,823 4 135,242 119,925
Changes from: December 20, 2011 Total Change is: -17,151
-8,622 -759 189 -8,444 -12,311 484 -1,826 -4,314 -265 2,049 -1,714 4 -720 1,535
Percent of Open Interest Represented by Each Category of Trader
2.2 19.6 0.3 49.7 15.8 15.6 6.5 16.1 0.4 2.0 11.5 0.0 23.2 20.6
Number of Traders in Each Category Total Traders: 139
7 18 5 43 18 33 20 18 7 6 9 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020604 Open Interest is 368,614
Positions
4,875 147,559 2,631 262,414 20,451 34,217 1,912 121,696 1,784 0 1,501 0 60,781 38,775
Changes from: December 20, 2011 Total Change is: 1,329
-1,105 3,033 -189 4,263 270 -78 -30 -410 43 0 1,501 0 -1,575 -2,841
Percent of Open Interest Represented by Each Category of Trader
1.3 40.0 0.7 71.2 5.5 9.3 0.5 33.0 0.5 0.0 0.4 0.0 16.5 10.5
Number of Traders in Each Category Total Traders: 71
. 11 4 38 7 22 . 11 4 0 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $200,000 FACE VALUE)
CFTC Code #042601 Open Interest is 691,704
Positions
92,609 68,881 5,031 132,704 194,613 66,062 237,322 202,829 17,836 32,363 33,818 587 107,190 102,047
Changes from: December 20, 2011 Total Change is: -25,494
21,100 -13,903 -286 -3,238 28,301 -9,860 -19,504 -28,863 -8,711 -3,862 476 0 -1,133 7,352
Percent of Open Interest Represented by Each Category of Trader
13.4 10.0 0.7 19.2 28.1 9.6 34.3 29.3 2.6 4.7 4.9 0.1 15.5 14.8
Number of Traders in Each Category Total Traders: 193
11 22 7 32 43 40 30 34 17 7 14 .
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #043602 Open Interest is 1,475,878
Positions
67,569 141,330 15,406 676,432 568,143 168,396 217,792 184,185 26,276 40,873 84,391 1,535 261,599 286,216
Changes from: December 20, 2011 Total Change is: 11,117
-3,761 12,700 1,211 5,098 -33,974 -2,440 3,335 31,482 -370 18,742 -267 -4,038 -6,660 6,813
Percent of Open Interest Represented by Each Category of Trader
4.6 9.6 1.0 45.8 38.5 11.4 14.8 12.5 1.8 2.8 5.7 0.1 17.7 19.4
Number of Traders in Each Category Total Traders: 214
16 25 12 31 51 44 37 35 19 5 14 .
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #044601 Open Interest is 1,223,689
Positions
58,728 194,791 10,314 343,275 415,186 162,498 225,265 144,140 14,937 211,565 63,343 0 197,107 218,480
Changes from: December 20, 2011 Total Change is: -4,639
-1,268 2,306 4,410 16,732 -19,701 212 5,861 21,892 -14,119 -2,081 -1,960 0 -14,386 2,321
Percent of Open Interest Represented by Each Category of Trader
4.8 15.9 0.8 28.1 33.9 13.3 18.4 11.8 1.2 17.3 5.2 0.0 16.1 17.9
Number of Traders in Each Category Total Traders: 170
8 29 8 24 36 38 27 27 12 8 11 0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $5,000,000)
CFTC Code #045601 Open Interest is 575,653
Positions
201,802 265,864 169,805 3,482 3,667 2,877 103,883 35,837 45,530 12,778 6,808 8,883 26,613 36,382
Changes from: December 20, 2011 Total Change is: 9,737
7,862 14,552 -3,954 216 0 -216 7,825 416 -1,024 -22 0 493 -1,443 -530
Percent of Open Interest Represented by Each Category of Trader
35.1 46.2 29.5 0.6 0.6 0.5 18.0 6.2 7.9 2.2 1.2 1.5 4.6 6.3
Number of Traders in Each Category Total Traders: 106
23 27 39 . . . 24 14 20 . 5 .
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF $1,000,000)
CFTC Code #132741 Open Interest is 7,467,044
Positions
1,210,374 2,114,388 1,713,134 1,583,425 57,195 128,689 507,833 538,058 1,377,435 89,428 412,073 158,000 698,726 968,072
Changes from: December 20, 2011 Total Change is: -93,222
-13,315 -97,532 52,052 -78,730 -1,635 7,086 -2,866 -56,219 -806 619 11,951 912 -58,174 -9,031
Percent of Open Interest Represented by Each Category of Trader
16.2 28.3 22.9 21.2 0.8 1.7 6.8 7.2 18.4 1.2 5.5 2.1 9.4 13.0
Number of Traders in Each Category Total Traders: 230
25 56 76 9 5 12 40 55 75 7 15 16
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #246602 Open Interest is 10,483
Positions
6,492 3,164 0 1,503 783 11 996 6,246 25 1,208 160 0 248 94
Changes from: December 20, 2011 Total Change is: 19
0 131 0 4 2 0 -1 -129 0 10 0 0 6 15
Percent of Open Interest Represented by Each Category of Trader
61.9 30.2 0.0 14.3 7.5 0.1 9.5 59.6 0.2 11.5 1.5 0.0 2.4 0.9
Number of Traders in Each Category Total Traders: 28
. . 0 . 4 . 4 10 . . . 0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #247602 Open Interest is 11,939
Positions
9,151 6,605 0 1,363 1,793 0 1,026 3,047 0 40 305 0 359 189
Changes from: December 20, 2011 Total Change is: -476
-200 -86 0 -4 -93 0 -191 -260 0 -30 0 0 -51 -37
Percent of Open Interest Represented by Each Category of Trader
76.6 55.3 0.0 11.4 15.0 0.0 8.6 25.5 0.0 0.3 2.6 0.0 3.0 1.6
Number of Traders in Each Category Total Traders: 31
4 5 0 . 4 0 8 6 0 . . 0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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U.S. DOLLAR INDEX - ICE FUTURES U.S. (U.S. DOLLAR INDEX X $1000)
CFTC Code #098662 Open Interest is 64,646
Positions
22,417 31,605 0 6,166 285 296 23,262 30,050 501 5,640 210 0 6,364 1,699
Changes from: December 20, 2011 Total Change is: -2,416
-1,156 409 0 102 0 -2 803 -3,071 1 700 62 -7 -2,857 192
Percent of Open Interest Represented by Each Category of Trader
34.7 48.9 0.0 9.5 0.4 0.5 36.0 46.5 0.8 8.7 0.3 0.0 9.8 2.6
Number of Traders in Each Category Total Traders: 108
4 7 0 8 . . 48 11 . 26 . 0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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VIX FUTURES - CBOE FUTURES EXCHANGE ($1000 X INDEX)
CFTC Code #1170E1 Open Interest is 127,438
Positions
32,402 25,648 34,904 8,428 1,419 1,202 9,521 22,442 11,958 1,406 1,451 15,016 12,601 13,398
Changes from: December 20, 2011 Total Change is: -29,554
-6,399 -11,985 -9,142 -710 181 -310 -6,194 -2,328 -4,096 945 -418 -492 -3,156 -964
Percent of Open Interest Represented by Each Category of Trader
25.4 20.1 27.4 6.6 1.1 0.9 7.5 17.6 9.4 1.1 1.1 11.8 9.9 10.5
Number of Traders in Each Category Total Traders: 70
9 8 12 9 . 4 15 14 15 4 4 5
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE ($100 X INDEX)
CFTC Code #221602 Open Interest is 16,062
Positions
11,793 0 0 1,463 1,456 90 1,913 2,748 168 0 11,165 427 208 8
Changes from: December 20, 2011 Total Change is: -152
8,612 -27 -83 -30 56 0 -8,837 -31 -52 0 -250 250 -12 -15
Percent of Open Interest Represented by Each Category of Trader
73.4 0.0 0.0 9.1 9.1 0.6 11.9 17.1 1.0 0.0 69.5 2.7 1.3 0.0
Number of Traders in Each Category Total Traders: 24
4 0 0 . 4 . 5 5 . 0 . .
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Updated December 30, 2011