VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($1000 X INDEX) :
: : :
All : 149,240: 19,383 24,678 40,834 73,166 70,484 133,383 135,996: 15,857 13,244
Old : 149,240: 19,383 24,678 40,834 73,166 70,484 133,383 135,996: 15,857 13,244
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: September 20, 2011 :
: -29,724: 2,233 -10,694 -4,076 -27,436 -11,281 -29,279 -26,051: -445 -3,673
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 13.0 16.5 27.4 49.0 47.2 89.4 91.1: 10.6 8.9
Old : 100.0: 13.0 16.5 27.4 49.0 47.2 89.4 91.1: 10.6 8.9
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 : 98: 30 24 48 24 26 86 82:
Old : 98: 30 24 48 24 26 86 82:
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 : 35.2 32.8 45.4 47.1 18.4 23.2 23.6 29.3
Old : 35.2 32.8 45.4 47.1 18.4 23.2 23.6 29.3
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated September 30, 2011