VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
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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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: : ($1000 X INDEX) :
: : :
All : 127,438: 11,459 22,083 31,714 71,664 60,243 114,837 114,040: 12,601 13,398
Old : 127,438: 11,459 22,083 31,714 71,664 60,243 114,837 114,040: 12,601 13,398
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -29,554: -5,018 -1,539 -3,385 -17,995 -23,666 -26,398 -28,590: -3,156 -964
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 9.0 17.3 24.9 56.2 47.3 90.1 89.5: 9.9 10.5
Old : 100.0: 9.0 17.3 24.9 56.2 47.3 90.1 89.5: 9.9 10.5
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 : 70: 23 18 20 22 19 58 48:
Old : 70: 23 18 20 22 19 58 48:
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 : 41.5 36.2 56.2 52.8 24.7 18.3 29.0 28.3
Old : 41.5 36.2 56.2 52.8 24.7 18.3 29.0 28.3
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated December 30, 2011