Traders in Financial Futures - Options and Futures Combined Positions as of September 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 100,493
Positions
7,169 13,401 5,776 18,709 5,296 310 11,967 39,990 7,364 11,765 1,269 933 36,500 26,153
Changes from: September 20, 2011 Total Change is: -31,501
1,996 -33,777 -10,655 263 37 -15 -11,181 16,692 -6,613 -381 -818 69 -4,984 3,580
Percent of Open Interest Represented by Each Category of Trader
7.1 13.3 5.7 18.6 5.3 0.3 11.9 39.8 7.3 11.7 1.3 0.9 36.3 26.0
Number of Traders in Each Category Total Traders: 83
7 10 9 5 5 . 15 24 13 15 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 34,139
Positions
3,910 6,818 2,854 1,354 918 129 6,933 2,965 7,695 0 24 50 11,213 12,686
Changes from: September 20, 2011 Total Change is: 3,170
2,205 -1,411 646 175 -6 0 -191 -136 2,584 0 5 0 -2,249 1,489
Percent of Open Interest Represented by Each Category of Trader
11.5 20.0 8.4 4.0 2.7 0.4 20.3 8.7 22.5 0.0 0.1 0.1 32.8 37.2
Number of Traders in Each Category Total Traders: 32
4 7 5 . . . 8 9 11 0 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 163,120
Positions
99,954 2,591 2,989 9,131 32,336 883 29,467 80,974 5,748 1 3,180 180 14,767 34,239
Changes from: September 20, 2011 Total Change is: 12,488
9,505 635 322 671 -331 -8 376 7,292 2,496 -499 -1,534 180 -555 3,436
Percent of Open Interest Represented by Each Category of Trader
61.3 1.6 1.8 5.6 19.8 0.5 18.1 49.6 3.5 0.0 1.9 0.1 9.1 21.0
Number of Traders in Each Category Total Traders: 93
13 8 6 4 15 4 14 34 16 . 4 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 138,521
Positions
2,681 66,036 6,328 37,781 9,373 1,249 55,252 16,206 4,853 1,454 2,517 0 28,923 31,959
Changes from: September 20, 2011 Total Change is: -1,061
1,811 -1,927 362 305 689 26 -1,920 -2,560 412 -466 -38 0 -1,591 1,974
Percent of Open Interest Represented by Each Category of Trader
1.9 47.7 4.6 27.3 6.8 0.9 39.9 11.7 3.5 1.0 1.8 0.0 20.9 23.1
Number of Traders in Each Category Total Traders: 101
4 16 9 11 8 5 31 23 20 . 6 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 271,955
Positions
99,303 10,616 13,447 28,152 38,966 2,719 44,350 88,741 35,209 5,450 10,648 3,452 39,874 68,159
Changes from: September 20, 2011 Total Change is: 21,478
7,424 2,666 942 -2,287 4,340 389 7,830 3,805 5,009 -565 141 432 2,304 3,754
Percent of Open Interest Represented by Each Category of Trader
36.5 3.9 4.9 10.4 14.3 1.0 16.3 32.6 12.9 2.0 3.9 1.3 14.7 25.1
Number of Traders in Each Category Total Traders: 200
28 13 16 15 30 15 22 66 38 9 17 12
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 94,759
Positions
27,895 28,857 4,456 3,509 7,998 320 31,529 23,042 5,031 1,070 0 1,156 19,792 23,898
Changes from: September 20, 2011 Total Change is: 8,094
13,686 -6,229 1,141 272 -797 -5 -4,976 9,096 1,581 17 -53 563 -4,185 2,797
Percent of Open Interest Represented by Each Category of Trader
29.4 30.5 4.7 3.7 8.4 0.3 33.3 24.3 5.3 1.1 0.0 1.2 20.9 25.2
Number of Traders in Each Category Total Traders: 75
12 8 8 . 5 . 21 23 14 4 0 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 87,430
Positions
48,189 44,782 27,401 0 0 0 7,452 12,134 1,203 424 0 0 2,761 1,910
Changes from: September 20, 2011 Total Change is: -12,030
-2,508 -9,786 -2,472 0 0 0 -7,677 -50 -220 0 0 0 847 498
Percent of Open Interest Represented by Each Category of Trader
55.1 51.2 31.3 0.0 0.0 0.0 8.5 13.9 1.4 0.5 0.0 0.0 3.2 2.2
Number of Traders in Each Category Total Traders: 25
7 12 15 0 0 0 . . . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 83,098
Positions
40,606 36,079 0 14,805 3,981 1,615 22,779 31,404 340 994 3,385 0 1,959 6,294
Changes from: September 20, 2011 Total Change is: 7,088
3,149 -22 0 -8,599 1,073 1,615 12,820 5,379 96 -420 -1,359 0 -1,573 306
Percent of Open Interest Represented by Each Category of Trader
48.9 43.4 0.0 17.8 4.8 1.9 27.4 37.8 0.4 1.2 4.1 0.0 2.4 7.6
Number of Traders in Each Category Total Traders: 94
4 12 0 4 5 . 19 38 4 5 7 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF BRL 100,000)
CFTC Code #102741 Open Interest is 34,997
Positions
31,072 16,257 66 200 153 688 2,365 1,693 0 117 15,138 0 489 1,002
Changes from: September 20, 2011 Total Change is: -1,764
-801 -1,858 0 -900 153 688 -233 -760 -3 -205 0 0 -310 16
Percent of Open Interest Represented by Each Category of Trader
88.8 46.5 0.2 0.6 0.4 2.0 6.8 4.8 0.0 0.3 43.3 0.0 1.4 2.9
Number of Traders in Each Category Total Traders: 21
6 4 . . . . . 4 0 . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 23,804
Positions
7,412 15,934 5 457 0 0 13,175 5,588 0 494 278 0 2,261 1,999
Changes from: September 20, 2011 Total Change is: 1,497
5,003 -1,786 3 2 0 0 -2,355 2,510 0 -58 113 0 -1,098 657
Percent of Open Interest Represented by Each Category of Trader
31.1 66.9 0.0 1.9 0.0 0.0 55.3 23.5 0.0 2.1 1.2 0.0 9.5 8.4
Number of Traders in Each Category Total Traders: 38
5 6 . . 0 0 9 12 0 . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 49,836
Positions
23,404 21,530 2,673 3,393 3,650 589 2,830 7,164 6,176 4,502 590 1,501 4,766 5,962
Changes from: September 20, 2011 Total Change is: 15,517
7,879 4,913 2,530 378 421 123 -4,468 452 5,133 1,692 -166 1,230 1,021 881
Percent of Open Interest Represented by Each Category of Trader
47.0 43.2 5.4 6.8 7.3 1.2 5.7 14.4 12.4 9.0 1.2 3.0 9.6 12.0
Number of Traders in Each Category Total Traders: 85
21 12 9 5 8 . 10 20 12 . 5 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 AVERAGE - CHICAGO BOARD OF TRADE ($10 X DJIA INDEX)
CFTC Code #124601 Open Interest is 13,696
Positions
9,276 9,583 0 610 292 0 771 3,047 3 1,577 0 1 1,458 770
Changes from: September 20, 2011 Total Change is: -2,207
325 183 -868 -81 19 0 25 565 -342 846 0 -591 -1,521 -1,173
Percent of Open Interest Represented by Each Category of Trader
67.7 70.0 0.0 4.5 2.1 0.0 5.6 22.2 0.0 11.5 0.0 0.0 10.6 5.6
Number of Traders in Each Category Total Traders: 20
7 5 0 . . 0 . . . . 0 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 72,279
Positions
33,268 28,906 335 5,566 6,715 1,178 11,054 15,170 5,411 8,049 3,379 802 6,616 10,383
Changes from: September 20, 2011 Total Change is: 3,642
2,218 -4,328 48 -465 258 246 -3,542 1,747 3,323 2,429 1,867 260 -875 222
Percent of Open Interest Represented by Each Category of Trader
46.0 40.0 0.5 7.7 9.3 1.6 15.3 21.0 7.5 11.1 4.7 1.1 9.2 14.4
Number of Traders in Each Category Total Traders: 82
20 13 5 4 7 . 10 19 10 . 7 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 1,068,260
Positions
119,929 119,406 50,892 383,455 245,129 64,767 73,736 168,248 176,810 20,348 53,981 31,340 146,984 157,688
Changes from: September 20, 2011 Total Change is: 58,112
9,065 -2,903 3,103 -12,347 30,149 1,586 11,727 -23,725 49,594 1,713 3,611 2,012 -8,342 -5,315
Percent of Open Interest Represented by Each Category of Trader
11.2 11.2 4.8 35.9 22.9 6.1 6.9 15.7 16.6 1.9 5.1 2.9 13.8 14.8
Number of Traders in Each Category Total Traders: 609
30 57 39 109 76 69 77 160 112 30 69 28
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 395,481
Positions
47,951 58,183 19,575 118,393 44,895 12,588 30,264 63,304 73,500 8,489 16,947 14,135 70,586 92,353
Changes from: September 20, 2011 Total Change is: 35,104
14,171 -5,504 1,750 -2,427 486 -231 4,900 21,809 13,417 2,416 -1,197 -564 1,673 5,138
Percent of Open Interest Represented by Each Category of Trader
12.1 14.7 4.9 29.9 11.4 3.2 7.7 16.0 18.6 2.1 4.3 3.6 17.8 23.4
Number of Traders in Each Category Total Traders: 145
12 15 10 29 14 15 23 36 48 7 9 8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 3,363,898
Positions
463,351 409,569 53,127 1,339,489 1,015,350 246,711 378,287 685,650 355,620 79,524 205,398 65,796 381,993 326,678
Changes from: September 20, 2011 Total Change is: 115,040
-32,631 5,901 13,864 -51,779 146,135 11,266 147,800 -114,008 67,227 2,893 30,447 6,475 -50,075 -52,267
Percent of Open Interest Represented by Each Category of Trader
13.8 12.2 1.6 39.8 30.2 7.3 11.2 20.4 10.6 2.4 6.1 2.0 11.4 9.7
Number of Traders in Each Category Total Traders: 563
30 53 33 96 72 61 77 142 95 29 64 25
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 106,332
Positions
18,193 19,214 25 65,812 57,025 5,097 8,769 13,314 34 1,478 6,438 0 6,924 5,185
Changes from: September 20, 2011 Total Change is: 1,454
1,322 -2,908 25 280 3,372 1,884 -1,225 -520 -391 -36 20 0 -405 -29
Percent of Open Interest Represented by Each Category of Trader
17.1 18.1 0.0 61.9 53.6 4.8 8.2 12.5 0.0 1.4 6.1 0.0 6.5 4.9
Number of Traders in Each Category Total Traders: 87
7 10 . 33 14 10 9 11 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 77,888
Positions
24,104 26,857 1,397 19,594 19,964 1,464 16,158 11,535 3,283 987 2,325 412 10,489 10,652
Changes from: September 20, 2011 Total Change is: 15,118
5,709 9,023 1,101 431 -1,693 209 516 -2,490 2,602 -184 -14 167 4,566 6,213
Percent of Open Interest Represented by Each Category of Trader
30.9 34.5 1.8 25.2 25.6 1.9 20.7 14.8 4.2 1.3 3.0 0.5 13.5 13.7
Number of Traders in Each Category Total Traders: 218
26 27 10 28 26 14 43 49 24 8 11 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 INDEX X $100)
CFTC Code #209741 Open Interest is 13,521
Positions
4,386 10,842 20 269 300 0 2,305 243 0 200 0 0 6,341 2,116
Changes from: September 20, 2011 Total Change is: -19,305
-11,939 -4,140 -2,013 -65 300 0 -8,187 -7,152 -63 -167 -507 0 3,129 -5,730
Percent of Open Interest Represented by Each Category of Trader
32.4 80.2 0.1 2.0 2.2 0.0 17.0 1.8 0.0 1.5 0.0 0.0 46.9 15.6
Number of Traders in Each Category Total Traders: 21
7 7 . . . 0 . . 0 . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 321,836
Positions
103,910 85,396 1,561 96,624 98,318 7,321 81,659 68,855 4,019 4,937 12,624 1,062 20,744 42,680
Changes from: September 20, 2011 Total Change is: 7,986
11,936 -3,773 84 811 -9,967 1,043 3,453 -1,270 616 -919 930 -165 -8,872 20,488
Percent of Open Interest Represented by Each Category of Trader
32.3 26.5 0.5 30.0 30.5 2.3 25.4 21.4 1.2 1.5 3.9 0.3 6.4 13.3
Number of Traders in Each Category Total Traders: 217
26 26 7 28 26 14 42 50 21 8 11 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 467,182
Positions
260,299 26,945 17,407 100,192 217,854 41,400 28,946 116,436 3,747 1,482 20,869 90 13,618 22,433
Changes from: September 20, 2011 Total Change is: 13,276
11,724 4,956 2,289 -9,068 -2,302 6,557 3,636 -592 -673 -261 1,221 6 -934 1,814
Percent of Open Interest Represented by Each Category of Trader
55.7 5.8 3.7 21.4 46.6 8.9 6.2 24.9 0.8 0.3 4.5 0.0 2.9 4.8
Number of Traders in Each Category Total Traders: 239
24 11 4 48 52 28 22 65 17 . 14 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 25,772
Positions
6,982 1,750 70 3,684 2,304 198 7,631 4,899 2 436 5,213 0 6,769 11,336
Changes from: September 20, 2011 Total Change is: -668
-841 0 50 -530 710 0 1,473 -1,475 2 -390 699 0 -432 -654
Percent of Open Interest Represented by Each Category of Trader
27.1 6.8 0.3 14.3 8.9 0.8 29.6 19.0 0.0 1.7 20.2 0.0 26.3 44.0
Number of Traders in Each Category Total Traders: 41
10 . . 7 . . 11 4 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 30,635
Positions
11,339 14,349 573 6,612 3,269 339 3,377 7,276 574 1,099 0 0 6,722 4,255
Changes from: September 20, 2011 Total Change is: -909
1,666 1,262 59 -549 633 -317 -3,191 322 360 99 0 0 964 -3,228
Percent of Open Interest Represented by Each Category of Trader
37.0 46.8 1.9 21.6 10.7 1.1 11.0 23.8 1.9 3.6 0.0 0.0 21.9 13.9
Number of Traders in Each Category Total Traders: 58
16 13 . 6 . . . 14 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 43,719
Positions
826 1,756 1,636 28,389 28,014 5,045 4,162 5,705 5 284 0 0 3,372 1,558
Changes from: September 20, 2011 Total Change is: 2,368
444 -433 38 1,427 3,748 456 852 -1,354 0 -973 0 0 124 -87
Percent of Open Interest Represented by Each Category of Trader
1.9 4.0 3.7 64.9 64.1 11.5 9.5 13.0 0.0 0.6 0.0 0.0 7.7 3.6
Number of Traders in Each Category Total Traders: 50
. . . 15 20 9 7 . . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 57,602
Positions
10,748 27,909 2,939 27,831 11,410 1,473 6,198 8,646 637 2,014 1,731 353 5,409 2,504
Changes from: September 20, 2011 Total Change is: 2,169
1,597 6,670 774 410 376 242 -1,067 -5,820 103 157 1,587 192 -239 -1,955
Percent of Open Interest Represented by Each Category of Trader
18.7 48.5 5.1 48.3 19.8 2.6 10.8 15.0 1.1 3.5 3.0 0.6 9.4 4.3
Number of Traders in Each Category Total Traders: 69
12 9 . 17 7 4 11 5 . 6 . .
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Traders in Financial Futures - Options and Futures Combined Positions as of September 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. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020601 Open Interest is 777,245
Positions
8,141 136,537 39,883 345,035 126,768 78,632 42,609 97,414 94,108 7,991 51,893 9,753 151,094 142,256
Changes from: September 20, 2011 Total Change is: -54,650
-3,636 350 -11,725 5,319 -2,060 -3,983 -4,576 -13,508 -23,193 -606 -601 -6,784 -5,468 6,853
Percent of Open Interest Represented by Each Category of Trader
1.0 17.6 5.1 44.4 16.3 10.1 5.5 12.5 12.1 1.0 6.7 1.3 19.4 18.3
Number of Traders in Each Category Total Traders: 159
5 23 19 40 25 37 28 28 33 . 7 6
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Traders in Financial Futures - Options and Futures Combined Positions as of September 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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LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020604 Open Interest is 381,169
Positions
12,573 176,982 2,860 261,192 16,241 25,942 1,893 107,550 3,265 5,142 2,122 0 68,302 46,208
Changes from: September 20, 2011 Total Change is: -1,580
5,717 -1,283 -2,289 -7,593 -1,094 2,080 -135 -1,028 -306 0 88 0 946 2,252
Percent of Open Interest Represented by Each Category of Trader
3.3 46.4 0.8 68.5 4.3 6.8 0.5 28.2 0.9 1.3 0.6 0.0 17.9 12.1
Number of Traders in Each Category Total Traders: 74
. 13 4 36 4 15 . 14 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $200,000 FACE VALUE)
CFTC Code #042601 Open Interest is 812,105
Positions
69,896 84,981 18,889 133,148 224,828 89,315 253,979 140,695 78,263 53,965 50,654 3,904 110,746 120,575
Changes from: September 20, 2011 Total Change is: -18,048
14,992 -24,376 386 1,813 -1,843 -2,459 -35,477 2,788 8,036 -9,893 -1,180 -225 4,779 825
Percent of Open Interest Represented by Each Category of Trader
8.6 10.5 2.3 16.4 27.7 11.0 31.3 17.3 9.6 6.6 6.2 0.5 13.6 14.8
Number of Traders in Each Category Total Traders: 228
14 28 15 32 47 38 35 39 30 9 23 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #043602 Open Interest is 1,816,329
Positions
73,841 170,899 113,856 700,947 541,565 213,465 153,204 175,491 151,156 66,182 90,099 20,855 322,823 338,942
Changes from: September 20, 2011 Total Change is: -91,037
14,396 -43,710 -7,937 -35,411 13,352 -11,399 -10,876 29,049 -51,322 11,937 -9,579 -15,493 15,069 6,002
Percent of Open Interest Represented by Each Category of Trader
4.1 9.4 6.3 38.6 29.8 11.8 8.4 9.7 8.3 3.6 5.0 1.1 17.8 18.7
Number of Traders in Each Category Total Traders: 222
20 23 34 30 57 53 33 40 54 9 10 8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #044601 Open Interest is 1,406,721
Positions
91,248 140,539 57,418 399,032 589,539 113,746 278,355 77,750 82,853 159,668 56,823 28,210 196,191 259,844
Changes from: September 20, 2011 Total Change is: -50,465
-1,465 11,315 -12,252 610 169 -13,150 24,145 -12,912 -26,390 -5,107 -126 985 -17,841 1,895
Percent of Open Interest Represented by Each Category of Trader
6.5 10.0 4.1 28.4 41.9 8.1 19.8 5.5 5.9 11.4 4.0 2.0 13.9 18.5
Number of Traders in Each Category Total Traders: 184
6 31 24 20 47 34 36 28 34 5 11 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $5,000,000)
CFTC Code #045601 Open Interest is 928,889
Positions
273,483 268,884 219,228 4,200 6,226 3,434 51,143 64,895 280,002 20,616 5,767 39,843 36,941 40,610
Changes from: September 20, 2011 Total Change is: -23,397
459 4,028 -11,299 440 867 -40 -941 -3,573 -5,698 811 205 -4,518 -2,611 -3,369
Percent of Open Interest Represented by Each Category of Trader
29.4 28.9 23.6 0.5 0.7 0.4 5.5 7.0 30.1 2.2 0.6 4.3 4.0 4.4
Number of Traders in Each Category Total Traders: 141
36 30 53 . 5 . 22 31 44 . 7 8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF $1,000,000)
CFTC Code #132741 Open Interest is14,597,496
Positions
739,044 3,099,321 3,161,857 2,978,435 125,486 192,279 548,214 622,064 5,191,286 91,447 389,649 918,975 775,960 896,579
Changes from: September 20, 2011 Total Change is: -446,761
53,441 -62,635 19,307 735 3,004 -15,821 -153,915 -40,175 -209,460 3,229 -25,076 -104,670 -39,608 -11,237
Percent of Open Interest Represented by Each Category of Trader
5.1 21.2 21.7 20.4 0.9 1.3 3.8 4.3 35.6 0.6 2.7 6.3 5.3 6.1
Number of Traders in Each Category Total Traders: 286
30 62 89 12 19 25 53 70 114 11 16 23
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Traders in Financial Futures - Options and Futures Combined Positions as of September 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 10YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #246602 Open Interest is 11,384
Positions
4,889 3,273 0 793 846 12 1,750 6,945 9 3,600 240 0 331 59
Changes from: September 20, 2011 Total Change is: 577
1,188 -1,094 0 -40 56 0 -586 1,632 5 -1 0 0 11 -22
Percent of Open Interest Represented by Each Category of Trader
42.9 28.8 0.0 7.0 7.4 0.1 15.4 61.0 0.1 31.6 2.1 0.0 2.9 0.5
Number of Traders in Each Category Total Traders: 30
. 5 0 . 4 . 6 7 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 14,823
Positions
12,472 8,473 0 1,474 1,851 22 512 3,984 0 80 435 0 263 58
Changes from: September 20, 2011 Total Change is: -734
66 -1,614 0 196 65 10 -941 795 0 0 0 0 -65 10
Percent of Open Interest Represented by Each Category of Trader
84.1 57.2 0.0 9.9 12.5 0.1 3.5 26.9 0.0 0.5 2.9 0.0 1.8 0.4
Number of Traders in Each Category Total Traders: 27
. 5 0 . 4 . 5 4 0 . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 69,298
Positions
19,971 53,866 561 2,228 244 664 28,934 9,481 1,596 4,801 748 31 10,512 2,108
Changes from: September 20, 2011 Total Change is: 6,330
2,430 6,438 5 704 -375 -22 -426 -743 748 803 -106 29 2,058 354
Percent of Open Interest Represented by Each Category of Trader
28.8 77.7 0.8 3.2 0.4 1.0 41.8 13.7 2.3 6.9 1.1 0.0 15.2 3.0
Number of Traders in Each Category Total Traders: 116
5 6 . 6 . . 48 12 7 34 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 149,240
Positions
30,543 40,091 39,750 4,115 652 6,338 15,100 12,859 21,415 2,343 1,112 13,779 15,857 13,244
Changes from: September 20, 2011 Total Change is: -29,724
-9,982 -9,221 -7,101 -284 14 -473 -5,634 -4,277 -3,247 -2,345 -1,533 -213 -445 -3,673
Percent of Open Interest Represented by Each Category of Trader
20.5 26.9 26.6 2.8 0.4 4.2 10.1 8.6 14.3 1.6 0.7 9.2 10.6 8.9
Number of Traders in Each Category Total Traders: 98
12 9 16 8 . 10 20 16 29 6 7 15
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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 9,313
Positions
1,760 450 0 1,690 1,061 0 4,606 1,605 490 150 5,501 204 413 2
Changes from: September 20, 2011 Total Change is: -5,068
-1,491 -4,305 -1,634 -160 665 0 217 220 -499 0 2,010 -1,510 9 -15
Percent of Open Interest Represented by Each Category of Trader
18.9 4.8 0.0 18.1 11.4 0.0 49.5 17.2 5.3 1.6 59.1 2.2 4.4 0.0
Number of Traders in Each Category Total Traders: 24
. . 0 4 . 0 6 4 . . . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of September 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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S&P GSCI COMMODITY INDEX - CHICAGO MERCANTILE EXCHANGE (GSCI X $250)
CFTC Code #256741 Open Interest is 9,013
Positions
492 7,277 10 6,287 491 0 1,180 723 0 0 0 0 1,044 512
Changes from: September 20, 2011 Total Change is: .
. . . . . . . . . . . . . .
Percent of Open Interest Represented by Each Category of Trader
5.5 80.7 0.1 69.8 5.4 0.0 13.1 8.0 0.0 0.0 0.0 0.0 11.6 5.7
Number of Traders in Each Category Total Traders: 20
. . . 8 . 0 . . 0 0 0 0
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Updated September 30, 2011