Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 162,858 Positions 41,873 20,429 19,716 19,860 34,913 449 31,911 48,879 10,122 8,660 1,470 1,028 29,240 25,852 Changes from: November 29, 2011 Total Change is: 7,270 -653 3,972 7,804 -1,033 -302 -71 1,441 -5,457 561 -1,166 282 96 290 384 Percent of Open Interest Represented by Each Category of Trader 25.7 12.5 12.1 12.2 21.4 0.3 19.6 30.0 6.2 5.3 0.9 0.6 18.0 15.9 Number of Traders in Each Category Total Traders: 77 9 12 13 5 4 . 16 18 14 10 . 4 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 49,521 Positions 17,689 6,609 4,014 999 907 203 14,638 15,584 3,120 0 464 0 8,858 18,620 Changes from: November 29, 2011 Total Change is: 5,976 4,738 520 806 130 -419 -14 -119 1,918 345 0 464 0 90 2,356 Percent of Open Interest Represented by Each Category of Trader 35.7 13.3 8.1 2.0 1.8 0.4 29.6 31.5 6.3 0.0 0.9 0.0 17.9 37.6 Number of Traders in Each Category Total Traders: 43 7 9 8 . . . 5 18 9 0 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 217,598 Positions 155,211 3,704 4,688 8,255 79,656 3,084 23,353 87,215 4,258 4,308 2,956 173 14,267 31,863 Changes from: November 29, 2011 Total Change is: 18,640 15,154 1,366 555 424 8,518 359 1,661 7,612 -276 744 39 -221 239 687 Percent of Open Interest Represented by Each Category of Trader 71.3 1.7 2.2 3.8 36.6 1.4 10.7 40.1 2.0 2.0 1.4 0.1 6.6 14.6 Number of Traders in Each Category Total Traders: 94 15 6 11 5 16 4 15 28 14 6 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 189,968 Positions 19,514 116,567 15,038 63,230 10,281 1,474 64,868 12,445 3,866 1,285 2,172 195 20,499 27,930 Changes from: November 29, 2011 Total Change is: 11,189 -449 4,470 7,872 2,257 772 -88 3,455 -1,456 -568 65 504 -9 -1,347 -307 Percent of Open Interest Represented by Each Category of Trader 10.3 61.4 7.9 33.3 5.4 0.8 34.1 6.6 2.0 0.7 1.1 0.1 10.8 14.7 Number of Traders in Each Category Total Traders: 94 7 12 13 8 9 7 23 24 18 . 8 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 339,915 Positions 99,443 59,636 20,205 56,380 33,875 5,012 65,278 99,143 38,479 14,086 12,050 7,011 34,022 64,504 Changes from: November 29, 2011 Total Change is: 5,696 -1,039 2,740 6,797 -8,051 199 1,574 -3,535 -3,519 1,882 8,001 1,770 1,183 -1,115 -6,930 Percent of Open Interest Represented by Each Category of Trader 29.3 17.5 5.9 16.6 10.0 1.5 19.2 29.2 11.3 4.1 3.5 2.1 10.0 19.0 Number of Traders in Each Category Total Traders: 199 22 17 16 17 25 15 27 59 39 9 23 17 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 155,487 Positions 50,383 45,531 10,755 2,572 41,759 1,058 53,523 24,560 10,064 6,596 1,651 924 19,612 19,186 Changes from: November 29, 2011 Total Change is: 18,232 -9,749 5,351 5,582 191 2,983 -12 13,973 5,957 3,590 4,472 253 22 164 -5,493 Percent of Open Interest Represented by Each Category of Trader 32.4 29.3 6.9 1.7 26.9 0.7 34.4 15.8 6.5 4.2 1.1 0.6 12.6 12.3 Number of Traders in Each Category Total Traders: 84 13 11 13 . 7 4 15 28 19 6 . 4 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 114,375 Positions 64,814 58,782 41,023 0 0 0 4,903 11,588 1,289 0 0 0 2,345 1,692 Changes from: November 29, 2011 Total Change is: 2,820 -3,442 -2,470 4,180 0 0 0 160 -130 130 0 0 0 1,792 1,110 Percent of Open Interest Represented by Each Category of Trader 56.7 51.4 35.9 0.0 0.0 0.0 4.3 10.1 1.1 0.0 0.0 0.0 2.1 1.5 Number of Traders in Each Category Total Traders: 21 7 10 14 0 0 0 . . . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 130,231 Positions 70,953 49,417 11,576 18,895 2,227 620 17,946 49,640 6,714 598 3,612 336 2,593 6,089 Changes from: November 29, 2011 Total Change is: 9,337 819 10,692 -2,243 682 -883 -172 11,802 2,366 -856 -886 407 336 -145 -310 Percent of Open Interest Represented by Each Category of Trader 54.5 37.9 8.9 14.5 1.7 0.5 13.8 38.1 5.2 0.5 2.8 0.3 2.0 4.7 Number of Traders in Each Category Total Traders: 87 9 11 4 6 5 . 16 28 5 . 6 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 27,597 Positions 15,860 17,626 204 0 294 0 9,723 6,607 170 165 485 0 1,475 2,211 Changes from: November 29, 2011 Total Change is: -680 -472 871 181 0 -69 0 -296 -1,664 162 -290 -7 0 35 -154 Percent of Open Interest Represented by Each Category of Trader 57.5 63.9 0.7 0.0 1.1 0.0 35.2 23.9 0.6 0.6 1.8 0.0 5.3 8.0 Number of Traders in Each Category Total Traders: 42 8 9 . 0 . 0 6 14 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 68,692 Positions 23,332 34,917 8,911 3,807 2,814 362 15,712 6,090 4,138 2,110 1,131 2,427 7,894 7,903 Changes from: November 29, 2011 Total Change is: 7,156 -175 7,284 1,212 845 -147 -218 5,331 -1,448 -578 -57 388 54 741 608 Percent of Open Interest Represented by Each Category of Trader 34.0 50.8 13.0 5.5 4.1 0.5 22.9 8.9 6.0 3.1 1.6 3.5 11.5 11.5 Number of Traders in Each Category Total Traders: 94 21 17 9 6 7 . 21 13 10 4 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 18,747 Positions 13,377 12,612 265 597 292 0 1,065 2,455 50 1,344 0 390 1,659 2,683 Changes from: November 29, 2011 Total Change is: 1,032 1,000 981 0 -20 0 0 -3 20 5 0 0 10 40 16 Percent of Open Interest Represented by Each Category of Trader 71.4 67.3 1.4 3.2 1.6 0.0 5.7 13.1 0.3 7.2 0.0 2.1 8.8 14.3 Number of Traders in Each Category Total Traders: 20 8 4 . . . 0 . . . . 0 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 99,890 Positions 36,172 60,871 1,030 6,419 5,043 724 35,225 13,201 2,244 4,221 4,950 1,385 12,470 10,441 Changes from: November 29, 2011 Total Change is: 12,248 -497 14,457 571 1,730 -293 -435 9,617 -3,987 -115 -114 777 89 1,401 1,184 Percent of Open Interest Represented by Each Category of Trader 36.2 60.9 1.0 6.4 5.0 0.7 35.3 13.2 2.2 4.2 5.0 1.4 12.5 10.5 Number of Traders in Each Category Total Traders: 92 21 17 4 5 6 . 23 12 7 4 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 1,075,940 Positions 91,689 166,074 108,990 348,153 199,803 71,034 88,888 148,200 179,677 15,840 41,396 28,641 143,028 132,126 Changes from: November 29, 2011 Total Change is: 34,676 -3,671 35,352 11,914 -7,910 -13,427 -106 15,573 -22,267 16,247 -2,756 2,411 -733 6,119 5,285 Percent of Open Interest Represented by Each Category of Trader 8.5 15.4 10.1 32.4 18.6 6.6 8.3 13.8 16.7 1.5 3.8 2.7 13.3 12.3 Number of Traders in Each Category Total Traders: 578 32 57 43 111 73 74 90 132 109 32 51 34 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 410,432 Positions 56,218 107,365 25,310 99,941 42,730 14,324 40,511 66,272 62,991 2,712 13,683 14,759 93,667 63,000 Changes from: November 29, 2011 Total Change is: 30,669 5,170 31,796 1,226 -3,919 -2,498 -1,796 8,915 -2,225 6,614 -3,343 -669 2,124 15,677 -3,904 Percent of Open Interest Represented by Each Category of Trader 13.7 26.2 6.2 24.4 10.4 3.5 9.9 16.1 15.3 0.7 3.3 3.6 22.8 15.3 Number of Traders in Each Category Total Traders: 138 13 15 13 25 15 16 19 36 45 4 11 12 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 3,327,538 Positions 456,914 573,104 138,842 1,267,887 812,192 256,723 504,738 672,491 320,580 80,003 152,931 55,046 246,805 345,630 Changes from: November 29, 2011 Total Change is: 20,034 -38,481 23,504 47,716 -16,284 -50,972 4,779 46,703 -86,799 34,750 -8,118 4,349 -3,236 -47,794 45,944 Percent of Open Interest Represented by Each Category of Trader 13.7 17.2 4.2 38.1 24.4 7.7 15.2 20.2 9.6 2.4 4.6 1.7 7.4 10.4 Number of Traders in Each Category Total Traders: 538 35 52 35 99 68 66 89 122 96 30 43 27 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 117,168 Positions 26,155 19,686 1 49,040 61,165 9,941 18,789 14,577 36 1,640 6,715 25 11,542 5,023 Changes from: November 29, 2011 Total Change is: -2,836 -4,663 1,174 0 -1,421 -4,868 2,049 -660 -673 25 238 -27 25 1,571 -541 Percent of Open Interest Represented by Each Category of Trader 22.3 16.8 0.0 41.9 52.2 8.5 16.0 12.4 0.0 1.4 5.7 0.0 9.9 4.3 Number of Traders in Each Category Total Traders: 88 10 10 . 31 13 13 9 10 . . . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 95,173 Positions 20,964 38,138 11,004 20,814 9,386 1,239 15,448 9,367 5,678 995 4,022 218 18,812 16,121 Changes from: November 29, 2011 Total Change is: 6,078 -2,942 1,235 4,042 2,367 -329 -451 2,441 2,269 -293 113 5 25 775 -426 Percent of Open Interest Represented by Each Category of Trader 22.0 40.1 11.6 21.9 9.9 1.3 16.2 9.8 6.0 1.0 4.2 0.2 19.8 16.9 Number of Traders in Each Category Total Traders: 210 21 28 14 30 20 12 47 40 22 9 15 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 29,891 Positions 12,697 22,250 122 0 300 0 2,981 4,000 0 0 2,112 50 14,041 1,057 Changes from: November 29, 2011 Total Change is: 814 -1 0 102 0 0 0 981 984 0 0 0 0 -268 -272 Percent of Open Interest Represented by Each Category of Trader 42.5 74.4 0.4 0.0 1.0 0.0 10.0 13.4 0.0 0.0 7.1 0.2 47.0 3.5 Number of Traders in Each Category Total Traders: 24 8 8 . 0 . 0 . . 0 0 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 326,410 Positions 90,686 128,790 5,061 104,071 45,428 6,195 86,694 51,196 4,029 4,977 9,550 841 23,857 75,320 Changes from: November 29, 2011 Total Change is: 26,319 2,200 23,079 2,799 11,836 -1,647 -2,254 7,973 7,101 -2,140 565 26 125 5,215 -769 Percent of Open Interest Represented by Each Category of Trader 27.8 39.5 1.6 31.9 13.9 1.9 26.6 15.7 1.2 1.5 2.9 0.3 7.3 23.1 Number of Traders in Each Category Total Traders: 209 23 25 11 30 20 12 47 40 18 9 15 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 446,543 Positions 215,437 32,270 24,688 104,902 208,671 30,230 47,961 102,809 4,093 1,625 23,988 202 17,405 19,591 Changes from: November 29, 2011 Total Change is: -26,340 -29,819 -229 -2,917 -4,972 -8,557 1,321 7,676 -16,918 -887 10 -135 -306 3,553 2,287 Percent of Open Interest Represented by Each Category of Trader 48.2 7.2 5.5 23.5 46.7 6.8 10.7 23.0 0.9 0.4 5.4 0.0 3.9 4.4 Number of Traders in Each Category Total Traders: 234 25 10 8 41 49 25 29 59 17 . 18 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 30,676 Positions 9,325 2,066 1,071 7,491 2,748 82 4,667 3,745 1,514 216 4,976 0 6,310 14,474 Changes from: November 29, 2011 Total Change is: 2,357 1,227 106 1,001 232 29 0 -1,263 -540 1,405 0 0 0 -245 356 Percent of Open Interest Represented by Each Category of Trader 30.4 6.7 3.5 24.4 9.0 0.3 15.2 12.2 4.9 0.7 16.2 0.0 20.6 47.2 Number of Traders in Each Category Total Traders: 44 10 . . 8 5 . 9 6 5 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 50,054 Positions 20,778 7,190 4,569 7,731 2,687 2,234 3,260 7,870 1,618 3,209 80 220 6,435 23,586 Changes from: November 29, 2011 Total Change is: 827 -574 -2,270 2,958 -1,223 -759 -17 665 -1,351 322 286 80 220 -1,810 1,644 Percent of Open Interest Represented by Each Category of Trader 41.5 14.4 9.1 15.4 5.4 4.5 6.5 15.7 3.2 6.4 0.2 0.4 12.9 47.1 Number of Traders in Each Category Total Traders: 66 24 10 8 7 . . 6 12 4 4 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 44,172 Positions 3,785 3,153 233 28,936 22,743 4,326 3,000 11,435 4 0 0 0 3,888 2,278 Changes from: November 29, 2011 Total Change is: -586 -739 1,366 74 -1,301 -3,730 -85 802 2,093 0 0 0 0 663 -304 Percent of Open Interest Represented by Each Category of Trader 8.6 7.1 0.5 65.5 51.5 9.8 6.8 25.9 0.0 0.0 0.0 0.0 8.8 5.2 Number of Traders in Each Category Total Traders: 51 . 4 . 15 19 10 5 7 . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 66,773 Positions 14,896 22,613 96 27,980 25,141 1,983 8,673 5,855 1,701 2,173 2,727 1,421 7,850 5,236 Changes from: November 29, 2011 Total Change is: 1,952 -2,219 -3,038 54 2,767 -1,099 -1,165 -1,466 2,499 1,157 -61 -85 514 2,371 3,115 Percent of Open Interest Represented by Each Category of Trader 22.3 33.9 0.1 41.9 37.7 3.0 13.0 8.8 2.5 3.3 4.1 2.1 11.8 7.8 Number of Traders in Each Category Total Traders: 67 12 10 . 12 9 5 11 4 . 6 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 663,813 Positions 20,038 94,025 32,033 277,389 107,351 96,421 39,506 91,024 33,303 10,289 60,804 9,298 145,535 139,553 Changes from: November 29, 2011 Total Change is: -67,829 10,680 -7,680 -20,174 -27,735 11,626 7,132 -7,369 -32,966 -14,916 2,532 -2,134 -9,245 -8,734 527 Percent of Open Interest Represented by Each Category of Trader 3.0 14.2 4.8 41.8 16.2 14.5 6.0 13.7 5.0 1.6 9.2 1.4 21.9 21.0 Number of Traders in Each Category Total Traders: 144 10 16 23 40 22 37 26 19 29 4 7 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 405,841 Positions 5,119 161,013 8,249 273,236 15,687 40,571 1,837 126,352 13,611 0 0 0 63,218 40,358 Changes from: November 29, 2011 Total Change is: 29 -209 -15,375 3,889 -4,765 4,647 5,183 -2,016 3,376 3,084 0 0 0 -5,138 -4,776 Percent of Open Interest Represented by Each Category of Trader 1.3 39.7 2.0 67.3 3.9 10.0 0.5 31.1 3.4 0.0 0.0 0.0 15.6 9.9 Number of Traders in Each Category Total Traders: 72 . 13 6 37 7 21 . 12 5 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 675,850 Positions 75,066 66,080 16,036 137,104 176,213 68,555 207,382 180,078 32,804 35,775 31,265 587 102,540 104,232 Changes from: November 29, 2011 Total Change is: -70,882 8,006 942 -5,471 24 -29,401 -7,770 -13,178 -4,672 -30,440 -12,788 3,309 7 -9,272 2,614 Percent of Open Interest Represented by Each Category of Trader 11.1 9.8 2.4 20.3 26.1 10.1 30.7 26.6 4.9 5.3 4.6 0.1 15.2 15.4 Number of Traders in Each Category Total Traders: 194 12 23 9 30 45 39 31 34 23 7 12 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE) CFTC Code #043602 Open Interest is 1,635,274 Positions 67,464 109,084 98,691 532,685 560,612 200,835 180,788 82,001 178,431 59,339 79,390 26,239 290,801 299,991 Changes from: November 29, 2011 Total Change is: -134,274 -13,271 -33,839 144 -32,958 98 14,850 -7,029 -38,001 -60,188 -11,192 7,096 -11,432 -13,198 -13,002 Percent of Open Interest Represented by Each Category of Trader 4.1 6.7 6.0 32.6 34.3 12.3 11.1 5.0 10.9 3.6 4.9 1.6 17.8 18.3 Number of Traders in Each Category Total Traders: 227 16 26 34 35 49 52 42 39 57 7 13 8 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- 5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE) CFTC Code #044601 Open Interest is 1,339,143 Positions 75,350 120,271 66,083 354,198 452,267 152,037 168,929 145,878 102,473 192,278 61,805 10,631 217,165 227,698 Changes from: November 29, 2011 Total Change is: -86,549 -24,976 2,592 6,312 -12,897 21,797 -15,689 -43,905 -86,943 11,069 -1,055 -2,617 196 -5,604 -23,265 Percent of Open Interest Represented by Each Category of Trader 5.6 9.0 4.9 26.4 33.8 11.4 12.6 10.9 7.7 14.4 4.6 0.8 16.2 17.0 Number of Traders in Each Category Total Traders: 169 8 26 22 24 40 41 28 25 24 7 11 4 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- 30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $5,000,000) CFTC Code #045601 Open Interest is 702,510 Positions 204,771 242,233 188,864 3,516 3,667 3,570 69,411 35,370 148,847 24,648 6,596 27,897 30,986 45,465 Changes from: November 29, 2011 Total Change is: -82,282 -25,174 -17,506 -10,819 -482 -1,399 0 -4,348 -16,933 -34,511 -2,189 -9 -2,222 -2,537 1,117 Percent of Open Interest Represented by Each Category of Trader 29.1 34.5 26.9 0.5 0.5 0.5 9.9 5.0 21.2 3.5 0.9 4.0 4.4 6.5 Number of Traders in Each Category Total Traders: 115 26 27 42 . . . 23 19 35 . 8 6 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- 3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF $1,000,000) CFTC Code #132741 Open Interest is14,538,365 Positions 1,530,822 2,635,047 3,222,598 1,989,423 96,357 201,762 448,671 581,221 5,535,246 88,380 446,892 706,394 815,069 1,112,847 Changes from: November 29, 2011 Total Change is: -315,290 -12,868 28,494 -144,019 -76,652 -45,777 4,019 -326 -20,723 -12,581 1,663 37,727 -30,313 -44,213 -132,119 Percent of Open Interest Represented by Each Category of Trader 10.5 18.1 22.2 13.7 0.7 1.4 3.1 4.0 38.1 0.6 3.1 4.9 5.6 7.7 Number of Traders in Each Category Total Traders: 275 35 56 87 12 13 21 47 73 114 10 18 23 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000) CFTC Code #246602 Open Interest is 11,027 Positions 6,294 3,567 0 1,535 832 7 1,032 5,597 756 1,134 160 0 269 108 Changes from: November 29, 2011 Total Change is: -610 846 -217 0 -321 -2 0 -1,561 -832 469 -40 0 0 -3 -28 Percent of Open Interest Represented by Each Category of Trader 57.1 32.3 0.0 13.9 7.5 0.1 9.4 50.8 6.9 10.3 1.5 0.0 2.4 1.0 Number of Traders in Each Category Total Traders: 28 . 4 0 . 4 . 4 9 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000) CFTC Code #247602 Open Interest is 13,769 Positions 11,084 6,772 190 1,367 2,085 0 680 4,220 0 40 305 0 408 197 Changes from: November 29, 2011 Total Change is: -1,803 -1,449 -509 190 17 -376 0 21 -475 -595 0 -35 0 13 -3 Percent of Open Interest Represented by Each Category of Trader 80.5 49.2 1.4 9.9 15.1 0.0 4.9 30.6 0.0 0.3 2.2 0.0 3.0 1.4 Number of Traders in Each Category Total Traders: 29 4 5 . . 5 0 4 7 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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. DOLLAR INDEX - ICE FUTURES U.S. (U.S. DOLLAR INDEX X $1000) CFTC Code #098662 Open Interest is 58,532 Positions 18,262 45,795 551 4,761 308 340 22,033 7,693 1,879 4,189 212 4 6,514 1,751 Changes from: November 29, 2011 Total Change is: -1,091 147 110 -8 -619 0 -35 750 -653 307 -790 -171 -22 -822 -620 Percent of Open Interest Represented by Each Category of Trader 31.2 78.2 0.9 8.1 0.5 0.6 37.6 13.1 3.2 7.2 0.4 0.0 11.1 3.0 Number of Traders in Each Category Total Traders: 106 4 6 . 6 . . 44 13 11 26 5 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- VIX FUTURES - CBOE FUTURES EXCHANGE ($1000 X INDEX) CFTC Code #1170E1 Open Interest is 148,494 Positions 38,832 47,137 39,313 9,014 776 1,229 14,380 19,107 17,263 1,430 369 11,782 15,251 11,518 Changes from: November 29, 2011 Total Change is: 9,885 770 -3,544 6,971 1,157 276 -480 463 8,306 -853 -160 -2,976 2,112 -95 73 Percent of Open Interest Represented by Each Category of Trader 26.2 31.7 26.5 6.1 0.5 0.8 9.7 12.9 11.6 1.0 0.2 7.9 10.3 7.8 Number of Traders in Each Category Total Traders: 82 12 8 15 12 . 5 19 17 23 4 4 6 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of December 6, 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 UBS EXCESS RETURN - CHICAGO BOARD OF TRADE ($100 X INDEX) CFTC Code #221602 Open Interest is 16,882 Positions 3,081 188 0 1,796 1,471 90 10,752 2,780 71 0 11,369 904 188 9 Changes from: November 29, 2011 Total Change is: 940 39 188 0 -52 -46 90 512 14 0 0 335 359 -8 0 Percent of Open Interest Represented by Each Category of Trader 18.3 1.1 0.0 10.6 8.7 0.5 63.7 16.5 0.4 0.0 67.3 5.4 1.1 0.1 Number of Traders in Each Category Total Traders: 26 4 . 0 4 4 . 5 5 . 0 . . -----------------------------------------------------------------------------------------------------------------------------------------------------------
Updated December 9, 2011