Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF CAD 100,000)
CFTC Code #090741 Open Interest is 125,240
Positions
36,047 2,304 4,701 16,112 35,265 625 25,355 51,163 5,115 9,661 1,562 512 27,113 23,993
Changes from: December 20, 2011 Total Change is: -55,454
19,528 -19,513 -34,960 256 -316 147 -7,738 4,005 -6,168 14 55 33 -26,566 1,263
Percent of Open Interest Represented by Each Category of Trader
28.8 1.8 3.8 12.9 28.2 0.5 20.2 40.9 4.1 7.7 1.2 0.4 21.6 19.2
Number of Traders in Each Category Total Traders: 68
8 4 8 5 5 . 14 16 9 12 4 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
SWISS FRANC - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF CHF 125,000)
CFTC Code #092741 Open Interest is 38,261
Positions
11,399 1,082 747 1,059 856 265 15,163 15,034 1,419 537 0 0 7,672 18,859
Changes from: December 20, 2011 Total Change is: 2,792
1,172 5 -75 60 10 62 1,813 1,186 8 0 0 0 -248 1,596
Percent of Open Interest Represented by Each Category of Trader
29.8 2.8 2.0 2.8 2.2 0.7 39.6 39.3 3.7 1.4 0.0 0.0 20.1 49.3
Number of Traders in Each Category Total Traders: 35
8 . 5 . . . 5 15 6 . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF GBP 62,500)
CFTC Code #096742 Open Interest is 187,839
Positions
128,122 2,050 2,128 8,644 75,330 3,108 25,052 72,007 2,671 3,206 3,351 225 14,682 26,968
Changes from: December 20, 2011 Total Change is: -541
-1,382 265 28 326 -1,955 303 -811 1,935 89 824 52 -30 113 -1,227
Percent of Open Interest Represented by Each Category of Trader
68.2 1.1 1.1 4.6 40.1 1.7 13.3 38.3 1.4 1.7 1.8 0.1 7.8 14.4
Number of Traders in Each Category Total Traders: 85
11 5 10 5 15 4 17 24 11 4 4 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF JPY 12,500,000)
CFTC Code #097741 Open Interest is 140,060
Positions
230 57,504 3,854 65,557 11,276 1,588 48,485 32,918 2,566 1,310 2,578 4 16,465 27,773
Changes from: December 20, 2011 Total Change is: 1,242
4 -4,371 258 955 308 209 1,354 3,100 502 45 -87 -2 -2,083 1,325
Percent of Open Interest Represented by Each Category of Trader
0.2 41.1 2.8 46.8 8.1 1.1 34.6 23.5 1.8 0.9 1.8 0.0 11.8 19.8
Number of Traders in Each Category Total Traders: 81
. 13 7 7 9 6 20 23 15 . 6 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
EURO FX - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF EUR 125,000)
CFTC Code #099741 Open Interest is 318,711
Positions
122,903 24,930 8,874 49,678 34,656 4,879 58,399 143,125 26,523 14,501 11,621 3,941 29,015 60,163
Changes from: December 20, 2011 Total Change is: 9,853
4,016 2,711 678 -1,648 -825 453 7,779 8,729 383 105 -94 71 -1,983 -2,252
Percent of Open Interest Represented by Each Category of Trader
38.6 7.8 2.8 15.6 10.9 1.5 18.3 44.9 8.3 4.5 3.6 1.2 9.1 18.9
Number of Traders in Each Category Total Traders: 183
23 9 14 15 21 12 24 65 40 8 18 10
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF AUD 100,000)
CFTC Code #232741 Open Interest is 118,806
Positions
22,620 18,229 4,947 2,719 44,097 1,059 56,763 27,962 3,868 6,624 616 557 19,649 17,470
Changes from: December 20, 2011 Total Change is: 6,785
-3,321 2,611 99 123 2,384 109 8,275 1,303 463 -0 28 -29 1,067 -183
Percent of Open Interest Represented by Each Category of Trader
19.0 15.3 4.2 2.3 37.1 0.9 47.8 23.5 3.3 5.6 0.5 0.5 16.5 14.7
Number of Traders in Each Category Total Traders: 75
6 12 9 . 9 4 15 25 12 4 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF RUB 2,500,000)
CFTC Code #089741 Open Interest is 125,609
Positions
43,584 37,429 76,254 0 0 0 4,067 9,705 1,292 0 0 0 411 928
Changes from: December 20, 2011 Total Change is: -903
-997 -926 220 0 0 0 -141 -468 141 0 0 0 -127 129
Percent of Open Interest Represented by Each Category of Trader
34.7 29.8 60.7 0.0 0.0 0.0 3.2 7.7 1.0 0.0 0.0 0.0 0.3 0.7
Number of Traders in Each Category Total Traders: 21
8 9 13 0 0 0 . . . 0 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF MXN 500,000)
CFTC Code #095741 Open Interest is 117,370
Positions
69,717 52,093 690 23,923 2,557 1,169 17,899 49,968 160 1,234 3,858 0 2,578 6,875
Changes from: December 20, 2011 Total Change is: 1,018
195 -1,632 -2 2,103 263 336 -2,275 1,255 -54 546 130 0 169 722
Percent of Open Interest Represented by Each Category of Trader
59.4 44.4 0.6 20.4 2.2 1.0 15.3 42.6 0.1 1.1 3.3 0.0 2.2 5.9
Number of Traders in Each Category Total Traders: 86
7 10 . 6 5 . 13 31 . 6 8 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF NZD 100,000)
CFTC Code #112741 Open Interest is 10,181
Positions
2,890 1,836 225 0 169 0 4,956 5,012 0 265 500 0 1,845 2,439
Changes from: December 20, 2011 Total Change is: 739
-399 540 0 0 -105 0 841 157 0 100 -9 0 197 156
Percent of Open Interest Represented by Each Category of Trader
28.4 18.0 2.2 0.0 1.7 0.0 48.7 49.2 0.0 2.6 4.9 0.0 18.1 24.0
Number of Traders in Each Category Total Traders: 32
7 . . 0 . 0 5 13 0 . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DJIA Consolidated - CHICAGO BOARD OF TRADE ($10 X DJIA INDEX)
CFTC Code #12460+ Open Interest is 46,066
Positions
15,848 29,472 216 3,306 2,462 287 16,302 8,417 885 3,894 185 170 5,159 3,972
Changes from: December 20, 2011 Total Change is: -669
-128 -1,333 -27 306 -163 108 -983 890 160 115 13 -11 -209 -305
Percent of Open Interest Represented by Each Category of Trader
34.4 64.0 0.5 7.2 5.3 0.6 35.4 18.3 1.9 8.5 0.4 0.4 11.2 8.6
Number of Traders in Each Category Total Traders: 88
21 11 . 5 6 . 23 15 10 6 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE ($5 X DJIA INDEX)
CFTC Code #124603 Open Interest is 92,132
Positions
31,696 58,944 432 6,611 4,924 573 32,604 16,834 1,770 7,788 370 341 10,318 7,945
Changes from: December 20, 2011 Total Change is: -1,338
-255 -2,665 -55 611 -325 215 -1,965 1,779 320 230 25 -21 -418 -611
Percent of Open Interest Represented by Each Category of Trader
34.4 64.0 0.5 7.2 5.3 0.6 35.4 18.3 1.9 8.5 0.4 0.4 11.2 8.6
Number of Traders in Each Category Total Traders: 88
21 11 . 5 6 . 23 15 10 6 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE (S&P 500 INDEX X $250.00)
CFTC Code #13874+ Open Interest is 859,507
Positions
42,138 145,013 35,610 359,504 211,405 65,126 77,416 130,902 105,502 24,499 29,416 21,672 128,040 114,862
Changes from: December 20, 2011 Total Change is: 23,587
4,982 12,123 4,892 6,920 -8,230 759 211 2,613 10,748 952 1,403 660 -6,538 -1,381
Percent of Open Interest Represented by Each Category of Trader
4.9 16.9 4.1 41.8 24.6 7.6 9.0 15.2 12.3 2.9 3.4 2.5 14.9 13.4
Number of Traders in Each Category Total Traders: 526
32 49 33 109 69 65 80 118 93 25 44 24
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE (S&P 500 INDEX X $250.00)
CFTC Code #138741 Open Interest is 291,816
Positions
16,729 82,989 3,481 105,871 49,173 13,288 35,426 22,250 35,832 4,086 13,890 8,575 68,527 62,337
Changes from: December 20, 2011 Total Change is: 11,758
6,290 8,754 -424 -822 -997 405 10,516 1,552 817 -993 846 939 -4,970 -135
Percent of Open Interest Represented by Each Category of Trader
5.7 28.4 1.2 36.3 16.9 4.6 12.1 7.6 12.3 1.4 4.8 2.9 23.5 21.4
Number of Traders in Each Category Total Traders: 111
8 15 7 23 14 13 16 25 34 5 5 7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE ($50 X S&P 500 INDEX)
CFTC Code #13874A Open Interest is 2,838,458
Positions
229,311 412,380 58,381 1,297,370 840,369 229,982 359,004 692,313 199,296 102,507 78,073 65,041 297,566 262,623
Changes from: December 20, 2011 Total Change is: 59,144
12,912 36,295 7,131 37,399 -37,476 3,077 -3,267 53,559 1,396 6,249 -692 2,083 -7,836 -6,229
Percent of Open Interest Represented by Each Category of Trader
8.1 14.5 2.1 45.7 29.6 8.1 12.6 24.4 7.0 3.6 2.8 2.3 10.5 9.3
Number of Traders in Each Category Total Traders: 494
37 43 26 100 63 58 76 112 82 23 40 21
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE (S&P 400 INDEX X $100)
CFTC Code #33874A Open Interest is 105,908
Positions
25,717 11,537 0 53,943 64,935 9,800 6,654 10,312 13 1,681 4,838 0 8,100 4,473
Changes from: December 20, 2011 Total Change is: -1,006
-3,477 1,858 0 2,340 -1,425 -123 908 -2,117 -19 0 371 0 -635 449
Percent of Open Interest Represented by Each Category of Trader
24.3 10.9 0.0 50.9 61.3 9.3 6.3 9.7 0.0 1.6 4.6 0.0 7.6 4.2
Number of Traders in Each Category Total Traders: 89
12 8 0 30 14 14 9 10 . . 4 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 INDEX X $100)
CFTC Code #20974+ Open Interest is 51,774
Positions
8,075 24,874 261 20,319 9,552 1,499 12,465 8,208 1,315 2,000 3,338 55 5,785 2,671
Changes from: December 20, 2011 Total Change is: 39
-768 -34 -45 103 -417 224 -562 -565 645 214 315 3 225 -86
Percent of Open Interest Represented by Each Category of Trader
15.6 48.0 0.5 39.2 18.5 2.9 24.1 15.9 2.5 3.9 6.4 0.1 11.2 5.2
Number of Traders in Each Category Total Traders: 193
21 24 5 28 20 10 36 38 12 13 13 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 STOCK INDEX X $20)
CFTC Code #209742 Open Interest is 258,870
Positions
40,376 124,372 1,304 101,596 47,762 7,493 62,324 41,041 6,577 10,002 16,689 275 28,924 13,357
Changes from: December 20, 2011 Total Change is: 197
-3,839 -170 -224 513 -2,086 1,119 -2,808 -2,824 3,226 1,071 1,573 13 1,127 -430
Percent of Open Interest Represented by Each Category of Trader
15.6 48.0 0.5 39.2 18.5 2.9 24.1 15.9 2.5 3.9 6.4 0.1 11.2 5.2
Number of Traders in Each Category Total Traders: 193
21 24 5 28 20 10 36 38 12 13 13 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S. (RUSSELL 2000 INDEX X $100.00)
CFTC Code #23977A Open Interest is 410,463
Positions
196,812 24,217 12,100 115,763 214,590 26,707 37,943 97,601 1,983 3,272 17,822 207 15,676 15,236
Changes from: December 20, 2011 Total Change is: -7,734
-10,606 2,303 -1,543 4,250 -2,686 545 -64 -7,157 -54 -533 490 -679 950 1,047
Percent of Open Interest Represented by Each Category of Trader
47.9 5.9 2.9 28.2 52.3 6.5 9.2 23.8 0.5 0.8 4.3 0.1 3.8 3.7
Number of Traders in Each Category Total Traders: 221
21 11 . 45 46 25 25 54 8 4 15 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE (NIKKEI INDEX X $5.00)
CFTC Code #240741 Open Interest is 23,104
Positions
5,624 0 0 7,057 734 32 3,716 7,937 3 817 4,231 0 5,855 10,167
Changes from: December 20, 2011 Total Change is: 768
1 0 0 54 0 -50 161 27 0 817 0 0 -215 791
Percent of Open Interest Represented by Each Category of Trader
24.3 0.0 0.0 30.5 3.2 0.1 16.1 34.4 0.0 3.5 18.3 0.0 25.3 44.0
Number of Traders in Each Category Total Traders: 35
6 0 0 9 . . 6 8 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE (NIKKEI INDEX X JPY 500)
CFTC Code #240743 Open Interest is 35,756
Positions
13,250 6,949 732 5,997 4,324 719 6,282 2,914 1,616 1,626 0 0 5,534 18,502
Changes from: December 20, 2011 Total Change is: 3,256
2,036 -861 -172 409 -95 176 -92 -551 416 243 -238 0 240 4,581
Percent of Open Interest Represented by Each Category of Trader
37.1 19.4 2.0 16.8 12.1 2.0 17.6 8.1 4.5 4.5 0.0 0.0 15.5 51.7
Number of Traders in Each Category Total Traders: 46
11 8 . 5 . . 9 7 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50)
CFTC Code #244041 Open Interest is 42,764
Positions
2,280 3,922 39 28,472 22,355 4,975 3,468 9,307 3 205 0 0 3,322 2,163
Changes from: December 20, 2011 Total Change is: -720
203 649 -26 -102 -3,471 709 -1,184 973 0 0 0 0 -320 446
Percent of Open Interest Represented by Each Category of Trader
5.3 9.2 0.1 66.6 52.3 11.6 8.1 21.8 0.0 0.5 0.0 0.0 7.8 5.1
Number of Traders in Each Category Total Traders: 50
. . . 14 21 10 5 4 . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50)
CFTC Code #244042 Open Interest is 63,820
Positions
14,183 22,094 9 30,418 23,630 2,479 7,448 9,755 616 2,222 2,771 750 5,695 1,716
Changes from: December 20, 2011 Total Change is: 670
-570 523 0 1,686 -533 216 -1,206 709 34 32 -373 429 49 -335
Percent of Open Interest Represented by Each Category of Trader
22.2 34.6 0.0 47.7 37.0 3.9 11.7 15.3 1.0 3.5 4.3 1.2 8.9 2.7
Number of Traders in Each Category Total Traders: 67
10 10 . 14 8 6 10 5 . 6 4 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020601 Open Interest is 655,549
Positions
11,023 113,834 25,451 289,222 93,162 92,835 36,137 93,650 31,082 12,214 63,351 11,853 145,733 130,331
Changes from: December 20, 2011 Total Change is: -47,921
-5,342 4,905 -17,897 -8,766 -12,124 -1,536 -773 -5,675 -14,446 2,184 -1,657 -1,294 -51 1,801
Percent of Open Interest Represented by Each Category of Trader
1.7 17.4 3.9 44.1 14.2 14.2 5.5 14.3 4.7 1.9 9.7 1.8 22.2 19.9
Number of Traders in Each Category Total Traders: 141
9 16 16 43 18 37 16 24 25 6 9 7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #020604 Open Interest is 368,895
Positions
4,875 147,559 2,631 262,414 20,451 34,217 1,912 121,691 1,791 0 1,501 0 61,055 39,055
Changes from: December 20, 2011 Total Change is: 1,104
-1,105 3,033 -189 4,263 270 -78 -30 -336 -44 0 1,501 0 -1,713 -3,052
Percent of Open Interest Represented by Each Category of Trader
1.3 40.0 0.7 71.1 5.5 9.3 0.5 33.0 0.5 0.0 0.4 0.0 16.6 10.6
Number of Traders in Each Category Total Traders: 71
. 11 4 38 7 22 . 11 4 0 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $200,000 FACE VALUE)
CFTC Code #042601 Open Interest is 712,654
Positions
92,616 68,631 7,649 132,704 194,613 66,062 235,554 200,703 34,752 32,363 34,601 1,555 109,398 104,088
Changes from: December 20, 2011 Total Change is: -25,068
21,024 -14,649 -255 -3,238 28,301 -9,860 -18,498 -26,325 -9,515 -4,175 546 -766 215 7,456
Percent of Open Interest Represented by Each Category of Trader
13.0 9.6 1.1 18.6 27.3 9.3 33.1 28.2 4.9 4.5 4.9 0.2 15.4 14.6
Number of Traders in Each Category Total Traders: 195
12 22 10 32 43 40 33 32 23 7 14 .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #043602 Open Interest is 1,654,477
Positions
57,005 145,163 76,250 681,197 572,986 176,019 217,602 182,632 99,076 49,456 80,610 21,681 276,188 300,058
Changes from: December 20, 2011 Total Change is: -80,007
-7,913 -3,204 -18,594 10,579 -33,003 -8,914 5,263 45,887 -40,783 18,036 3,369 -27,026 -10,655 2,260
Percent of Open Interest Represented by Each Category of Trader
3.4 8.8 4.6 41.2 34.6 10.6 13.2 11.0 6.0 3.0 4.9 1.3 16.7 18.1
Number of Traders in Each Category Total Traders: 217
15 26 34 31 51 47 36 38 46 6 14 8
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #044601 Open Interest is 1,312,303
Positions
58,781 185,829 52,560 343,260 415,183 162,520 219,391 147,485 49,566 211,722 61,323 9,788 204,715 228,050
Changes from: December 20, 2011 Total Change is: -65,877
5,883 -2,049 -32,599 16,737 -20,167 193 7,724 32,080 -41,383 -986 1,101 -6,766 -14,679 3,714
Percent of Open Interest Represented by Each Category of Trader
4.5 14.2 4.0 26.2 31.6 12.4 16.7 11.2 3.8 16.1 4.7 0.7 15.6 17.4
Number of Traders in Each Category Total Traders: 172
8 29 19 24 36 39 31 25 24 10 9 5
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $5,000,000)
CFTC Code #045601 Open Interest is 718,938
Positions
203,926 267,778 185,728 3,482 3,667 2,877 90,455 36,275 144,199 27,198 7,059 31,316 29,757 40,038
Changes from: December 20, 2011 Total Change is: 8,424
8,347 14,827 -4,557 216 0 -216 7,784 -12 -1,523 -676 -358 680 -1,632 -417
Percent of Open Interest Represented by Each Category of Trader
28.4 37.2 25.8 0.5 0.5 0.4 12.6 5.0 20.1 3.8 1.0 4.4 4.1 5.6
Number of Traders in Each Category Total Traders: 117
24 30 42 . . . 24 18 35 . 8 6
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF $1,000,000)
CFTC Code #132741 Open Interest is11,538,245
Positions
1,184,887 2,205,657 2,789,698 1,661,904 83,921 172,937 466,468 461,201 3,880,655 83,184 361,170 534,317 764,195 1,048,689
Changes from: December 20, 2011 Total Change is: -31,372
-20,116 -101,839 92,709 -75,488 -1,842 6,524 24 -41,949 27,571 351 2,649 355 -63,301 -15,548
Percent of Open Interest Represented by Each Category of Trader
10.3 19.1 24.2 14.4 0.7 1.5 4.0 4.0 33.6 0.7 3.1 4.6 6.6 9.1
Number of Traders in Each Category Total Traders: 252
25 58 79 9 11 18 38 71 103 6 21 21
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #246602 Open Interest is 10,483
Positions
6,492 3,164 0 1,503 783 11 996 6,246 25 1,208 160 0 248 94
Changes from: December 20, 2011 Total Change is: 19
0 131 0 4 2 0 -1 -129 0 10 0 0 6 15
Percent of Open Interest Represented by Each Category of Trader
61.9 30.2 0.0 14.3 7.5 0.1 9.5 59.6 0.2 11.5 1.5 0.0 2.4 0.9
Number of Traders in Each Category Total Traders: 28
. . 0 . 4 . 4 10 . . . 0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #247602 Open Interest is 11,939
Positions
9,151 6,605 0 1,363 1,793 0 1,026 3,047 0 40 305 0 359 189
Changes from: December 20, 2011 Total Change is: -476
-200 -86 0 -4 -93 0 -191 -260 0 -30 0 0 -51 -37
Percent of Open Interest Represented by Each Category of Trader
76.6 55.3 0.0 11.4 15.0 0.0 8.6 25.5 0.0 0.3 2.6 0.0 3.0 1.6
Number of Traders in Each Category Total Traders: 31
4 5 0 . 4 0 8 6 0 . . 0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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U.S. DOLLAR INDEX - ICE FUTURES U.S. (U.S. DOLLAR INDEX X $1000)
CFTC Code #098662 Open Interest is 65,705
Positions
22,417 31,578 32 6,166 285 296 23,072 29,955 1,582 5,665 210 4 6,472 1,763
Changes from: December 20, 2011 Total Change is: -2,443
-1,156 408 -1 102 0 -2 1,012 -2,871 -213 696 62 -7 -2,873 182
Percent of Open Interest Represented by Each Category of Trader
34.1 48.1 0.0 9.4 0.4 0.5 35.1 45.6 2.4 8.6 0.3 0.0 9.9 2.7
Number of Traders in Each Category Total Traders: 110
4 7 . 8 . . 47 12 6 27 . .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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VIX FUTURES - CBOE FUTURES EXCHANGE ($1000 X INDEX)
CFTC Code #1170E1 Open Interest is 127,438
Positions
32,402 25,648 34,904 8,428 1,419 1,202 9,521 22,442 11,958 1,406 1,451 15,016 12,601 13,398
Changes from: December 20, 2011 Total Change is: -29,554
-6,399 -11,985 -9,142 -710 181 -310 -6,194 -2,328 -4,096 945 -418 -492 -3,156 -964
Percent of Open Interest Represented by Each Category of Trader
25.4 20.1 27.4 6.6 1.1 0.9 7.5 17.6 9.4 1.1 1.1 11.8 9.9 10.5
Number of Traders in Each Category Total Traders: 70
9 8 12 9 . 4 15 14 15 4 4 5
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Traders in Financial Futures - Options and Futures Combined Positions as of December 27, 2011
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE ($100 X INDEX)
CFTC Code #221602 Open Interest is 16,062
Positions
11,793 0 0 1,463 1,456 90 1,913 2,748 168 0 11,165 427 208 8
Changes from: December 20, 2011 Total Change is: -152
8,612 -27 -83 -30 56 0 -8,837 -31 -52 0 -250 250 -12 -15
Percent of Open Interest Represented by Each Category of Trader
73.4 0.0 0.0 9.1 9.1 0.6 11.9 17.1 1.0 0.0 69.5 2.7 1.3 0.0
Number of Traders in Each Category Total Traders: 24
4 0 0 . 4 . 5 5 . 0 . .
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Updated December 30, 2011