Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 123,101 Positions 42,312 5,079 1,416 17,996 34,654 613 21,482 55,422 4,219 8,397 643 0 26,666 21,055 Changes from: January 10, 2012 Total Change is: 2,104 1,499 -1,927 341 1,408 -148 0 1,797 2,140 192 -610 -2 0 -2,523 1,508 Percent of Open Interest Represented by Each Category of Trader 34.4 4.1 1.2 14.6 28.2 0.5 17.5 45.0 3.4 6.8 0.5 0.0 21.7 17.1 Number of Traders in Each Category Total Traders: 71 9 7 6 6 4 . 16 18 . 10 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 41,577 Positions 12,704 1,475 597 999 1,969 275 19,171 17,957 16 537 0 0 7,278 19,288 Changes from: January 10, 2012 Total Change is: -292 -1,620 -540 594 0 648 0 -506 798 4 0 -648 0 1,236 -1,148 Percent of Open Interest Represented by Each Category of Trader 30.6 3.5 1.4 2.4 4.7 0.7 46.1 43.2 0.0 1.3 0.0 0.0 17.5 46.4 Number of Traders in Each Category Total Traders: 44 10 . . . 4 . 8 17 . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 211,418 Positions 157,361 1,611 153 8,759 81,639 3,242 26,254 83,100 1,179 1,572 3,585 0 12,898 36,909 Changes from: January 10, 2012 Total Change is: 11,563 10,527 153 114 804 3,186 0 653 3,468 -181 -810 116 0 456 4,707 Percent of Open Interest Represented by Each Category of Trader 74.4 0.8 0.1 4.1 38.6 1.5 12.4 39.3 0.6 0.7 1.7 0.0 6.1 17.5 Number of Traders in Each Category Total Traders: 92 14 4 4 5 16 4 10 36 5 . 5 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 168,070 Positions 597 76,658 150 65,833 10,776 1,089 74,036 52,602 176 750 2,203 0 25,439 24,416 Changes from: January 10, 2012 Total Change is: 4,537 -41 3,057 65 777 -66 -5 1,703 3,449 6 0 -49 0 2,032 -1,920 Percent of Open Interest Represented by Each Category of Trader 0.4 45.6 0.1 39.2 6.4 0.6 44.1 31.3 0.1 0.4 1.3 0.0 15.1 14.5 Number of Traders in Each Category Total Traders: 89 . 19 4 8 8 4 26 23 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 300,962 Positions 135,279 32,277 409 52,274 33,087 4,905 67,707 157,917 1,106 6,019 10,843 312 32,951 60,106 Changes from: January 10, 2012 Total Change is: 6,699 4,219 4,281 -11 1,711 1,229 27 -395 1,928 74 -430 -3,021 150 1,354 2,042 Percent of Open Interest Represented by Each Category of Trader 44.9 10.7 0.1 17.4 11.0 1.6 22.5 52.5 0.4 2.0 3.6 0.1 10.9 20.0 Number of Traders in Each Category Total Traders: 182 24 10 4 18 17 11 23 67 14 4 19 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 135,321 Positions 16,755 36,181 3,334 2,931 44,101 1,044 83,279 33,214 23 1,622 881 11 26,322 16,532 Changes from: January 10, 2012 Total Change is: 9,407 2,268 6,991 -6 -3 109 -16 4,852 3,212 23 0 -2 11 2,278 -915 Percent of Open Interest Represented by Each Category of Trader 12.4 26.7 2.5 2.2 32.6 0.8 61.5 24.5 0.0 1.2 0.7 0.0 19.5 12.2 Number of Traders in Each Category Total Traders: 82 4 14 . . 8 . 27 22 . . . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 126,321 Positions 33,127 28,280 87,192 0 0 0 4,430 9,249 1,292 0 0 0 280 308 Changes from: January 10, 2012 Total Change is: 5,265 -10,611 -10,024 15,371 0 0 0 363 13 0 0 0 0 142 -95 Percent of Open Interest Represented by Each Category of Trader 26.2 22.4 69.0 0.0 0.0 0.0 3.5 7.3 1.0 0.0 0.0 0.0 0.2 0.2 Number of Traders in Each Category Total Traders: 22 8 9 12 0 0 0 . . . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 130,393 Positions 69,644 53,102 743 25,141 1,587 1,084 29,526 65,534 212 1,080 3,328 0 2,963 4,803 Changes from: January 10, 2012 Total Change is: 6,548 42 -439 -53 1,747 -514 0 4,856 8,624 -69 96 -553 0 -71 -448 Percent of Open Interest Represented by Each Category of Trader 53.4 40.7 0.6 19.3 1.2 0.8 22.6 50.3 0.2 0.8 2.6 0.0 2.3 3.7 Number of Traders in Each Category Total Traders: 100 6 15 . 7 . . 21 34 . 5 9 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 20,955 Positions 1,516 11,925 225 183 547 0 15,809 6,033 141 165 443 0 2,916 1,641 Changes from: January 10, 2012 Total Change is: 6,782 -272 6,060 0 183 117 0 6,562 986 0 0 -232 0 309 -149 Percent of Open Interest Represented by Each Category of Trader 7.2 56.9 1.1 0.9 2.6 0.0 75.4 28.8 0.7 0.8 2.1 0.0 13.9 7.8 Number of Traders in Each Category Total Traders: 36 . 8 . . . 0 9 10 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 50,886 Positions 14,943 32,860 383 3,107 2,752 583 20,314 8,521 926 3,188 429 0 7,444 4,434 Changes from: January 10, 2012 Total Change is: 637 70 -474 -41 -236 -17 63 273 421 327 245 223 0 -64 134 Percent of Open Interest Represented by Each Category of Trader 29.4 64.6 0.8 6.1 5.4 1.1 39.9 16.7 1.8 6.3 0.8 0.0 14.6 8.7 Number of Traders in Each Category Total Traders: 89 20 14 . . 6 . 23 16 6 5 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 101,771 Positions 29,886 65,720 765 6,213 5,504 1,165 40,627 17,041 1,852 6,376 857 0 14,887 8,867 Changes from: January 10, 2012 Total Change is: 1,273 139 -947 -82 -472 -33 126 546 842 653 490 446 0 -127 268 Percent of Open Interest Represented by Each Category of Trader 29.4 64.6 0.8 6.1 5.4 1.1 39.9 16.7 1.8 6.3 0.8 0.0 14.6 8.7 Number of Traders in Each Category Total Traders: 89 20 14 . . 6 . 23 16 6 5 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 766,599 Positions 39,662 162,479 38,279 363,877 203,560 56,880 86,564 146,268 27,664 29,635 33,232 1,490 122,549 96,747 Changes from: January 10, 2012 Total Change is: 10,758 -1,871 6,313 1,199 5,687 -7,591 -4,651 1,317 4,794 5,489 778 1,765 -423 3,233 3,863 Percent of Open Interest Represented by Each Category of Trader 5.2 21.2 5.0 47.5 26.6 7.4 11.3 19.1 3.6 3.9 4.3 0.2 16.0 12.6 Number of Traders in Each Category Total Traders: 513 31 55 28 114 64 65 77 108 62 28 36 11 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 241,768 Positions 24,547 94,880 1,495 109,547 49,164 11,762 22,336 22,258 1,578 1,569 10,578 611 68,323 49,442 Changes from: January 10, 2012 Total Change is: 4,366 1,431 2,931 0 -565 -374 -136 1,886 347 132 1,507 -40 0 111 1,506 Percent of Open Interest Represented by Each Category of Trader 10.2 39.2 0.6 45.3 20.3 4.9 9.2 9.2 0.7 0.6 4.4 0.3 28.3 20.5 Number of Traders in Each Category Total Traders: 102 8 16 5 24 14 11 16 17 10 . 5 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 2,624,154 Positions 208,761 471,182 50,731 1,300,681 801,012 196,556 392,926 691,835 58,646 140,742 113,685 3,983 271,128 236,524 Changes from: January 10, 2012 Total Change is: 31,959 -10,341 23,079 -170 30,472 -36,875 -21,789 7,081 32,161 16,861 -3,652 9,020 -2,111 15,608 11,783 Percent of Open Interest Represented by Each Category of Trader 8.0 18.0 1.9 49.6 30.5 7.5 15.0 26.4 2.2 5.4 4.3 0.2 10.3 9.0 Number of Traders in Each Category Total Traders: 490 35 49 19 103 59 60 77 106 51 27 34 9 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 105,621 Positions 22,549 14,695 0 52,069 65,277 8,461 10,919 8,430 318 1,717 4,043 0 9,588 4,397 Changes from: January 10, 2012 Total Change is: 2,006 -1,195 1,872 0 511 -288 212 1,885 -330 165 0 56 0 428 319 Percent of Open Interest Represented by Each Category of Trader 21.3 13.9 0.0 49.3 61.8 8.0 10.3 8.0 0.3 1.6 3.8 0.0 9.1 4.2 Number of Traders in Each Category Total Traders: 91 11 8 0 31 14 16 13 8 . . 4 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Dealer : Asset Manager/ : Leveraged : Other : Nonreportable : Intermediary : Institutional : Funds : Reportables : Positions : Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : ----------------------------------------------------------------------------------------------------------------------------------------------------------- NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE (NASDAQ 100 INDEX X $100) CFTC Code #20974+ Open Interest is 77,129 Positions 5,963 35,967 6,101 24,818 9,753 1,758 22,977 9,200 4,043 1,096 4,165 73 10,299 6,068 Changes from: January 10, 2012 Total Change is: 7,971 -277 4,429 630 1,177 -2 28 5,375 1,100 962 -761 229 20 817 574 Percent of Open Interest Represented by Each Category of Trader 7.7 46.6 7.9 32.2 12.6 2.3 29.8 11.9 5.2 1.4 5.4 0.1 13.4 7.9 Number of Traders in Each Category Total Traders: 222 21 30 10 28 21 10 56 41 15 9 16 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 11,477 Positions 5,285 7,113 20 0 300 0 3,731 369 0 0 365 0 2,441 3,310 Changes from: January 10, 2012 Total Change is: 1,977 960 1,550 0 0 0 0 1,083 0 0 0 0 0 -66 427 Percent of Open Interest Represented by Each Category of Trader 46.0 62.0 0.2 0.0 2.6 0.0 32.5 3.2 0.0 0.0 3.2 0.0 21.3 28.8 Number of Traders in Each Category Total Traders: 22 8 7 . 0 . 0 4 . 0 0 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 328,260 Positions 32,477 173,356 1,320 124,092 47,267 8,791 114,678 62,605 1,766 5,480 19,000 364 39,292 13,791 Changes from: January 10, 2012 Total Change is: 29,970 -3,444 17,139 408 5,884 -12 142 25,557 9,601 710 -3,803 1,144 102 4,414 736 Percent of Open Interest Represented by Each Category of Trader 9.9 52.8 0.4 37.8 14.4 2.7 34.9 19.1 0.5 1.7 5.8 0.1 12.0 4.2 Number of Traders in Each Category Total Traders: 221 22 28 . 28 21 10 54 43 11 9 16 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 403,614 Positions 176,041 26,019 14,083 114,422 206,604 28,426 46,048 93,712 2,015 3,940 15,747 153 18,486 16,855 Changes from: January 10, 2012 Total Change is: 4,288 -5,665 3,030 1,012 -795 -2,507 1,946 3,181 -2,762 1,653 103 -366 40 2,813 2,242 Percent of Open Interest Represented by Each Category of Trader 43.6 6.4 3.5 28.3 51.2 7.0 11.4 23.2 0.5 1.0 3.9 0.0 4.6 4.2 Number of Traders in Each Category Total Traders: 239 23 11 4 45 44 27 34 58 8 6 18 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 23,372 Positions 5,199 287 0 7,085 1,237 54 4,538 6,959 3 817 4,031 0 5,676 10,801 Changes from: January 10, 2012 Total Change is: 201 -49 -35 0 211 10 0 180 -891 1 0 -200 0 -142 1,316 Percent of Open Interest Represented by Each Category of Trader 22.2 1.2 0.0 30.3 5.3 0.2 19.4 29.8 0.0 3.5 17.2 0.0 24.3 46.2 Number of Traders in Each Category Total Traders: 36 5 . 0 9 . . 8 7 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 38,709 Positions 15,476 6,554 725 7,205 3,234 704 5,175 2,692 2,270 1,877 0 0 5,277 22,530 Changes from: January 10, 2012 Total Change is: -14 884 -968 95 401 -55 -22 -1,340 -934 -60 -162 0 0 190 1,930 Percent of Open Interest Represented by Each Category of Trader 40.0 16.9 1.9 18.6 8.4 1.8 13.4 7.0 5.9 4.8 0.0 0.0 13.6 58.2 Number of Traders in Each Category Total Traders: 49 12 10 . 5 . . 8 8 . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 45,592 Positions 678 4,307 65 33,752 23,456 4,210 2,509 11,222 4 0 0 0 4,374 2,328 Changes from: January 10, 2012 Total Change is: 2,453 -117 492 0 2,403 411 40 -170 1,411 0 0 0 0 297 99 Percent of Open Interest Represented by Each Category of Trader 1.5 9.4 0.1 74.0 51.4 9.2 5.5 24.6 0.0 0.0 0.0 0.0 9.6 5.1 Number of Traders in Each Category Total Traders: 51 . . . 17 20 10 . 7 . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 69,764 Positions 14,294 23,295 0 33,891 23,689 2,616 7,125 15,257 569 3,333 809 620 7,316 2,909 Changes from: January 10, 2012 Total Change is: 3,146 -678 82 0 1,784 -599 446 185 2,448 -1 -255 -234 74 1,591 930 Percent of Open Interest Represented by Each Category of Trader 20.5 33.4 0.0 48.6 34.0 3.7 10.2 21.9 0.8 4.8 1.2 0.9 10.5 4.2 Number of Traders in Each Category Total Traders: 71 9 12 0 15 9 6 10 7 . 7 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 641,385 Positions 17,231 128,260 2,158 298,778 109,701 92,491 54,191 110,025 7,295 21,428 68,952 0 147,813 122,503 Changes from: January 10, 2012 Total Change is: 42,182 1,915 22,100 583 17,845 3,071 7,224 7,932 18,003 980 11,786 1,317 -8 -6,075 -11,088 Percent of Open Interest Represented by Each Category of Trader 2.7 20.0 0.3 46.6 17.1 14.4 8.4 17.2 1.1 3.3 10.8 0.0 23.0 19.1 Number of Traders in Each Category Total Traders: 168 9 21 8 45 21 34 25 32 17 4 11 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 374,518 Positions 4,825 152,088 805 276,145 27,333 29,266 1,872 118,918 216 0 0 0 61,389 45,892 Changes from: January 10, 2012 Total Change is: 912 1 612 377 -5,432 -3,079 2,776 0 1,674 -146 0 0 0 3,336 -1,302 Percent of Open Interest Represented by Each Category of Trader 1.3 40.6 0.2 73.7 7.3 7.8 0.5 31.8 0.1 0.0 0.0 0.0 16.4 12.3 Number of Traders in Each Category Total Traders: 68 . 11 5 36 7 20 . 11 . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 787,412 Positions 73,217 128,964 1,913 148,884 180,062 74,131 256,054 248,569 13,464 99,088 37,731 874 119,787 101,704 Changes from: January 10, 2012 Total Change is: 108,475 -16,624 47,410 -1,736 8,007 -9,709 3,526 42,080 62,873 5,691 56,646 4,275 287 10,598 -4,142 Percent of Open Interest Represented by Each Category of Trader 9.3 16.4 0.2 18.9 22.9 9.4 32.5 31.6 1.7 12.6 4.8 0.1 15.2 12.9 Number of Traders in Each Category Total Traders: 213 10 26 6 33 42 40 38 37 13 12 15 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 1,688,393 Positions 79,366 151,478 17,752 717,743 719,494 153,202 293,264 179,099 46,194 88,408 85,957 4,437 288,027 330,780 Changes from: January 10, 2012 Total Change is: 109,414 3,893 19,334 3,590 31,559 57,042 7,194 -10,538 17,430 2,888 60,030 -15,678 -123 10,921 17,737 Percent of Open Interest Represented by Each Category of Trader 4.7 9.0 1.1 42.5 42.6 9.1 17.4 10.6 2.7 5.2 5.1 0.3 17.1 19.6 Number of Traders in Each Category Total Traders: 245 20 29 17 30 54 43 47 41 29 11 13 6 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 1,425,200 Positions 53,984 220,703 6,866 441,178 592,769 154,819 280,454 126,013 18,714 231,453 91,017 0 237,732 214,299 Changes from: January 10, 2012 Total Change is: 94,670 6,486 16,990 2,295 43,155 58,825 12,374 4,726 -4,718 2,644 24,147 23,733 0 -1,157 -17,473 Percent of Open Interest Represented by Each Category of Trader 3.8 15.5 0.5 31.0 41.6 10.9 19.7 8.8 1.3 16.2 6.4 0.0 16.7 15.0 Number of Traders in Each Category Total Traders: 181 6 33 6 21 42 41 34 22 14 8 15 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 520,680 Positions 157,018 225,377 167,134 2,905 1,040 1,974 89,844 29,316 47,355 8,056 4,855 8,343 38,051 35,286 Changes from: January 10, 2012 Total Change is: 4,364 -3,178 361 5,203 -11 0 11 -2,024 -4,053 3,104 165 5 -621 1,715 354 Percent of Open Interest Represented by Each Category of Trader 30.2 43.3 32.1 0.6 0.2 0.4 17.3 5.6 9.1 1.5 0.9 1.6 7.3 6.8 Number of Traders in Each Category Total Traders: 87 18 24 32 . . . 20 12 21 . 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 is 7,833,803 Positions 1,117,497 2,322,966 1,826,844 1,451,434 112,143 91,087 769,168 534,036 1,456,602 100,618 350,551 168,044 852,509 971,530 Changes from: January 10, 2012 Total Change is: 171,089 -107,310 220,440 64,080 -17,006 54,872 -13,436 248,527 -76,056 -79,558 9,799 -38,051 21,438 44,555 17,360 Percent of Open Interest Represented by Each Category of Trader 14.3 29.7 23.3 18.5 1.4 1.2 9.8 6.8 18.6 1.3 4.5 2.1 10.9 12.4 Number of Traders in Each Category Total Traders: 242 26 58 80 11 7 12 56 49 77 8 11 13 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 9,465 Positions 5,304 2,698 0 1,614 784 11 1,019 5,695 30 1,247 160 0 240 87 Changes from: January 10, 2012 Total Change is: -848 -911 82 0 93 0 0 -12 -955 3 9 0 0 -30 22 Percent of Open Interest Represented by Each Category of Trader 56.0 28.5 0.0 17.1 8.3 0.1 10.8 60.2 0.3 13.2 1.7 0.0 2.5 0.9 Number of Traders in Each Category Total Traders: 28 . . 0 . 4 . 4 8 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 12,428 Positions 9,040 7,395 0 1,238 1,798 0 1,689 2,735 0 70 305 0 391 195 Changes from: January 10, 2012 Total Change is: 145 -417 621 0 -1 60 0 556 -538 0 30 0 0 -23 2 Percent of Open Interest Represented by Each Category of Trader 72.7 59.5 0.0 10.0 14.5 0.0 13.6 22.0 0.0 0.6 2.5 0.0 3.1 1.6 Number of Traders in Each Category Total Traders: 33 4 5 0 . 4 0 8 6 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 68,483 Positions 20,576 33,561 0 6,843 360 479 24,776 30,720 530 5,483 330 1 9,795 2,502 Changes from: January 10, 2012 Total Change is: -541 -382 -186 0 203 0 1 -434 -1,145 -24 64 -300 1 30 1,112 Percent of Open Interest Represented by Each Category of Trader 30.0 49.0 0.0 10.0 0.5 0.7 36.2 44.9 0.8 8.0 0.5 0.0 14.3 3.7 Number of Traders in Each Category Total Traders: 119 6 5 0 8 . . 50 12 . 33 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 154,301 Positions 50,658 32,503 30,370 8,643 2,128 650 8,660 34,586 15,493 1,259 4,042 15,507 23,061 19,022 Changes from: January 10, 2012 Total Change is: 10,266 1,114 -4,101 2,411 -586 416 -59 -3,208 917 3,702 -541 953 293 7,140 5,734 Percent of Open Interest Represented by Each Category of Trader 32.8 21.1 19.7 5.6 1.4 0.4 5.6 22.4 10.0 0.8 2.6 10.0 14.9 12.3 Number of Traders in Each Category Total Traders: 78 13 9 20 8 . . 12 16 18 6 7 7 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Futures Only Positions as of January 17, 2012 ----------------------------------------------------------------------------------------------------------------------------------------------------------- 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 16,148 Positions 11,727 1,913 0 1,655 924 430 1,658 11,240 168 0 1,216 242 268 15 Changes from: January 10, 2012 Total Change is: -1,493 0 195 0 110 -335 340 0 2,416 0 0 -2,112 3 -1,946 -2,000 Percent of Open Interest Represented by Each Category of Trader 72.6 11.8 0.0 10.2 5.7 2.7 10.3 69.6 1.0 0.0 7.5 1.5 1.7 0.1 Number of Traders in Each Category Total Traders: 24 . . 0 4 . . . 8 . 0 . . -----------------------------------------------------------------------------------------------------------------------------------------------------------
Updated January 20, 2012