Traders in Financial Futures - Futures Only Positions as of May 15, 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   140,173
Positions
    13,420     38,730      1,486     20,572     34,040        185     58,687     43,866        545      8,962        516        144     36,172     20,661
 
Changes from:       May 8, 2012                                      Total Change is:    -8,242
     1,664    -10,753        591        210        -14          4     -1,281      6,570     -1,055     -1,656     -1,589       -722     -5,997     -1,274
 
Percent of Open Interest Represented by Each Category of Trader
       9.6       27.6        1.1       14.7       24.3        0.1       41.9       31.3        0.4        6.4        0.4        0.1       25.8       14.7
 
Number of Traders in Each Category                                    Total Traders:        85
         6         10          4          7          4          .         28         18          7         11          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    63,543
Positions
    25,063      6,087         68        831      1,494        250     22,490     28,062         94      4,678        446         30     10,039     27,012
 
Changes from:       May 8, 2012                                      Total Change is:    17,826
     8,405     -2,359       -106          0         -4          0      7,147     14,197          0      3,095         36          0       -715      6,062
 
Percent of Open Interest Represented by Each Category of Trader
      39.4        9.6        0.1        1.3        2.4        0.4       35.4       44.2        0.1        7.4        0.7        0.0       15.8       42.5
 
Number of Traders in Each Category                                    Total Traders:        39
         8          4          .          .          .          .          6         14          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   199,270
Positions
     4,210     99,820        279     10,308     47,347      6,253    114,950     24,377        364     23,869      3,494          0     39,037     17,336
 
Changes from:       May 8, 2012                                      Total Change is:      -531
    -2,087      1,266        224        710        709        -70      3,762     -1,315         87       -330          0          0     -2,827     -1,432
 
Percent of Open Interest Represented by Each Category of Trader
       2.1       50.1        0.1        5.2       23.8        3.1       57.7       12.2        0.2       12.0        1.8        0.0       19.6        8.7
 
Number of Traders in Each Category                                    Total Traders:       105
         4         13          5          7         15          4         40         16          5          6          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   139,275
Positions
    35,173     36,564        200     63,052     10,195        808     15,517     46,525        281     11,202      2,367          0     13,042     42,335
 
Changes from:       May 8, 2012                                      Total Change is:    -2,567
    -2,613      3,285          0     -1,707        536        -17      2,400     -5,639         61        335       -401          0     -1,026       -392
 
Percent of Open Interest Represented by Each Category of Trader
      25.3       26.3        0.1       45.3        7.3        0.6       11.1       33.4        0.2        8.0        1.7        0.0        9.4       30.4
 
Number of Traders in Each Category                                    Total Traders:        83
         8          8          .          8          7          .         16         30          4          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   356,674
Positions
   159,029     14,594        145     28,384     46,204      7,558     72,382    194,983      2,125     55,805     13,855      1,278     29,968     75,932
 
Changes from:       May 8, 2012                                      Total Change is:    35,637
    21,589       -446        -31      1,129       -770        281     12,217     28,500      1,113       -345        244        685     -1,001      6,061
 
Percent of Open Interest Represented by Each Category of Trader
      44.6        4.1        0.0        8.0       13.0        2.1       20.3       54.7        0.6       15.6        3.9        0.4        8.4       21.3
 
Number of Traders in Each Category                                    Total Traders:       190
        24         10          .         15         20         12         22         74         17          9         16          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   144,001
Positions
    68,956     16,526        452      1,935     43,535      1,162     50,390     55,604        170      2,115      1,382          6     18,815     25,164
 
Changes from:       May 8, 2012                                      Total Change is:    -8,107
    14,799     -4,747        -69       -248        698        256    -19,792     -4,924        -72        120        240       -272     -2,829        783
 
Percent of Open Interest Represented by Each Category of Trader
      47.9       11.5        0.3        1.3       30.2        0.8       35.0       38.6        0.1        1.5        1.0        0.0       13.1       17.5
 
Number of Traders in Each Category                                    Total Traders:        85
        12          7          6          .          9          .         18         31          5          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   130,888
Positions
    33,327     40,459     75,682      1,878          0          0      4,522      2,440      7,850      4,087          0      2,948        594      1,509
 
Changes from:       May 8, 2012                                      Total Change is:     5,476
    -5,847     -7,888     11,952       -495          0          0        -17         12         25          0          0          0       -142      1,375
 
Percent of Open Interest Represented by Each Category of Trader
      25.5       30.9       57.8        1.4        0.0        0.0        3.5        1.9        6.0        3.1        0.0        2.3        0.5        1.2
 
Number of Traders in Each Category                                    Total Traders:        26
         7         12         11          .          0          0          .          .          .          .          0          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   174,386
Positions
    71,650    109,244      4,923     33,424        794      1,551     49,948     34,300      6,997      1,551     11,140          0      4,342      5,437
 
Changes from:       May 8, 2012                                      Total Change is:    14,217
    10,331     -3,957      4,923      3,218        158       -253     -9,519      3,630      6,186       -115      1,148          0       -554      2,382
 
Percent of Open Interest Represented by Each Category of Trader
      41.1       62.6        2.8       19.2        0.5        0.9       28.6       19.7        4.0        0.9        6.4        0.0        2.5        3.1
 
Number of Traders in Each Category                                    Total Traders:       104
         8         10          .          9          .          .         31         34         10          5          5          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF BRL 100,000)                           
CFTC Code #102741                                                    Open Interest is    20,259
Positions
    14,482      2,758      1,189        391         52        102      2,993      1,713         45        140     13,433          0        917        967
 
Changes from:       May 8, 2012                                      Total Change is:     1,282
       612        501        -43       -260         52        102        597        445         25        -20          0          0        269        200
 
Percent of Open Interest Represented by Each Category of Trader
      71.5       13.6        5.9        1.9        0.3        0.5       14.8        8.5        0.2        0.7       66.3        0.0        4.5        4.8
 
Number of Traders in Each Category                                    Total Traders:        21
         6          .          .          .          .          .          6          .          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    17,263
Positions
     4,093      6,853          0        402          0          0      7,320      7,935        162      2,771        462          0      2,515      1,851
 
Changes from:       May 8, 2012                                      Total Change is:      -706
     1,598     -2,153        -94         17       -100          0     -2,648      2,217         37        598         14          0       -214       -627
 
Percent of Open Interest Represented by Each Category of Trader
      23.7       39.7        0.0        2.3        0.0        0.0       42.4       46.0        0.9       16.1        2.7        0.0       14.6       10.7
 
Number of Traders in Each Category                                    Total Traders:        46
         7          5          0          .          0          0          9         17          .          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    50,060
Positions
    12,814     31,545        903      3,871      2,824        424     21,717      9,088        285      2,350        529          0      7,696      4,463
 
Changes from:       May 8, 2012                                      Total Change is:    -1,764
      -889          8         -9        -30        -58         66     -1,133     -2,357        122       -409        294          0        518        171
 
Percent of Open Interest Represented by Each Category of Trader
      25.6       63.0        1.8        7.7        5.6        0.8       43.4       18.2        0.6        4.7        1.1        0.0       15.4        8.9
 
Number of Traders in Each Category                                    Total Traders:       101
        13         21          .          6          6          .         31         17          7          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   100,120
Positions
    25,628     63,089      1,806      7,742      5,648        848     43,434     18,176        570      4,700      1,058          0     15,392      8,925
 
Changes from:       May 8, 2012                                      Total Change is:    -3,527
    -1,778         16        -18        -59       -116        131     -2,266     -4,713        244       -817        587          0      1,036        342
 
Percent of Open Interest Represented by Each Category of Trader
      25.6       63.0        1.8        7.7        5.6        0.8       43.4       18.2        0.6        4.7        1.1        0.0       15.4        8.9
 
Number of Traders in Each Category                                    Total Traders:       101
        13         21          .          6          6          .         31         17          7          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   851,882
Positions
    56,969    175,884     35,626    356,911    181,966     46,319     92,848    189,673     56,559     38,125     28,760      8,105    160,419    128,990
 
Changes from:       May 8, 2012                                      Total Change is:    29,164
     2,187    -18,972     10,643     -5,597     10,577      1,704      6,917     -1,335     11,007     -6,102      3,255       -125      8,530     12,410
 
Percent of Open Interest Represented by Each Category of Trader
       6.7       20.6        4.2       41.9       21.4        5.4       10.9       22.3        6.6        4.5        3.4        1.0       18.8       15.1
 
Number of Traders in Each Category                                    Total Traders:       559
        34         51         29        119         71         66         87        126         73         35         35         14
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   258,319
Positions
    24,662     57,923     10,261    104,691     32,143      8,285     25,716     51,953      2,981      9,436      6,888      5,074     67,213     82,811
 
Changes from:       May 8, 2012                                      Total Change is:     9,107
     1,703    -11,830      3,454       -616        393        348      3,802      7,138        237        409        -47        139       -369      9,275
 
Percent of Open Interest Represented by Each Category of Trader
       9.5       22.4        4.0       40.5       12.4        3.2       10.0       20.1        1.2        3.7        2.7        2.0       26.0       32.1
 
Number of Traders in Each Category                                    Total Traders:       116
        14         11          8         26          9         15         21         25         13          5          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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 2,967,815
Positions
   217,563    645,829     70,798  1,288,403    776,420    162,868    516,223    869,160     87,330    150,452    116,365      8,148    466,030    230,897
 
Changes from:       May 8, 2012                                      Total Change is:   100,286
    41,453      3,325     -3,090    -23,809     52,014      5,686     48,329     -9,614     21,097    -32,992     16,076       -884     44,496     15,676
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       21.8        2.4       43.4       26.2        5.5       17.4       29.3        2.9        5.1        3.9        0.3       15.7        7.8
 
Number of Traders in Each Category                                    Total Traders:       529
        34         49         21        105         68         57         87        120         58         32         34         10
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   102,036
Positions
    20,649     17,713        382     54,934     60,490      2,224     13,571     11,566         18      1,697      4,493          0      8,561      5,150
 
Changes from:       May 8, 2012                                      Total Change is:      -601
     3,030       -926        -42     -3,233      1,823        141        710       -362     -1,101         -2         10          0       -104       -144
 
Percent of Open Interest Represented by Each Category of Trader
      20.2       17.4        0.4       53.8       59.3        2.2       13.3       11.3        0.0        1.7        4.4        0.0        8.4        5.0
 
Number of Traders in Each Category                                    Total Traders:        93
        13          8          .         32         10         10         14         11          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   102,304
Positions
     6,122     40,275     13,011     28,715      8,248      1,538     29,771     15,224     12,577      1,462      6,029        583      8,526      4,820
 
Changes from:       May 8, 2012                                      Total Change is:    -1,907
       -43      1,305     -1,614     -2,502       -211        319      3,988        447     -1,247        250        178        -19     -1,038     -1,065
 
Percent of Open Interest Represented by Each Category of Trader
       6.0       39.4       12.7       28.1        8.1        1.5       29.1       14.9       12.3        1.4        5.9        0.6        8.3        4.7
 
Number of Traders in Each Category                                    Total Traders:       232
        19         32         14         32         22         11         56         49         22         11         11          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    21,260
Positions
     9,724     12,311        629      1,036          0          0      6,117      7,511          0        329          0          0      3,425        809
 
Changes from:       May 8, 2012                                      Total Change is:       643
       212        726          7          0          0          0      1,360       -123          0          0          0          0       -936         33
 
Percent of Open Interest Represented by Each Category of Trader
      45.7       57.9        3.0        4.9        0.0        0.0       28.8       35.3        0.0        1.5        0.0        0.0       16.1        3.8
 
Number of Traders in Each Category                                    Total Traders:        29
        10          7          .          .          0          0          5          5          0          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   405,222
Positions
    42,637    200,465      1,264    138,396     41,239      7,688    177,230     97,526      3,927      7,309     31,791      1,268     25,503     20,054
 
Changes from:       May 8, 2012                                      Total Change is:   -12,749
    -9,568     -5,398        188    -12,512     -1,057      1,595     16,974      6,685    -10,073      1,251        892        -93       -511     -5,488
 
Percent of Open Interest Represented by Each Category of Trader
      10.5       49.5        0.3       34.2       10.2        1.9       43.7       24.1        1.0        1.8        7.8        0.3        6.3        4.9
 
Number of Traders in Each Category                                    Total Traders:       230
        19         32          5         32         22         11         57         46         16         11         11          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   430,253
Positions
   185,205     25,288     13,726    130,391    214,153     19,362     60,107    127,075      2,934      2,756     11,412        250     15,522     16,053
 
Changes from:       May 8, 2012                                      Total Change is:    15,759
     8,475        545      2,774     -1,108     12,989        204      5,971       -793        423        -55        609        -22       -903       -970
 
Percent of Open Interest Represented by Each Category of Trader
      43.0        5.9        3.2       30.3       49.8        4.5       14.0       29.5        0.7        0.6        2.7        0.1        3.6        3.7
 
Number of Traders in Each Category                                    Total Traders:       254
        22         14          5         52         45         25         40         59         13          6         16          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    35,519
Positions
    12,241        808          0      9,443        907        134      4,072      3,812          0      1,834      6,899          0      7,795     22,959
 
Changes from:       May 8, 2012                                      Total Change is:    -5,627
      -157         50          0       -728        397        -64     -4,787     -6,582          0       -743        181          0        852        391
 
Percent of Open Interest Represented by Each Category of Trader
      34.5        2.3        0.0       26.6        2.6        0.4       11.5       10.7        0.0        5.2       19.4        0.0       21.9       64.6
 
Number of Traders in Each Category                                    Total Traders:        40
         7          .          0         11          .          .          7          .          0          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    66,621
Positions
    17,940     10,777      2,606      5,751      3,268        618     10,042      2,880      6,528      6,627          0          0     16,509     39,944
 
Changes from:       May 8, 2012                                      Total Change is:    -3,459
     1,243        738        369     -2,759        165         -5     -6,711      1,109       -999      1,749          0          0      3,654     -4,836
 
Percent of Open Interest Represented by Each Category of Trader
      26.9       16.2        3.9        8.6        4.9        0.9       15.1        4.3        9.8        9.9        0.0        0.0       24.8       60.0
 
Number of Traders in Each Category                                    Total Traders:        51
        13         12          6          5          .          .          9          5          .          5          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    59,111
Positions
     1,097     14,981      1,208     39,374     23,803      3,908      8,485     12,959          5        787          0          0      4,247      2,247
 
Changes from:       May 8, 2012                                      Total Change is:      -466
       875        156        -28       -378      2,056        152         23     -1,992       -179        -36          0          0       -895       -631
 
Percent of Open Interest Represented by Each Category of Trader
       1.9       25.3        2.0       66.6       40.3        6.6       14.4       21.9        0.0        1.3        0.0        0.0        7.2        3.8
 
Number of Traders in Each Category                                    Total Traders:        62
         .          4          .         19         22          9          9          5          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    91,768
Positions
    13,660     34,117      1,921     47,678      5,681      2,725     10,262     39,773         71      5,360      2,287        234      9,857      4,959
 
Changes from:       May 8, 2012                                      Total Change is:     6,403
     3,992       -428         90      4,599       -698       -113       -827      5,234          7       -447      1,602          0       -898        709
 
Percent of Open Interest Represented by Each Category of Trader
      14.9       37.2        2.1       52.0        6.2        3.0       11.2       43.3        0.1        5.8        2.5        0.3       10.7        5.4
 
Number of Traders in Each Category                                    Total Traders:        91
         8         16          6         22         10         10         13         10          .          8          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   645,984
Positions
     8,331    131,354      3,316    270,647    142,415     77,225     84,328     77,366     11,249     23,265     51,469        125    167,498    151,465
 
Changes from:       May 8, 2012                                      Total Change is:    34,354
    -2,533      1,464        536     29,893     -4,439     -1,992     -6,511     25,762      2,418      2,165        991         74     10,304      9,540
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       20.3        0.5       41.9       22.0       12.0       13.1       12.0        1.7        3.6        8.0        0.0       25.9       23.4
 
Number of Traders in Each Category                                    Total Traders:       176
         5         23          9         41         25         30         28         35         23          7         12          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   365,348
Positions
     2,478    138,014        754    253,892     13,601     26,968      7,538    110,605         56      8,194     18,955          0     65,468     56,395
 
Changes from:       May 8, 2012                                      Total Change is:     7,028
         0        526        219      3,629       -339     -2,099      2,433      3,098          0          0      3,584          0      2,846      2,039
 
Percent of Open Interest Represented by Each Category of Trader
       0.7       37.8        0.2       69.5        3.7        7.4        2.1       30.3        0.0        2.2        5.2        0.0       17.9       15.4
 
Number of Traders in Each Category                                    Total Traders:        69
         .         11          4         34          6         22          .          8          .          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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 1,015,401
Positions
    71,997    180,910     17,650    220,228    113,432     76,598    295,315    449,298     28,040    180,408     47,652      4,504    120,661     97,317
 
Changes from:       May 8, 2012                                      Total Change is:    17,486
     4,148     -9,370      7,810        307    -31,415      1,193      2,050     44,684        211      2,486      3,818     -3,233      2,514      3,788
 
Percent of Open Interest Represented by Each Category of Trader
       7.1       17.8        1.7       21.7       11.2        7.5       29.1       44.2        2.8       17.8        4.7        0.4       11.9        9.6
 
Number of Traders in Each Category                                    Total Traders:       226
        13         25         11         40         26         40         43         38         23         21         20          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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 1,906,411
Positions
   129,093    196,364     58,376    685,736    526,811    218,977    326,250    387,197     56,095    106,061    135,504     18,980    306,843    308,107
 
Changes from:       May 8, 2012                                      Total Change is:    21,869
    15,814    -36,353     16,677      8,954     24,150     -5,590    -42,852     42,546     13,166     -7,847     -4,115     -1,379     24,926    -27,233
 
Percent of Open Interest Represented by Each Category of Trader
       6.8       10.3        3.1       36.0       27.6       11.5       17.1       20.3        2.9        5.6        7.1        1.0       16.1       16.2
 
Number of Traders in Each Category                                    Total Traders:       303
        26         46         20         27         59         51         42         70         41         11         22          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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 1,408,673
Positions
    78,207    137,122     27,507    311,265    516,350    148,894    278,186    200,057     25,606    282,745     75,115     22,211    234,052    255,811
 
Changes from:       May 8, 2012                                      Total Change is:    39,005
   -33,431     25,927      2,928    -40,645      2,901      6,443      8,873     24,326         13     98,762    -14,355      1,776     -5,714    -10,954
 
Percent of Open Interest Represented by Each Category of Trader
       5.6        9.7        2.0       22.1       36.7       10.6       19.7       14.2        1.8       20.1        5.3        1.6       16.6       18.2
 
Number of Traders in Each Category                                    Total Traders:       205
         9         29         10         26         36         34         37         37         31         11         20          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   528,528
Positions
   190,418    138,072    194,037        565      9,245      3,758     50,230     56,697     60,416      1,721     11,779      5,564     21,819     48,960
 
Changes from:       May 8, 2012                                      Total Change is:    28,813
    10,839     -2,773     13,347          0      7,685        501       -553     -1,035      6,010        461      1,030        760     -2,552      3,288
 
Percent of Open Interest Represented by Each Category of Trader
      36.0       26.1       36.7        0.1        1.7        0.7        9.5       10.7       11.4        0.3        2.2        1.1        4.1        9.3
 
Number of Traders in Each Category                                    Total Traders:        90
        25         23         43          .          .          .         16         16         23          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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 8,834,239
Positions
 2,233,222  2,087,819  1,941,627    394,114    222,610    207,363  1,010,471    617,678  1,808,145    197,769    691,209    268,776    772,752    989,012
 
Changes from:       May 8, 2012                                      Total Change is:  -110,013
   169,044   -201,737     44,686    -44,196   -122,734     17,338   -202,832    -44,590     32,208    -13,499    174,804    -58,275    -54,487     48,287
 
Percent of Open Interest Represented by Each Category of Trader
      25.3       23.6       22.0        4.5        2.5        2.3       11.4        7.0       20.5        2.2        7.8        3.0        8.7       11.2
 
Number of Traders in Each Category                                    Total Traders:       253
        37         49         82         14          7         16         51         55         88         13         14         19
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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     8,409
Positions
     4,202        253          0        640        973          6      1,809      6,561        217      1,320        275          0        215        124
 
Changes from:       May 8, 2012                                      Total Change is:       190
       155         -6          0          9          0          0        -15        190         -5          0         -5          0         46         16
 
Percent of Open Interest Represented by Each Category of Trader
      50.0        3.0        0.0        7.6       11.6        0.1       21.5       78.0        2.6       15.7        3.3        0.0        2.6        1.5
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          6          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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     8,647
Positions
     6,136      3,845          0      1,150      2,451         45        993      1,962          0         72        266          0        251         78
 
Changes from:       May 8, 2012                                      Total Change is:       162
       272         62          0          0        125          0       -100         44          0          0        -95          0        -10         26
 
Percent of Open Interest Represented by Each Category of Trader
      71.0       44.5        0.0       13.3       28.3        0.5       11.5       22.7        0.0        0.8        3.1        0.0        2.9        0.9
 
Number of Traders in Each Category                                    Total Traders:        29
         .          5          0          .          5          .          4          8          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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    59,379
Positions
    13,799     23,239          0      4,075          0        234     26,410     32,981        650      8,342        651          9      5,860      1,615
 
Changes from:       May 8, 2012                                      Total Change is:    13,383
    -1,548      3,460        -71      1,910       -987        -20     12,023     11,375       -416      1,333        143        -14        186        -87
 
Percent of Open Interest Represented by Each Category of Trader
      23.2       39.1        0.0        6.9        0.0        0.4       44.5       55.5        1.1       14.0        1.1        0.0        9.9        2.7
 
Number of Traders in Each Category                                    Total Traders:       126
         9          .          0          8          0          .         48         19          6         30          7          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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   326,566
Positions
   137,384     58,557     33,283     36,675      3,964      6,811      6,651    106,805     28,103      1,360     10,182     50,659     25,640     28,202
 
Changes from:       May 8, 2012                                      Total Change is:      -219
    -6,484     -3,628      1,556     -1,944       -302     -1,064       -337     -3,157      6,665       -513     -3,572        870      1,032      2,413
 
Percent of Open Interest Represented by Each Category of Trader
      42.1       17.9       10.2       11.2        1.2        2.1        2.0       32.7        8.6        0.4        3.1       15.5        7.9        8.6
 
Number of Traders in Each Category                                    Total Traders:       138
        15         13         22          9          9          9         17         44         47          6         13         19
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 15, 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     6,976
Positions
       917        811        304      2,870      1,021          0      2,144      3,673        594          0        527          0        147         46
 
Changes from:       May 8, 2012                                      Total Change is:      -115
        73       -165          7        -50        -67          0         93         76          0       -290          0          0         52         34
 
Percent of Open Interest Represented by Each Category of Trader
      13.1       11.6        4.4       41.1       14.6        0.0       30.7       52.7        8.5        0.0        7.6        0.0        2.1        0.7
 
Number of Traders in Each Category                                    Total Traders:        21
         .          .          .          5          .          0          5          4          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
 

Updated May 21, 2012