Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 123,832 Positions 32,508 6,190 5,512 17,967 34,670 603 19,785 50,148 5,684 8,568 7 227 32,977 20,790 Changes from: January 17, 2012 Total Change is: -5,279 -9,147 1,730 647 -29 16 -10 -1,559 -5,438 180 192 -644 4 4,444 -1,763 Percent of Open Interest Represented by Each Category of Trader 26.3 5.0 4.5 14.5 28.0 0.5 16.0 40.5 4.6 6.9 0.0 0.2 26.6 16.8 Number of Traders in Each Category Total Traders: 76 9 7 9 6 4 . 20 19 10 10 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 42,039 Positions 10,626 1,582 1,975 999 1,961 283 16,266 17,709 1,292 537 0 0 10,059 17,236 Changes from: January 17, 2012 Total Change is: -2,789 -2,375 -324 334 0 -8 8 -2,427 291 -372 0 0 0 2,043 -2,718 Percent of Open Interest Represented by Each Category of Trader 25.3 3.8 4.7 2.4 4.7 0.7 38.7 42.1 3.1 1.3 0.0 0.0 23.9 41.0 Number of Traders in Each Category Total Traders: 43 10 . 6 . 4 . 7 17 4 . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 196,314 Positions 142,588 2,124 2,359 8,738 81,922 3,331 18,963 67,428 3,229 1,170 2,934 42 15,894 32,946 Changes from: January 17, 2012 Total Change is: -22,556 -14,829 560 142 -21 283 89 -7,263 -15,959 -1,327 -403 -786 -241 1,297 -5,317 Percent of Open Interest Represented by Each Category of Trader 72.6 1.1 1.2 4.5 41.7 1.7 9.7 34.3 1.6 0.6 1.5 0.0 8.1 16.8 Number of Traders in Each Category Total Traders: 95 14 5 9 5 17 5 13 35 15 . 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 160,919 Positions 625 60,748 3,775 65,802 10,588 1,437 61,285 47,836 2,715 1,845 1,125 78 23,357 32,616 Changes from: January 17, 2012 Total Change is: -13,331 -123 -15,377 1,131 -31 -358 316 -12,578 -4,346 366 1,095 -1,087 78 -3,584 5,945 Percent of Open Interest Represented by Each Category of Trader 0.4 37.8 2.3 40.9 6.6 0.9 38.1 29.7 1.7 1.1 0.7 0.0 14.5 20.3 Number of Traders in Each Category Total Traders: 94 . 16 9 8 9 4 22 28 13 4 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 361,868 Positions 144,528 31,454 11,741 53,623 33,070 5,341 70,211 171,938 29,059 5,955 8,028 3,804 37,607 67,433 Changes from: January 17, 2012 Total Change is: 11,795 8,591 517 1,352 1,362 -1,914 228 2,540 17,807 -2,799 -67 -4,531 296 292 837 Percent of Open Interest Represented by Each Category of Trader 39.9 8.7 3.2 14.8 9.1 1.5 19.4 47.5 8.0 1.6 2.2 1.1 10.4 18.6 Number of Traders in Each Category Total Traders: 193 25 11 15 17 19 13 27 68 37 5 21 13 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 149,927 Positions 10,923 43,913 6,727 3,418 43,938 1,062 92,023 25,656 4,527 507 3,604 858 29,882 19,643 Changes from: January 17, 2012 Total Change is: 8,043 -5,862 7,583 1,425 487 -163 18 8,912 -6,832 1,679 -1,123 2,857 319 2,188 1,157 Percent of Open Interest Represented by Each Category of Trader 7.3 29.3 4.5 2.3 29.3 0.7 61.4 17.1 3.0 0.3 2.4 0.6 19.9 13.1 Number of Traders in Each Category Total Traders: 92 4 14 8 . 8 . 35 19 14 5 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 125,884 Positions 42,890 41,043 73,973 0 0 0 5,497 7,395 3,263 0 0 0 261 210 Changes from: January 17, 2012 Total Change is: -6,042 6,173 9,173 -15,233 0 0 0 1,067 -1,854 1,971 0 0 0 -19 -98 Percent of Open Interest Represented by Each Category of Trader 34.1 32.6 58.8 0.0 0.0 0.0 4.4 5.9 2.6 0.0 0.0 0.0 0.2 0.2 Number of Traders in Each Category Total Traders: 22 6 11 13 0 0 0 . . . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 142,514 Positions 68,687 59,777 980 23,815 944 822 42,230 72,180 950 1,081 1,953 0 3,949 4,908 Changes from: January 17, 2012 Total Change is: 12,121 -957 6,675 237 -1,326 -643 -262 12,704 6,646 738 1 -1,375 0 986 105 Percent of Open Interest Represented by Each Category of Trader 48.2 41.9 0.7 16.7 0.7 0.6 29.6 50.6 0.7 0.8 1.4 0.0 2.8 3.4 Number of Traders in Each Category Total Traders: 96 6 13 . 8 . . 26 31 . 5 4 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 25,569 Positions 1,702 16,053 225 101 601 0 19,979 6,569 141 165 342 0 3,256 1,638 Changes from: January 17, 2012 Total Change is: 4,614 186 4,128 0 -82 54 0 4,170 536 0 0 -101 0 340 -3 Percent of Open Interest Represented by Each Category of Trader 6.7 62.8 0.9 0.4 2.4 0.0 78.1 25.7 0.6 0.6 1.3 0.0 12.7 6.4 Number of Traders in Each Category Total Traders: 42 4 9 . . . 0 15 9 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 53,226 Positions 14,644 33,204 308 3,411 2,394 733 21,867 9,747 856 3,636 554 209 7,562 5,222 Changes from: January 17, 2012 Total Change is: 845 -306 332 -78 304 -359 150 1,506 717 -733 -36 136 9 29 670 Percent of Open Interest Represented by Each Category of Trader 27.5 62.4 0.6 6.4 4.5 1.4 41.1 18.3 1.6 6.8 1.0 0.4 14.2 9.8 Number of Traders in Each Category Total Traders: 96 19 17 4 4 5 . 25 19 9 . 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 106,452 Positions 29,289 66,408 615 6,821 4,787 1,465 43,735 19,494 1,712 7,273 1,109 418 15,124 10,444 Changes from: January 17, 2012 Total Change is: 1,689 -612 665 -156 608 -717 300 3,012 1,434 -1,466 -73 271 18 59 1,340 Percent of Open Interest Represented by Each Category of Trader 27.5 62.4 0.6 6.4 4.5 1.4 41.1 18.3 1.6 6.8 1.0 0.4 14.2 9.8 Number of Traders in Each Category Total Traders: 96 19 17 4 4 5 . 25 19 9 . 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 900,960 Positions 40,562 183,660 45,970 367,128 190,530 59,893 88,515 139,483 111,108 27,638 33,633 25,579 134,568 111,103 Changes from: January 17, 2012 Total Change is: 7,994 636 22,203 1,198 3,965 -12,081 -108 3,290 439 -8,740 2,058 -297 494 5,201 4,886 Percent of Open Interest Represented by Each Category of Trader 4.5 20.4 5.1 40.7 21.1 6.6 9.8 15.5 12.3 3.1 3.7 2.8 14.9 12.3 Number of Traders in Each Category Total Traders: 543 31 54 34 112 65 67 84 120 95 32 44 30 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 321,243 Positions 32,782 108,230 3,773 107,937 45,879 14,898 29,626 21,213 45,182 3,167 13,588 11,247 72,631 57,233 Changes from: January 17, 2012 Total Change is: 12,315 7,260 13,016 9 -1,100 -2,611 596 6,831 -70 -3,670 1,665 1,267 231 492 3,546 Percent of Open Interest Represented by Each Category of Trader 10.2 33.7 1.2 33.6 14.3 4.6 9.2 6.6 14.1 1.0 4.2 3.5 22.6 17.8 Number of Traders in Each Category Total Traders: 117 8 17 8 24 14 13 16 23 32 5 10 11 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 2,898,586 Positions 180,921 519,173 68,964 1,327,279 754,580 193,651 411,047 707,960 213,024 129,961 107,831 64,056 309,684 269,349 Changes from: January 17, 2012 Total Change is: -21,603 -30,484 48,570 3,307 27,172 -45,503 -5,366 20,108 40,362 -63,165 9,228 -558 -5,948 23,546 6,699 Percent of Open Interest Represented by Each Category of Trader 6.2 17.9 2.4 45.8 26.0 6.7 14.2 24.4 7.3 4.5 3.7 2.2 10.7 9.3 Number of Traders in Each Category Total Traders: 512 32 51 26 102 58 61 83 116 88 29 40 25 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 109,146 Positions 20,988 20,780 0 52,118 60,464 9,642 13,178 9,069 325 1,717 4,396 0 11,178 4,470 Changes from: January 17, 2012 Total Change is: 3,513 -1,561 6,085 0 49 -4,813 1,181 2,259 648 -4 0 353 0 1,588 62 Percent of Open Interest Represented by Each Category of Trader 19.2 19.0 0.0 47.8 55.4 8.8 12.1 8.3 0.3 1.6 4.0 0.0 10.2 4.1 Number of Traders in Each Category Total Traders: 90 10 9 0 31 12 15 14 8 . . 4 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 91,953 Positions 6,312 43,791 8,232 25,340 9,662 1,785 29,419 10,050 7,382 1,603 4,119 87 11,793 6,844 Changes from: January 17, 2012 Total Change is: 13,696 298 7,865 1,995 532 -91 17 6,469 826 2,607 503 -35 -108 1,385 621 Percent of Open Interest Represented by Each Category of Trader 6.9 47.6 9.0 27.6 10.5 1.9 32.0 10.9 8.0 1.7 4.5 0.1 12.8 7.4 Number of Traders in Each Category Total Traders: 236 22 32 13 30 22 10 63 40 21 13 14 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 16,020 Positions 6,633 9,794 20 0 300 0 6,680 982 0 0 856 0 2,687 4,068 Changes from: January 17, 2012 Total Change is: 4,541 1,348 2,681 0 0 0 0 2,949 613 0 0 491 0 244 756 Percent of Open Interest Represented by Each Category of Trader 41.4 61.1 0.1 0.0 1.9 0.0 41.7 6.1 0.0 0.0 5.3 0.0 16.8 25.4 Number of Traders in Each Category Total Traders: 24 9 8 . 0 . 0 4 . 0 0 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 379,665 Positions 35,940 207,528 3,514 126,700 46,812 8,926 146,874 78,521 3,730 8,014 16,317 437 45,530 13,880 Changes from: January 17, 2012 Total Change is: 45,776 3,207 34,377 1,515 2,658 -455 83 32,329 15,793 -1,696 2,513 -2,628 -539 5,707 -673 Percent of Open Interest Represented by Each Category of Trader 9.5 54.7 0.9 33.4 12.3 2.4 38.7 20.7 1.0 2.1 4.3 0.1 12.0 3.7 Number of Traders in Each Category Total Traders: 236 25 29 6 30 22 10 62 41 17 13 14 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 410,502 Positions 159,619 28,139 20,686 118,751 201,264 29,089 52,592 95,532 3,520 8,285 15,381 493 17,466 16,398 Changes from: January 17, 2012 Total Change is: 4,967 -16,422 2,120 6,603 4,329 -5,340 663 6,018 1,770 474 4,349 -696 230 -1,277 -858 Percent of Open Interest Represented by Each Category of Trader 38.9 6.9 5.0 28.9 49.0 7.1 12.8 23.3 0.9 2.0 3.7 0.1 4.3 4.0 Number of Traders in Each Category Total Traders: 249 23 11 4 47 42 26 40 58 14 9 19 4 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 22,907 Positions 5,090 695 0 8,079 1,595 54 3,543 5,369 0 600 4,586 0 5,541 10,608 Changes from: January 17, 2012 Total Change is: -465 -109 408 0 994 358 0 -995 -1,590 -3 -217 555 0 -135 -193 Percent of Open Interest Represented by Each Category of Trader 22.2 3.0 0.0 35.3 7.0 0.2 15.5 23.4 0.0 2.6 20.0 0.0 24.2 46.3 Number of Traders in Each Category Total Traders: 36 5 . 0 9 . . 8 7 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 43,607 Positions 14,543 7,246 822 6,473 2,964 951 8,504 2,179 3,193 2,009 0 0 7,112 26,252 Changes from: January 17, 2012 Total Change is: 4,898 -933 692 97 -732 -270 247 3,329 -513 923 132 0 0 1,835 3,722 Percent of Open Interest Represented by Each Category of Trader 33.4 16.6 1.9 14.8 6.8 2.2 19.5 5.0 7.3 4.6 0.0 0.0 16.3 60.2 Number of Traders in Each Category Total Traders: 51 12 10 . 6 . 4 12 5 . 4 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 46,314 Positions 428 4,306 89 33,542 23,819 4,713 2,800 11,221 165 0 0 0 4,577 2,001 Changes from: January 17, 2012 Total Change is: 722 -250 -1 24 -210 363 503 291 -1 161 0 0 0 203 -327 Percent of Open Interest Represented by Each Category of Trader 0.9 9.3 0.2 72.4 51.4 10.2 6.0 24.2 0.4 0.0 0.0 0.0 9.9 4.3 Number of Traders in Each Category Total Traders: 51 . . . 17 20 10 . 7 . 0 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 68,109 Positions 10,148 21,610 22 35,782 25,240 2,342 8,066 15,591 595 4,135 562 598 6,421 1,549 Changes from: January 17, 2012 Total Change is: -1,655 -4,146 -1,685 22 1,891 1,551 -274 941 334 26 802 -247 -22 -895 -1,360 Percent of Open Interest Represented by Each Category of Trader 14.9 31.7 0.0 52.5 37.1 3.4 11.8 22.9 0.9 6.1 0.8 0.9 9.4 2.3 Number of Traders in Each Category Total Traders: 82 9 13 . 17 9 7 14 9 . 9 . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 741,870 Positions 24,041 94,954 37,900 294,197 111,819 102,464 48,296 113,583 64,555 11,310 63,900 7,508 151,600 145,187 Changes from: January 17, 2012 Total Change is: -4,694 9,504 -31,610 2,724 -3,972 4,061 3,500 -7,125 3,610 6,408 -10,451 -3,426 2,190 -7,471 7,850 Percent of Open Interest Represented by Each Category of Trader 3.2 12.8 5.1 39.7 15.1 13.8 6.5 15.3 8.7 1.5 8.6 1.0 20.4 19.6 Number of Traders in Each Category Total Traders: 167 13 16 22 44 20 39 27 34 42 5 8 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 373,110 Positions 4,825 148,027 675 275,259 27,287 29,271 1,872 117,759 331 0 1,611 0 60,877 48,149 Changes from: January 17, 2012 Total Change is: -2,027 0 -4,061 -130 -886 -46 5 0 -1,155 65 0 1,611 0 -1,081 1,684 Percent of Open Interest Represented by Each Category of Trader 1.3 39.7 0.2 73.8 7.3 7.8 0.5 31.6 0.1 0.0 0.4 0.0 16.3 12.9 Number of Traders in Each Category Total Traders: 66 . 9 5 36 6 19 . 11 4 0 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 866,947 Positions 77,962 151,183 5,887 157,845 166,825 75,015 332,465 283,390 29,500 61,985 49,485 1,793 124,494 103,869 Changes from: January 17, 2012 Total Change is: 61,621 4,644 21,535 852 8,961 -13,237 884 78,220 38,197 2,929 -37,103 11,370 -393 2,627 -516 Percent of Open Interest Represented by Each Category of Trader 9.0 17.4 0.7 18.2 19.2 8.7 38.3 32.7 3.4 7.1 5.7 0.2 14.4 12.0 Number of Traders in Each Category Total Traders: 219 13 28 13 33 39 40 42 37 27 9 18 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 1,989,575 Positions 132,594 109,468 110,721 706,949 812,113 161,086 339,241 141,946 160,047 77,127 90,965 26,839 274,972 376,390 Changes from: January 17, 2012 Total Change is: 62,077 65,808 -62,368 23,551 -17,382 92,114 -1,715 51,293 -29,232 10,634 -33,410 8,989 -4,373 -32,328 24,477 Percent of Open Interest Represented by Each Category of Trader 6.7 5.5 5.6 35.5 40.8 8.1 17.1 7.1 8.0 3.9 4.6 1.3 13.8 18.9 Number of Traders in Each Category Total Traders: 256 26 25 40 30 55 47 49 44 64 9 18 13 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 1,571,457 Positions 69,863 190,568 54,499 503,124 623,626 150,596 248,460 119,355 93,388 197,264 78,459 22,643 231,620 238,323 Changes from: January 17, 2012 Total Change is: 2,754 10,739 -29,800 -6,991 60,966 30,707 -4,808 -19,057 486 4,441 -33,206 -9,939 7,360 -16,691 11,298 Percent of Open Interest Represented by Each Category of Trader 4.4 12.1 3.5 32.0 39.7 9.6 15.8 7.6 5.9 12.6 5.0 1.4 14.7 15.2 Number of Traders in Each Category Total Traders: 184 10 27 18 23 41 43 32 28 32 7 16 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 615,391 Positions 155,076 222,621 188,119 905 1,040 3,974 76,243 24,213 105,373 18,199 4,915 23,770 43,732 41,367 Changes from: January 17, 2012 Total Change is: 10,902 -1,340 -4,943 10,047 -2,000 0 2,000 -5,776 -3,565 3,936 1,183 2 -712 3,563 4,137 Percent of Open Interest Represented by Each Category of Trader 25.2 36.2 30.6 0.1 0.2 0.6 12.4 3.9 17.1 3.0 0.8 3.9 7.1 6.7 Number of Traders in Each Category Total Traders: 93 19 25 35 . . . 20 13 27 4 5 6 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 is12,744,817 Positions 1,075,405 2,341,913 2,979,110 1,409,576 251,129 145,153 878,080 446,575 4,349,632 85,504 350,391 868,637 953,719 1,012,276 Changes from: January 17, 2012 Total Change is: -42,855 -26,770 41,373 -12,104 -76,169 110,422 -5,488 132,963 -22,001 -4,807 -8,773 -34,408 -80,894 39,186 -34,949 Percent of Open Interest Represented by Each Category of Trader 8.4 18.4 23.4 11.1 2.0 1.1 6.9 3.5 34.1 0.7 2.7 6.8 7.5 7.9 Number of Traders in Each Category Total Traders: 274 25 62 83 12 13 18 64 62 109 11 17 18 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 9,664 Positions 5,329 3,147 0 1,553 780 11 1,212 5,471 30 1,302 160 0 227 65 Changes from: January 17, 2012 Total Change is: 199 25 449 0 -61 -4 0 193 -224 0 55 0 0 -13 -22 Percent of Open Interest Represented by Each Category of Trader 55.1 32.6 0.0 16.1 8.1 0.1 12.5 56.6 0.3 13.5 1.7 0.0 2.3 0.7 Number of Traders in Each Category Total Traders: 29 . . 0 . 4 . 5 8 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 12,575 Positions 9,017 7,881 0 1,236 1,666 0 1,926 2,606 0 80 305 0 316 117 Changes from: January 17, 2012 Total Change is: 147 -23 486 0 -2 -132 0 237 -129 0 10 0 0 -75 -78 Percent of Open Interest Represented by Each Category of Trader 71.7 62.7 0.0 9.8 13.2 0.0 15.3 20.7 0.0 0.6 2.4 0.0 2.5 0.9 Number of Traders in Each Category Total Traders: 34 4 5 0 . 4 0 8 7 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 64,667 Positions 21,236 31,643 4 5,103 360 514 22,692 28,084 1,868 5,361 452 5 7,884 1,737 Changes from: January 17, 2012 Total Change is: -4,363 660 -1,903 -21 -1,740 0 35 -2,084 -2,765 992 -156 122 -2 -2,048 -821 Percent of Open Interest Represented by Each Category of Trader 32.8 48.9 0.0 7.9 0.6 0.8 35.1 43.4 2.9 8.3 0.7 0.0 12.2 2.7 Number of Traders in Each Category Total Traders: 111 4 5 . 8 . . 47 11 7 28 6 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 151,622 Positions 60,049 33,697 25,455 9,515 1,991 1,340 12,006 45,143 9,372 1,129 6,274 24,959 7,797 3,391 Changes from: January 17, 2012 Total Change is: -2,679 9,391 1,194 -4,915 872 -137 690 3,346 10,557 -6,121 -130 2,232 9,452 -15,264 -15,631 Percent of Open Interest Represented by Each Category of Trader 39.6 22.2 16.8 6.3 1.3 0.9 7.9 29.8 6.2 0.7 4.1 16.5 5.1 2.2 Number of Traders in Each Category Total Traders: 78 13 9 16 7 4 . 16 16 19 7 4 6 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 16,354 Positions 11,618 1,525 0 1,649 950 430 1,823 11,810 168 0 1,149 309 357 13 Changes from: January 17, 2012 Total Change is: 206 -109 -388 0 -6 26 0 165 570 0 0 -67 67 89 -2 Percent of Open Interest Represented by Each Category of Trader 71.0 9.3 0.0 10.1 5.8 2.6 11.1 72.2 1.0 0.0 7.0 1.9 2.2 0.1 Number of Traders in Each Category Total Traders: 24 . . 0 4 . . . 8 . 0 . . -----------------------------------------------------------------------------------------------------------------------------------------------------------
Updated January 27, 2012