Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 129,603
Positions
10,962 25,803 3,562 18,509 34,825 163 43,468 42,539 3,935 8,830 0 405 39,769 18,370
Changes from: March 20, 2012 Total Change is: -66,535
-8,722 -4,620 -26,066 53 37 -3 -7,591 -10,456 -19,769 60 -1 17 -4,513 -5,674
Percent of Open Interest Represented by Each Category of Trader
8.5 19.9 2.7 14.3 26.9 0.1 33.5 32.8 3.0 6.8 0.0 0.3 30.7 14.2
Number of Traders in Each Category Total Traders: 78
5 8 8 7 4 . 28 14 13 12 0 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 43,808
Positions
15,596 13,388 198 868 1,504 160 13,678 13,992 513 537 0 0 12,258 14,053
Changes from: March 20, 2012 Total Change is: -775
-1,699 2,588 -84 0 -9 0 -1,310 -355 -1 0 0 0 2,320 -2,913
Percent of Open Interest Represented by Each Category of Trader
35.6 30.6 0.5 2.0 3.4 0.4 31.2 31.9 1.2 1.2 0.0 0.0 28.0 32.1
Number of Traders in Each Category Total Traders: 34
5 6 . . . . 7 11 4 . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 141,842
Positions
47,400 2,040 3,488 9,024 72,661 4,416 47,205 28,409 2,384 2,041 4,050 0 25,885 24,394
Changes from: March 20, 2012 Total Change is: -5,473
-15,887 1,169 287 -345 -516 792 4,155 -5,039 439 -28 -876 0 5,114 -1,730
Percent of Open Interest Represented by Each Category of Trader
33.4 1.4 2.5 6.4 51.2 3.1 33.3 20.0 1.7 1.4 2.9 0.0 18.2 17.2
Number of Traders in Each Category Total Traders: 86
11 4 9 7 14 7 22 21 9 . 4 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 164,786
Positions
58,171 9,301 7,462 63,753 10,040 820 11,253 75,168 8,086 919 2,783 366 13,957 50,762
Changes from: March 20, 2012 Total Change is: 5,809
30,306 -7,943 300 259 754 -6 -24,149 10,633 280 -161 -23 206 -1,225 1,608
Percent of Open Interest Represented by Each Category of Trader
35.3 5.6 4.5 38.7 6.1 0.5 6.8 45.6 4.9 0.6 1.7 0.2 8.5 30.8
Number of Traders in Each Category Total Traders: 113
11 6 9 9 10 6 18 48 23 4 7 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 284,400
Positions
121,821 13,541 9,719 39,065 30,917 7,931 30,053 110,630 28,839 5,432 14,342 2,736 38,803 65,744
Changes from: March 20, 2012 Total Change is: -16,880
-2,601 -10,048 192 -5,740 -92 3,347 -17,894 -11,877 1,641 -866 708 -202 5,242 -550
Percent of Open Interest Represented by Each Category of Trader
42.8 4.8 3.4 13.7 10.9 2.8 10.6 38.9 10.1 1.9 5.0 1.0 13.6 23.1
Number of Traders in Each Category Total Traders: 182
25 7 12 16 19 13 27 62 39 4 22 13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 157,558
Positions
20,417 37,270 3,973 3,903 40,421 743 92,442 47,832 5,174 1,365 674 640 28,902 20,832
Changes from: March 20, 2012 Total Change is: -12,446
-6,280 -4,362 -39 -112 -186 -14 -4,536 -8,078 1,563 -11 -22 49 -3,065 -1,354
Percent of Open Interest Represented by Each Category of Trader
13.0 23.7 2.5 2.5 25.7 0.5 58.7 30.4 3.3 0.9 0.4 0.4 18.3 13.2
Number of Traders in Each Category Total Traders: 94
9 10 10 4 9 . 29 24 15 7 . .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF RUB 2,500,000)
CFTC Code #089741 Open Interest is 126,136
Positions
40,899 45,057 69,804 0 0 0 7,571 3,984 7,140 165 0 0 557 151
Changes from: March 20, 2012 Total Change is: -104
50 -176 111 0 0 0 -297 -1 0 0 0 0 32 -38
Percent of Open Interest Represented by Each Category of Trader
32.4 35.7 55.3 0.0 0.0 0.0 6.0 3.2 5.7 0.1 0.0 0.0 0.4 0.1
Number of Traders in Each Category Total Traders: 22
7 9 12 0 0 0 . . . . 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 178,551
Positions
46,769 135,751 0 19,720 0 3,142 96,635 34,664 376 4,058 2,393 0 7,851 2,225
Changes from: March 20, 2012 Total Change is: 3,860
-548 60,332 0 -668 -201 0 4,075 -53,144 98 485 -340 0 418 -2,885
Percent of Open Interest Represented by Each Category of Trader
26.2 76.0 0.0 11.0 0.0 1.8 54.1 19.4 0.2 2.3 1.3 0.0 4.4 1.2
Number of Traders in Each Category Total Traders: 107
7 9 0 13 0 . 50 13 . 10 5 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF NZD 100,000)
CFTC Code #112741 Open Interest is 20,247
Positions
1,934 11,956 0 551 305 0 13,728 6,166 152 427 338 0 3,455 1,330
Changes from: March 20, 2012 Total Change is: -41
108 898 0 -75 -83 0 -407 -283 -64 28 0 0 369 -509
Percent of Open Interest Represented by Each Category of Trader
9.6 59.1 0.0 2.7 1.5 0.0 67.8 30.5 0.8 2.1 1.7 0.0 17.1 6.6
Number of Traders in Each Category Total Traders: 47
4 7 0 . . 0 18 11 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 54,660
Positions
11,769 33,521 959 4,560 1,451 654 24,663 11,287 1,121 3,097 591 522 7,316 4,554
Changes from: March 20, 2012 Total Change is: 163
-106 -16 -23 9 102 87 -1,023 -17 391 289 -113 11 529 -259
Percent of Open Interest Represented by Each Category of Trader
21.5 61.3 1.8 8.3 2.7 1.2 45.1 20.7 2.1 5.7 1.1 1.0 13.4 8.3
Number of Traders in Each Category Total Traders: 101
14 20 . 7 5 . 31 14 10 5 5 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 109,319
Positions
23,537 67,042 1,917 9,119 2,902 1,307 49,326 22,575 2,243 6,194 1,182 1,043 14,633 9,109
Changes from: March 20, 2012 Total Change is: 326
-212 -33 -46 17 204 173 -2,047 -33 782 577 -227 23 1,059 -517
Percent of Open Interest Represented by Each Category of Trader
21.5 61.3 1.8 8.3 2.7 1.2 45.1 20.7 2.1 5.7 1.1 1.0 13.4 8.3
Number of Traders in Each Category Total Traders: 101
14 20 . 7 5 . 31 14 10 5 5 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 918,825
Positions
38,506 211,240 21,766 393,088 156,528 49,046 83,209 174,104 125,791 32,748 30,820 28,277 146,394 121,253
Changes from: March 20, 2012 Total Change is: 22,256
323 9,913 1,990 4,906 -4,519 -3,597 -1,492 2,655 11,660 -1,473 408 2,886 7,053 859
Percent of Open Interest Represented by Each Category of Trader
4.2 23.0 2.4 42.8 17.0 5.3 9.1 18.9 13.7 3.6 3.4 3.1 15.9 13.2
Number of Traders in Each Category Total Traders: 575
28 53 36 127 57 60 89 136 103 40 45 37
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 306,008
Positions
16,768 80,344 4,561 109,111 29,273 12,843 17,318 35,388 57,261 10,907 7,322 10,801 66,438 68,215
Changes from: March 20, 2012 Total Change is: 9,744
1,793 1,752 -428 -1,411 -903 -251 3,166 3,915 4,744 -1,261 -172 1,017 2,374 70
Percent of Open Interest Represented by Each Category of Trader
5.5 26.3 1.5 35.7 9.6 4.2 5.7 11.6 18.7 3.6 2.4 3.5 21.7 22.3
Number of Traders in Each Category Total Traders: 130
9 14 5 28 9 14 19 34 44 10 7 14
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 3,064,087
Positions
139,259 685,054 55,453 1,448,628 665,015 152,279 377,647 741,770 294,458 115,664 123,948 80,919 399,779 265,191
Changes from: March 20, 2012 Total Change is: 62,560
-5,173 42,984 9,908 27,173 -22,491 -12,315 -11,200 5,790 22,495 4,145 8,108 4,136 23,391 3,945
Percent of Open Interest Represented by Each Category of Trader
4.5 22.4 1.8 47.3 21.7 5.0 12.3 24.2 9.6 3.8 4.0 2.6 13.0 8.7
Number of Traders in Each Category Total Traders: 533
27 51 31 113 54 53 91 122 94 34 41 28
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 100,642
Positions
9,360 19,568 87 57,082 59,903 5,353 13,916 9,740 50 4,641 3,104 0 10,153 2,837
Changes from: March 20, 2012 Total Change is: 1,693
1,890 -873 0 882 2,670 -145 -1,132 848 23 149 -15 0 26 -815
Percent of Open Interest Represented by Each Category of Trader
9.3 19.4 0.1 56.7 59.5 5.3 13.8 9.7 0.0 4.6 3.1 0.0 10.1 2.8
Number of Traders in Each Category Total Traders: 98
12 9 . 36 12 12 14 9 . 4 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 89,534
Positions
4,152 47,774 797 32,021 7,293 1,073 41,122 15,469 2,172 1,594 6,830 824 5,778 7,303
Changes from: March 20, 2012 Total Change is: -782
243 -2,523 19 -28 -916 12 -2,259 -272 712 54 802 67 399 1,317
Percent of Open Interest Represented by Each Category of Trader
4.6 53.4 0.9 35.8 8.1 1.2 45.9 17.3 2.4 1.8 7.6 0.9 6.5 8.2
Number of Traders in Each Category Total Traders: 259
20 29 8 36 23 10 70 39 18 16 26 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 447,672
Positions
20,762 238,872 3,985 160,107 36,463 5,366 205,612 77,343 10,859 7,972 34,152 4,118 28,892 36,515
Changes from: March 20, 2012 Total Change is: -3,908
1,213 -12,613 97 -139 -4,580 59 -11,295 -1,358 3,559 271 4,010 333 1,995 6,585
Percent of Open Interest Represented by Each Category of Trader
4.6 53.4 0.9 35.8 8.1 1.2 45.9 17.3 2.4 1.8 7.6 0.9 6.5 8.2
Number of Traders in Each Category Total Traders: 259
20 29 8 36 23 10 70 39 18 16 26 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 374,511
Positions
122,193 28,731 6,148 139,513 192,237 20,725 56,407 98,710 2,846 5,948 11,138 100 20,631 13,876
Changes from: March 20, 2012 Total Change is: -3,741
-6,916 3,298 -1,462 3,264 -2,197 4 19 -683 799 -120 -3,830 -122 792 451
Percent of Open Interest Represented by Each Category of Trader
32.6 7.7 1.6 37.3 51.3 5.5 15.1 26.4 0.8 1.6 3.0 0.0 5.5 3.7
Number of Traders in Each Category Total Traders: 246
18 14 4 53 46 23 42 57 16 6 10 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 45,659
Positions
16,529 680 15 14,503 310 357 4,512 15,330 0 3,319 6,795 0 6,424 22,172
Changes from: March 20, 2012 Total Change is: 749
86 220 8 -57 0 141 676 -464 0 292 1,010 0 -397 -166
Percent of Open Interest Represented by Each Category of Trader
36.2 1.5 0.0 31.8 0.7 0.8 9.9 33.6 0.0 7.3 14.9 0.0 14.1 48.6
Number of Traders in Each Category Total Traders: 53
11 . . 13 . . 11 5 0 6 . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 46,875
Positions
5,812 8,360 707 8,599 2,395 749 16,960 1,467 3,112 3,164 2,276 0 7,772 27,809
Changes from: March 20, 2012 Total Change is: 1,703
-2,446 3,173 -51 196 -55 -93 65 57 2,495 306 1,010 0 1,231 -4,833
Percent of Open Interest Represented by Each Category of Trader
12.4 17.8 1.5 18.3 5.1 1.6 36.2 3.1 6.6 6.7 4.9 0.0 16.6 59.3
Number of Traders in Each Category Total Traders: 51
9 14 6 6 . . 12 . . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 49,856
Positions
220 8,672 1,033 34,976 22,450 3,723 4,937 12,014 133 0 0 0 4,834 1,831
Changes from: March 20, 2012 Total Change is: 596
0 773 3 -898 -1,135 -131 1,493 1,310 18 0 0 0 111 -242
Percent of Open Interest Represented by Each Category of Trader
0.4 17.4 2.1 70.2 45.0 7.5 9.9 24.1 0.3 0.0 0.0 0.0 9.7 3.7
Number of Traders in Each Category Total Traders: 59
. 4 . 20 21 9 7 6 . 0 0 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 84,292
Positions
12,429 28,642 1,017 33,519 12,766 3,899 10,661 32,934 26 7,598 0 236 14,907 4,772
Changes from: March 20, 2012 Total Change is: 2,757
-222 1,623 96 823 -11,378 -9 -801 11,189 0 -1,577 -330 0 4,447 1,566
Percent of Open Interest Represented by Each Category of Trader
14.7 34.0 1.2 39.8 15.1 4.6 12.6 39.1 0.0 9.0 0.0 0.3 17.7 5.7
Number of Traders in Each Category Total Traders: 90
9 12 . 21 12 9 14 12 . 10 0 .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 685,997
Positions
20,496 54,027 39,118 245,429 151,552 95,300 63,005 65,824 66,390 9,416 44,821 5,659 141,183 163,306
Changes from: March 20, 2012 Total Change is: -90,034
-6,734 -2,426 -20,021 10,649 7,295 -6,717 7,406 -15,134 -55,745 -3,274 4,678 -8,268 -7,330 6,304
Percent of Open Interest Represented by Each Category of Trader
3.0 7.9 5.7 35.8 22.1 13.9 9.2 9.6 9.7 1.4 6.5 0.8 20.6 23.8
Number of Traders in Each Category Total Traders: 159
9 13 19 42 25 37 28 29 43 5 8 4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 351,737
Positions
2,481 147,084 819 252,233 19,582 32,465 1,647 100,541 738 3,000 3,691 0 58,354 46,817
Changes from: March 20, 2012 Total Change is: -7,408
0 -1,916 -4,271 -3,133 -4,581 3,700 0 5,672 0 0 2,191 0 -3,704 -8,203
Percent of Open Interest Represented by Each Category of Trader
0.7 41.8 0.2 71.7 5.6 9.2 0.5 28.6 0.2 0.9 1.0 0.0 16.6 13.3
Number of Traders in Each Category Total Traders: 69
. 11 . 32 9 24 . 12 . . . 0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 :
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2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $200,000 FACE VALUE)
CFTC Code #042601 Open Interest is 881,608
Positions
113,402 58,926 18,839 137,292 336,144 75,514 212,849 135,791 80,692 145,259 46,552 14,428 83,333 114,722
Changes from: March 20, 2012 Total Change is: -39,267
-19,153 11,096 -10,237 14,275 3,245 -4,824 19,141 -8,800 -27,218 4,731 6,630 -1,865 -14,117 -7,295
Percent of Open Interest Represented by Each Category of Trader
12.9 6.7 2.1 15.6 38.1 8.6 24.1 15.4 9.2 16.5 5.3 1.6 9.5 13.0
Number of Traders in Each Category Total Traders: 203
19 17 14 35 31 42 32 33 33 15 21 6
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #043602 Open Interest is 2,148,547
Positions
111,136 152,090 135,825 657,025 705,570 224,745 401,780 211,112 221,771 80,030 71,633 46,019 270,216 379,782
Changes from: March 20, 2012 Total Change is: -310,899
-6,142 28,168 -76,870 4,965 -46,101 -17,998 -41,253 -8,587 -111,877 8,266 -13,572 -64,715 -5,275 652
Percent of Open Interest Represented by Each Category of Trader
5.2 7.1 6.3 30.6 32.8 10.5 18.7 9.8 10.3 3.7 3.3 2.1 12.6 17.7
Number of Traders in Each Category Total Traders: 291
20 39 50 30 68 56 45 63 70 13 13 13
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000 FACE VALUE)
CFTC Code #044601 Open Interest is 1,554,213
Positions
124,073 153,841 59,643 353,933 619,117 147,932 381,763 122,487 114,971 193,640 66,651 13,345 164,913 256,227
Changes from: March 20, 2012 Total Change is: -82,171
-9,717 10,915 -12,221 -1,540 -28,375 1,166 -16,778 -13,889 -17,523 -2,984 1,808 -3,390 -19,184 -20,662
Percent of Open Interest Represented by Each Category of Trader
8.0 9.9 3.8 22.8 39.8 9.5 24.6 7.9 7.4 12.5 4.3 0.9 10.6 16.5
Number of Traders in Each Category Total Traders: 200
15 23 20 26 41 39 30 39 39 11 15 6
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE (CONTRACTS OF $5,000,000)
CFTC Code #045601 Open Interest is 661,626
Positions
185,867 191,533 232,028 1,700 4,546 1,423 80,677 52,001 111,834 5,646 6,127 16,356 26,096 45,778
Changes from: March 20, 2012 Total Change is: 13,998
3,882 -672 9,870 5 500 -5 -2,329 430 2,913 615 -168 -1,311 358 2,441
Percent of Open Interest Represented by Each Category of Trader
28.1 28.9 35.1 0.3 0.7 0.2 12.2 7.9 16.9 0.9 0.9 2.5 3.9 6.9
Number of Traders in Each Category Total Traders: 94
23 27 44 . . . 14 16 24 4 5 6
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 :
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3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE (CONTRACTS OF $1,000,000)
CFTC Code #132741 Open Interest is13,399,133
Positions
2,142,070 1,835,707 3,271,349 481,830 836,374 257,522 715,503 333,996 4,887,404 71,908 284,918 715,704 855,845 976,161
Changes from: March 20, 2012 Total Change is: 20,121
-27,535 59,629 21,006 -24,768 46,076 22,168 79,934 -2,482 -71,123 6,846 -20,422 -40,079 53,673 5,348
Percent of Open Interest Represented by Each Category of Trader
16.0 13.7 24.4 3.6 6.2 1.9 5.3 2.5 36.5 0.5 2.1 5.3 6.4 7.3
Number of Traders in Each Category Total Traders: 272
36 49 84 10 18 22 60 62 108 10 17 21
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #246602 Open Interest is 10,160
Positions
4,415 2,660 0 596 867 6 3,654 6,290 24 1,320 175 0 145 138
Changes from: March 20, 2012 Total Change is: 1,517
147 132 0 2 0 0 1,420 1,420 -17 -20 -5 0 -15 -13
Percent of Open Interest Represented by Each Category of Trader
43.5 26.2 0.0 5.9 8.5 0.1 36.0 61.9 0.2 13.0 1.7 0.0 1.4 1.4
Number of Traders in Each Category Total Traders: 29
. 4 0 . 4 . 5 6 . . . 0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 :
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INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE (CONTRACTS OF $100,000)
CFTC Code #247602 Open Interest is 7,559
Positions
4,660 3,451 0 979 1,706 45 1,687 2,160 0 65 100 0 123 97
Changes from: March 20, 2012 Total Change is: 512
743 151 0 -5 -226 45 -223 545 0 0 0 0 -48 -3
Percent of Open Interest Represented by Each Category of Trader
61.6 45.7 0.0 13.0 22.6 0.6 22.3 28.6 0.0 0.9 1.3 0.0 1.6 1.3
Number of Traders in Each Category Total Traders: 29
4 4 0 . 5 . . 10 0 . . 0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 :
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U.S. DOLLAR INDEX - ICE FUTURES U.S. (U.S. DOLLAR INDEX X $1000)
CFTC Code #098662 Open Interest is 52,459
Positions
16,253 21,031 2 2,670 0 546 19,409 27,299 1,122 3,801 379 24 8,633 2,056
Changes from: March 20, 2012 Total Change is: -8,516
-753 -213 -0 -963 -22 70 -6,203 -9,230 199 -319 145 -7 -539 543
Percent of Open Interest Represented by Each Category of Trader
31.0 40.1 0.0 5.1 0.0 1.0 37.0 52.0 2.1 7.2 0.7 0.0 16.5 3.9
Number of Traders in Each Category Total Traders: 92
4 5 . 9 0 . 31 16 6 21 5 .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012
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Dealer : Asset Manager/ : Leveraged : Other : Nonreportable :
Intermediary : Institutional : Funds : Reportables : Positions :
Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short : Spreading: Long : Short :
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VIX FUTURES - CBOE FUTURES EXCHANGE ($1000 X INDEX)
CFTC Code #1170E1 Open Interest is 304,339
Positions
154,422 64,041 26,789 31,332 6,341 4,147 6,991 101,330 13,890 1,908 18,763 42,021 22,839 27,017
Changes from: March 20, 2012 Total Change is: -59,544
-21,243 -10,726 -3,948 -12,963 -1,981 -934 -334 -17,354 -8,806 -709 -7,336 -2,291 -8,316 -6,168
Percent of Open Interest Represented by Each Category of Trader
50.7 21.0 8.8 10.3 2.1 1.4 2.3 33.3 4.6 0.6 6.2 13.8 7.5 8.9
Number of Traders in Each Category Total Traders: 119
12 13 18 7 10 7 9 40 30 9 11 13
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 :
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DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE ($100 X INDEX)
CFTC Code #221602 Open Interest is 7,535
Positions
1,006 964 0 3,347 1,032 0 1,630 3,378 924 290 913 284 54 40
Changes from: March 20, 2012 Total Change is: -11,296
-9,535 497 -1,698 144 -61 0 0 -9,787 -20 0 -36 -188 1 -3
Percent of Open Interest Represented by Each Category of Trader
13.4 12.8 0.0 44.4 13.7 0.0 21.6 44.8 12.3 3.8 12.1 3.8 0.7 0.5
Number of Traders in Each Category Total Traders: 23
. . 0 5 . 0 . 5 . . . .
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Updated March 30, 2012