VIX FUTURES - CBOE FUTURES EXCHANGE Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 28, 2006
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: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
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: : ($100 X VBI) :
: : :
All : 37,441: 3,786 11,123 99 25,591 22,280 29,476 33,502: 7,965 3,939
Old : 37,441: 3,786 11,123 99 25,591 22,280 29,476 33,502: 7,965 3,939
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: November 21, 2006 :
: 2,674: 0 -26 99 542 1,586 641 1,659: 2,033 1,015
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 10.1 29.7 0.3 68.4 59.5 78.7 89.5: 21.3 10.5
Old : 100.0: 10.1 29.7 0.3 68.4 59.5 78.7 89.5: 21.3 10.5
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 27: 8 7 1 12 5 21 12:
Old : 27: 8 7 1 12 5 21 12:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 55.6 70.8 67.6 84.8 55.6 65.8 64.0 77.5
Old : 55.6 70.8 67.6 84.8 55.6 65.8 64.0 77.5
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated December 1, 2006