VIX FUTURES - CBOE FUTURES EXCHANGE                                                                     Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, January 3, 2007                 
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : ($100 X VBI)                                                               :
     :          :                                                                            :
All  :    34,191:     3,636     11,131        412     22,676     19,977     26,724     31,520:     7,467      2,671
Old  :    34,191:     3,636     11,131        412     22,676     19,977     26,724     31,520:     7,467      2,671
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 26, 2006                    :
     :    -2,493:       148        -57       -296       -725        259       -873        -94:    -1,620     -2,399
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      10.6       32.6        1.2       66.3       58.4       78.2       92.2:      21.8        7.8
Old  :     100.0:      10.6       32.6        1.2       66.3       58.4       78.2       92.2:      21.8        7.8
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  :        23:         6          7          1         10          5         17         12:
Old  :        23:         6          7          1         10          5         17         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  :                 53.9       79.4       68.1       89.4       52.0       71.3       59.7       76.7
Old  :                 53.9       79.4       68.1       89.4       52.0       71.3       59.7       76.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
 
 

No report this week.


Updated January 8, 2007