Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   129,337
Positions
    18,877     77,867      5,578      9,663      7,205        239     30,450     14,036      5,955      7,123        566        436     51,016     17,455
 
Changes from:       May 17, 2011                                     Total Change is:    -2,583
     2,640     -4,270        668       -228        167         -1     -7,071        711        700       -328          0         23      1,014       -581
 
Percent of Open Interest Represented by Each Category of Trader
      14.6       60.2        4.3        7.5        5.6        0.2       23.5       10.9        4.6        5.5        0.4        0.3       39.4       13.5
 
Number of Traders in Each Category                                    Total Traders:        79
        10         10          8          4          4          .         23         17         13          9          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    69,223
Positions
    14,903     37,981      1,028      1,002      1,215         69     24,927     15,388        603        418          0          0     26,273     12,939
 
Changes from:       May 17, 2011                                     Total Change is:    -1,706
     1,887     -2,072       -100          0         11          0       -149       -906        -47          0          0          0     -3,296      1,409
 
Percent of Open Interest Represented by Each Category of Trader
      21.5       54.9        1.5        1.4        1.8        0.1       36.0       22.2        0.9        0.6        0.0        0.0       38.0       18.7
 
Number of Traders in Each Category                                    Total Traders:        43
         7          6          6          .          .          .         18          8          6          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   118,492
Positions
    33,807     23,395      6,409      7,133     23,772      1,331     39,770     35,394      3,070      2,681      3,056          0     24,291     22,064
 
Changes from:       May 17, 2011                                     Total Change is:     7,125
    16,842     -5,895      2,143       -830        -51          2     -2,532     12,654        433       -658       -350          0     -8,275     -1,811
 
Percent of Open Interest Represented by Each Category of Trader
      28.5       19.7        5.4        6.0       20.1        1.1       33.6       29.9        2.6        2.3        2.6        0.0       20.5       18.6
 
Number of Traders in Each Category                                    Total Traders:        91
        11         10         11          4         13          5         27         20         13          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   112,501
Positions
    17,678     33,073      7,672     26,736      8,514        348     26,184     18,941      5,517        909      2,154        108     27,349     36,174
 
Changes from:       May 17, 2011                                     Total Change is:    -3,779
     1,200        305       -971       -358        214          0     -4,974        807        215          9       -488         27      1,072     -3,888
 
Percent of Open Interest Represented by Each Category of Trader
      15.7       29.4        6.8       23.8        7.6        0.3       23.3       16.8        4.9        0.8        1.9        0.1       24.3       32.2
 
Number of Traders in Each Category                                    Total Traders:       107
        12         15         10          9          8          .         26         27         19          .          8          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   309,166
Positions
   100,207    108,654     15,881     34,669     24,503      3,041     50,265     59,537     27,073     16,501     11,757      7,310     54,219     51,410
 
Changes from:       May 17, 2011                                     Total Change is:    12,111
    24,867     -1,544      1,311      1,682        303        201     -9,070      7,116      2,818     -5,435        290        104     -4,365      1,513
 
Percent of Open Interest Represented by Each Category of Trader
      32.4       35.1        5.1       11.2        7.9        1.0       16.3       19.3        8.8        5.3        3.8        2.4       17.5       16.6
 
Number of Traders in Each Category                                    Total Traders:       199
        22         21         17         18         18         12         41         54         44         12         13         15
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   121,505
Positions
    11,408     79,745      4,137      6,258      4,680        165     60,104      7,885      4,381        877        748        401     33,774     19,363
 
Changes from:       May 17, 2011                                     Total Change is:    -4,051
    -1,773     -3,857        288     -2,051        174       -109      1,357       -286       -195         80       -463        -15     -1,633        412
 
Percent of Open Interest Represented by Each Category of Trader
       9.4       65.6        3.4        5.2        3.9        0.1       49.5        6.5        3.6        0.7        0.6        0.3       27.8       15.9
 
Number of Traders in Each Category                                    Total Traders:        75
         6         12          6          5          6          .         26         15         11          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   103,845
Positions
    16,702     34,679     55,875          0          0          0     27,422     12,027        834      1,645          0          0      1,368        431
 
Changes from:       May 17, 2011                                     Total Change is:     3,096
     1,099        749      1,547          0          0          0       -243        700          0          0          0          0        692         99
 
Percent of Open Interest Represented by Each Category of Trader
      16.1       33.4       53.8        0.0        0.0        0.0       26.4       11.6        0.8        1.6        0.0        0.0        1.3        0.4
 
Number of Traders in Each Category                                    Total Traders:        23
         5         11         13          0          0          0          4          .          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   147,410
Positions
     5,665    125,662        387     15,448      1,668          0    114,207     14,813        324      4,090      2,565          0      7,289      1,991
 
Changes from:       May 17, 2011                                     Total Change is:      -172
    -2,706      3,583         89       -101        691          0      2,917     -4,405         75       -199       -227          0       -247         22
 
Percent of Open Interest Represented by Each Category of Trader
       3.8       85.2        0.3       10.5        1.1        0.0       77.5       10.0        0.2        2.8        1.7        0.0        4.9        1.4
 
Number of Traders in Each Category                                    Total Traders:       122
         8         15          4         10          .          0         59         11          4         11          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF BRL 100,000)                           
CFTC Code #102741                                                    Open Interest is    32,498
Positions
    26,241     24,849        356      2,029          0          0      2,295        376         11        370      6,777          0      1,196        129
 
Changes from:       May 17, 2011                                     Total Change is:         .
         .          .          .          .          .          .          .          .          .          .          .          .          .          .
 
Percent of Open Interest Represented by Each Category of Trader
      80.7       76.5        1.1        6.2        0.0        0.0        7.1        1.2        0.0        1.1       20.9        0.0        3.7        0.4
 
Number of Traders in Each Category                                    Total Traders:        21
         .          6          .          .          0          0          7          .          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    30,930
Positions
     1,612     19,540          0        317        204          0     24,474      9,613          0        854        139          0      3,673      1,434
 
Changes from:       May 17, 2011                                     Total Change is:     1,294
         0      1,726        -24        -92       -152          0      1,040       -391          0        -12          0          0        382        135
 
Percent of Open Interest Represented by Each Category of Trader
       5.2       63.2        0.0        1.0        0.7        0.0       79.1       31.1        0.0        2.8        0.4        0.0       11.9        4.6
 
Number of Traders in Each Category                                    Total Traders:        43
         .         11          0          .          .          0         15         10          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    79,521
Positions
    19,817     36,747      9,978      3,664      1,935        636     17,355      6,405      9,783      1,520        459        326     16,443     13,252
 
Changes from:       May 17, 2011                                     Total Change is:        59
       -30       -398        -50         17        552        -30       -231       -282        423        291        -13        -54       -277        -89
 
Percent of Open Interest Represented by Each Category of Trader
      24.9       46.2       12.5        4.6        2.4        0.8       21.8        8.1       12.3        1.9        0.6        0.4       20.7       16.7
 
Number of Traders in Each Category                                    Total Traders:       106
        21         19         10          7          6          .         29         14         18          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 AVERAGE - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                          
CFTC Code #124601                                                    Open Interest is    24,479
Positions
     7,265     20,231        263        459          0          0      7,220      1,452          9          0          0          0      9,263      2,524
 
Changes from:       May 17, 2011                                     Total Change is:        98
         0         -2          0          0          0          0        265        397          1          0       -350          0       -168         52
 
Percent of Open Interest Represented by Each Category of Trader
      29.7       82.6        1.1        1.9        0.0        0.0       29.5        5.9        0.0        0.0        0.0        0.0       37.8       10.3
 
Number of Traders in Each Category                                    Total Traders:        23
         5          6          .          .          0          0          6          5          4          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   110,084
Positions
    43,896     51,825        638      6,409      3,870      1,271     36,235     25,871      3,583      3,039        917        653     14,361     21,457
 
Changes from:       May 17, 2011                                     Total Change is:       -78
      -287     -1,019        127         33      1,103        -59        129       -238       -276        581        674       -107       -219       -283
 
Percent of Open Interest Represented by Each Category of Trader
      39.9       47.1        0.6        5.8        3.5        1.2       32.9       23.5        3.3        2.8        0.8        0.6       13.0       19.5
 
Number of Traders in Each Category                                    Total Traders:       102
        20         18          6          6          6          .         31         17         14          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 1,012,001
Positions
    54,407    252,917     56,746    409,425    121,897     61,310     78,191    170,809    110,038     25,516     61,292     25,230    191,137    151,762
 
Changes from:       May 17, 2011                                     Total Change is:       557
       319     -4,935        963      4,461      2,434      1,018      4,716      5,343    -23,970      1,000      2,298      1,912     10,137     15,494
 
Percent of Open Interest Represented by Each Category of Trader
       5.4       25.0        5.6       40.5       12.0        6.1        7.7       16.9       10.9        2.5        6.1        2.5       18.9       15.0
 
Number of Traders in Each Category                                    Total Traders:       578
        36         54         34        127         52         67         99        137        102         42         30         21
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   411,576
Positions
    17,943    155,523     18,234    129,464     35,061     11,872     26,731     34,165     50,633      4,171     36,333     15,572    136,956     54,183
 
Changes from:       May 17, 2011                                     Total Change is:    -8,317
       312      2,042     -2,572       -867        -81        165       -689      1,337    -15,177         25       -143      1,564      8,921      4,547
 
Percent of Open Interest Represented by Each Category of Trader
       4.4       37.8        4.4       31.5        8.5        2.9        6.5        8.3       12.3        1.0        8.8        3.8       33.3       13.2
 
Number of Traders in Each Category                                    Total Traders:       135
         8         22          9         31         13         15         14         33         40          8          6          9
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 3,002,123
Positions
   300,157    604,808     74,723  1,411,039    445,409    235,960    376,575    802,496    177,749    123,608    141,679     31,406    270,905    487,894
 
Changes from:       May 17, 2011                                     Total Change is:    44,370
    21,419    -13,505     -3,710     24,182     10,114      6,727     26,350     19,356    -43,288      7,542     14,871       -932      6,080     54,737
 
Percent of Open Interest Represented by Each Category of Trader
      10.0       20.1        2.5       47.0       14.8        7.9       12.5       26.7        5.9        4.1        4.7        1.0        9.0       16.3
 
Number of Traders in Each Category                                    Total Traders:       530
        38         47         28        107         49         58        103        122         90         36         28         14
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   110,015
Positions
    20,479     41,838         96     56,512     36,990      5,793     17,177     16,336          1      1,257      5,091          0      8,700      3,869
 
Changes from:       May 17, 2011                                     Total Change is:    -4,139
       389     -1,363         96     -3,425          9        -25       -937     -2,439       -623          0          0          0        386        205
 
Percent of Open Interest Represented by Each Category of Trader
      18.6       38.0        0.1       51.4       33.6        5.3       15.6       14.8        0.0        1.1        4.6        0.0        7.9        3.5
 
Number of Traders in Each Category                                    Total Traders:        93
         9         10          .         32         14         10         15         11          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    88,960
Positions
    15,294     37,607      5,905     15,467     13,531      2,534     26,719     10,541      8,577      2,958      4,192      1,348     10,158      4,725
 
Changes from:       May 17, 2011                                     Total Change is:    -6,634
       494     -4,058       -451     -1,435        139         84     -1,594        163     -3,993       -328        747        314        275        421
 
Percent of Open Interest Represented by Each Category of Trader
      17.2       42.3        6.6       17.4       15.2        2.8       30.0       11.8        9.6        3.3        4.7        1.5       11.4        5.3
 
Number of Traders in Each Category                                    Total Traders:       236
        19         34         14         29         22         12         64         43         30         14          9          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    18,650
Positions
     3,843     13,168        320      1,600          0          0      8,051        463          6          0      3,581          0      4,830      1,112
 
Changes from:       May 17, 2011                                     Total Change is:    -2,213
      -457     -3,167         -1          0          0          0     -2,027         -2        -42       -216        863          0        530        137
 
Percent of Open Interest Represented by Each Category of Trader
      20.6       70.6        1.7        8.6        0.0        0.0       43.2        2.5        0.0        0.0       19.2        0.0       25.9        6.0
 
Number of Traders in Each Category                                    Total Traders:        28
         5         10          .          .          0          0          7          .          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   351,551
Positions
    83,610    148,548      1,571     73,334     71,656      8,671    127,263     84,314      8,931     20,297      8,563      1,232     26,640     18,063
 
Changes from:       May 17, 2011                                     Total Change is:   -22,109
     2,640     -6,569       -135     -7,173        697        421    -14,074    -15,415     -3,517        926        907         80     -1,278      1,422
 
Percent of Open Interest Represented by Each Category of Trader
      23.8       42.3        0.4       20.9       20.4        2.5       36.2       24.0        2.5        5.8        2.4        0.4        7.6        5.1
 
Number of Traders in Each Category                                    Total Traders:       235
        21         31          7         29         22         12         62         47         25         15          8          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   418,829
Positions
   184,797     41,483     17,325    107,381    143,579     33,926     48,213    135,904      5,247      2,996     19,912         15     18,929     21,438
 
Changes from:       May 17, 2011                                     Total Change is:       911
     4,196     -1,264      1,158     -3,779      3,915        137     -1,669     -3,738      2,000        236     -2,495       -105     -1,263      1,303
 
Percent of Open Interest Represented by Each Category of Trader
      44.1        9.9        4.1       25.6       34.3        8.1       11.5       32.4        1.3        0.7        4.8        0.0        4.5        5.1
 
Number of Traders in Each Category                                    Total Traders:       262
        19         17          .         49         51         26         44         62         25          4         16          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    46,675
Positions
     9,576      7,625      1,758      7,182      1,123      1,960     14,489      9,197      4,235        436      4,409          0      7,039     16,368
 
Changes from:       May 17, 2011                                     Total Change is:    -1,536
      -250      1,174       -227       -669       -297        -10       -282       -731         62        220         52          0       -380     -1,559
 
Percent of Open Interest Represented by Each Category of Trader
      20.5       16.3        3.8       15.4        2.4        4.2       31.0       19.7        9.1        0.9        9.4        0.0       15.1       35.1
 
Number of Traders in Each Category                                    Total Traders:        59
         8          7          .          9          .          .         13         13          4          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    55,377
Positions
    24,964     25,225      1,706      7,418      2,900        569      8,575     13,839      2,525      1,800      3,875        409      7,411      4,329
 
Changes from:       May 17, 2011                                     Total Change is:    -1,895
      -965        196        -91       -259         50        -91     -1,066        920        -42        848        453       -973        744     -2,317
 
Percent of Open Interest Represented by Each Category of Trader
      45.1       45.6        3.1       13.4        5.2        1.0       15.5       25.0        4.6        3.3        7.0        0.7       13.4        7.8
 
Number of Traders in Each Category                                    Total Traders:        74
        16         16          4          8          .          .         11         14          .          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 MSCI EAFE - CHICAGO MERCANTILE EXCHANGE   (MSCI EAFE INDEX X $50)                            
CFTC Code #244741                                                    Open Interest is    30,909
Positions
       256      6,090          0     19,563     12,896      3,830      2,354      6,007        179        419          0          0      4,308      1,907
 
Changes from:       May 17, 2011                                     Total Change is:       181
         0       -748          0       -500        577        369       -319         15          6          0          0          0        625        -38
 
Percent of Open Interest Represented by Each Category of Trader
       0.8       19.7        0.0       63.3       41.7       12.4        7.6       19.4        0.6        1.4        0.0        0.0       13.9        6.2
 
Number of Traders in Each Category                                    Total Traders:        47
         .          .          0         18         14          7          5          5          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 MSCI EMERGING MARKETS - CHICAGO MERCANTILE EXCHANGE   (MSCI INDEX X $50)                     
CFTC Code #244742                                                    Open Interest is    39,065
Positions
     5,632     16,891        623     14,270      3,792        909      7,187     12,675        421      2,140        798         17      7,866      2,939
 
Changes from:       May 17, 2011                                     Total Change is:      -753
       189       -848       -102     -1,307       -308       -135        223        578        -63         16          0          0        426        125
 
Percent of Open Interest Represented by Each Category of Trader
      14.4       43.2        1.6       36.5        9.7        2.3       18.4       32.4        1.1        5.5        2.0        0.0       20.1        7.5
 
Number of Traders in Each Category                                    Total Traders:        58
         6          7          .         14          6          .         12          5          .          5          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   828,573
Positions
    12,549    109,950     58,322    303,796    147,633     78,398    115,852    128,563     55,325     16,203     82,255      6,625    181,502    161,502
 
Changes from:       May 17, 2011                                     Total Change is:    -4,464
     1,245     10,928     17,808     -7,731     -4,876     -1,743      5,267    -11,410    -22,568      1,598     12,059      1,975       -314     -6,638
 
Percent of Open Interest Represented by Each Category of Trader
       1.5       13.3        7.0       36.7       17.8        9.5       14.0       15.5        6.7        2.0        9.9        0.8       21.9       19.5
 
Number of Traders in Each Category                                    Total Traders:       162
         8         20         16         40         22         39         25         31         32          4         12          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   368,171
Positions
     2,500    154,670      2,339    245,599      5,639     17,961      2,000    125,257      9,471      1,700          0          0     86,600     52,834
 
Changes from:       May 17, 2011                                     Total Change is:    16,462
    -2,973      1,419     -1,037     -3,293      2,225      1,008          0      1,978      7,315          0     -2,015          0     15,442      5,569
 
Percent of Open Interest Represented by Each Category of Trader
       0.7       42.0        0.6       66.7        1.5        4.9        0.5       34.0        2.6        0.5        0.0        0.0       23.5       14.4
 
Number of Traders in Each Category                                    Total Traders:        60
         .          9          4         28          .         15          .         17          6          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $200,000 FACE VALUE)            
CFTC Code #042601                                                    Open Interest is 1,127,454
Positions
    61,823    111,260     38,522    188,177    443,435    111,778    369,775     74,897     47,102    174,698    120,726     15,343    120,237    164,392
 
Changes from:       May 17, 2011                                     Total Change is:    16,980
    -1,328      5,641      7,213    -13,199     18,212        563     14,366      1,086    -13,433     31,349     13,865     -6,627     -1,923     -9,539
 
Percent of Open Interest Represented by Each Category of Trader
       5.5        9.9        3.4       16.7       39.3        9.9       32.8        6.6        4.2       15.5       10.7        1.4       10.7       14.6
 
Number of Traders in Each Category                                    Total Traders:       267
        14         40         22         32         60         42         52         33         34          8         28          9
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 2,156,740
Positions
   209,960    133,121    112,688    634,797    597,961    232,229    357,108    350,890    188,008     14,370     86,696     44,680    362,901    410,468
 
Changes from:       May 17, 2011                                     Total Change is:  -273,751
   -37,589    -47,493    -90,242     28,454     20,814    -39,148     -7,478      1,266   -119,201    -11,192      6,184    -21,316     23,961     15,385
 
Percent of Open Interest Represented by Each Category of Trader
       9.7        6.2        5.2       29.4       27.7       10.8       16.6       16.3        8.7        0.7        4.0        2.1       16.8       19.0
 
Number of Traders in Each Category                                    Total Traders:       258
        25         30         41         36         57         48         38         48         56          6         18          8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 1,573,161
Positions
   180,156    192,531     45,061    267,342    641,312    117,515    494,481     77,833     96,174    113,689     67,143      5,031    253,712    330,560
 
Changes from:       May 17, 2011                                     Total Change is:  -149,957
    12,459    -14,463    -29,427     -2,812     15,425    -12,361    -26,576    -25,360    -95,827      2,955      5,947    -15,448     17,081     21,557
 
Percent of Open Interest Represented by Each Category of Trader
      11.5       12.2        2.9       17.0       40.8        7.5       31.4        4.9        6.1        7.2        4.3        0.3       16.1       21.0
 
Number of Traders in Each Category                                    Total Traders:       204
        16         22         26         22         46         39         43         29         34         11         15          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 1,031,872
Positions
   206,981    168,397    338,388      1,873      6,016     11,617     68,139     77,547    323,436      8,281     15,827     30,255     42,901     60,388
 
Changes from:       May 17, 2011                                     Total Change is:    18,685
    15,419      6,780      5,853     -2,275      2,407        887      3,119      6,247     -8,471        891        221        424      2,837      4,336
 
Percent of Open Interest Represented by Each Category of Trader
      20.1       16.3       32.8        0.2        0.6        1.1        6.6        7.5       31.3        0.8        1.5        2.9        4.2        5.9
 
Number of Traders in Each Category                                    Total Traders:       152
        25         39         59          .          5          5         26         31         40          .         11          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 is16,539,588
Positions
   919,237  4,158,315  3,227,605  3,208,827    372,567    305,874  1,678,730    778,065  5,108,012     43,091    445,728    990,097  1,058,115  1,153,324
 
Changes from:       May 17, 2011                                     Total Change is:   310,157
   -51,235     55,195    159,752     53,601   -132,499      1,486     14,564     -1,724    186,161    -37,603     65,554    -26,157      9,590      2,390
 
Percent of Open Interest Represented by Each Category of Trader
       5.6       25.1       19.5       19.4        2.3        1.8       10.1        4.7       30.9        0.3        2.7        6.0        6.4        7.0
 
Number of Traders in Each Category                                    Total Traders:       323
        25         77        101          8         23         25         62         84        117         10         27         28
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    13,907
Positions
     4,534      4,911        142      1,077        748         23      3,946      7,385          3      3,826        604          0        356         91
 
Changes from:       May 17, 2011                                     Total Change is:     2,338
       826        458        142       -105          0          0      1,539      1,854          0        -46       -116          0        -18          0
 
Percent of Open Interest Represented by Each Category of Trader
      32.6       35.3        1.0        7.7        5.4        0.2       28.4       53.1        0.0       27.5        4.3        0.0        2.6        0.7
 
Number of Traders in Each Category                                    Total Traders:        32
         .          .          .          .          5          .          6          8          .          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    28,745
Positions
    23,469     12,644        249      1,338      2,896         58      3,134      7,361         38         79      5,448          0        380         51
 
Changes from:       May 17, 2011                                     Total Change is:       181
       352       -250        249         33        685          0       -476       -545         38          0        -16          0        -15         20
 
Percent of Open Interest Represented by Each Category of Trader
      81.6       44.0        0.9        4.7       10.1        0.2       10.9       25.6        0.1        0.3       19.0        0.0        1.3        0.2
 
Number of Traders in Each Category                                    Total Traders:        35
         4          4          .          .          5          .          9          6          .          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    63,120
Positions
    27,430     14,220         49        527         57        747     19,883     41,571      1,642      4,472      1,572         43      8,327      3,219
 
Changes from:       May 17, 2011                                     Total Change is:     6,055
        81        546        -27        182          6        -56      3,879      5,849        162      1,226       -274         30        578       -182
 
Percent of Open Interest Represented by Each Category of Trader
      43.5       22.5        0.1        0.8        0.1        1.2       31.5       65.9        2.6        7.1        2.5        0.1       13.2        5.1
 
Number of Traders in Each Category                                    Total Traders:       108
         7          5          .          .          .          .         23         31          8         26         11          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   235,640
Positions
    80,002     72,963     40,578     13,528      2,748      5,378     12,082     36,679     25,010      7,076      4,024     29,719     22,266     18,541
 
Changes from:       May 17, 2011                                     Total Change is:    -8,541
    10,695      3,574    -10,785     -1,160        148        188     -1,294     -1,878     -1,322         81      1,657      1,233     -6,177     -1,355
 
Percent of Open Interest Represented by Each Category of Trader
      34.0       31.0       17.2        5.7        1.2        2.3        5.1       15.6       10.6        3.0        1.7       12.6        9.4        7.9
 
Number of Traders in Each Category                                    Total Traders:       124
        11         13         20         13          4          5         22         22         29          8         10         26
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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     8,057
Positions
       492      4,552          0      2,432        200          0      2,531      2,508        672        730          0          0      1,200        125
 
Changes from:       May 17, 2011                                     Total Change is:        56
         0        -44          0        -25          0          0          2         52          0          0        -77          0         79        125
 
Percent of Open Interest Represented by Each Category of Trader
       6.1       56.5        0.0       30.2        2.5        0.0       31.4       31.1        8.3        9.1        0.0        0.0       14.9        1.6
 
Number of Traders in Each Category                                    Total Traders:        22
         .          .          0          4          .          0          7          4          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of May 24, 2011                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 GSCI COMMODITY INDEX - CHICAGO MERCANTILE EXCHANGE   (GSCI X $250)                              
CFTC Code #256741                                                    Open Interest is    10,671
Positions
       406      9,798          0      7,924          0          0        888        341          0          0         92         77      1,376        363
 
Changes from:       May 17, 2011                                     Total Change is:        74
        -6         29          0        -96          0          0        189        126          0          0        -64         64        -77        -81
 
Percent of Open Interest Represented by Each Category of Trader
       3.8       91.8        0.0       74.3        0.0        0.0        8.3        3.2        0.0        0.0        0.9        0.7       12.9        3.4
 
Number of Traders in Each Category                                    Total Traders:        21
         .          .          0         10          0          0          4          .          0          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
 

Updated May 27, 2011