Traders in Financial Futures- Futures Only Positions as of June 28, 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 92,360 Positions 9,191 33,677 151 11,092 6,495 262 15,492 26,245 3,649 10,649 0 0 41,874 21,881 Changes from: June 21, 2011 Total Change is: 4,455 2,415 -3,231 91 19 -3 12 2,344 4,086 4 1,528 0 0 -1,958 3,496 Percent of Open Interest Represented by Each Category of Trader 10.0 36.5 0.2 12.0 7.0 0.3 16.8 28.4 4.0 11.5 0.0 0.0 45.3 23.7 Number of Traders in Each Category Total Traders: 77 8 9 . 4 4 . 18 19 . 15 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 51,227 Positions 2,130 27,514 2 1,495 1,114 144 21,749 10,495 1 418 0 0 25,288 11,957 Changes from: June 21, 2011 Total Change is: -77 1,082 -216 0 26 -71 64 -1,652 -471 1 -400 0 0 802 616 Percent of Open Interest Represented by Each Category of Trader 4.2 53.7 0.0 2.9 2.2 0.3 42.5 20.5 0.0 0.8 0.0 0.0 49.4 23.3 Number of Traders in Each Category Total Traders: 45 4 9 . . . . 20 7 . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 102,414 Positions 40,701 2,595 288 5,641 30,017 935 31,718 38,411 1,071 1,383 5,073 0 20,677 24,024 Changes from: June 21, 2011 Total Change is: 9,590 16,101 -3,902 2 -1,394 3,262 -8 -2,961 6,689 -105 -500 1,080 0 -1,545 2,572 Percent of Open Interest Represented by Each Category of Trader 39.7 2.5 0.3 5.5 29.3 0.9 31.0 37.5 1.0 1.4 5.0 0.0 20.2 23.5 Number of Traders in Each Category Total Traders: 89 12 4 . 4 13 4 26 22 10 . 5 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 94,286 Positions 9,220 34,527 150 26,798 8,677 392 32,833 13,870 34 2,390 4,117 0 22,469 32,519 Changes from: June 21, 2011 Total Change is: -4,785 6,486 -11,973 -14 1,294 41 2 -6,355 3,016 -23 124 918 0 -6,299 3,248 Percent of Open Interest Represented by Each Category of Trader 9.8 36.6 0.2 28.4 9.2 0.4 34.8 14.7 0.0 2.5 4.4 0.0 23.8 34.5 Number of Traders in Each Category Total Traders: 98 9 12 . 9 7 . 24 27 . . 7 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 183,206 Positions 22,759 54,950 1,562 31,913 28,185 2,487 53,306 41,546 613 14,432 8,088 272 55,862 45,503 Changes from: June 21, 2011 Total Change is: -5,984 -3,938 -3,142 712 -381 1,781 200 -4,636 -2,944 60 -6 -5,217 110 1,895 2,456 Percent of Open Interest Represented by Each Category of Trader 12.4 30.0 0.9 17.4 15.4 1.4 29.1 22.7 0.3 7.9 4.4 0.1 30.5 24.8 Number of Traders in Each Category Total Traders: 158 17 17 5 14 20 11 34 37 10 6 13 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 93,784 Positions 2,553 55,467 111 3,305 3,831 157 58,326 14,431 152 1,006 427 0 28,174 19,208 Changes from: June 21, 2011 Total Change is: -6,295 405 -11,244 95 -403 460 -1 -5,833 904 144 -443 -40 0 -259 3,387 Percent of Open Interest Represented by Each Category of Trader 2.7 59.1 0.1 3.5 4.1 0.2 62.2 15.4 0.2 1.1 0.5 0.0 30.0 20.5 Number of Traders in Each Category Total Traders: 68 4 13 . . 5 . 24 15 6 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 101,276 Positions 42,498 58,739 26,433 0 0 0 28,657 14,511 476 1,645 0 0 1,567 1,117 Changes from: June 21, 2011 Total Change is: 2,491 18,334 17,881 -13,919 0 0 0 -435 124 1 0 0 0 -1,490 -1,596 Percent of Open Interest Represented by Each Category of Trader 42.0 58.0 26.1 0.0 0.0 0.0 28.3 14.3 0.5 1.6 0.0 0.0 1.5 1.1 Number of Traders in Each Category Total Traders: 28 7 13 12 0 0 0 4 . . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 98,930 Positions 13,929 68,321 248 14,497 1,102 54 60,812 24,278 247 2,655 2,310 0 6,488 2,370 Changes from: June 21, 2011 Total Change is: 547 -541 4,214 0 -168 300 0 23 -3,858 -79 929 129 0 383 -159 Percent of Open Interest Represented by Each Category of Trader 14.1 69.1 0.3 14.7 1.1 0.1 61.5 24.5 0.2 2.7 2.3 0.0 6.6 2.4 Number of Traders in Each Category Total Traders: 105 9 10 . 8 . . 46 16 . 8 6 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 38,644 Positions 27,060 25,517 2,483 2,111 0 0 2,662 140 11 473 7,681 2,417 1,427 395 Changes from: June 21, 2011 Total Change is: 139 0 43 0 0 0 0 81 7 0 40 -135 0 18 224 Percent of Open Interest Represented by Each Category of Trader 70.0 66.0 6.4 5.5 0.0 0.0 6.9 0.4 0.0 1.2 19.9 6.3 3.7 1.0 Number of Traders in Each Category Total Traders: 20 . 5 . . 0 0 8 . . . . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 29,652 Positions 2,387 23,483 1 217 284 0 21,678 4,442 0 957 105 0 4,412 1,337 Changes from: June 21, 2011 Total Change is: -609 174 -174 1 -6 18 0 -628 -501 0 -213 -64 0 63 111 Percent of Open Interest Represented by Each Category of Trader 8.1 79.2 0.0 0.7 1.0 0.0 73.1 15.0 0.0 3.2 0.4 0.0 14.9 4.5 Number of Traders in Each Category Total Traders: 40 . 7 . . . 0 13 9 0 4 . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 39,596 Positions 15,797 22,880 213 2,663 2,451 452 11,362 8,819 272 2,874 475 0 5,965 4,036 Changes from: June 21, 2011 Total Change is: -1,691 -1,824 -1,373 -249 -69 42 74 59 -601 170 220 213 0 -73 34 Percent of Open Interest Represented by Each Category of Trader 39.9 57.8 0.5 6.7 6.2 1.1 28.7 22.3 0.7 7.3 1.2 0.0 15.1 10.2 Number of Traders in Each Category Total Traders: 89 20 12 . 4 5 . 25 17 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 79,191 Positions 31,593 45,759 425 5,326 4,901 903 22,724 17,637 544 5,747 950 0 11,929 8,072 Changes from: June 21, 2011 Total Change is: -3,382 -3,647 -2,745 -497 -137 83 147 118 -1,201 339 440 425 0 -145 67 Percent of Open Interest Represented by Each Category of Trader 39.9 57.8 0.5 6.7 6.2 1.1 28.7 22.3 0.7 7.3 1.2 0.0 15.1 10.2 Number of Traders in Each Category Total Traders: 89 20 12 . 4 5 . 25 17 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 767,317 Positions 39,625 205,030 22,853 400,133 124,707 60,671 70,634 162,756 25,048 22,777 72,209 9,002 116,571 85,040 Changes from: June 21, 2011 Total Change is: -4,257 3,463 6,285 -2,103 -2,951 -4,168 -398 1,820 -2,692 4,473 -353 -2,717 1,047 -9,256 -3,984 Percent of Open Interest Represented by Each Category of Trader 5.2 26.7 3.0 52.1 16.3 7.9 9.2 21.2 3.3 3.0 9.4 1.2 15.2 11.1 Number of Traders in Each Category Total Traders: 522 25 58 17 113 54 63 83 133 60 29 27 7 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 264,030 Positions 20,229 104,234 2,102 125,737 37,583 9,688 23,719 34,093 1,314 3,060 33,695 7,748 70,433 33,573 Changes from: June 21, 2011 Total Change is: 50 4,818 877 248 -2,568 586 -230 -3,452 6,382 -42 197 -897 0 1,079 -6,874 Percent of Open Interest Represented by Each Category of Trader 7.7 39.5 0.8 47.6 14.2 3.7 9.0 12.9 0.5 1.2 12.8 2.9 26.7 12.7 Number of Traders in Each Category Total Traders: 112 8 15 4 30 12 14 12 26 5 5 4 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 2,516,434 Positions 131,391 538,388 69,348 1,383,825 447,463 243,071 310,949 719,685 42,300 99,572 193,556 5,287 230,691 257,336 Changes from: June 21, 2011 Total Change is: -21,535 -15,192 18,622 -3,340 -5,702 -27,559 2,949 39,445 -32,285 9,493 -1,764 -8,115 4,249 -51,673 14,451 Percent of Open Interest Represented by Each Category of Trader 5.2 21.4 2.8 55.0 17.8 9.7 12.4 28.6 1.7 4.0 7.7 0.2 9.2 10.2 Number of Traders in Each Category Total Traders: 490 23 57 12 95 50 56 89 123 49 26 27 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 106,738 Positions 12,035 40,010 79 63,255 39,935 2,973 17,853 14,076 0 1,473 3,655 0 9,070 6,010 Changes from: June 21, 2011 Total Change is: -100 -474 -763 -23 -1,529 -64 -25 1,964 387 -714 0 0 0 701 1,102 Percent of Open Interest Represented by Each Category of Trader 11.3 37.5 0.1 59.3 37.4 2.8 16.7 13.2 0.0 1.4 3.4 0.0 8.5 5.6 Number of Traders in Each Category Total Traders: 90 9 11 . 33 12 10 12 10 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 53,574 Positions 18,591 19,376 327 11,652 8,019 1,625 13,158 16,726 1,069 2,379 3,016 0 4,772 3,415 Changes from: June 21, 2011 Total Change is: -558 397 337 224 -1,388 -6,683 329 352 1,302 25 -556 736 0 60 3,173 Percent of Open Interest Represented by Each Category of Trader 34.7 36.2 0.6 21.7 15.0 3.0 24.6 31.2 2.0 4.4 5.6 0.0 8.9 6.4 Number of Traders in Each Category Total Traders: 219 25 28 . 26 20 9 46 55 13 10 9 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 267,870 Positions 92,957 96,882 1,637 58,261 40,097 8,127 65,790 83,628 5,344 11,894 15,082 0 23,860 17,073 Changes from: June 21, 2011 Total Change is: -2,788 1,984 1,684 1,122 -6,941 -33,417 1,646 1,758 6,512 123 -2,778 3,679 0 298 15,863 Percent of Open Interest Represented by Each Category of Trader 34.7 36.2 0.6 21.7 15.0 3.0 24.6 31.2 2.0 4.4 5.6 0.0 8.9 6.4 Number of Traders in Each Category Total Traders: 219 25 28 . 26 20 9 46 55 13 10 9 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 435,536 Positions 212,614 34,755 9,692 114,449 166,033 33,256 33,593 139,385 5,294 2,571 20,943 0 24,067 26,178 Changes from: June 21, 2011 Total Change is: -989 -683 -1,289 -4,809 2,274 -3,354 321 -752 2,637 -2,811 15 4,046 0 5,456 4,270 Percent of Open Interest Represented by Each Category of Trader 48.8 8.0 2.2 26.3 38.1 7.6 7.7 32.0 1.2 0.6 4.8 0.0 5.5 6.0 Number of Traders in Each Category Total Traders: 255 18 16 . 47 49 27 32 70 15 4 19 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 31,013 Positions 5,661 8,070 35 8,385 543 2,511 6,798 8,535 1 836 4,025 0 6,786 7,293 Changes from: June 21, 2011 Total Change is: 2,295 2,346 -63 -16 -424 -800 794 -312 2,079 1 -387 333 0 293 -33 Percent of Open Interest Represented by Each Category of Trader 18.3 26.0 0.1 27.0 1.8 8.1 21.9 27.5 0.0 2.7 13.0 0.0 21.9 23.5 Number of Traders in Each Category Total Traders: 48 8 6 . 9 . . 8 10 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 40,839 Positions 11,953 20,111 1,219 7,443 1,769 569 11,851 2,726 1 1,532 968 0 6,271 13,476 Changes from: June 21, 2011 Total Change is: -914 -3,033 5,663 215 -14 -5 0 3,112 -696 -39 -963 0 0 -192 -6,052 Percent of Open Interest Represented by Each Category of Trader 29.3 49.2 3.0 18.2 4.3 1.4 29.0 6.7 0.0 3.8 2.4 0.0 15.4 33.0 Number of Traders in Each Category Total Traders: 62 12 17 4 7 . . 13 7 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- MSCI EAFE MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50) CFTC Code #244041 Open Interest is 31,794 Positions 200 5,596 449 21,094 13,627 4,304 2,521 6,865 3 415 0 0 2,808 950 Changes from: June 21, 2011 Total Change is: -197 -77 80 20 -442 -42 211 759 23 0 0 0 0 -668 -489 Percent of Open Interest Represented by Each Category of Trader 0.6 17.6 1.4 66.3 42.9 13.5 7.9 21.6 0.0 1.3 0.0 0.0 8.8 3.0 Number of Traders in Each Category Total Traders: 46 . . . 19 14 8 . 5 . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 : ----------------------------------------------------------------------------------------------------------------------------------------------------------- MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE (MSCI EAFE INDEX X $50) CFTC Code #244042 Open Interest is 41,113 Positions 7,748 14,032 1,141 16,095 6,302 1,798 7,480 14,343 444 1,153 1,158 181 5,073 1,714 Changes from: June 21, 2011 Total Change is: 1,848 61 1,260 45 621 -1,532 588 1,668 1,581 -49 0 0 0 -1,086 -45 Percent of Open Interest Represented by Each Category of Trader 18.8 34.1 2.8 39.1 15.3 4.4 18.2 34.9 1.1 2.8 2.8 0.4 12.3 4.2 Number of Traders in Each Category Total Traders: 58 7 6 . 14 9 5 9 7 . . . . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 641,754 Positions 16,598 93,842 4,627 284,772 138,287 78,895 82,297 84,556 11,023 13,720 95,579 0 149,822 134,945 Changes from: June 21, 2011 Total Change is: -11,090 3,622 -8,691 510 501 8,222 5,810 -9,720 -15,324 -94 -1,664 -8,519 0 -10,055 6,996 Percent of Open Interest Represented by Each Category of Trader 2.6 14.6 0.7 44.4 21.5 12.3 12.8 13.2 1.7 2.1 14.9 0.0 23.3 21.0 Number of Traders in Each Category Total Traders: 150 6 17 7 41 21 33 22 30 10 . 11 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 387,219 Positions 24,279 152,951 1,960 263,923 10,385 20,171 9,858 153,439 1,922 1,500 3,395 0 63,606 42,996 Changes from: June 21, 2011 Total Change is: -19,258 -18,573 -7,832 -658 -2,818 2,026 694 597 -11,240 0 0 433 0 1,500 -2,681 Percent of Open Interest Represented by Each Category of Trader 6.3 39.5 0.5 68.2 2.7 5.2 2.5 39.6 0.5 0.4 0.9 0.0 16.4 11.1 Number of Traders in Each Category Total Traders: 74 . 10 . 35 5 17 . 18 . . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 1,026,198 Positions 55,201 136,417 3,043 292,560 396,154 84,800 401,465 112,415 31,011 39,081 101,073 12,753 106,284 148,532 Changes from: June 21, 2011 Total Change is: -23,766 -29,211 -15,833 -4,448 -14,267 -13,710 7,067 57,653 2,144 -1,816 -30,229 6,452 -880 -7,635 -2,742 Percent of Open Interest Represented by Each Category of Trader 5.4 13.3 0.3 28.5 38.6 8.3 39.1 11.0 3.0 3.8 9.8 1.2 10.4 14.5 Number of Traders in Each Category Total Traders: 263 15 36 7 30 57 41 49 39 24 9 28 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 1,805,673 Positions 254,703 152,036 35,958 594,527 466,474 195,331 368,764 463,725 25,136 23,756 105,806 8,039 299,459 353,168 Changes from: June 21, 2011 Total Change is: -51,396 -30,764 -9,369 14,269 22,668 -36,715 -5,295 -35,499 -4,618 -8,030 -12,028 -10,063 -6,088 9,371 14,513 Percent of Open Interest Represented by Each Category of Trader 14.1 8.4 2.0 32.9 25.8 10.8 20.4 25.7 1.4 1.3 5.9 0.4 16.6 19.6 Number of Traders in Each Category Total Traders: 269 36 29 17 34 52 42 42 49 33 5 22 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 1,564,596 Positions 114,706 222,151 23,669 271,734 669,875 110,677 601,640 134,458 28,192 175,016 82,526 6,234 232,728 286,814 Changes from: June 21, 2011 Total Change is: -135,386 -36,205 -69,210 1,603 7,809 -54,454 12,675 -84,086 -7,271 -7,638 -25,214 11 6,077 -10,407 -17,179 Percent of Open Interest Represented by Each Category of Trader 7.3 14.2 1.5 17.4 42.8 7.1 38.5 8.6 1.8 11.2 5.3 0.4 14.9 18.3 Number of Traders in Each Category Total Traders: 210 16 31 11 18 51 35 34 35 20 6 19 . ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 775,250 Positions 226,216 211,131 259,313 2,858 12,759 14,057 87,973 58,076 123,133 2,090 18,067 22,044 37,566 56,670 Changes from: June 21, 2011 Total Change is: 16,515 -8,276 14,781 -2,121 256 42 696 16,903 -14,811 7,744 -3,949 1,909 10,698 -5,436 -2,423 Percent of Open Interest Represented by Each Category of Trader 29.2 27.2 33.4 0.4 1.6 1.8 11.3 7.5 15.9 0.3 2.3 2.8 4.8 7.3 Number of Traders in Each Category Total Traders: 139 23 37 52 . 8 6 25 21 36 . 8 5 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 is 9,932,668 Positions 895,372 3,903,697 1,638,393 3,415,654 501,748 173,982 1,375,514 804,324 1,390,942 41,543 443,605 144,445 856,823 931,532 Changes from: June 21, 2011 Total Change is: 31,564 119,698 91,158 -65,106 54,226 31,745 10,756 -82,309 -67,094 57,019 808 31,383 -17,183 -46,345 -41,114 Percent of Open Interest Represented by Each Category of Trader 9.0 39.3 16.5 34.4 5.1 1.8 13.8 8.1 14.0 0.4 4.5 1.5 8.6 9.4 Number of Traders in Each Category Total Traders: 282 37 59 88 9 18 20 57 60 89 8 20 21 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 13,404 Positions 4,659 5,503 0 1,547 866 9 3,292 6,389 12 3,526 571 0 359 54 Changes from: June 21, 2011 Total Change is: 105 -549 -270 0 -14 0 2 665 366 1 0 21 0 0 -15 Percent of Open Interest Represented by Each Category of Trader 34.8 41.1 0.0 11.5 6.5 0.1 24.6 47.7 0.1 26.3 4.3 0.0 2.7 0.4 Number of Traders in Each Category Total Traders: 29 . . 0 . 4 . 5 7 . . 4 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 25,566 Positions 18,510 11,440 0 1,201 2,587 58 5,402 5,955 0 79 5,446 0 316 80 Changes from: June 21, 2011 Total Change is: 2,709 2,187 1,857 0 2 326 0 576 545 0 -40 0 0 -16 -19 Percent of Open Interest Represented by Each Category of Trader 72.4 44.7 0.0 4.7 10.1 0.2 21.1 23.3 0.0 0.3 21.3 0.0 1.2 0.3 Number of Traders in Each Category Total Traders: 33 5 4 0 . 5 . 7 6 0 . . 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 50,419 Positions 12,485 17,482 0 314 692 1,053 24,816 26,604 611 3,707 1,347 0 7,433 2,630 Changes from: June 21, 2011 Total Change is: 4,140 -278 3,078 0 171 -148 -11 5,158 1,802 -389 -772 -197 0 261 5 Percent of Open Interest Represented by Each Category of Trader 24.8 34.7 0.0 0.6 1.4 2.1 49.2 52.8 1.2 7.4 2.7 0.0 14.7 5.2 Number of Traders in Each Category Total Traders: 102 . 6 0 . 4 . 29 28 5 25 5 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 212,119 Positions 78,176 74,548 28,494 10,111 2,042 6,245 8,136 27,534 25,798 8,814 4,176 23,282 23,063 20,000 Changes from: June 21, 2011 Total Change is: -3,452 3,640 464 -2,945 960 -14 90 114 1,917 -79 -3,293 -251 226 -2,165 -2,860 Percent of Open Interest Represented by Each Category of Trader 36.9 35.1 13.4 4.8 1.0 2.9 3.8 13.0 12.2 4.2 2.0 11.0 10.9 9.4 Number of Traders in Each Category Total Traders: 124 11 13 21 10 4 6 18 27 31 9 9 27 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 6,161 Positions 105 4,320 0 2,352 363 0 1,659 883 486 640 0 0 919 109 Changes from: June 21, 2011 Total Change is: -2,911 -512 -64 -531 -48 39 -10 -751 -1,591 -1 0 0 0 -1,058 -753 Percent of Open Interest Represented by Each Category of Trader 1.7 70.1 0.0 38.2 5.9 0.0 26.9 14.3 7.9 10.4 0.0 0.0 14.9 1.8 Number of Traders in Each Category Total Traders: 20 . . 0 4 . 0 6 . . . 0 0 ----------------------------------------------------------------------------------------------------------------------------------------------------------- Traders in Financial Futures- Futures Only Positions as of June 28, 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 10,595 Positions 661 9,755 4 6,981 0 0 1,444 431 28 0 0 0 1,477 377 Changes from: June 21, 2011 Total Change is: 384 150 5 4 -241 0 0 400 307 28 0 0 0 43 40 Percent of Open Interest Represented by Each Category of Trader 6.2 92.1 0.0 65.9 0.0 0.0 13.6 4.1 0.3 0.0 0.0 0.0 13.9 3.6 Number of Traders in Each Category Total Traders: 22 . . . 9 0 0 4 . . 0 0 0 -----------------------------------------------------------------------------------------------------------------------------------------------------------
Updated July 1, 2011