WHEAT - CHICAGO BOARD OF TRADE Code-001602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 5,000 BUSHELS) :
: : :
All : 451,421: 73,670 117,826 103,590 239,444 172,773 416,704 394,189: 34,718 57,232
Old : 296,184: 66,951 86,367 55,337 148,927 120,013 271,216 261,717: 24,968 34,466
Other: 155,238: 26,334 51,074 28,637 90,516 52,760 145,488 132,472: 9,750 22,766
: : :
: : Changes in Commitments from: December 20, 2011 :
: 6,424: -31 -11,397 5,453 2,224 13,639 7,645 7,694: -1,221 -1,271
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 16.3 26.1 22.9 53.0 38.3 92.3 87.3: 7.7 12.7
Old : 100.0: 22.6 29.2 18.7 50.3 40.5 91.6 88.4: 8.4 11.6
Other: 100.0: 17.0 32.9 18.4 58.3 34.0 93.7 85.3: 6.3 14.7
: : :
:# Traders : Number of Traders in Each Category :
All : 385: 93 157 160 93 112 293 336:
Old : 366: 103 142 119 79 100 257 289:
Other: 246: 61 80 69 54 87 151 206:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 22.8 11.0 35.0 16.9 21.6 9.6 32.7 14.5
Old : 24.2 14.6 33.7 21.9 24.0 13.0 32.7 20.2
Other: 30.5 11.6 46.1 19.5 26.6 8.5 42.1 15.5
CORN - CHICAGO BOARD OF TRADE Code-002602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 5,000 BUSHELS) :
: : :
All : 1,558,918: 298,440 140,354 407,695 684,203 739,135 1,390,338 1,287,184: 168,580 271,734
Old : 1,248,121: 274,171 139,232 307,013 523,674 585,202 1,104,858 1,031,448: 143,263 216,673
Other: 310,798: 77,434 54,287 47,517 160,530 153,933 285,480 255,736: 25,317 55,061
: : :
: : Changes in Commitments from: December 20, 2011 :
: -9,176: 5,202 -18,900 -8,199 -9,609 12,134 -12,606 -14,965: 3,430 5,789
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 19.1 9.0 26.2 43.9 47.4 89.2 82.6: 10.8 17.4
Old : 100.0: 22.0 11.2 24.6 42.0 46.9 88.5 82.6: 11.5 17.4
Other: 100.0: 24.9 17.5 15.3 51.7 49.5 91.9 82.3: 8.1 17.7
: : :
:# Traders : Number of Traders in Each Category :
All : 694: 155 178 224 242 315 519 604:
Old : 683: 154 175 196 237 308 494 579:
Other: 460: 76 94 79 104 245 218 383:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 12.3 8.7 20.2 14.0 10.4 6.5 15.4 10.5
Old : 12.5 9.1 20.1 14.3 11.6 7.7 17.2 12.3
Other: 24.2 18.1 36.1 26.2 17.4 11.1 25.5 17.7
OATS - CHICAGO BOARD OF TRADE Code-004603
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 5,000 BUSHELS) :
: : :
All : 13,758: 2,229 2,096 729 8,893 8,987 11,850 11,812: 1,908 1,946
Old : 13,335: 2,279 2,093 621 8,647 8,745 11,547 11,459: 1,788 1,876
Other: 423: 0 53 57 246 242 303 353: 120 70
: : :
: : Changes in Commitments from: December 20, 2011 :
: -172: 35 15 -62 -84 -47 -111 -94: -62 -79
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 16.2 15.2 5.3 64.6 65.3 86.1 85.9: 13.9 14.1
Old : 100.0: 17.1 15.7 4.7 64.8 65.6 86.6 85.9: 13.4 14.1
Other: 100.0: 0.0 12.6 13.6 58.1 57.3 71.6 83.4: 28.4 16.6
: : :
:# Traders : Number of Traders in Each Category :
All : 39: 12 10 5 16 8 30 21:
Old : 39: 14 8 5 16 7 30 20:
Other: 15: 0 5 4 6 7 10 12:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 40.3 69.5 57.2 77.7 38.3 65.1 53.8 71.0
Old : 41.2 71.1 57.8 79.0 39.5 67.8 55.4 73.9
Other: 61.0 59.5 70.7 79.8 45.0 48.8 46.4 57.7
SOYBEANS - CHICAGO BOARD OF TRADE Code-005602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 5,000 BUSHELS) :
: : :
All : 639,929: 103,238 64,703 192,732 291,363 300,446 587,332 557,881: 52,597 82,048
Old : 547,570: 89,653 73,010 160,602 251,174 247,961 501,428 481,573: 46,141 65,997
Other: 92,359: 29,949 8,057 15,766 40,189 52,485 85,904 76,308: 6,455 16,051
: : :
: : Changes in Commitments from: December 20, 2011 :
: -99,383: 8,161 -10,225 -64,273 -43,581 -24,072 -99,693 -98,571: 310 -812
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 16.1 10.1 30.1 45.5 46.9 91.8 87.2: 8.2 12.8
Old : 100.0: 16.4 13.3 29.3 45.9 45.3 91.6 87.9: 8.4 12.1
Other: 100.0: 32.4 8.7 17.1 43.5 56.8 93.0 82.6: 7.0 17.4
: : :
:# Traders : Number of Traders in Each Category :
All : 449: 118 131 192 126 153 363 391:
Old : 444: 119 133 177 123 149 348 380:
Other: 244: 57 55 55 55 108 140 194:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 12.5 14.9 22.0 22.1 10.8 11.2 17.1 15.8
Old : 14.4 15.2 24.6 22.1 12.9 12.4 20.7 18.2
Other: 33.0 27.3 45.8 40.7 25.7 24.8 36.2 32.0
SOYBEAN OIL - CHICAGO BOARD OF TRADE Code-007601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 60,000 POUNDS) :
: : :
All : 334,218: 60,572 64,684 63,640 179,808 173,813 304,021 302,137: 30,198 32,081
Old : 306,878: 60,750 66,832 56,590 164,288 154,376 281,627 277,798: 25,251 29,080
Other: 27,340: 3,785 1,814 3,088 15,520 19,437 22,393 24,339: 4,947 3,001
: : :
: : Changes in Commitments from: December 20, 2011 :
: -20,098: -1,786 -9,631 -7,781 -12,476 -1,257 -22,044 -18,669: 1,945 -1,430
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 18.1 19.4 19.0 53.8 52.0 91.0 90.4: 9.0 9.6
Old : 100.0: 19.8 21.8 18.4 53.5 50.3 91.8 90.5: 8.2 9.5
Other: 100.0: 13.8 6.6 11.3 56.8 71.1 81.9 89.0: 18.1 11.0
: : :
:# Traders : Number of Traders in Each Category :
All : 250: 61 77 80 70 76 187 197:
Old : 249: 65 84 76 69 76 181 197:
Other: 77: 21 10 17 33 28 62 48:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 14.0 19.7 24.1 30.7 11.6 14.9 18.3 22.5
Old : 15.1 19.0 25.1 28.9 12.6 14.9 19.5 22.1
Other: 33.8 42.3 47.7 63.7 25.8 38.5 37.0 52.1
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE Code-020601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000 FACE VALUE) :
: : :
All : 655,549: 59,590 87,860 36,664 413,562 400,694 509,816 525,217: 145,733 130,331
Old : 655,549: 59,590 87,860 36,664 413,562 400,694 509,816 525,217: 145,733 130,331
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -47,921: 945 -60 -14,641 -34,175 -35,022 -47,870 -49,723: -51 1,801
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 9.1 13.4 5.6 63.1 61.1 77.8 80.1: 22.2 19.9
Old : 100.0: 9.1 13.4 5.6 63.1 61.1 77.8 80.1: 22.2 19.9
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 141: 26 25 30 75 70 117 109:
Old : 141: 26 25 30 75 70 117 109:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 22.4 22.2 32.5 33.6 21.4 20.9 27.2 30.6
Old : 22.4 22.2 32.5 33.6 21.4 20.9 27.2 30.6
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE Code-020604
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000 FACE VALUE) :
: : :
All : 368,895: 59,028 35,459 1,153 247,659 293,229 307,840 329,840: 61,055 39,055
Old : 368,895: 59,028 35,459 1,153 247,659 293,229 307,840 329,840: 61,055 39,055
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: 1,104: 0 714 -44 2,861 3,487 2,817 4,157: -1,713 -3,052
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 16.0 9.6 0.3 67.1 79.5 83.4 89.4: 16.6 10.6
Old : 100.0: 16.0 9.6 0.3 67.1 79.5 83.4 89.4: 16.6 10.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 71: 7 7 4 43 40 53 48:
Old : 71: 7 7 4 43 40 53 48:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 25.1 49.8 43.8 63.1 21.2 49.3 38.3 61.6
Old : 25.1 49.8 43.8 63.1 21.2 49.3 38.3 61.6
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
CBT ETHANOL - CHICAGO BOARD OF TRADE Code-025601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 29,000 U.S. GALLONS) :
: : :
All : 9,798: 1,114 1,134 952 7,138 7,205 9,204 9,291: 594 507
Old : 9,798: 1,114 1,134 952 7,138 7,205 9,204 9,291: 594 507
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -74: -20 -85 18 -26 5 -28 -62: -46 -12
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 11.4 11.6 9.7 72.9 73.5 93.9 94.8: 6.1 5.2
Old : 100.0: 11.4 11.6 9.7 72.9 73.5 93.9 94.8: 6.1 5.2
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 32: 7 3 5 19 18 28 24:
Old : 32: 7 3 5 19 18 28 24:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 50.5 51.9 67.6 74.1 25.3 22.6 34.1 35.0
Old : 50.5 51.9 67.6 74.1 25.3 22.6 34.1 35.0
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
SOYBEAN MEAL - CHICAGO BOARD OF TRADE Code-026603
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 100 TONS) :
: : :
All : 215,864: 29,947 48,626 38,370 117,257 99,156 185,574 186,152: 30,290 29,712
Old : 187,027: 28,170 47,901 29,126 103,247 83,646 160,543 160,674: 26,484 26,354
Other: 28,837: 4,030 2,977 6,991 14,010 15,510 25,031 25,478: 3,806 3,359
: : :
: : Changes in Commitments from: December 20, 2011 :
: -10,589: 1,464 -6,844 -2,526 -7,834 1,716 -8,895 -7,654: -1,693 -2,935
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 13.9 22.5 17.8 54.3 45.9 86.0 86.2: 14.0 13.8
Old : 100.0: 15.1 25.6 15.6 55.2 44.7 85.8 85.9: 14.2 14.1
Other: 100.0: 14.0 10.3 24.2 48.6 53.8 86.8 88.4: 13.2 11.6
: : :
:# Traders : Number of Traders in Each Category :
All : 179: 32 49 53 74 63 145 140:
Old : 179: 39 50 48 74 63 144 136:
Other: 77: 16 13 19 33 24 56 51:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 20.5 23.9 29.8 33.7 15.1 16.4 20.9 23.1
Old : 20.9 24.2 30.0 33.3 16.7 17.6 23.0 25.0
Other: 35.8 40.5 54.6 54.9 32.9 31.0 42.1 40.3
ROUGH RICE - CHICAGO BOARD OF TRADE Code-039601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF 200,000 POUNDS) :
: : :
All : 17,429: 2,695 5,685 2,407 9,050 6,877 14,152 14,970: 3,277 2,459
Old : 17,242: 2,680 5,680 2,403 8,971 6,713 14,054 14,797: 3,188 2,445
Other: 187: 17 7 2 79 164 98 173: 89 14
: : :
: : Changes in Commitments from: December 20, 2011 :
: -1,640: -102 237 -1,137 -544 -687 -1,784 -1,588: 145 -52
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 15.5 32.6 13.8 51.9 39.5 81.2 85.9: 18.8 14.1
Old : 100.0: 15.5 32.9 13.9 52.0 38.9 81.5 85.8: 18.5 14.2
Other: 100.0: 9.1 3.7 1.1 42.2 87.7 52.4 92.5: 47.6 7.5
: : :
:# Traders : Number of Traders in Each Category :
All : 86: 20 31 16 22 18 55 58:
Old : 86: 19 32 16 22 18 55 58:
Other: 12: 3 1 1 2 5 6 7:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 28.4 28.0 42.3 41.1 28.4 21.2 41.8 33.0
Old : 28.7 27.6 42.7 40.8 28.7 20.8 42.3 33.1
Other: 50.8 84.0 52.4 92.5 50.8 84.0 51.3 91.4
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE Code-042601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $200,000 FACE VALUE) :
: : :
All : 712,654: 170,871 127,219 25,644 406,741 455,703 603,255 608,566: 109,398 104,088
Old : 712,654: 170,871 127,219 25,644 406,741 455,703 603,255 608,566: 109,398 104,088
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -25,068: -24,626 10,969 -5,061 4,403 -38,432 -25,283 -32,524: 215 7,456
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 24.0 17.9 3.6 57.1 63.9 84.6 85.4: 15.4 14.6
Old : 100.0: 24.0 17.9 3.6 57.1 63.9 84.6 85.4: 15.4 14.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 195: 34 36 19 82 100 129 142:
Old : 195: 34 36 19 82 100 129 142:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 27.6 21.3 38.5 29.4 26.8 18.1 35.6 25.9
Old : 27.6 21.3 38.5 29.4 26.8 18.1 35.6 25.9
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE Code-043602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000 FACE VALUE) :
: : :
All : 1,654,477: 208,089 210,874 98,826 1,071,373 1,044,718 1,378,288 1,354,418: 276,188 300,058
Old : 1,654,477: 208,089 210,874 98,826 1,071,373 1,044,718 1,378,288 1,354,418: 276,188 300,058
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -80,007: 26,719 24,108 -60,754 -35,316 -45,621 -69,352 -82,267: -10,655 2,260
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 12.6 12.7 6.0 64.8 63.1 83.3 81.9: 16.7 18.1
Old : 100.0: 12.6 12.7 6.0 64.8 63.1 83.3 81.9: 16.7 18.1
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 217: 30 47 44 114 117 173 179:
Old : 217: 30 47 44 114 117 173 179:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 26.3 18.9 34.9 28.1 25.4 14.9 32.7 23.2
Old : 26.3 18.9 34.9 28.1 25.4 14.9 32.7 23.2
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE Code-044601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000 FACE VALUE) :
: : :
All : 1,312,303: 367,797 141,694 47,238 692,552 895,321 1,107,588 1,084,253: 204,715 228,050
Old : 1,312,303: 367,797 141,694 47,238 692,552 895,321 1,107,588 1,084,253: 204,715 228,050
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -65,877: -7,258 18,678 -34,671 -9,268 -53,598 -51,197 -69,591: -14,679 3,714
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 28.0 10.8 3.6 52.8 68.2 84.4 82.6: 15.6 17.4
Old : 100.0: 28.0 10.8 3.6 52.8 68.2 84.4 82.6: 15.6 17.4
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 172: 29 22 26 79 103 119 140:
Old : 172: 29 22 26 79 103 119 140:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 34.1 16.9 44.6 25.9 31.4 15.7 40.5 23.4
Old : 34.1 16.9 44.6 25.9 31.4 15.7 40.5 23.4
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE Code-045601
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $5,000,000) :
: : :
All : 718,938: 96,220 72,149 193,800 399,161 412,951 689,181 678,900: 29,757 40,038
Old : 718,938: 96,220 72,149 193,800 399,161 412,951 689,181 678,900: 29,757 40,038
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: 8,424: 5,800 -381 -1,169 5,425 10,391 10,055 8,841: -1,632 -417
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 13.4 10.0 27.0 55.5 57.4 95.9 94.4: 4.1 5.6
Old : 100.0: 13.4 10.0 27.0 55.5 57.4 95.9 94.4: 4.1 5.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 117: 24 23 37 56 59 96 106:
Old : 117: 24 23 37 56 59 96 106:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 36.8 29.3 52.3 45.9 28.5 22.4 34.4 32.7
Old : 36.8 29.3 52.3 45.9 28.5 22.4 34.4 32.7
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
DJIA Consolidated - CHICAGO BOARD OF TRADE Code-12460+
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($10 X DJIA INDEX) :
: : :
All : 46,066: 13,102 4,185 469 27,336 37,440 40,907 42,094: 5,159 3,972
Old : 46,066: 13,102 4,185 469 27,336 37,440 40,907 42,094: 5,159 3,972
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -669: -1,725 386 112 1,154 -861 -460 -363: -209 -305
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 28.4 9.1 1.0 59.3 81.3 88.8 91.4: 11.2 8.6
Old : 100.0: 28.4 9.1 1.0 59.3 81.3 88.8 91.4: 11.2 8.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 88: 25 11 10 34 26 63 43:
Old : 88: 25 11 10 34 26 63 43:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 34.9 59.5 48.0 73.1 34.9 59.4 47.6 72.7
Old : 34.9 59.5 48.0 73.1 34.9 59.4 47.6 72.7
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE Code-124603
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($5 X DJIA INDEX) :
: : :
All : 92,132: 26,204 8,370 938 54,672 74,880 81,814 84,188: 10,318 7,945
Old : 92,132: 26,204 8,370 938 54,672 74,880 81,814 84,188: 10,318 7,945
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -1,338: -3,450 772 223 2,307 -1,722 -920 -727: -418 -611
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 28.4 9.1 1.0 59.3 81.3 88.8 91.4: 11.2 8.6
Old : 100.0: 28.4 9.1 1.0 59.3 81.3 88.8 91.4: 11.2 8.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 88: 25 11 10 34 26 63 43:
Old : 88: 25 11 10 34 26 63 43:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 34.9 59.5 48.0 73.1 34.9 59.4 47.6 72.7
Old : 34.9 59.5 48.0 73.1 34.9 59.4 47.6 72.7
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE Code-221602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($100 X INDEX) :
: : :
All : 16,062: 13,784 15,369 685 1,385 0 15,854 16,054: 208 8
Old : 16,062: 13,784 15,369 685 1,385 0 15,854 16,054: 208 8
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -152: 6,670 -252 173 -6,983 -58 -140 -137: -12 -15
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 85.8 95.7 4.3 8.6 0.0 98.7 100.0: 1.3 0.0
Old : 100.0: 85.8 95.7 4.3 8.6 0.0 98.7 100.0: 1.3 0.0
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 24: 9 12 3 3 0 15 12:
Old : 24: 9 12 3 3 0 15 12:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 89.5 81.2 95.6 94.8 89.5 77.5 93.2 90.5
Old : 89.5 81.2 95.6 94.8 89.5 77.5 93.2 90.5
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE Code-246602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000) :
: : :
All : 10,483: 1,204 1,912 25 9,006 8,452 10,235 10,389: 248 94
Old : 10,483: 1,204 1,912 25 9,006 8,452 10,235 10,389: 248 94
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: 19: 9 -5 0 4 9 13 4: 6 15
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 11.5 18.2 0.2 85.9 80.6 97.6 99.1: 2.4 0.9
Old : 100.0: 11.5 18.2 0.2 85.9 80.6 97.6 99.1: 2.4 0.9
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 28: 6 6 1 6 11 13 17:
Old : 28: 6 6 1 6 11 13 17:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 83.1 76.1 95.2 92.2 83.1 76.1 95.2 91.8
Old : 83.1 76.1 95.2 92.2 83.1 76.1 95.2 91.8
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE Code-247602
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (CONTRACTS OF $100,000) :
: : :
All : 11,939: 891 579 0 10,689 11,171 11,580 11,750: 359 189
Old : 11,939: 891 579 0 10,689 11,171 11,580 11,750: 359 189
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: December 20, 2011 :
: -476: -131 -260 0 -294 -179 -425 -439: -51 -37
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 7.5 4.8 0.0 89.5 93.6 97.0 98.4: 3.0 1.6
Old : 100.0: 7.5 4.8 0.0 89.5 93.6 97.0 98.4: 3.0 1.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 31: 9 5 0 5 12 14 17:
Old : 31: 9 5 0 5 12 14 17:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 91.2 76.4 95.0 88.8 91.2 76.4 95.0 88.8
Old : 91.2 76.4 95.0 88.8 91.2 76.4 95.0 88.8
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Updated December 30, 2011