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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   123,074
Positions
    42,308     13,422        631     19,962     32,296        388     20,598     44,299      4,583      9,043      1,102        133     25,428     26,220
 
Changes from:       October 11, 2011                                 Total Change is:       129
     1,909      3,803       -106     -1,283       -413        105      2,778     -2,674       -484     -3,400       -475        133        477        240
 
Percent of Open Interest Represented by Each Category of Trader
      34.4       10.9        0.5       16.2       26.2        0.3       16.7       36.0        3.7        7.3        0.9        0.1       20.7       21.3
 
Number of Traders in Each Category                                    Total Traders:        78
        11          9          5          6          6          .         11         21          6         11          .          .
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    26,097
Positions
     5,797      6,603        135      1,139      1,382        166      9,835      5,069         43          0          0          0      8,982     12,699
 
Changes from:       October 11, 2011                                 Total Change is:     1,780
     1,310        -53         -4       -245         -3         37      1,052        872          9          0          0          0       -379        922
 
Percent of Open Interest Represented by Each Category of Trader
      22.2       25.3        0.5        4.4        5.3        0.6       37.7       19.4        0.2        0.0        0.0        0.0       34.4       48.7
 
Number of Traders in Each Category                                    Total Traders:        34
         6          7          .          .          .          .          5         12          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF GBP 62,500)                    
CFTC Code #096742                                                    Open Interest is   175,827
Positions
   117,762      1,678        181      8,645     61,819      2,177     31,122     75,652      2,134      1,707      2,726          0     12,099     29,460
 
Changes from:       October 11, 2011                                 Total Change is:    -8,882
    -8,392       -340        -26     -1,717        588        206      1,326     -5,626        -57         41       -493          0       -263     -3,134
 
Percent of Open Interest Represented by Each Category of Trader
      67.0        1.0        0.1        4.9       35.2        1.2       17.7       43.0        1.2        1.0        1.6        0.0        6.9       16.8
 
Number of Traders in Each Category                                    Total Traders:        95
        14          5          4          5         15          5         16         35          5          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF JPY 12,500,000)                          
CFTC Code #097741                                                    Open Interest is   152,255
Positions
     2,438     90,767         75     57,531      9,628      1,282     64,005     17,957        332      1,667      2,342          0     24,925     29,872
 
Changes from:       October 11, 2011                                 Total Change is:    -1,594
       423     -5,675          3     -3,228        487        110      2,754      2,830         44       -119        238          0     -1,581        369
 
Percent of Open Interest Represented by Each Category of Trader
       1.6       59.6        0.0       37.8        6.3        0.8       42.0       11.8        0.2        1.1        1.5        0.0       16.4       19.6
 
Number of Traders in Each Category                                    Total Traders:       100
         .         15          .         11          7          4         29         27          .          .          5          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   230,483
Positions
    98,308     24,570        403     30,588     36,734      8,276     54,759     87,551        621      6,868     11,655        425     30,235     60,248
 
Changes from:       October 11, 2011                                 Total Change is:     7,316
       648       -874         55      3,954       -884      2,780      4,074      6,049       -245      1,177      2,309         64     -5,191     -1,938
 
Percent of Open Interest Represented by Each Category of Trader
      42.7       10.7        0.2       13.3       15.9        3.6       23.8       38.0        0.3        3.0        5.1        0.2       13.1       26.1
 
Number of Traders in Each Category                                    Total Traders:       175
        27         11          .         15         26         12         20         55         11          6         15          .
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF AUD 100,000)                        
CFTC Code #232741                                                    Open Interest is   121,691
Positions
    51,379     39,572        129      2,935     39,012        814     48,956     17,049          0      1,452      2,033          0     16,026     23,082
 
Changes from:       October 11, 2011                                 Total Change is:     3,509
    -5,282     11,911       -537       -579          3         85     12,120     -8,080        -26     -5,000      1,601          0      2,728     -1,448
 
Percent of Open Interest Represented by Each Category of Trader
      42.2       32.5        0.1        2.4       32.1        0.7       40.2       14.0        0.0        1.2        1.7        0.0       13.2       19.0
 
Number of Traders in Each Category                                    Total Traders:        67
         9         10          .          .          7          .         17         17          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is    86,887
Positions
    52,257     43,900     28,865          0          0          0      4,536     12,611      1,004          0          0          0        225        507
 
Changes from:       October 11, 2011                                 Total Change is:     3,422
     2,380        862      2,635          0          0          0       -344        649       -166          0          0          0     -1,083       -558
 
Percent of Open Interest Represented by Each Category of Trader
      60.1       50.5       33.2        0.0        0.0        0.0        5.2       14.5        1.2        0.0        0.0        0.0        0.3        0.6
 
Number of Traders in Each Category                                    Total Traders:        22
         9          8         13          0          0          0          .          4          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF MXN 500,000)                             
CFTC Code #095741                                                    Open Interest is    90,949
Positions
    51,976     42,331          0     21,846      2,908        741     12,462     36,051        290      1,141      2,967          0      2,493      5,661
 
Changes from:       October 11, 2011                                 Total Change is:     2,127
     2,392        764          0       -469        361        205       -179      1,162         25         38         19          0        115       -409
 
Percent of Open Interest Represented by Each Category of Trader
      57.1       46.5        0.0       24.0        3.2        0.8       13.7       39.6        0.3        1.3        3.3        0.0        2.7        6.2
 
Number of Traders in Each Category                                    Total Traders:        82
         8         12          0          6          5          .         16         23          4          5          7          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is    24,055
Positions
    10,355     17,264          5        158        238          0     11,317      4,269          0        362        342          0      1,858      1,937
 
Changes from:       October 11, 2011                                 Total Change is:    -1,004
    -1,736        877        -48        -33          0          0        330     -1,486       -102         15          0          0        570       -245
 
Percent of Open Interest Represented by Each Category of Trader
      43.0       71.8        0.0        0.7        1.0        0.0       47.0       17.7        0.0        1.5        1.4        0.0        7.7        8.1
 
Number of Traders in Each Category                                    Total Traders:        35
         5          8          .          .          .          0          7         11          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is    50,365
Positions
    22,681     26,965      2,616      3,221      3,227        514      8,421      5,906      3,349      2,238          0      1,466      5,860      6,323
 
Changes from:       October 11, 2011                                 Total Change is:    11,033
     5,180      6,362      2,535        688        247         83     -4,061     -1,530      3,309          3     -1,567      1,466      1,832        129
 
Percent of Open Interest Represented by Each Category of Trader
      45.0       53.5        5.2        6.4        6.4        1.0       16.7       11.7        6.6        4.4        0.0        2.9       11.6       12.6
 
Number of Traders in Each Category                                    Total Traders:        83
        22         12          7          4          7          .         22         12          7          .          0          .
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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DOW JONES INDUSTRIAL AVERAGE - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                          
CFTC Code #124601                                                    Open Interest is    12,420
Positions
     7,733      8,583          0        675        282          0        848      2,548          0      1,626          0          0      1,538      1,007
 
Changes from:       October 11, 2011                                 Total Change is:        58
         0          0          0        110        -10          0         45       -110          0         25          0          0       -122        178
 
Percent of Open Interest Represented by Each Category of Trader
      62.3       69.1        0.0        5.4        2.3        0.0        6.8       20.5        0.0       13.1        0.0        0.0       12.4        8.1
 
Number of Traders in Each Category                                    Total Traders:        20
         7          5          0          .          .          0          .          .          0          .          0          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE   ($5 X DJIA INDEX)                         
CFTC Code #124603                                                    Open Interest is    75,889
Positions
    34,981     41,849        146      5,092      5,890      1,028     21,358     12,928        485      4,156      2,932          0      8,643     10,631
 
Changes from:       October 11, 2011                                 Total Change is:    -2,774
       -21        643        -17         26        -70        165     -3,605     -1,943        406       -315       -202          0        587     -1,756
 
Percent of Open Interest Represented by Each Category of Trader
      46.1       55.1        0.2        6.7        7.8        1.4       28.1       17.0        0.6        5.5        3.9        0.0       11.4       14.0
 
Number of Traders in Each Category                                    Total Traders:        80
        21         13          .          .          6          .         23         11          4          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                      
CFTC Code #13874+                                                    Open Interest is   892,321
Positions
   117,354    127,919     53,590    375,948    227,219     64,953     74,350    178,416     45,634     16,142     45,341      6,199    138,152    143,051
 
Changes from:       October 11, 2011                                 Total Change is:     5,473
     1,000      2,761      8,774        544    -11,164     -1,504     -1,860      3,718       -483       -920      3,277       -483        405        576
 
Percent of Open Interest Represented by Each Category of Trader
      13.2       14.3        6.0       42.1       25.5        7.3        8.3       20.0        5.1        1.8        5.1        0.7       15.5       16.0
 
Number of Traders in Each Category                                    Total Traders:       590
        34         58         28        111         78         68         75        145         68         29         58         14
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Traders in Financial Futures - Futures Only Positions as of October 18, 2011                
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              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   :
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S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                       
CFTC Code #138741                                                    Open Interest is   291,559
Positions
    45,413     68,196      8,709    111,887     46,515     11,626     40,103     56,947      2,366      4,939     14,379        309     66,207     82,512
 
Changes from:       October 11, 2011                                 Total Change is:     7,097
     3,143      6,239      1,286        127         14        -20      3,994     -1,499        873     -1,803     -1,050       -280       -223      1,534
 
Percent of Open Interest Represented by Each Category of Trader
      15.6       23.4        3.0       38.4       16.0        4.0       13.8       19.5        0.8        1.7        4.9        0.1       22.7       28.3
 
Number of Traders in Each Category                                    Total Traders:       132
        13         16          4         26         15         12         22         28         11          5          7          .
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Traders in Financial Futures - Futures Only Positions as of October 18, 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   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 3,003,811
Positions
   543,387    482,299     40,719  1,333,114    916,330    253,826    351,761    787,868     35,816     80,669    179,468      4,792    359,727    302,693
 
Changes from:       October 11, 2011                                 Total Change is:    -8,121
    23,463     16,791      3,259         88    -57,887     -5,422    -35,550     19,806       -501      2,749     19,970        651      3,142     -4,788
 
Percent of Open Interest Represented by Each Category of Trader
      18.1       16.1        1.4       44.4       30.5        8.5       11.7       26.2        1.2        2.7        6.0        0.2       12.0       10.1
 
Number of Traders in Each Category                                    Total Traders:       558
        35         52         17         98         74         61         73        141         45         30         54          6
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Traders in Financial Futures - Futures Only Positions as of October 18, 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   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   110,884
Positions
    23,952     16,630         85     57,892     58,681      9,073     10,298     14,285        221      1,433      6,359          0      7,930      5,550
 
Changes from:       October 11, 2011                                 Total Change is:      -372
    -1,739        814         85      3,385     -2,130       -915     -1,277      1,050        175          0         -9          0        -86        558
 
Percent of Open Interest Represented by Each Category of Trader
      21.6       15.0        0.1       52.2       52.9        8.2        9.3       12.9        0.2        1.3        5.7        0.0        7.2        5.0
 
Number of Traders in Each Category                                    Total Traders:        83
         7         10          .         32         13          9          7         11          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 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   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    84,996
Positions
    22,972     37,944      4,129     21,459     15,585      1,460     17,205      8,669      2,234      1,382      3,462         29     14,126     11,485
 
Changes from:       October 11, 2011                                 Total Change is:     9,918
      -469     11,404      2,014      2,532     -2,052        -18      3,349     -1,412       -910        187       -325        -33      3,266      1,249
 
Percent of Open Interest Represented by Each Category of Trader
      27.0       44.6        4.9       25.2       18.3        1.7       20.2       10.2        2.6        1.6        4.1        0.0       16.6       13.5
 
Number of Traders in Each Category                                    Total Traders:       217
        21         28          9         34         18         10         51         47         15         10          8          .
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Traders in Financial Futures - Futures Only Positions as of October 18, 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   :
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NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    20,077
Positions
     8,344     17,238         20        269        300          0      2,307          0          0          0      1,082          0      9,137      1,437
 
Changes from:       October 11, 2011                                 Total Change is:     4,800
     2,358      6,698          0          0          0          0        612     -2,213          0          0          0          0      1,830        315
 
Percent of Open Interest Represented by Each Category of Trader
      41.6       85.9        0.1        1.3        1.5        0.0       11.5        0.0        0.0        0.0        5.4        0.0       45.5        7.2
 
Number of Traders in Each Category                                    Total Traders:        22
         8          8          .          .          .          0          .          0          0          0          .          0
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Traders in Financial Futures - Futures Only Positions as of October 18, 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   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   324,594
Positions
    91,942    122,332      1,743    105,949     76,424      7,300     84,674     53,527        985      6,909     11,898        145     24,947     50,240
 
Changes from:       October 11, 2011                                 Total Change is:    25,589
    -4,380     33,283        316     12,662    -10,259        -88      9,854        177       -721        933     -1,624       -166      7,179      4,671
 
Percent of Open Interest Represented by Each Category of Trader
      28.3       37.7        0.5       32.6       23.5        2.2       26.1       16.5        0.3        2.1        3.7        0.0        7.7       15.5
 
Number of Traders in Each Category                                    Total Traders:       216
        21         27          5         34         18         10         49         49         12         10          8          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   455,651
Positions
   243,411     27,412     18,463    113,836    209,361     33,471     27,838    118,402      1,428      1,385     25,604          0     15,819     21,510
 
Changes from:       October 11, 2011                                 Total Change is:   -15,702
   -17,691     -3,519       -452     12,948     -5,087     -2,177     -8,629     -1,080       -138        -14     -1,497          0        451     -1,752
 
Percent of Open Interest Represented by Each Category of Trader
      53.4        6.0        4.1       25.0       45.9        7.3        6.1       26.0        0.3        0.3        5.6        0.0        3.5        4.7
 
Number of Traders in Each Category                                    Total Traders:       229
        24         10          .         48         45         26         24         60          8          4         14          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    25,579
Positions
     9,046      1,300         70      3,545      2,086         96      5,193      4,898         11        216      5,174          0      7,402     11,944
 
Changes from:       October 11, 2011                                 Total Change is:       127
       426       -609          0       -199       -370          0       -141        117          6          0        -29          0         35      1,012
 
Percent of Open Interest Represented by Each Category of Trader
      35.4        5.1        0.3       13.9        8.2        0.4       20.3       19.1        0.0        0.8       20.2        0.0       28.9       46.7
 
Number of Traders in Each Category                                    Total Traders:        39
        12          .          .          7          4          .          7          5          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    34,265
Positions
    10,955     10,775        910      6,971      2,960        451      4,874      4,705      1,531        825        589          0      7,748     12,344
 
Changes from:       October 11, 2011                                 Total Change is:     1,256
      -529     -1,868         97          7        -99         -1      1,114     -2,357        -42        223       -196          0        387      5,722
 
Percent of Open Interest Represented by Each Category of Trader
      32.0       31.4        2.7       20.3        8.6        1.3       14.2       13.7        4.5        2.4        1.7        0.0       22.6       36.0
 
Number of Traders in Each Category                                    Total Traders:        51
        15         11          .          6          .          .          5          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    40,381
Positions
       479      2,136      1,219     28,701     23,675      4,794      2,133      7,137         15        284          0          0      2,756      1,405
 
Changes from:       October 11, 2011                                 Total Change is:      -924
        23        139        -19       -175       -153       -352       -356       -117         11          0          0          0        -56       -433
 
Percent of Open Interest Represented by Each Category of Trader
       1.2        5.3        3.0       71.1       58.6       11.9        5.3       17.7        0.0        0.7        0.0        0.0        6.8        3.5
 
Number of Traders in Each Category                                    Total Traders:        52
         .          .          .         18         19          8          .          6          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    65,079
Positions
    14,990     23,550         50     28,210     11,285      2,551      9,927      4,560        852      1,986      2,423        437      6,076     19,371
 
Changes from:       October 11, 2011                                 Total Change is:       318
       289       -980        -60     -1,575        194        711        589        179       -161         13         -5         34        478        406
 
Percent of Open Interest Represented by Each Category of Trader
      23.0       36.2        0.1       43.3       17.3        3.9       15.3        7.0        1.3        3.1        3.7        0.7        9.3       29.8
 
Number of Traders in Each Category                                    Total Traders:        67
        10          8          .         15          9          4         12          5          .          6          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   612,289
Positions
    17,256    126,624      2,980    308,025     92,928     80,605     42,678    116,823      5,527     17,962     54,859          0    137,256    131,943
 
Changes from:       October 11, 2011                                 Total Change is:    -3,513
     1,200       -418      1,744    -23,145    -11,661      2,878      3,875     -4,047        186      1,642      1,484          0      8,107      6,321
 
Percent of Open Interest Represented by Each Category of Trader
       2.8       20.7        0.5       50.3       15.2       13.2        7.0       19.1        0.9        2.9        9.0        0.0       22.4       21.5
 
Number of Traders in Each Category                                    Total Traders:       159
        12         21          5         41         19         33         32         20         11          5          8          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   377,973
Positions
     6,960    181,028         71    267,405     14,472     30,032      4,620    101,804        771      2,875      3,387          0     65,239     46,408
 
Changes from:       October 11, 2011                                 Total Change is:     3,858
    -2,905      7,372       -220      6,516       -964     -1,047        -28      1,544         39          0     -2,665          0      1,503       -201
 
Percent of Open Interest Represented by Each Category of Trader
       1.8       47.9        0.0       70.7        3.8        7.9        1.2       26.9        0.2        0.8        0.9        0.0       17.3       12.3
 
Number of Traders in Each Category                                    Total Traders:        74
         .         14          .         37          4         16          .         12          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   702,756
Positions
    91,131     62,071      4,562    118,900    222,546     88,235    225,101    154,352     16,820     55,015     42,723      2,811    100,181    108,636
 
Changes from:       October 11, 2011                                 Total Change is:     4,435
    10,753     10,032        811    -12,222      5,096      2,696       -275     -3,351      1,291     -4,013     -8,939        964      4,430     -4,165
 
Percent of Open Interest Represented by Each Category of Trader
      13.0        8.8        0.6       16.9       31.7       12.6       32.0       22.0        2.4        7.8        6.1        0.4       14.3       15.5
 
Number of Traders in Each Category                                    Total Traders:       215
        17         23          8         29         49         39         32         36         18         10         18          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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 1,494,341
Positions
   143,915    149,508     16,773    598,598    566,847    202,110    210,902    138,385     20,225     39,494    110,708        932    261,392    288,853
 
Changes from:       October 11, 2011                                 Total Change is:   -40,853
     3,575     26,999     -4,350     -2,531    -32,435     -3,034     -9,683    -11,919       -488    -10,458     13,101     -1,916    -11,968    -26,811
 
Percent of Open Interest Represented by Each Category of Trader
       9.6       10.0        1.1       40.1       37.9       13.5       14.1        9.3        1.4        2.6        7.4        0.1       17.5       19.3
 
Number of Traders in Each Category                                    Total Traders:       244
        28         28         16         29         56         49         39         42         25          7         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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 1,172,962
Positions
    95,488    148,279      5,707    343,355    478,736    140,470    239,733     94,981     11,819    140,076     63,038          0    196,314    229,932
 
Changes from:       October 11, 2011                                 Total Change is:    -9,945
    -3,037     23,094     -2,878    -36,753    -42,058     16,005     15,845     -1,388       -925     -7,811      6,260     -5,380     14,989     -2,675
 
Percent of Open Interest Represented by Each Category of Trader
       8.1       12.6        0.5       29.3       40.8       12.0       20.4        8.1        1.0       11.9        5.4        0.0       16.7       19.6
 
Number of Traders in Each Category                                    Total Traders:       182
        13         28          7         22         42         36         39         22         15          6         10          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   621,992
Positions
   240,598    245,694    193,212      3,807      5,594      3,570     56,691     45,912     77,012      9,378      5,502      8,037     29,687     37,459
 
Changes from:       October 11, 2011                                 Total Change is:     3,993
   -10,499       -471     15,613          0       -100         46        404     -3,887     -3,652        -90          0         91      2,080     -3,647
 
Percent of Open Interest Represented by Each Category of Trader
      38.7       39.5       31.1        0.6        0.9        0.6        9.1        7.4       12.4        1.5        0.9        1.3        4.8        6.0
 
Number of Traders in Each Category                                    Total Traders:       117
        30         27         53          .          4          .         20         20         23          .          5          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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 8,135,836
Positions
 1,010,222  2,669,741  1,761,129  2,501,713     37,802    126,188    606,673    753,453  1,233,577     68,976    470,932    143,621    683,737    939,393
 
Changes from:       October 11, 2011                                 Total Change is:   -63,820
   145,552   -131,525    -32,491   -111,037      1,520    -14,213    -65,751     24,466     -4,348     -2,006     31,451    -15,805     36,279     77,125
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       32.8       21.6       30.7        0.5        1.6        7.5        9.3       15.2        0.8        5.8        1.8        8.4       11.5
 
Number of Traders in Each Category                                    Total Traders:       253
        32         52         79         16          7         18         44         59         84          9         13         16
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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     9,791
Positions
     4,202      2,669          0      1,431        786         12      1,920      5,641        366      1,585        190          0        275        127
 
Changes from:       October 11, 2011                                 Total Change is:      -266
      -488       -383          0        -45          0          0        129          4        103         34        -50          0          1         60
 
Percent of Open Interest Represented by Each Category of Trader
      42.9       27.3        0.0       14.6        8.0        0.1       19.6       57.6        3.7       16.2        1.9        0.0        2.8        1.3
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          7          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    14,276
Positions
    10,849      7,907          0      1,447      2,126         46      1,626      3,640          0         40        415          0        268        142
 
Changes from:       October 11, 2011                                 Total Change is:       738
        74        660          0        -11        229          0        739       -123          0          0        -20          0        -64         -8
 
Percent of Open Interest Represented by Each Category of Trader
      76.0       55.4        0.0       10.1       14.9        0.3       11.4       25.5        0.0        0.3        2.9        0.0        1.9        1.0
 
Number of Traders in Each Category                                    Total Traders:        29
         5          4          0          .          4          .          6          5          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    68,006
Positions
    21,247     56,886        500      3,758        181        522     26,704      5,588      1,253      4,381        881          3      9,638      2,192
 
Changes from:       October 11, 2011                                 Total Change is:    -1,661
      -601     -3,518          0       -396          0       -170     -4,010        594        459      1,134        225          3      1,920        746
 
Percent of Open Interest Represented by Each Category of Trader
      31.2       83.6        0.7        5.5        0.3        0.8       39.3        8.2        1.8        6.4        1.3        0.0       14.2        3.2
 
Number of Traders in Each Category                                    Total Traders:       110
         .          6          .          7          .          .         47         12          7         30          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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   148,583
Positions
    35,976     36,634     34,204      4,016        834      3,701     18,870     20,555     20,845      1,218      1,089     11,778     17,975     18,943
 
Changes from:       October 11, 2011                                 Total Change is:    -5,627
    -1,665     -4,289     -5,389       -124       -250     -1,597         -9      1,833       -379        116     -1,277        373      3,047      5,348
 
Percent of Open Interest Represented by Each Category of Trader
      24.2       24.7       23.0        2.7        0.6        2.5       12.7       13.8       14.0        0.8        0.7        7.9       12.1       12.7
 
Number of Traders in Each Category                                    Total Traders:        91
        11          9         15          7          .          8         17         20         26          4          7         12
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 18, 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    13,306
Positions
     2,308          0          0      1,728      1,472          0      8,222      2,449         71        253      8,914        389        335         11
 
Changes from:       October 11, 2011                                 Total Change is:       187
       201       -450          0        -10        479          0        -15         -9          0          0        159          0         11          8
 
Percent of Open Interest Represented by Each Category of Trader
      17.3        0.0        0.0       13.0       11.1        0.0       61.8       18.4        0.5        1.9       67.0        2.9        2.5        0.1
 
Number of Traders in Each Category                                    Total Traders:        26
         4          0          0          4          4          0          5          5          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated October 21, 2011