```
Traders in Financial Futures - Futures Only Positions as of November 15, 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   123,967
Positions
    36,608     20,042        743     18,846     31,831        490     25,709     44,380      4,311      8,441      1,266          0     28,819     20,904
 
Changes from:       November 8, 2011                                 Total Change is:     1,898
       318     -1,719        319        927        117          3        728      2,885       -240        210         11          0       -367        522
 
Percent of Open Interest Represented by Each Category of Trader
      29.5       16.2        0.6       15.2       25.7        0.4       20.7       35.8        3.5        6.8        1.0        0.0       23.2       16.9
 
Number of Traders in Each Category                                    Total Traders:        73
         9         10          4          5          5          .         13         18          5         10          .          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    30,206
Positions
     7,433      6,929        420        875      1,336        217     11,671      7,523        127          0          0          0      9,463     13,654
 
Changes from:       November 8, 2011                                 Total Change is:     4,667
     2,794       -622        232          0          1          0      2,141      2,061        -16          0          0          0       -484      3,011
 
Percent of Open Interest Represented by Each Category of Trader
      24.6       22.9        1.4        2.9        4.4        0.7       38.6       24.9        0.4        0.0        0.0        0.0       31.3       45.2
 
Number of Traders in Each Category                                    Total Traders:        35
         5          7          .          .          .          .          7         12          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   150,702
Positions
    93,777      3,455        577      9,721     58,456      2,730     24,752     58,031      1,240      3,477      2,186          0     14,428     24,027
 
Changes from:       November 8, 2011                                 Total Change is:     2,724
     3,200        873       -413        530         87         29      1,413      2,647        -90      1,855       -651          0     -3,800        242
 
Percent of Open Interest Represented by Each Category of Trader
      62.2        2.3        0.4        6.5       38.8        1.8       16.4       38.5        0.8        2.3        1.5        0.0        9.6       15.9
 
Number of Traders in Each Category                                    Total Traders:        91
        15          4          4          7         12          5         24         23          8          4          .          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   142,233
Positions
     9,200     90,374        282     54,011      8,114      1,494     54,801     14,368        277      1,000      2,178          0     21,168     25,146
 
Changes from:       November 8, 2011                                 Total Change is:     3,252
      -421      3,559        -85        744        673         20      5,648        153       -104          0        631          0     -2,550     -1,595
 
Percent of Open Interest Represented by Each Category of Trader
       6.5       63.5        0.2       38.0        5.7        1.1       38.5       10.1        0.2        0.7        1.5        0.0       14.9       17.7
 
Number of Traders in Each Category                                    Total Traders:        87
         6         12          .          9          6          .         29         19          4          .          5          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   244,552
Positions
    93,935     39,429        100     42,802     31,319      8,914     59,834     86,885      1,280      6,056     12,670        280     31,351     63,675
 
Changes from:       November 8, 2011                                 Total Change is:    13,107
     7,359     -9,915        -60        930     -1,725        260      7,151     19,262       -562         51        660       -631     -1,391      5,818
 
Percent of Open Interest Represented by Each Category of Trader
      38.4       16.1        0.0       17.5       12.8        3.6       24.5       35.5        0.5        2.5        5.2        0.1       12.8       26.0
 
Number of Traders in Each Category                                    Total Traders:       177
        26         11          4         16         22         12         28         53         14          5         16          .
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   136,465
Positions
    46,250     48,075        620      3,022     37,402        927     62,779     30,752        360      1,453        283          0     21,054     18,046
 
Changes from:       November 8, 2011                                 Total Change is:   -11,219
     1,142     -4,427         72       -416        601          0     -5,870     -1,990          1       -784     -1,183          0     -5,364     -4,293
 
Percent of Open Interest Represented by Each Category of Trader
      33.9       35.2        0.5        2.2       27.4        0.7       46.0       22.5        0.3        1.1        0.2        0.0       15.4       13.2
 
Number of Traders in Each Category                                    Total Traders:        75
        12         10          .          .          5          .         20         20          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    97,132
Positions
    56,365     50,062     33,973          0          0          0      5,260     11,503      1,159          0          0          0        375        435
 
Changes from:       November 8, 2011                                 Total Change is:      -288
      -551       -333        274          0          0          0         28       -290          0          0          0          0        -39         61
 
Percent of Open Interest Represented by Each Category of Trader
      58.0       51.5       35.0        0.0        0.0        0.0        5.4       11.8        1.2        0.0        0.0        0.0        0.4        0.4
 
Number of Traders in Each Category                                    Total Traders:        22
         9          9         12          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   105,696
Positions
    66,022     41,893        885     15,958      2,868        897     17,222     50,916        660        979      2,858          0      3,073      4,719
 
Changes from:       November 8, 2011                                 Total Change is:     7,356
     4,103      1,526       -797     -3,113         97        -43      5,502      5,023         27         -4        195          0      1,681      1,328
 
Percent of Open Interest Represented by Each Category of Trader
      62.5       39.6        0.8       15.1        2.7        0.8       16.3       48.2        0.6        0.9        2.7        0.0        2.9        4.5
 
Number of Traders in Each Category                                    Total Traders:        81
         9         11          .          5          6          .         15         22          4          5          6          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    25,966
Positions
    10,691     19,223          8          0        254          0     13,105      4,128          3        255        342          0      1,904      2,008
 
Changes from:       November 8, 2011                                 Total Change is:     1,216
     1,796       -611          8          0         16          0       -389      1,129         -3        -51          0          0       -145        677
 
Percent of Open Interest Represented by Each Category of Trader
      41.2       74.0        0.0        0.0        1.0        0.0       50.5       15.9        0.0        1.0        1.3        0.0        7.3        7.7
 
Number of Traders in Each Category                                    Total Traders:        35
         5          9          .          0          .          0          6         12          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    45,518
Positions
    16,812     27,915        299      3,085      2,766        664     15,223      6,007        166      1,932      2,221          0      7,338      5,482
 
Changes from:       November 8, 2011                                 Total Change is:     2,843
    -1,148      3,921        -15       -134        -85        -70      3,160     -1,699        136         19        103          0        896        552
 
Percent of Open Interest Represented by Each Category of Trader
      36.9       61.3        0.7        6.8        6.1        1.5       33.4       13.2        0.4        4.2        4.9        0.0       16.1       12.0
 
Number of Traders in Each Category                                    Total Traders:        91
        20         14          .          4          7          .         28         13          5          .          4          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    91,036
Positions
    33,624     55,829        598      6,170      5,531      1,327     30,446     12,013        332      3,864      4,442          0     14,675     10,964
 
Changes from:       November 8, 2011                                 Total Change is:     5,686
    -2,296      7,842        -30       -267       -169       -140      6,319     -3,397        271         38        205          0      1,791      1,104
 
Percent of Open Interest Represented by Each Category of Trader
      36.9       61.3        0.7        6.8        6.1        1.5       33.4       13.2        0.4        4.2        4.9        0.0       16.1       12.0
 
Number of Traders in Each Category                                    Total Traders:        91
        20         14          .          4          7          .         28         13          5          .          4          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   897,885
Positions
    99,892    139,440     84,034    355,433    212,700     66,096     80,136    163,809     62,948     17,610     46,507      5,126    126,609    117,225
 
Changes from:       November 8, 2011                                 Total Change is:    22,946
     2,034      1,935      4,024       -716     10,189        403      3,300     -4,981      4,897       -192      1,570        108      9,086      4,801
 
Percent of Open Interest Represented by Each Category of Trader
      11.1       15.5        9.4       39.6       23.7        7.4        8.9       18.2        7.0        2.0        5.2        0.6       14.1       13.1
 
Number of Traders in Each Category                                    Total Traders:       584
        34         56         32        119         72         67         86        134         68         30         53         11
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   305,369
Positions
    57,606     85,320     14,397    107,678     43,994     11,523     37,885     67,588      3,336      3,681     14,208        215     69,048     64,788
 
Changes from:       November 8, 2011                                 Total Change is:     8,793
     3,213     -1,538       -459        130     -1,080        176       -128      3,780        463        731         78        -81      4,748      7,454
 
Percent of Open Interest Represented by Each Category of Trader
      18.9       27.9        4.7       35.3       14.4        3.8       12.4       22.1        1.1        1.2        4.7        0.1       22.6       21.2
 
Number of Traders in Each Category                                    Total Traders:       130
        13         16          8         28         14         11         18         29         11          4          8          .
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Traders in Financial Futures - Futures Only Positions as of November 15, 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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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 2,962,579
Positions
   500,043    559,210     59,574  1,256,850    861,606    254,792    458,502    728,350     50,813     84,365    176,215      9,836    287,804    262,183
 
Changes from:       November 8, 2011                                 Total Change is:    70,764
     2,901     26,158     13,622     -3,325     57,250        233     38,341    -22,607        972     -4,370      7,703        700     21,690    -13,267
 
Percent of Open Interest Represented by Each Category of Trader
      16.9       18.9        2.0       42.4       29.1        8.6       15.5       24.6        1.7        2.8        5.9        0.3        9.7        8.8
 
Number of Traders in Each Category                                    Total Traders:       551
        34         52         23        105         68         61         86        129         48         30         47          6
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   111,126
Positions
    24,970     18,785        125     48,070     59,888      8,531     16,611     12,571          4      1,402      6,597          0     11,413      4,625
 
Changes from:       November 8, 2011                                 Total Change is:     3,187
       458        152         45     -2,295      1,028        807      1,867      1,298       -209       -237         25          0      2,751         41
 
Percent of Open Interest Represented by Each Category of Trader
      22.5       16.9        0.1       43.3       53.9        7.7       14.9       11.3        0.0        1.3        5.9        0.0       10.3        4.2
 
Number of Traders in Each Category                                    Total Traders:        89
        10          9          .         29         14         11         12         11          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   102,002
Positions
    20,181     44,819     10,687     21,074      9,483      1,622     21,467      9,620      6,403        979      4,092         50     19,541     15,227
 
Changes from:       November 8, 2011                                 Total Change is:     1,382
      -272       -121      2,098       -937        205        121        205     -1,525        696       -106        791        -25       -397       -858
 
Percent of Open Interest Represented by Each Category of Trader
      19.8       43.9       10.5       20.7        9.3        1.6       21.0        9.4        6.3        1.0        4.0        0.0       19.2       14.9
 
Number of Traders in Each Category                                    Total Traders:       217
        23         29         13         32         19         13         58         39         14          7         10          .
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Traders in Financial Futures - Futures Only Positions as of November 15, 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    32,671
Positions
    13,545     24,778         20          0        300          0      5,016      3,926          0          0      2,112         50     14,040      1,485
 
Changes from:       November 8, 2011                                 Total Change is:     1,360
     1,753      1,451          0          0          0          0         -1       -861          0          0        738          0       -392         32
 
Percent of Open Interest Represented by Each Category of Trader
      41.5       75.8        0.1        0.0        0.9        0.0       15.4       12.0        0.0        0.0        6.5        0.2       43.0        4.5
 
Number of Traders in Each Category                                    Total Traders:        25
         7         10          .          0          .          0          4          .          0          0          .          .
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Traders in Financial Futures - Futures Only Positions as of November 15, 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   346,653
Positions
    83,877    150,902      2,637    105,369     45,914      8,108    110,976     57,191      3,290      4,893      9,902          0     27,503     68,709
 
Changes from:       November 8, 2011                                 Total Change is:       110
        24      2,292        341     -4,684      1,027        603      2,452     -1,894      2,057       -531        263       -127        -25     -4,452
 
Percent of Open Interest Represented by Each Category of Trader
      24.2       43.5        0.8       30.4       13.2        2.3       32.0       16.5        0.9        1.4        2.9        0.0        7.9       19.8
 
Number of Traders in Each Category                                    Total Traders:       216
        25         26          7         32         19         13         59         38         10          7         10          0
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Traders in Financial Futures - Futures Only Positions as of November 15, 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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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   451,351
Positions
   227,384     33,083     24,404    103,876    203,383     33,486     39,696    109,134      4,362      1,568     27,267        286     16,289     15,946
 
Changes from:       November 8, 2011                                 Total Change is:     5,673
      -893      3,123      3,140     -4,432      3,576        328      5,520     -4,110      2,141        -60       -135          0        -71     -2,390
 
Percent of Open Interest Represented by Each Category of Trader
      50.4        7.3        5.4       23.0       45.1        7.4        8.8       24.2        1.0        0.3        6.0        0.1        3.6        3.5
 
Number of Traders in Each Category                                    Total Traders:       242
        25         11          6         46         48         28         32         59         13          .         18          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    30,041
Positions
     9,514      1,716         70      7,322      2,616         60      6,278      7,603         57        433      4,733          0      6,307     13,186
 
Changes from:       November 8, 2011                                 Total Change is:     1,038
       167          3          0        266        250        -13        737        -65         38        217        200          0       -374        625
 
Percent of Open Interest Represented by Each Category of Trader
      31.7        5.7        0.2       24.4        8.7        0.2       20.9       25.3        0.2        1.4       15.8        0.0       21.0       43.9
 
Number of Traders in Each Category                                    Total Traders:        50
        12          .          .          9          5          .         10          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    47,399
Positions
    19,253      6,959      2,479      9,084      2,640        596      6,292      8,678      1,928      1,456          0          0      6,311     24,119
 
Changes from:       November 8, 2011                                 Total Change is:      -907
    -2,870        781      1,480       -189         97       -284        -69        745        333        554          0          0        138     -4,059
 
Percent of Open Interest Represented by Each Category of Trader
      40.6       14.7        5.2       19.2        5.6        1.3       13.3       18.3        4.1        3.1        0.0        0.0       13.3       50.9
 
Number of Traders in Each Category                                    Total Traders:        66
        24         10          4          8          .          .          6         12          .          4          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    47,521
Positions
     1,665      3,732      1,910     33,137     22,746      4,405      2,366     12,520        122        284          0          0      3,632      2,086
 
Changes from:       November 8, 2011                                 Total Change is:      -603
    -1,044     -1,521      1,047       -118        579        -73       -400       -502          0          0          0          0        -15       -133
 
Percent of Open Interest Represented by Each Category of Trader
       3.5        7.9        4.0       69.7       47.9        9.3        5.0       26.3        0.3        0.6        0.0        0.0        7.6        4.4
 
Number of Traders in Each Category                                    Total Traders:        56
         .          4          .         18         19          9          4          8          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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   634,416
Positions
    14,767    111,016      9,508    308,274     92,290     93,733     46,122    128,664      8,767     10,438     67,221        242    142,565    122,975
 
Changes from:       November 8, 2011                                 Total Change is:    12,820
   -10,064     -5,203      2,952      4,102     -8,755      5,181      3,345     14,713       -774       -132         -5        227      7,983      4,484
 
Percent of Open Interest Represented by Each Category of Trader
       2.3       17.5        1.5       48.6       14.5       14.8        7.3       20.3        1.4        1.6       10.6        0.0       22.5       19.4
 
Number of Traders in Each Category                                    Total Traders:       158
        10         20         10         43         18         32         30         22         13          5         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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   391,849
Positions
     5,331    184,220      1,015    274,699     13,007     32,276      5,924    116,374        802      2,875      3,415          0     68,927     40,740
 
Changes from:       November 8, 2011                                 Total Change is:    10,612
       315      9,283        692      8,609       -706     -3,989      2,065     10,380       -138          0     -1,860          0      3,058     -3,050
 
Percent of Open Interest Represented by Each Category of Trader
       1.4       47.0        0.3       70.1        3.3        8.2        1.5       29.7        0.2        0.7        0.9        0.0       17.6       10.4
 
Number of Traders in Each Category                                    Total Traders:        72
         .         12          4         38          4         20          4         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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   758,953
Positions
    93,945     80,822      2,003    150,953    220,373     81,505    262,941    173,062     21,104     33,140     62,924     11,591    101,771    105,569
 
Changes from:       November 8, 2011                                 Total Change is:   -10,869
    -1,311      4,170     -2,816        371     -2,996     -2,626       -848     -4,443       -742      2,419        604        503     -5,819     -2,523
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       10.6        0.3       19.9       29.0       10.7       34.6       22.8        2.8        4.4        8.3        1.5       13.4       13.9
 
Number of Traders in Each Category                                    Total Traders:       223
        12         24          5         34         50         41         40         30         20         13         19          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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 1,480,368
Positions
    98,121    144,946     35,023    610,058    538,499    195,466    170,303    146,872     37,675     46,732     98,804      6,907    280,083    276,176
 
Changes from:       November 8, 2011                                 Total Change is:    -4,319
   -30,901     14,578      3,015     19,269    -27,167     10,977     -8,616     28,397     10,924     10,776      4,807     -8,055    -11,708    -41,795
 
Percent of Open Interest Represented by Each Category of Trader
       6.6        9.8        2.4       41.2       36.4       13.2       11.5        9.9        2.5        3.2        6.7        0.5       18.9       18.7
 
Number of Traders in Each Category                                    Total Traders:       242
        20         33         17         34         56         48         38         42         39          4         14          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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 1,264,166
Positions
    75,441    138,603     10,026    300,054    469,167    184,572    263,991    142,456     23,017    200,979     65,924      4,672    201,414    225,729
 
Changes from:       November 8, 2011                                 Total Change is:       522
     6,074    -22,057     -1,953    -33,671     -1,118     24,332    -21,619      1,240      6,079     20,119     -1,345      3,116     -1,955     -7,772
 
Percent of Open Interest Represented by Each Category of Trader
       6.0       11.0        0.8       23.7       37.1       14.6       20.9       11.3        1.8       15.9        5.2        0.4       15.9       17.9
 
Number of Traders in Each Category                                    Total Traders:       188
        10         29         10         23         41         36         38         28         25          8         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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   598,935
Positions
   211,626    232,353    184,485      3,507      5,080      3,570     71,289     48,376     61,456      6,801      5,678     11,973     44,228     45,964
 
Changes from:       November 8, 2011                                 Total Change is:    11,991
      -656      2,778     -1,401          0        138          0      3,066       -368     -3,687        156        176      1,011     13,502     13,344
 
Percent of Open Interest Represented by Each Category of Trader
      35.3       38.8       30.8        0.6        0.8        0.6       11.9        8.1       10.3        1.1        0.9        2.0        7.4        7.7
 
Number of Traders in Each Category                                    Total Traders:       110
        24         29         41          .          4          .         17         21         24          .          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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 8,620,542
Positions
 1,184,222  2,666,341  1,880,806  2,234,227     37,174    159,406    630,158    678,140  1,511,232     96,673    477,933    174,323    749,495  1,035,187
 
Changes from:       November 8, 2011                                 Total Change is:    31,590
   176,526   -263,211     27,639   -175,168    -14,370     44,927    -84,555     61,433     63,345     -4,007       -530     22,896    -40,013     89,461
 
Percent of Open Interest Represented by Each Category of Trader
      13.7       30.9       21.8       25.9        0.4        1.8        7.3        7.9       17.5        1.1        5.5        2.0        8.7       12.0
 
Number of Traders in Each Category                                    Total Traders:       263
        38         53         82         16          6         18         40         64         88          9         18         22
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    10,029
Positions
     5,481      2,885          0      1,903        841          7      1,016      6,018          0      1,390        160          0        232        118
 
Changes from:       November 8, 2011                                 Total Change is:      -678
      -616       -173          0       -134          0          0          7       -513          0         60          0          0          5          8
 
Percent of Open Interest Represented by Each Category of Trader
      54.7       28.8        0.0       19.0        8.4        0.1       10.1       60.0        0.0       13.9        1.6        0.0        2.3        1.2
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          5          8          0          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    15,062
Positions
    12,471      7,957          0      1,366      2,003          0        854      4,618          0         40        340          0        331        144
 
Changes from:       November 8, 2011                                 Total Change is:      -576
      -135        638          0       -194       -410          0       -296       -765          0          0          0          0         49        -39
 
Percent of Open Interest Represented by Each Category of Trader
      82.8       52.8        0.0        9.1       13.3        0.0        5.7       30.7        0.0        0.3        2.3        0.0        2.2        1.0
 
Number of Traders in Each Category                                    Total Traders:        28
         4          4          0          .          4          0          6          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    57,305
Positions
    18,892     41,893        512      2,413        457        395     22,008     10,213        654      4,401        354          0      8,030      2,827
 
Changes from:       November 8, 2011                                 Total Change is:    -2,556
    -1,366        572          0        998        276        -57     -4,747     -3,470         58        517        -81          0      2,041        146
 
Percent of Open Interest Represented by Each Category of Trader
      33.0       73.1        0.9        4.2        0.8        0.7       38.4       17.8        1.1        7.7        0.6        0.0       14.0        4.9
 
Number of Traders in Each Category                                    Total Traders:       100
         4          .          .          6          .          .         30         22          4         28          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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   147,703
Positions
    38,622     45,317     38,154      9,001        515      2,332     10,576     14,161     18,807      2,425      2,258     11,315     16,471     14,844
 
Changes from:       November 8, 2011                                 Total Change is:     9,617
    -3,784     -5,330     10,247        707         -5       -760        415      3,389      1,370       -603     -1,163        848      1,177      1,021
 
Percent of Open Interest Represented by Each Category of Trader
      26.1       30.7       25.8        6.1        0.3        1.6        7.2        9.6       12.7        1.6        1.5        7.7       11.2       10.0
 
Number of Traders in Each Category                                    Total Traders:        86
        10         10         17         12          .          6         19         18         24          5          5          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 15, 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    15,023
Positions
     2,884          0          0      1,939      1,573          0      9,342      2,698         71          0     10,088        443        344        150
 
Changes from:       November 8, 2011                                 Total Change is:     1,251
       534          0          0        142         59          0        717          2          0          0      1,044          0       -142        146
 
Percent of Open Interest Represented by Each Category of Trader
      19.2        0.0        0.0       12.9       10.5        0.0       62.2       18.0        0.5        0.0       67.2        2.9        2.3        1.0
 
Number of Traders in Each Category                                    Total Traders:        26
         4          0          0          5          4          0          5          5          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated November 18, 2011