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Traders in Financial Futures - Futures Only Positions as of November 1, 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   119,841
Positions
    35,161     23,456        333     18,376     31,719        509     24,874     38,021      3,958      8,827        725          0     27,803     21,120
 
Changes from:       October 25, 2011                                 Total Change is:      -346
    -4,391      7,223       -300       -382        -10        136      3,289     -2,458       -655       -458         37          0      2,415     -4,319
 
Percent of Open Interest Represented by Each Category of Trader
      29.3       19.6        0.3       15.3       26.5        0.4       20.8       31.7        3.3        7.4        0.6        0.0       23.2       17.6
 
Number of Traders in Each Category                                    Total Traders:        76
         9         10          4          5          5          .         18         17          6         10          .          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    23,607
Positions
     4,072      7,520        234        874      1,365        234      6,573      3,913        170          0          0          0     11,450     10,171
 
Changes from:       October 25, 2011                                 Total Change is:    -4,090
      -508        934         22       -265         -9         68     -3,590     -1,405         57          0          0          0        126     -3,757
 
Percent of Open Interest Represented by Each Category of Trader
      17.2       31.9        1.0        3.7        5.8        1.0       27.8       16.6        0.7        0.0        0.0        0.0       48.5       43.1
 
Number of Traders in Each Category                                    Total Traders:        31
         4          7          .          .          .          .          6         10          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   169,466
Positions
   101,073      2,399        229      7,500     60,874      2,818     37,721     75,588      1,520      1,622      2,277          0     16,983     23,761
 
Changes from:       October 25, 2011                                 Total Change is:    -2,094
    -5,986        868         66       -925     -1,159        422      3,346       -443       -388         41       -447          0      1,330     -1,013
 
Percent of Open Interest Represented by Each Category of Trader
      59.6        1.4        0.1        4.4       35.9        1.7       22.3       44.6        0.9        1.0        1.3        0.0       10.0       14.0
 
Number of Traders in Each Category                                    Total Traders:        90
        16          4          5          5         14          5         22         24          7          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   138,045
Positions
     7,493     85,075        267     51,899      7,863      1,605     50,160     14,677      1,478      1,000      1,792          0     24,143     25,288
 
Changes from:       October 25, 2011                                 Total Change is:   -27,571
     6,156    -21,852        145     -3,412       -535        181    -21,559     -1,991      1,047     -1,241       -804          0     -8,888     -3,762
 
Percent of Open Interest Represented by Each Category of Trader
       5.4       61.6        0.2       37.6        5.7        1.2       36.3       10.6        1.1        0.7        1.3        0.0       17.5       18.3
 
Number of Traders in Each Category                                    Total Traders:        91
         7         13          .         10          5          4         30         21          4          .          4          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   231,229
Positions
    90,759     41,183        328     39,110     33,811      8,954     48,212     78,541      1,515      6,416     10,077      2,102     33,833     54,718
 
Changes from:       October 25, 2011                                 Total Change is:    -4,545
    -8,020     10,066        108      1,246       -398        771     -3,031    -13,168      1,083        -69        871      1,677      1,690     -5,555
 
Percent of Open Interest Represented by Each Category of Trader
      39.3       17.8        0.1       16.9       14.6        3.9       20.9       34.0        0.7        2.8        4.4        0.9       14.6       23.7
 
Number of Traders in Each Category                                    Total Traders:       186
        26         11          4         14         25         11         27         59         15         10         14          4
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   139,057
Positions
    49,666     51,905         22      3,003     37,129        957     61,682     27,280        193      2,083        711        504     20,947     20,356
 
Changes from:       October 25, 2011                                 Total Change is:    12,241
     1,227      9,390        -92         67       -695        150      7,443      7,825        144        128     -1,287        503      2,671     -3,697
 
Percent of Open Interest Represented by Each Category of Trader
      35.7       37.3        0.0        2.2       26.7        0.7       44.4       19.6        0.1        1.5        0.5        0.4       15.1       14.6
 
Number of Traders in Each Category                                    Total Traders:        77
        10         10          .          .          6          .         18         23          .          5          .          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    97,060
Positions
    57,708     51,566     31,990          0          0          0      5,191     12,051      1,159          0          0          0      1,012        294
 
Changes from:       October 25, 2011                                 Total Change is:     8,323
     3,887      5,732      2,328          0          0          0      1,124        114        155          0          0          0        829         -6
 
Percent of Open Interest Represented by Each Category of Trader
      59.5       53.1       33.0        0.0        0.0        0.0        5.3       12.4        1.2        0.0        0.0        0.0        1.0        0.3
 
Number of Traders in Each Category                                    Total Traders:        21
         8          9         13          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   105,956
Positions
    59,383     42,649        137     31,504      3,196      1,064      9,706     50,983        150      1,000      2,675          0      3,012      5,102
 
Changes from:       October 25, 2011                                 Total Change is:     9,643
     5,057      1,454        137      4,115       -425        237        -43      9,500       -268       -110       -456          0        518       -536
 
Percent of Open Interest Represented by Each Category of Trader
      56.0       40.3        0.1       29.7        3.0        1.0        9.2       48.1        0.1        0.9        2.5        0.0        2.8        4.8
 
Number of Traders in Each Category                                    Total Traders:        79
         7         11          .          5          6          .         12         27          .          5          6          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    24,021
Positions
     8,486     18,698         87          0        238          0     12,797      2,890          0        341        508          0      2,310      1,600
 
Changes from:       October 25, 2011                                 Total Change is:      -654
    -1,169        174         69       -146       -150          0        242       -977          0        -26         26          0        376        204
 
Percent of Open Interest Represented by Each Category of Trader
      35.3       77.8        0.4        0.0        1.0        0.0       53.3       12.0        0.0        1.4        2.1        0.0        9.6        6.7
 
Number of Traders in Each Category                                    Total Traders:        37
         5          8          .          0          .          0          9         11          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    56,785
Positions
    22,211     28,829      4,775      3,831      3,767        576     10,340      5,332      2,524      1,908        465      2,224      8,398      8,294
 
Changes from:       October 25, 2011                                 Total Change is:     3,136
      -350      4,951        605        264        283          4      2,904     -2,125       -637        -54        291        288        114       -523
 
Percent of Open Interest Represented by Each Category of Trader
      39.1       50.8        8.4        6.7        6.6        1.0       18.2        9.4        4.4        3.4        0.8        3.9       14.8       14.6
 
Number of Traders in Each Category                                    Total Traders:        97
        20         14          7          6          8          .         24         18          9          .          .          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    14,830
Positions
     9,378      8,631        165        612        282          0        851      1,924         22      1,791          0        180      1,831      3,626
 
Changes from:       October 25, 2011                                 Total Change is:       424
       398        997          0        -93          0          0         13       -624          0         35          0          0         71         51
 
Percent of Open Interest Represented by Each Category of Trader
      63.2       58.2        1.1        4.1        1.9        0.0        5.7       13.0        0.1       12.1        0.0        1.2       12.3       24.5
 
Number of Traders in Each Category                                    Total Traders:        20
         8          4          .          .          .          0          .          .          .          .          0          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    83,909
Positions
    34,110     48,841        775      6,437      6,970      1,152     23,740     11,578        241      3,815      4,511        505     13,134      9,336
 
Changes from:       October 25, 2011                                 Total Change is:     5,423
      -816      8,588        529        714        566          7      4,419     -4,364         88       -108        651        505         85     -1,147
 
Percent of Open Interest Represented by Each Category of Trader
      40.7       58.2        0.9        7.7        8.3        1.4       28.3       13.8        0.3        4.5        5.4        0.6       15.7       11.1
 
Number of Traders in Each Category                                    Total Traders:        93
        20         13          .          5          7          .         26         16          6          .          4          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   859,816
Positions
   103,075    136,780     69,903    345,751    208,442     67,950     81,098    165,262     54,635     17,136     42,459      6,270    113,999    108,116
 
Changes from:       October 25, 2011                                 Total Change is:   -36,861
    -8,059     12,169      8,736    -21,469    -20,785      3,440      3,605     -9,344     -1,946        655     -1,149       -321    -21,503    -27,661
 
Percent of Open Interest Represented by Each Category of Trader
      12.0       15.9        8.1       40.2       24.2        7.9        9.4       19.2        6.4        2.0        4.9        0.7       13.3       12.6
 
Number of Traders in Each Category                                    Total Traders:       576
        32         57         32        112         71         66         79        136         72         30         58         12
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   290,124
Positions
    51,177     86,069     14,381    107,512     46,349     11,731     33,536     65,204      3,240      3,960     13,375        296     64,291     49,479
 
Changes from:       October 25, 2011                                 Total Change is:    -5,691
     3,998     15,680      4,451     -2,202       -476        -56     -9,257        855        536     -1,122        417          0     -2,039    -27,098
 
Percent of Open Interest Represented by Each Category of Trader
      17.6       29.7        5.0       37.1       16.0        4.0       11.6       22.5        1.1        1.4        4.6        0.1       22.2       17.1
 
Number of Traders in Each Category                                    Total Traders:       127
        13         17          8         27         14         13         19         28         14          4          5          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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 2,848,461
Positions
   493,429    487,492     43,670  1,206,945    826,217    265,343    452,661    715,142     42,125     85,401    164,942     10,346    248,541    293,184
 
Changes from:       October 25, 2011                                 Total Change is:  -155,848
   -43,010       -279      4,149    -94,064    -99,276     15,211     54,182    -61,126     -2,280      3,109    -13,608      4,175    -97,320     -2,814
 
Percent of Open Interest Represented by Each Category of Trader
      17.3       17.1        1.5       42.4       29.0        9.3       15.9       25.1        1.5        3.0        5.8        0.4        8.7       10.3
 
Number of Traders in Each Category                                    Total Traders:       543
        32         51         22         99         67         59         78        130         51         30         56          7
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Traders in Financial Futures - Futures Only Positions as of November 1, 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 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   111,401
Positions
    27,679     16,274         40     45,230     62,052     11,824     16,216     10,257         70      1,770      6,601          0      8,572      4,283
 
Changes from:       October 25, 2011                                 Total Change is:     2,554
     4,523       -918        -14     -9,537      4,347      2,675      4,759     -2,237         11         60       -121          0         77     -1,189
 
Percent of Open Interest Represented by Each Category of Trader
      24.8       14.6        0.0       40.6       55.7       10.6       14.6        9.2        0.1        1.6        5.9        0.0        7.7        3.8
 
Number of Traders in Each Category                                    Total Traders:        91
        11         10          .         29         14         12         13          9          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    98,356
Positions
    22,770     43,001      8,948     21,874     12,119      1,357     19,975     11,215      4,602      1,429      3,184         88     17,312     13,842
 
Changes from:       October 25, 2011                                 Total Change is:     7,842
     1,866      4,032      2,867       -530     -3,158        -53       -299      1,420        440        167       -211         61      3,325      2,444
 
Percent of Open Interest Represented by Each Category of Trader
      23.2       43.7        9.1       22.2       12.3        1.4       20.3       11.4        4.7        1.5        3.2        0.1       17.6       14.1
 
Number of Traders in Each Category                                    Total Traders:       213
        24         29          9         29         22         12         56         34         13         12          7          .
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Traders in Financial Futures - Futures Only Positions as of November 1, 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    30,410
Positions
    14,121     21,250         20          0        300          0      4,034      6,139          0          0      1,374          0     12,235      1,327
 
Changes from:       October 25, 2011                                 Total Change is:     7,382
     4,053      2,800          0          0          0          0        665      4,299          0          0          0          0      2,664        283
 
Percent of Open Interest Represented by Each Category of Trader
      46.4       69.9        0.1        0.0        1.0        0.0       13.3       20.2        0.0        0.0        4.5        0.0       40.2        4.4
 
Number of Traders in Each Category                                    Total Traders:        24
         8          9          .          0          .          0          .          .          0          0          .          0
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Traders in Financial Futures - Futures Only Positions as of November 1, 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   339,730
Positions
    85,501    151,008      2,386    109,369     59,094      6,787    100,726     46,402      1,988      7,146      9,048        442     25,385     62,575
 
Changes from:       October 25, 2011                                 Total Change is:     2,301
     3,061     20,159        336     -2,649    -15,791       -264     -2,728    -12,299        105        834     -1,055        303      3,303     10,807
 
Percent of Open Interest Represented by Each Category of Trader
      25.2       44.4        0.7       32.2       17.4        2.0       29.6       13.7        0.6        2.1        2.7        0.1        7.5       18.4
 
Number of Traders in Each Category                                    Total Traders:       211
        24         27          5         29         22         12         56         34         10         12          7          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   456,276
Positions
   236,150     30,575     20,034    104,794    208,807     33,848     38,194    114,753      1,918      1,379     26,397        286     19,673     19,658
 
Changes from:       October 25, 2011                                 Total Change is:    -3,664
    -6,216      2,595       -682     -6,547        -86      1,069      6,210     -5,511       -978          3       -590        286      3,191        233
 
Percent of Open Interest Represented by Each Category of Trader
      51.8        6.7        4.4       23.0       45.8        7.4        8.4       25.1        0.4        0.3        5.8        0.1        4.3        4.3
 
Number of Traders in Each Category                                    Total Traders:       238
        25         10          .         49         45         26         31         59         13          .         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    28,806
Positions
     9,942      1,500         70      7,193      2,336         96      4,796      7,468          0        216      4,820          0      6,493     12,516
 
Changes from:       October 25, 2011                                 Total Change is:     2,379
      -352        -20          0      3,732        250          0       -578      1,709        -12          0       -349          0       -411        801
 
Percent of Open Interest Represented by Each Category of Trader
      34.5        5.2        0.2       25.0        8.1        0.3       16.6       25.9        0.0        0.7       16.7        0.0       22.5       43.4
 
Number of Traders in Each Category                                    Total Traders:        46
        12          .          .          9          4          .          8          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    47,083
Positions
    16,905      6,736      1,587     10,292      2,508        836      6,982      6,668      2,290        819        436          0      7,372     26,022
 
Changes from:       October 25, 2011                                 Total Change is:     6,272
     1,179       -903      1,126      1,385        -40          2      2,352     -1,959        735        217        105          0       -724      7,206
 
Percent of Open Interest Represented by Each Category of Trader
      35.9       14.3        3.4       21.9        5.3        1.8       14.8       14.2        4.9        1.7        0.9        0.0       15.7       55.3
 
Number of Traders in Each Category                                    Total Traders:        61
        22          9          4          9          .          .          7          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    41,215
Positions
       631      3,555      1,163     26,978     22,540      4,544      3,806      7,393        152        284          0          0      3,657      1,868
 
Changes from:       October 25, 2011                                 Total Change is:      -101
      -109        632          0     -2,216        157        224      1,649       -944        -44          0          0          0        395       -126
 
Percent of Open Interest Represented by Each Category of Trader
       1.5        8.6        2.8       65.5       54.7       11.0        9.2       17.9        0.4        0.7        0.0        0.0        8.9        4.5
 
Number of Traders in Each Category                                    Total Traders:        56
         .          4          .         18         20          9          7          4          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    64,560
Positions
    16,574     25,212        580     28,868     24,810      2,946      6,383      5,145        781      2,449      2,146        854      5,125      2,086
 
Changes from:       October 25, 2011                                 Total Change is:    -1,348
    -1,601      1,288        530        700     13,293        409     -1,711        442          8        151       -342        390       -224    -17,366
 
Percent of Open Interest Represented by Each Category of Trader
      25.7       39.1        0.9       44.7       38.4        4.6        9.9        8.0        1.2        3.8        3.3        1.3        7.9        3.2
 
Number of Traders in Each Category                                    Total Traders:        74
        11         10          .         18         10          6         11          5          .          8          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   622,374
Positions
    20,998    128,155      5,587    305,810     97,251     89,732     45,796    109,719      8,942      9,749     62,840         20    135,740    120,128
 
Changes from:       October 25, 2011                                 Total Change is:     1,854
     6,705     -7,412      2,092     13,456      4,502     -1,479     -7,064        130       -902     -8,520      3,676       -849     -1,585      2,096
 
Percent of Open Interest Represented by Each Category of Trader
       3.4       20.6        0.9       49.1       15.6       14.4        7.4       17.6        1.4        1.6       10.1        0.0       21.8       19.3
 
Number of Traders in Each Category                                    Total Traders:       153
         9         20          5         42         18         28         29         23         15          5          7          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   378,905
Positions
     5,006    177,621        330    271,217     18,217     34,367      3,977     98,451      1,005      2,875      7,890          0     60,128     41,024
 
Changes from:       October 25, 2011                                 Total Change is:     5,088
        97      6,345         25      9,601       -497       -510       -643     -5,445         14          0      4,475          0     -3,496        681
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       46.9        0.1       71.6        4.8        9.1        1.0       26.0        0.3        0.8        2.1        0.0       15.9       10.8
 
Number of Traders in Each Category                                    Total Traders:        72
         .         13          .         36          6         20          .          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   712,419
Positions
    82,758     76,025      6,739    136,780    223,393     84,132    232,698    149,308     16,580     30,462     35,418     15,741    106,529    105,083
 
Changes from:       October 25, 2011                                 Total Change is:   -10,611
      -448    -17,116      2,403     16,662      1,851       -569    -20,956      8,390     -1,760    -17,088    -10,935     12,930     -1,785     -5,805
 
Percent of Open Interest Represented by Each Category of Trader
      11.6       10.7        0.9       19.2       31.4       11.8       32.7       21.0        2.3        4.3        5.0        2.2       15.0       14.8
 
Number of Traders in Each Category                                    Total Traders:       219
        10         26          8         32         48         38         39         34         17         12         17          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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 1,453,541
Positions
    95,381    119,206     22,858    590,212    557,939    189,021    184,154    143,951     27,153     51,474     93,950     10,861    282,427    288,602
 
Changes from:       October 25, 2011                                 Total Change is:   -50,627
   -41,139      1,293      4,127     -3,953    -49,983     11,037    -43,688     26,241       -660      5,908    -23,915     10,101      7,640    -28,868
 
Percent of Open Interest Represented by Each Category of Trader
       6.6        8.2        1.6       40.6       38.4       13.0       12.7        9.9        1.9        3.5        6.5        0.7       19.4       19.9
 
Number of Traders in Each Category                                    Total Traders:       237
        22         32         15         29         58         49         31         46         35          5         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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 1,221,831
Positions
    77,618    129,340     14,755    321,062    478,208    155,576    250,245    117,973     20,913    179,013     68,536        217    202,432    236,313
 
Changes from:       October 25, 2011                                 Total Change is:   -27,286
   -19,382    -27,908      4,136    -19,750    -14,287      5,415    -10,826     -9,644      3,419        479      4,881       -111      9,334      6,813
 
Percent of Open Interest Represented by Each Category of Trader
       6.4       10.6        1.2       26.3       39.1       12.7       20.5        9.7        1.7       14.7        5.6        0.0       16.6       19.3
 
Number of Traders in Each Category                                    Total Traders:       178
        13         27         10         24         37         35         34         27         25          6         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   596,589
Positions
   214,541    232,494    190,128      3,507      5,165      3,570     65,161     49,123     68,737      6,862      5,502      8,231     35,852     33,639
 
Changes from:       October 25, 2011                                 Total Change is:   -45,315
   -34,429    -25,995     -7,299       -300       -429          0      6,799      3,423     -8,236     -3,487          0        -64      1,701     -6,715
 
Percent of Open Interest Represented by Each Category of Trader
      36.0       39.0       31.9        0.6        0.9        0.6       10.9        8.2       11.5        1.2        0.9        1.4        6.0        5.6
 
Number of Traders in Each Category                                    Total Traders:       115
        22         35         44          .          4          .         17         21         25          .          5          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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 8,490,494
Positions
   976,674  2,851,494  1,917,989  2,420,829     50,870    114,126    709,568    680,051  1,370,287     98,641    455,068    158,090    724,290    892,519
 
Changes from:       October 25, 2011                                 Total Change is:   266,542
  -122,391    164,117    110,195     74,271      2,699    -32,395    102,645    -21,450     86,202     25,600    -22,018     21,510        905    -42,318
 
Percent of Open Interest Represented by Each Category of Trader
      11.5       33.6       22.6       28.5        0.6        1.3        8.4        8.0       16.1        1.2        5.4        1.9        8.5       10.5
 
Number of Traders in Each Category                                    Total Traders:       261
        31         57         83         14         10         18         46         59         87         10         13         18
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    10,146
Positions
     5,343      3,117          0      2,073        842         22        894      5,884          1      1,580        170          0        233        110
 
Changes from:       October 25, 2011                                 Total Change is:       644
       593        299          0        645          1         15       -557        332          0         -5          0          0        -47         -3
 
Percent of Open Interest Represented by Each Category of Trader
      52.7       30.7        0.0       20.4        8.3        0.2        8.8       58.0        0.0       15.6        1.7        0.0        2.3        1.1
 
Number of Traders in Each Category                                    Total Traders:        27
         .          .          0          .          4          .          5          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    14,852
Positions
    12,511      6,573          0      1,560      2,773         45        448      4,946          0         40        380          0        248        135
 
Changes from:       October 25, 2011                                 Total Change is:       717
     1,179       -586          0        113        125         -1       -529      1,234          0          0        -35          0        -45        -20
 
Percent of Open Interest Represented by Each Category of Trader
      84.2       44.3        0.0       10.5       18.7        0.3        3.0       33.3        0.0        0.3        2.6        0.0        1.7        0.9
 
Number of Traders in Each Category                                    Total Traders:        29
         .          5          0          .          4          .          .          9          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 2011                
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    63,639
Positions
    21,479     42,070        505        878        233        460     28,574     14,286        648      3,720        879        122      7,253      4,436
 
Changes from:       October 25, 2011                                 Total Change is:      -308
      -522     -5,830          1     -2,308         52        -67      5,842      3,455          0     -1,333        128        119     -2,040      1,834
 
Percent of Open Interest Represented by Each Category of Trader
      33.8       66.1        0.8        1.4        0.4        0.7       44.9       22.4        1.0        5.8        1.4        0.2       11.4        7.0
 
Number of Traders in Each Category                                    Total Traders:        91
         .          4          .          4          .          .         26         22          5         23          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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   146,654
Positions
    37,187     40,388     31,374      5,856        905      2,940     11,060     14,204     17,558      1,894      1,979     12,080     26,705     25,226
 
Changes from:       October 25, 2011                                 Total Change is:    12,954
     1,901       -978      1,051      1,410         71        108       -644      3,006     -2,075     -1,433        284      1,833     10,803      9,654
 
Percent of Open Interest Represented by Each Category of Trader
      25.4       27.5       21.4        4.0        0.6        2.0        7.5        9.7       12.0        1.3        1.3        8.2       18.2       17.2
 
Number of Traders in Each Category                                    Total Traders:        88
        11          9         14          9          .          7         17         18         21          6          7         10
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 1, 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    13,636
Positions
     2,304          0          0      1,764      1,515          0      8,571      2,652         71        150      8,944        443        333         11
 
Changes from:       October 25, 2011                                 Total Change is:       232
       190          0          0         26          8          0         50        140          0          0         75          9        -43          0
 
Percent of Open Interest Represented by Each Category of Trader
      16.9        0.0        0.0       12.9       11.1        0.0       62.9       19.4        0.5        1.1       65.6        3.2        2.4        0.1
 
Number of Traders in Each Category                                    Total Traders:        26
         4          0          0          4          4          0          6          5          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated November 10, 2011