```
VIX FUTURES - CBOE FUTURES EXCHANGE                                                                     Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : ($1000 X INDEX)                                                            :
     :          :                                                                            :
All  :   149,240:    19,383     24,678     40,834     73,166     70,484    133,383    135,996:    15,857     13,244
Old  :   149,240:    19,383     24,678     40,834     73,166     70,484    133,383    135,996:    15,857     13,244
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 20, 2011                   :
     :   -29,724:     2,233    -10,694     -4,076    -27,436    -11,281    -29,279    -26,051:      -445     -3,673
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      13.0       16.5       27.4       49.0       47.2       89.4       91.1:      10.6        8.9
Old  :     100.0:      13.0       16.5       27.4       49.0       47.2       89.4       91.1:      10.6        8.9
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        98:        30         24         48         24         26         86         82:
Old  :        98:        30         24         48         24         26         86         82:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 35.2       32.8       45.4       47.1       18.4       23.2       23.6       29.3
Old  :                 35.2       32.8       45.4       47.1       18.4       23.2       23.6       29.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
```

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Updated September 30, 2011