```
VIX FUTURES - CBOE FUTURES EXCHANGE                                                                     Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : ($1000 X INDEX)                                                            :
     :          :                                                                            :
All  :   127,438:    11,459     22,083     31,714     71,664     60,243    114,837    114,040:    12,601     13,398
Old  :   127,438:    11,459     22,083     31,714     71,664     60,243    114,837    114,040:    12,601     13,398
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :   -29,554:    -5,018     -1,539     -3,385    -17,995    -23,666    -26,398    -28,590:    -3,156       -964
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       9.0       17.3       24.9       56.2       47.3       90.1       89.5:       9.9       10.5
Old  :     100.0:       9.0       17.3       24.9       56.2       47.3       90.1       89.5:       9.9       10.5
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  :        70:        23         18         20         22         19         58         48:
Old  :        70:        23         18         20         22         19         58         48:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 41.5       36.2       56.2       52.8       24.7       18.3       29.0       28.3
Old  :                 41.5       36.2       56.2       52.8       24.7       18.3       29.0       28.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
```

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Updated December 30, 2011