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Traders in Financial Futures - Futures Only Positions as of October 25, 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   120,187
Positions
    39,552     16,233        633     18,758     31,729        373     21,585     40,479      4,613      9,285        688          0     25,388     25,439
 
Changes from:       October 18, 2011                                 Total Change is:    -2,887
    -2,756      2,811          2     -1,204       -567        -15        987     -3,820         30        242       -414       -133        -40       -781
 
Percent of Open Interest Represented by Each Category of Trader
      32.9       13.5        0.5       15.6       26.4        0.3       18.0       33.7        3.8        7.7        0.6        0.0       21.1       21.2
 
Number of Traders in Each Category                                    Total Traders:        76
        10          9          5          6          5          .         12         21          7         11          .          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    27,697
Positions
     4,580      6,586        212      1,139      1,374        166     10,163      5,318        113          0          0          0     11,324     13,928
 
Changes from:       October 18, 2011                                 Total Change is:     1,600
    -1,217        -17         77          0         -8          0        328        249         70          0          0          0      2,342      1,229
 
Percent of Open Interest Represented by Each Category of Trader
      16.5       23.8        0.8        4.1        5.0        0.6       36.7       19.2        0.4        0.0        0.0        0.0       40.9       50.3
 
Number of Traders in Each Category                                    Total Traders:        34
         5          7          .          .          .          .          7         11          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   171,560
Positions
   107,059      1,531        163      8,425     62,033      2,396     34,375     76,031      1,908      1,581      2,724          0     15,653     24,774
 
Changes from:       October 18, 2011                                 Total Change is:    -4,267
   -10,703       -147        -18       -220        214        219      3,253        379       -226       -126         -2          0      3,554     -4,686
 
Percent of Open Interest Represented by Each Category of Trader
      62.4        0.9        0.1        4.9       36.2        1.4       20.0       44.3        1.1        0.9        1.6        0.0        9.1       14.4
 
Number of Traders in Each Category                                    Total Traders:        90
        13          5          5          5         16          5         17         28          7          .          4          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   165,616
Positions
     1,337    106,927        122     55,311      8,398      1,424     71,719     16,668        431      2,241      2,596          0     33,031     29,050
 
Changes from:       October 18, 2011                                 Total Change is:    13,361
    -1,101     16,160         47     -2,220     -1,230        142      7,714     -1,289         99        574        254          0      8,106       -822
 
Percent of Open Interest Represented by Each Category of Trader
       0.8       64.6        0.1       33.4        5.1        0.9       43.3       10.1        0.3        1.4        1.6        0.0       19.9       17.5
 
Number of Traders in Each Category                                    Total Traders:       114
         .         16          4         12          6          4         41         25          4          4          7          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   235,774
Positions
    98,779     31,117        220     37,864     34,209      8,183     51,243     91,709        432      6,485      9,206        425     32,143     60,273
 
Changes from:       October 18, 2011                                 Total Change is:     5,291
       471      6,547       -183      7,276     -2,525        -93     -3,516      4,158       -189       -383     -2,449          0      1,908         25
 
Percent of Open Interest Represented by Each Category of Trader
      41.9       13.2        0.1       16.1       14.5        3.5       21.7       38.9        0.2        2.8        3.9        0.2       13.6       25.6
 
Number of Traders in Each Category                                    Total Traders:       169
        27         11          4         14         24         11         19         55          9          7         12          .
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   126,816
Positions
    48,439     42,515        114      2,936     37,824        807     54,239     19,455         49      1,955      1,998          1     18,276     24,053
 
Changes from:       October 18, 2011                                 Total Change is:     5,125
    -2,940      2,943        -15          1     -1,188         -7      5,283      2,406         49        503        -35          1      2,250        971
 
Percent of Open Interest Represented by Each Category of Trader
      38.2       33.5        0.1        2.3       29.8        0.6       42.8       15.3        0.0        1.5        1.6        0.0       14.4       19.0
 
Number of Traders in Each Category                                    Total Traders:        72
        10         10          .          .          6          .         18         19          .          4          .          .
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    88,737
Positions
    53,821     45,834     29,662          0          0          0      4,067     11,937      1,004          0          0          0        183        300
 
Changes from:       October 18, 2011                                 Total Change is:     1,850
     1,564      1,934        797          0          0          0       -469       -674          0          0          0          0        -42       -207
 
Percent of Open Interest Represented by Each Category of Trader
      60.7       51.7       33.4        0.0        0.0        0.0        4.6       13.5        1.1        0.0        0.0        0.0        0.2        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 October 25, 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    96,313
Positions
    54,326     41,195          0     27,389      3,621        827      9,749     41,483        418      1,110      3,131          0      2,494      5,638
 
Changes from:       October 18, 2011                                 Total Change is:     5,364
     2,350     -1,136          0      5,543        713         86     -2,713      5,432        128        -31        164          0          1        -23
 
Percent of Open Interest Represented by Each Category of Trader
      56.4       42.8        0.0       28.4        3.8        0.9       10.1       43.1        0.4        1.2        3.3        0.0        2.6        5.9
 
Number of Traders in Each Category                                    Total Traders:        81
         7         13          0          5          6          .         10         28          5          5          7          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    24,675
Positions
     9,655     18,524         18        146        388          0     12,555      3,867          0        367        482          0      1,934      1,396
 
Changes from:       October 18, 2011                                 Total Change is:       620
      -700      1,260         13        -12        150          0      1,238       -402          0          5        140          0         76       -541
 
Percent of Open Interest Represented by Each Category of Trader
      39.1       75.1        0.1        0.6        1.6        0.0       50.9       15.7        0.0        1.5        2.0        0.0        7.8        5.7
 
Number of Traders in Each Category                                    Total Traders:        39
         5          9          .          .          .          0          8         11          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    53,649
Positions
    22,561     23,878      4,171      3,567      3,484        573      7,436      7,457      3,161      1,962        174      1,936      8,285      8,817
 
Changes from:       October 18, 2011                                 Total Change is:     3,285
      -120     -3,087      1,555        346        257         59       -985      1,551       -188       -277        174        470      2,425      2,494
 
Percent of Open Interest Represented by Each Category of Trader
      42.1       44.5        7.8        6.6        6.5        1.1       13.9       13.9        5.9        3.7        0.3        3.6       15.4       16.4
 
Number of Traders in Each Category                                    Total Traders:        91
        23         11          9          4          8          .         18         21         10          .          .          .
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    14,406
Positions
     8,980      7,634        165        705        282          0        838      2,548         22      1,756          0        180      1,760      3,575
 
Changes from:       October 18, 2011                                 Total Change is:     1,986
     1,247       -949        165         30          0          0        -10          0         22        130          0        180        222      2,568
 
Percent of Open Interest Represented by Each Category of Trader
      62.3       53.0        1.1        4.9        2.0        0.0        5.8       17.7        0.2       12.2        0.0        1.2       12.2       24.8
 
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 October 25, 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    78,486
Positions
    34,926     40,253        246      5,723      6,404      1,145     19,321     15,942        153      3,923      3,860          0     13,049     10,483
 
Changes from:       October 18, 2011                                 Total Change is:     2,597
       -55     -1,596        100        631        514        117     -2,037      3,014       -332       -233        928          0      4,406       -148
 
Percent of Open Interest Represented by Each Category of Trader
      44.5       51.3        0.3        7.3        8.2        1.5       24.6       20.3        0.2        5.0        4.9        0.0       16.6       13.4
 
Number of Traders in Each Category                                    Total Traders:        88
        22         12          .          .          7          .         20         19          7          .          4          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   896,677
Positions
   111,134    124,611     61,167    367,220    229,228     64,509     77,493    174,607     56,581     16,480     43,608      6,590    135,502    135,777
 
Changes from:       October 18, 2011                                 Total Change is:     4,356
    -6,219     -3,308      7,577     -8,728      2,008       -443      3,143     -3,809     10,947        339     -1,733        392     -2,650     -7,274
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       13.9        6.8       41.0       25.6        7.2        8.6       19.5        6.3        1.8        4.9        0.7       15.1       15.1
 
Number of Traders in Each Category                                    Total Traders:       578
        31         59         29        112         75         63         74        143         70         26         58         13
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   295,815
Positions
    47,179     70,389      9,930    109,714     46,825     11,787     42,793     64,349      2,704      5,082     12,958        296     66,330     76,577
 
Changes from:       October 18, 2011                                 Total Change is:     4,256
     1,766      2,193      1,221     -2,173        310        161      2,690      7,402        338        143     -1,421        -13        123     -5,935
 
Percent of Open Interest Represented by Each Category of Trader
      15.9       23.8        3.4       37.1       15.8        4.0       14.5       21.8        0.9        1.7        4.4        0.1       22.4       25.9
 
Number of Traders in Each Category                                    Total Traders:       123
        14         14          5         27         14         13         18         26         12          4          6          .
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Traders in Financial Futures - Futures Only Positions as of October 25, 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 3,004,309
Positions
   536,439    487,771     39,521  1,301,009    925,493    250,132    398,479    776,268     44,405     82,292    178,550      6,171    345,861    295,998
 
Changes from:       October 18, 2011                                 Total Change is:       498
    -6,948      5,472     -1,198    -32,105      9,163     -3,694     46,718    -11,600      8,589      1,623       -918      1,379    -13,866     -6,695
 
Percent of Open Interest Represented by Each Category of Trader
      17.9       16.2        1.3       43.3       30.8        8.3       13.3       25.8        1.5        2.7        5.9        0.2       11.5        9.9
 
Number of Traders in Each Category                                    Total Traders:       549
        34         52         17         99         71         56         76        136         51         25         56          8
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   108,847
Positions
    23,156     17,192         54     54,767     57,705      9,149     11,457     12,494         59      1,710      6,722          0      8,495      5,472
 
Changes from:       October 18, 2011                                 Total Change is:    -2,037
      -796        562        -31     -3,125       -976         76      1,159     -1,791       -162        277        363          0        565        -78
 
Percent of Open Interest Represented by Each Category of Trader
      21.3       15.8        0.0       50.3       53.0        8.4       10.5       11.5        0.1        1.6        6.2        0.0        7.8        5.0
 
Number of Traders in Each Category                                    Total Traders:        89
         9          9          .         33         13          9          9         11          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    90,514
Positions
    20,905     38,969      6,081     22,404     15,277      1,410     20,274      9,795      4,162      1,262      3,395         28     13,987     11,398
 
Changes from:       October 18, 2011                                 Total Change is:     5,518
    -2,068      1,024      1,953        945       -308        -50      3,069      1,126      1,928       -119        -67         -1       -139        -87
 
Percent of Open Interest Represented by Each Category of Trader
      23.1       43.1        6.7       24.8       16.9        1.6       22.4       10.8        4.6        1.4        3.8        0.0       15.5       12.6
 
Number of Traders in Each Category                                    Total Traders:       212
        25         26          9         33         18          9         50         44         16         11          5          .
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Traders in Financial Futures - Futures Only Positions as of October 25, 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    23,028
Positions
    10,068     18,450         20          0        300          0      3,369      1,840          0          0      1,374          0      9,571      1,044
 
Changes from:       October 18, 2011                                 Total Change is:     2,951
     1,724      1,212          0       -269          0          0      1,062      1,840          0          0        292          0        434       -393
 
Percent of Open Interest Represented by Each Category of Trader
      43.7       80.1        0.1        0.0        1.3        0.0       14.6        8.0        0.0        0.0        6.0        0.0       41.6        4.5
 
Number of Traders in Each Category                                    Total Traders:        23
         8          7          .          0          .          0          4          .          0          0          .          0
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Traders in Financial Futures - Futures Only Positions as of October 25, 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   337,429
Positions
    82,440    130,849      2,050    112,018     74,885      7,051    103,454     58,701      1,883      6,312     10,103        139     22,082     51,768
 
Changes from:       October 18, 2011                                 Total Change is:    12,835
    -9,502      8,517        307      6,069     -1,539       -249     18,780      5,174        898       -597     -1,795         -6     -2,865      1,528
 
Percent of Open Interest Represented by Each Category of Trader
      24.4       38.8        0.6       33.2       22.2        2.1       30.7       17.4        0.6        1.9        3.0        0.0        6.5       15.3
 
Number of Traders in Each Category                                    Total Traders:       210
        25         24          5         33         18          9         51         43         12         11          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   459,940
Positions
   242,366     27,980     20,716    111,341    208,893     32,779     31,984    120,264      2,896      1,376     26,987          0     16,482     19,425
 
Changes from:       October 18, 2011                                 Total Change is:     4,289
    -1,045        568      2,253     -2,495       -468       -692      4,146      1,862      1,468         -9      1,383          0        663     -2,085
 
Percent of Open Interest Represented by Each Category of Trader
      52.7        6.1        4.5       24.2       45.4        7.1        7.0       26.1        0.6        0.3        5.9        0.0        3.6        4.2
 
Number of Traders in Each Category                                    Total Traders:       242
        26         10          .         48         46         26         27         64         12          .         19          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    26,427
Positions
    10,294      1,520         70      3,461      2,086         96      5,374      5,759         12        216      5,169          0      6,904     11,715
 
Changes from:       October 18, 2011                                 Total Change is:       848
     1,248        220          0        -84          0          0        181        861          1          0         -5          0       -498       -229
 
Percent of Open Interest Represented by Each Category of Trader
      39.0        5.8        0.3       13.1        7.9        0.4       20.3       21.8        0.0        0.8       19.6        0.0       26.1       44.3
 
Number of Traders in Each Category                                    Total Traders:        44
        13          .          .          7          4          .          8          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    40,811
Positions
    15,726      7,639        461      8,907      2,548        834      4,630      8,627      1,555        602        331          0      8,096     18,816
 
Changes from:       October 18, 2011                                 Total Change is:     6,546
     4,771     -3,136       -449      1,936       -412        383       -244      3,922         24       -223       -258          0        348      6,472
 
Percent of Open Interest Represented by Each Category of Trader
      38.5       18.7        1.1       21.8        6.2        2.0       11.3       21.1        3.8        1.5        0.8        0.0       19.8       46.1
 
Number of Traders in Each Category                                    Total Traders:        58
        17         10          .          8          .          .          6         13          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    41,316
Positions
       740      2,923      1,163     29,194     22,383      4,320      2,157      8,337        196        284          0          0      3,262      1,994
 
Changes from:       October 18, 2011                                 Total Change is:       935
       261        787        -56        493     -1,292       -474         24      1,200        181          0          0          0        506        589
 
Percent of Open Interest Represented by Each Category of Trader
       1.8        7.1        2.8       70.7       54.2       10.5        5.2       20.2        0.5        0.7        0.0        0.0        7.9        4.8
 
Number of Traders in Each Category                                    Total Traders:        54
         .          .          .         18         19          8          .          8          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 2011                
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    65,908
Positions
    18,175     23,924         50     28,168     11,517      2,537      8,094      4,703        773      2,298      2,488        464      5,349     19,452
 
Changes from:       October 18, 2011                                 Total Change is:       829
     3,185        374          0        -42        232        -14     -1,833        143        -79        312         65         27       -727         81
 
Percent of Open Interest Represented by Each Category of Trader
      27.6       36.3        0.1       42.7       17.5        3.8       12.3        7.1        1.2        3.5        3.8        0.7        8.1       29.5
 
Number of Traders in Each Category                                    Total Traders:        71
        12          8          .         16          9          4         12          5          .          7          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   620,520
Positions
    14,293    135,567      3,495    292,354     92,749     91,211     52,860    109,589      9,844     18,269     59,164        869    137,325    118,032
 
Changes from:       October 18, 2011                                 Total Change is:     8,231
    -2,963      8,943        515    -15,671       -179     10,606     10,182     -7,234      4,317        307      4,305        869         69    -13,911
 
Percent of Open Interest Represented by Each Category of Trader
       2.3       21.8        0.6       47.1       14.9       14.7        8.5       17.7        1.6        2.9        9.5        0.1       22.1       19.0
 
Number of Traders in Each Category                                    Total Traders:       158
        11         21          5         39         22         30         33         19         15          6          7          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   373,817
Positions
     4,909    171,276        305    261,616     18,714     34,877      4,620    103,896        991      2,875      3,415          0     63,624     40,343
 
Changes from:       October 18, 2011                                 Total Change is:    -4,156
    -2,051     -9,752        234     -5,789      4,242      4,845          0      2,092        220          0         28          0     -1,615     -6,065
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       45.8        0.1       70.0        5.0        9.3        1.2       27.8        0.3        0.8        0.9        0.0       17.0       10.8
 
Number of Traders in Each Category                                    Total Traders:        75
         .         14          .         37          6         19          .         12          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   723,030
Positions
    83,206     93,141      4,336    120,118    221,542     84,701    253,654    140,918     18,340     47,550     46,353      2,811    108,314    110,888
 
Changes from:       October 18, 2011                                 Total Change is:    20,274
    -7,925     31,070       -226      1,218     -1,004     -3,534     28,553    -13,434      1,520     -7,465      3,630          0      8,133      2,252
 
Percent of Open Interest Represented by Each Category of Trader
      11.5       12.9        0.6       16.6       30.6       11.7       35.1       19.5        2.5        6.6        6.4        0.4       15.0       15.3
 
Number of Traders in Each Category                                    Total Traders:       219
        14         24          8         31         48         39         36         36         19         10         19          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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 1,504,168
Positions
   136,520    117,913     18,731    594,165    607,922    177,984    227,842    117,710     27,813     45,566    117,865        760    274,787    317,470
 
Changes from:       October 18, 2011                                 Total Change is:     9,827
    -7,395    -31,595      1,958     -4,433     41,075    -24,126     16,940    -20,675      7,588      6,072      7,157       -172     13,395     28,617
 
Percent of Open Interest Represented by Each Category of Trader
       9.1        7.8        1.2       39.5       40.4       11.8       15.1        7.8        1.8        3.0        7.8        0.1       18.3       21.1
 
Number of Traders in Each Category                                    Total Traders:       236
        28         24         17         28         58         46         47         31         25          6         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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 1,249,117
Positions
    97,000    157,248     10,619    340,812    492,495    150,161    261,071    127,617     17,494    178,534     63,655        328    193,098    229,500
 
Changes from:       October 18, 2011                                 Total Change is:    76,155
     1,512      8,969      4,912     -2,543     13,759      9,691     21,338     32,636      5,675     38,458        617        328     -3,216       -432
 
Percent of Open Interest Represented by Each Category of Trader
       7.8       12.6        0.9       27.3       39.4       12.0       20.9       10.2        1.4       14.3        5.1        0.0       15.5       18.4
 
Number of Traders in Each Category                                    Total Traders:       186
         9         33          8         22         41         35         39         25         17          8          9          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   641,904
Positions
   248,970    258,489    197,427      3,807      5,594      3,570     58,362     45,700     76,973     10,349      5,502      8,295     34,151     40,354
 
Changes from:       October 18, 2011                                 Total Change is:    19,912
     8,372     12,795      4,215          0          0          0      1,671       -212        -39        971          0        258      4,464      2,895
 
Percent of Open Interest Represented by Each Category of Trader
      38.8       40.3       30.8        0.6        0.9        0.6        9.1        7.1       12.0        1.6        0.9        1.3        5.3        6.3
 
Number of Traders in Each Category                                    Total Traders:       117
        28         30         53          .          4          .         19         20         23          .          5          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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 8,223,952
Positions
 1,099,065  2,687,377  1,807,794  2,346,558     48,171    146,521    606,923    701,501  1,284,085     73,041    477,086    136,580    723,385    934,837
 
Changes from:       October 18, 2011                                 Total Change is:    88,116
    88,843     17,636     46,665   -155,155     10,369     20,333        250    -51,952     50,508      4,065      6,154     -7,041     39,648     -4,556
 
Percent of Open Interest Represented by Each Category of Trader
      13.4       32.7       22.0       28.5        0.6        1.8        7.4        8.5       15.6        0.9        5.8        1.7        8.8       11.4
 
Number of Traders in Each Category                                    Total Traders:       251
        35         50         80         12         12         19         42         57         84          9         13         15
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 2011                
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is     9,502
Positions
     4,750      2,818          0      1,428        841          7      1,451      5,552          1      1,585        170          0        280        113
 
Changes from:       October 18, 2011                                 Total Change is:      -289
       548        149          0         -3         55         -5       -469        -89       -365          0        -20          0          5        -14
 
Percent of Open Interest Represented by Each Category of Trader
      50.0       29.7        0.0       15.0        8.9        0.1       15.3       58.4        0.0       16.7        1.8        0.0        2.9        1.2
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          6          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    14,135
Positions
    11,332      7,159          0      1,447      2,648         46        977      3,712          0         40        415          0        293        155
 
Changes from:       October 18, 2011                                 Total Change is:      -141
       483       -748          0          0        522          0       -649         72          0          0          0          0         25         13
 
Percent of Open Interest Represented by Each Category of Trader
      80.2       50.6        0.0       10.2       18.7        0.3        6.9       26.3        0.0        0.3        2.9        0.0        2.1        1.1
 
Number of Traders in Each Category                                    Total Traders:        28
         4          5          0          .          4          .          5          5          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    63,947
Positions
    22,001     47,900        504      3,186        181        527     22,732     10,831        648      5,053        751          3      9,293      2,602
 
Changes from:       October 18, 2011                                 Total Change is:    -4,059
       754     -8,986          4       -572          0          5     -3,972      5,243       -605        672       -130          0       -345        410
 
Percent of Open Interest Represented by Each Category of Trader
      34.4       74.9        0.8        5.0        0.3        0.8       35.5       16.9        1.0        7.9        1.2        0.0       14.5        4.1
 
Number of Traders in Each Category                                    Total Traders:       107
         4          7          .          7          .          .         33         16          6         32          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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   133,700
Positions
    35,286     41,366     30,323      4,446        834      2,832     11,704     11,198     19,633      3,327      1,695     10,247     15,902     15,572
 
Changes from:       October 18, 2011                                 Total Change is:   -14,883
      -690      4,732     -3,881        430          0       -869     -7,166     -9,357     -1,212      2,109        606     -1,531     -2,073     -3,371
 
Percent of Open Interest Represented by Each Category of Trader
      26.4       30.9       22.7        3.3        0.6        2.1        8.8        8.4       14.7        2.5        1.3        7.7       11.9       11.6
 
Number of Traders in Each Category                                    Total Traders:        83
        10          8         13          7          .          6         17         17         23          5          5         11
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of October 25, 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    13,404
Positions
     2,114          0          0      1,738      1,507          0      8,521      2,512         71        150      8,869        434        376         11
 
Changes from:       October 18, 2011                                 Total Change is:        98
      -194          0          0         10         35          0        299         63          0       -103        -45         45         41          0
 
Percent of Open Interest Represented by Each Category of Trader
      15.8        0.0        0.0       13.0       11.2        0.0       63.6       18.7        0.5        1.1       66.2        3.2        2.8        0.1
 
Number of Traders in Each Category                                    Total Traders:        26
         4          0          0          4          4          0          6          5          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated October 28, 2011