```
VIX FUTURES - CBOE FUTURES EXCHANGE                                                                     Code-1170E1
Commitments of Traders with Delta-adjusted Options and Futures Combined, March 27, 2012                  
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : ($1000 X INDEX)                                                            :
     :          :                                                                            :
All  :   304,339:    78,891    108,518     30,384    172,225    138,420    281,500    277,322:    22,839     27,017
Old  :   304,339:    78,891    108,518     30,384    172,225    138,420    281,500    277,322:    22,839     27,017
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: March 20, 2012                       :
     :   -59,544:   -21,909     -6,825     -9,284    -20,035    -37,267    -51,228    -53,376:    -8,316     -6,168
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      25.9       35.7       10.0       56.6       45.5       92.5       91.1:       7.5        8.9
Old  :     100.0:      25.9       35.7       10.0       56.6       45.5       92.5       91.1:       7.5        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  :       119:        26         51         43         27         33         83        104:
Old  :       119:        26         51         43         27         33         83        104:
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  :                 53.8       28.6       68.7       44.3       50.3       21.1       57.4       33.4
Old  :                 53.8       28.6       68.7       44.3       50.3       21.1       57.4       33.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
```

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Updated March 30, 2012