BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
11/02/10 CBT WHEAT U.S. 23,291 4.5 2,493 0.5 523,063
NON U.S. 5,317 1.0 11,094 2.1
---- --------- ---- --------- ----
12 28,608 5.5 13,587 2.6
11/02/10 CBT CORN U.S. 33,541 2.1 56,451 3.5 1,618,200
NON U.S. 5,730 0.4 2,932 0.2
---- --------- ---- --------- ----
7 39,271 2.4 59,383 3.7
11/02/10 CBT SOYBEANS U.S. 16,030 2.6 6,504 1.1 613,985
NON U.S. 9,471 1.5 1,066 0.2
---- --------- ---- --------- ----
9 25,501 4.2 7,570 1.2
11/02/10 CBT U.S. TREASURY BONDS U.S. 4,510 0.7 16,868 2.5 675,492
NON U.S. 13,389 2.0 1,949 0.3
---- --------- ---- --------- ----
11 17,899 2.6 18,817 2.8
11/02/10 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 393 4.5 145 1.7 8,718
NON U.S. 526 6.0 443 5.1
---- --------- ---- --------- ----
5 919 10.5 588 6.7
11/02/10 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 19,223 6.0 562 0.2 318,482
NON U.S. 2,297 0.7 56 0.0
---- --------- ---- --------- ----
5 21,520 6.8 618 0.2
11/02/10 NYME NY HARBOR HEATING OIL CAL SWAP U.S. 411 1.3 3,712 12.2 30,456
NON U.S. 437 1.4 43 0.1
---- --------- ---- --------- ----
5 848 2.8 3,755 12.3
11/02/10 NYME NATURAL GAS U.S. 22,409 2.8 11,219 1.4 796,717
NON U.S. 28,308 3.6 335 0.0
---- --------- ---- --------- ----
8 50,717 6.4 11,554 1.5
11/02/10 CBT SOYBEAN MEAL U.S. 2,730 1.3 0 0.0 204,711
NON U.S. 1,709 0.8 762 0.4
---- --------- ---- --------- ----
5 4,439 2.2 762 0.4
11/02/10 ICUS COTTON NO. 2 U.S. 868 0.4 4,793 2.0 243,838
NON U.S. 611 0.3 5,053 2.1
---- --------- ---- --------- ----
6 1,479 0.6 9,846 4.0
11/02/10 NYME HOUSTON SHIP CH BASIS SWAP U.S. 206 0.2 9,547 8.1 117,841
NON U.S. 0 0.0 14,926 12.7
---- --------- ---- --------- ----
5 206 0.2 24,473 20.8
11/02/10 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3,444 3.5 4,899 5.0 98,262
NON U.S. 2,437 2.5 6,944 7.1
---- --------- ---- --------- ----
6 5,881 6.0 11,843 12.1
11/02/10 NYME PANHANDLE BASIS SWAP U.S. 25,716 15.8 6,447 4.0 163,146
NON U.S. 0 0.0 10,168 6.2
---- --------- ---- --------- ----
5 25,716 15.8 16,615 10.2
11/02/10 NYME SAN JUAN BASIS SWAP U.S. 1,744 4.7 2,066 5.5 37,374
NON U.S. 186 0.5 3,044 8.1
---- --------- ---- --------- ----
5 1,930 5.2 5,110 13.7
11/02/10 NYME HENRY HUB SWAP U.S. 4 78,906 3.0 189,452 7.2 2,613,514
NON U.S. 6 12,755 0.5 137,713 5.3
---- --------- ---- --------- ----
10 91,661 3.5 327,165 12.5
11/02/10 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 84,280 9.2 59,288 6.5 916,954
NON U.S. 45,346 4.9 5,929 0.6
---- --------- ---- --------- ----
8 129,626 14.1 65,217 7.1
11/02/10 ICUS FRZN CONCENTRATED ORANGE JUICE U.S. 975 3.5 320 1.1 28,045
NON U.S. 371 1.3 500 1.8
---- --------- ---- --------- ----
5 1,346 4.8 820 2.9
11/02/10 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 12,303 1.7 8,537 1.2 718,350
NON U.S. 9 2,081 0.3 16,753 2.3
---- --------- ---- --------- ----
13 14,384 2.0 25,290 3.5
11/02/10 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 22,224 1.4 93,141 6.0 1,550,472
NON U.S. 24 26,356 1.7 29,160 1.9
---- --------- ---- --------- ----
32 48,580 3.1 122,301 7.9
11/02/10 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 11,705 1.1 51,399 4.8 1,078,696
NON U.S. 9 12,891 1.2 48,873 4.5
---- --------- ---- --------- ----
15 24,596 2.3 100,272 9.3
11/02/10 CBT 30-DAY FEDERAL FUNDS U.S. 7 60,220 10.8 72,881 13.1 558,298
NON U.S. 12 31,598 5.7 10,859 1.9
---- --------- ---- --------- ----
19 91,818 16.4 83,740 15.0
11/02/10 CME LEAN HOGS U.S. 5,493 2.7 0 0.0 204,014
NON U.S. 1,215 0.6 594 0.3
---- --------- ---- --------- ----
5 6,708 3.3 594 0.3
11/02/10 CME LIVE CATTLE U.S. 7,781 2.5 1,176 0.4 316,061
NON U.S. 1,906 0.6 326 0.1
---- --------- ---- --------- ----
8 9,687 3.1 1,502 0.5
11/02/10 NYME CRUDE OIL, LIGHT SWEET U.S. 22,033 1.5 104,807 7.3 1,433,324
NON U.S. 17,532 1.2 98,477 6.9
---- --------- ---- --------- ----
15 39,565 2.8 203,284 14.2
11/02/10 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 19,425 8.4 34,642 15.0 231,622
NON U.S. 9 28,745 12.4 19,731 8.5
---- --------- ---- --------- ----
13 48,170 20.8 54,373 23.5
11/02/10 NYME WTI CRUDE OIL FINANCIAL U.S. 13,877 12.9 9,143 8.5 107,502
NON U.S. 4,890 4.5 706 0.7
---- --------- ---- --------- ----
8 18,767 17.5 9,849 9.2
11/02/10 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,845 3.0 11,392 18.4 61,903
NON U.S. 1,826 2.9 1,099 1.8
---- --------- ---- --------- ----
5 3,671 5.9 12,491 20.2
11/02/10 NYME PALLADIUM U.S. 81 0.3 5,794 22.6 25,597
NON U.S. 225 0.9 3,596 14.0
---- --------- ---- --------- ----
8 306 1.2 9,390 36.7
11/02/10 NYME PLATINUM U.S. 273 0.7 4,470 11.6 38,603
NON U.S. 169 0.4 3,506 9.1
---- --------- ---- --------- ----
10 442 1.1 7,976 20.7
11/02/10 ICUS SUGAR NO. 11 U.S. 10,266 1.7 6,718 1.1 604,070
NON U.S. 3,171 0.5 14,770 2.4
---- --------- ---- --------- ----
8 13,437 2.2 21,488 3.6
11/02/10 ICUS COFFEE C U.S. 1,942 1.3 2,121 1.4 148,595
NON U.S. 337 0.2 4,329 2.9
---- --------- ---- --------- ----
7 2,279 1.5 6,450 4.3
11/02/10 CMX SILVER U.S. 899 0.6 30,760 19.4 158,633
NON U.S. 2,977 1.9 5,776 3.6
---- --------- ---- --------- ----
12 3,876 2.4 36,536 23.0
11/02/10 CMX COPPER-GRADE #1 U.S. 5,907 3.6 800 0.5 163,209
NON U.S. 892 0.5 0 0.0
---- --------- ---- --------- ----
5 6,799 4.2 800 0.5
11/02/10 CMX GOLD U.S. 5 30,729 5.0 143,768 23.2 618,381
NON U.S. 14 8,344 1.3 46,192 7.5
---- --------- ---- --------- ----
19 39,073 6.3 189,960 30.7
11/02/10 CME CANADIAN DOLLAR U.S. 188 0.2 12,573 12.0 104,809
NON U.S. 2,772 2.6 1,956 1.9
---- --------- ---- --------- ----
9 2,960 2.8 14,529 13.9
11/02/10 CME SWISS FRANC U.S. 1,306 2.7 6,374 13.2 48,129
NON U.S. 0 0.0 4,647 9.7
---- --------- ---- --------- ----
7 1,306 2.7 11,021 22.9
11/02/10 CME MEXICAN PESO U.S. 5 267 0.2 53,826 39.6 135,871
NON U.S. 4 3,199 2.4 2,652 2.0
---- --------- ---- --------- ----
9 3,466 2.6 56,478 41.6
11/02/10 CME BRITISH POUND STERLING U.S. 3,325 3.6 4,876 5.3 91,819
NON U.S. 40 0.0 1,026 1.1
---- --------- ---- --------- ----
6 3,365 3.7 5,902 6.4
11/02/10 CME JAPANESE YEN U.S. 4 1,400 1.0 25,237 18.0 140,062
NON U.S. 6 7,500 5.4 3,134 2.2
---- --------- ---- --------- ----
10 8,900 6.4 28,371 20.3
11/02/10 CME EURO FX U.S. 4 19,245 9.3 3,541 1.7 206,972
NON U.S. 12 12,826 6.2 2,656 1.3
---- --------- ---- --------- ----
16 32,071 15.5 6,197 3.0
11/02/10 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,619 1.7 2,746 1.0 277,836
NON U.S. 811 0.3 129 0.0
---- --------- ---- --------- ----
6 5,430 2.0 2,875 1.0
11/02/10 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1,966 2.0 1,112 1.1 96,934
NON U.S. 2,470 2.5 4,850 5.0
---- --------- ---- --------- ----
8 4,436 4.6 5,962 6.2
11/02/10 CME 3-MONTH EURODOLLARS U.S. 14 1,302,024 15.5 1,553,616 18.5 8,388,202
NON U.S. 38 464,844 5.5 632,095 7.5
---- --------- ---- --------- ----
52 1,766,868 21.1 2,185,711 26.1
11/02/10 CME S&P 500 STOCK INDEX U.S. 4 5,142 1.5 0 0.0 337,046
NON U.S. 10 3,865 1.1 6,223 1.8
---- --------- ---- --------- ----
14 9,007 2.7 6,223 1.8
11/02/10 CME E-MINI S&P 500 STOCK INDEX U.S. 8 30,173 1.1 5,673 0.2 2,709,889
NON U.S. 27 23,663 0.9 48,344 1.8
---- --------- ---- --------- ----
35 53,836 2.0 54,017 2.0
11/02/10 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 3,431 0.8 1,360 0.3 442,944
NON U.S. 15 9,137 2.1 3,626 0.8
---- --------- ---- --------- ----
21 12,568 2.8 4,986 1.1
11/02/10 CME AUSTRALIAN DOLLAR U.S. 3,759 3.0 14,101 11.2 125,968
NON U.S. 239 0.2 3,783 3.0
---- --------- ---- --------- ----
8 3,998 3.2 17,884 14.2
11/02/10 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 533 0.1 6,922 1.7 399,980
NON U.S. 2,489 0.6 988 0.2
---- --------- ---- --------- ----
9 3,022 0.8 7,910 2.0
11/02/10 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 1,373 4.1 33,779
NON U.S. 1,145 3.4 500 1.5
---- --------- ---- --------- ----
7 1,145 3.4 1,873 5.5
11/02/10 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 46,805
NON U.S. 1,482 3.2 7,674 16.4
---- --------- ---- --------- ----
6 1,482 3.2 7,674 16.4
11/02/10 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 34,603
NON U.S. 354 1.0 182 0.5
---- --------- ---- --------- ----
6 354 1.0 182 0.5
11/02/10 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 5,083 20.9 435 1.8 24,292
NON U.S. 1,209 5.0 0 0.0
---- --------- ---- --------- ----
5 6,292 25.9 435 1.8