├── requirements.txt
├── screenshot
    └── screen.png
├── README.md
├── LICENSE
├── volatility_examiner.r
├── .gitignore
├── download_all_cot.py
├── cot.py
└── Data
    └── latest.htm


/requirements.txt:
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1 | docopt
2 | terminaltables
3 | 


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/screenshot/screen.png:
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https://raw.githubusercontent.com/jonromero/commitment_of_traders/HEAD/screenshot/screen.png


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/README.md:
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1 | Commitment of Traders
2 | 
3 | ![Screenshot](https://github.com/jonromero/commitment_of_traders/blob/master/screenshot/screen.png)
4 | 
5 | I am using this in order to download and visualize the latest COT or for backtesting and come up with some indicators. Feel free to add your own columns. 
6 | 
7 | Check the post at [jon.io](jon.io)
8 | 


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/LICENSE:
--------------------------------------------------------------------------------
 1 | MIT License
 2 | 
 3 | Copyright (c) 2017 Jon Vlachoyiannis
 4 | 
 5 | Permission is hereby granted, free of charge, to any person obtaining a copy
 6 | of this software and associated documentation files (the "Software"), to deal
 7 | in the Software without restriction, including without limitation the rights
 8 | to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
 9 | copies of the Software, and to permit persons to whom the Software is
10 | furnished to do so, subject to the following conditions:
11 | 
12 | The above copyright notice and this permission notice shall be included in all
13 | copies or substantial portions of the Software.
14 | 
15 | THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
16 | IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
17 | FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
18 | AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
19 | LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
20 | OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
21 | SOFTWARE.
22 | 


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/volatility_examiner.r:
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 1 | # Exploratory analysis
 2 | # Playing around with data to figure out pivot points
 3 | #
 4 | # Jon V
 5 | 
 6 | #install.packages("quantmod")
 7 | #require("quantmod")
 8 | 
 9 | data <- read.csv("~/Sources/COT/all_data.csv", sep=";",header = T)
10 | latest <- tail(data, 300)
11 | Date <- as.Date( latest$date, '%m/%d/%Y')
12 | 
13 | volatility_long <- data.frame(Date, Delt(latest$com_long, latest$com_long, k=1))
14 | volatility_short <- data.frame(Date, Delt(latest$com_short, latest$com_short, k=1))
15 | 
16 | latest$volatility_long_100 <- volatility_long$Delt.1.arithmetic * 100
17 | latest$volatility_short_100 <- volatility_short$Delt.1.arithmetic * 100
18 | 
19 | latest$volatility_long <- volatility_long$Delt.1.arithmetic
20 | latest$volatility_short <- volatility_short$Delt.1.arithmetic
21 | 
22 | plot(volatility_long[abs(volatility_long$Delt.1.arithmetic) > 0.1,], type="o",col="blue")
23 | volatility = data.frame(latest$volatility_long, latest$volatility_short)
24 | #barplot(as.matrix(t(volatility)), beside = T, col=c("dark green","red"))
25 | 
26 | volatility_long[abs(volatility_long$Delt.1.arithmetic) > 0.1,]
27 | volatility_short[abs(volatility_short$Delt.1.arithmetic) > 0.1,]
28 | 
29 | 


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/.gitignore:
--------------------------------------------------------------------------------
 1 | # Byte-compiled / optimized / DLL files
 2 | __pycache__/
 3 | *.py[cod]
 4 | *$py.class
 5 | 
 6 | # C extensions
 7 | *.so
 8 | 
 9 | # Distribution / packaging
10 | .Python
11 | env/
12 | build/
13 | develop-eggs/
14 | dist/
15 | downloads/
16 | eggs/
17 | .eggs/
18 | lib/
19 | lib64/
20 | parts/
21 | sdist/
22 | var/
23 | *.egg-info/
24 | .installed.cfg
25 | *.egg
26 | 
27 | # PyInstaller
28 | #  Usually these files are written by a python script from a template
29 | #  before PyInstaller builds the exe, so as to inject date/other infos into it.
30 | *.manifest
31 | *.spec
32 | 
33 | # Installer logs
34 | pip-log.txt
35 | pip-delete-this-directory.txt
36 | 
37 | # Unit test / coverage reports
38 | htmlcov/
39 | .tox/
40 | .coverage
41 | .coverage.*
42 | .cache
43 | nosetests.xml
44 | coverage.xml
45 | *,cover
46 | .hypothesis/
47 | 
48 | # Translations
49 | *.mo
50 | *.pot
51 | 
52 | # Django stuff:
53 | *.log
54 | local_settings.py
55 | 
56 | # Flask stuff:
57 | instance/
58 | .webassets-cache
59 | 
60 | # Scrapy stuff:
61 | .scrapy
62 | 
63 | # Sphinx documentation
64 | docs/_build/
65 | 
66 | # PyBuilder
67 | target/
68 | 
69 | # IPython Notebook
70 | .ipynb_checkpoints
71 | 
72 | # pyenv
73 | .python-version
74 | 
75 | # celery beat schedule file
76 | celerybeat-schedule
77 | 
78 | # dotenv
79 | .env
80 | 
81 | # virtualenv
82 | venv/
83 | ENV/
84 | 
85 | # Spyder project settings
86 | .spyderproject
87 | 
88 | # Rope project settings
89 | .ropeproject
90 | 


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/download_all_cot.py:
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 1 | """
 2 | Downloading all COT reports from the official source
 3 | and adding some info as a CSV
 4 | 
 5 | Jon V (darksun4@gmail.com)
 6 | 23rd of January 2017
 7 | """
 8 | from datetime import datetime, timedelta
 9 | from cot import _download_report, process
10 | import locale
11 | 
12 | if __name__ == "__main__":
13 |     locale.setlocale(locale.LC_ALL, 'en_US.UTF-8')
14 | 
15 |     csv_file = open("all_data.csv", "w+")
16 |     csv_file.write("non_com_long;non_com_short;spreads;com_long;com_short;date\n")
17 |     
18 |     start, end = datetime(2005, 01, 4), datetime(2017, 02, 03)
19 |     days = (start + timedelta(days=i) for i in range((end - start).days + 1))
20 |     all_tuesdays = [d for d in days if d.weekday() == 1]
21 | 
22 |     print str(all_tuesdays[0].month).zfill(2) + "/" + str(all_tuesdays[0].day).zfill(2) + "/" + str(all_tuesdays[0].year)
23 |     
24 |     for tuesday in all_tuesdays:
25 |         str_tuesday = str(tuesday.month).zfill(2) + "/" + str(tuesday.day).zfill(2) + "/" + str(tuesday.year)
26 | 
27 |         try:
28 |             report =_download_report(str_tuesday)
29 |             with open(report, 'r') as fd:
30 |                 data, current, changes = process(fd.readlines(), 'EURO')
31 |                 for c in current[:5]:
32 |                     csv_file.write(str(locale.atoi(c))+";")
33 | 
34 |             csv_file.write(str_tuesday+"\n")
35 |             
36 |         except:
37 |             print "Something went wrong"
38 | 


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/cot.py:
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  1 | """
  2 | Downloading and processing COT reports
  3 | 
  4 | Usage:
  5 |   cot.py latest <currency>
  6 |   cot.py --date <report_date> <currency>
  7 |   cot.py --from-file <filename> <currency>
  8 | 
  9 | Example:
 10 |   cot.py latest EURO
 11 |   cot.py --date 01/19/2017 YEN
 12 | 
 13 | Options:
 14 |   -h, --help
 15 | 
 16 | Jon V (darksun4@gmail.com)
 17 | 19th of January 2017
 18 | """
 19 | 
 20 | from docopt import docopt
 21 | from terminaltables import SingleTable
 22 | import urllib
 23 | import locale
 24 | 
 25 | def process(lines_of_cot, commodity_name='EURO FX'):
 26 |     idx = 0
 27 |     for idx in range(0, len(lines_of_cot)):
 28 |         if commodity_name in lines_of_cot[idx]:
 29 |             results = {}
 30 |             data = lines_of_cot[idx:idx+19]
 31 |             current = " ".join(data[9].split()).split(" ")
 32 |             changes = " ".join(data[12].split()).split(" ")
 33 |             results['non-commercial'] = {'current': {'long': current[0],
 34 |                                                      'short': current[1], 'spreads': current[2]},
 35 |                                          'changes': {'long': changes[0],
 36 |                                                      'short': changes[1],
 37 |                                                      'spreads': changes[2]}}
 38 |             
 39 |             results['commercial'] = {'current': {'long': current[3],
 40 |                                                  'short': current[4],
 41 |                                                  'spreads': current[5]},
 42 |                                      'changes': {'long': changes[3],
 43 |                                                  'short': changes[4],
 44 |                                                  'spreads': changes[5]}}
 45 | 
 46 |             return results, current, changes
 47 |         
 48 |     return 0
 49 | 
 50 | 
 51 | def _download_report(date_to_get='latest'):
 52 |     filename = urllib.URLopener()
 53 |     base_filename =  "Data/latest.htm"
 54 |     
 55 |     if date_to_get == 'latest':
 56 |         filename.retrieve("http://www.cftc.gov/dea/futures/deacmesf.htm", base_filename)
 57 |     else:
 58 |         base_url = 'http://www.cftc.gov/files/dea/cotarchives/%year%/futures/deacmesf%month%%day%%Year%.htm'
 59 |         base_filename = 'Data/%month%%day%%Year%.htm'
 60 | 
 61 |         month, day, year = date_to_get.split('/')
 62 |         base_url = base_url.replace('%year%', year).replace('%month%', month). replace('%day%', day).replace('%Year%', year[2:])
 63 |         base_filename = base_filename.replace('%month%', month).replace('%day%', day).replace('%Year%', year[2:])
 64 | 
 65 |         print base_url
 66 |         filename.retrieve(base_url, base_filename)
 67 |         
 68 |     filename.close()
 69 | 
 70 |     return base_filename
 71 | 
 72 | 
 73 | def _visualize(json_data, currency, report_date):
 74 |     data = []
 75 |     data.append(['Non-Commercial (% long)', 'Commercial (% long)'])
 76 | 
 77 |     non_com_current = json_data['non-commercial']['current']
 78 |     non_com_changes = json_data['non-commercial']['changes']
 79 |     com_current = json_data['commercial']['current']
 80 |     com_changes = json_data['commercial']['changes']
 81 | 
 82 |     # all
 83 |     data.append([float(locale.atoi(non_com_changes['long']))/locale.atoi(non_com_current['long'])*100,
 84 |                  float(locale.atoi(com_changes['long']))/locale.atoi(com_current['long'])*100])
 85 | 
 86 |     table = SingleTable(data)
 87 |     table.title = 'Commitment of Traders (long %): ' + currency + " | " + report_date    
 88 |     print table.table
 89 | 
 90 |     # Non-Commercial
 91 |     data = []
 92 |     data.append(['Long (current)', 'Short (current)', 'Long (changes)', 'Short (changes)'])
 93 | 
 94 |     data.append([locale.atoi(non_com_current['long']), locale.atoi(non_com_current['short']),
 95 |                  locale.atoi(non_com_changes['long']), locale.atoi(non_com_changes['short'])])
 96 | 
 97 |     table = SingleTable(data)
 98 |     table.title = 'Commitment of Traders (Non-Commercial):' + currency + "|" + report_date
 99 |     print table.table
100 | 
101 |     # Com
102 |     data = []
103 |     data.append(['Long (current)', 'Short (current)', 'Long (changes)', 'Short (changes)'])
104 | 
105 |     data.append([
106 |                  locale.atoi(com_current['long']), locale.atoi(com_current['short']),
107 |                  locale.atoi(com_changes['long']), locale.atoi(com_changes['short'])])
108 |     
109 |     table = SingleTable(data)
110 |     table.title = 'Commitment of Traders (Commercial):' + currency + "|" + report_date    
111 |     print table.table
112 | 
113 | 
114 | if __name__ == "__main__":
115 |     arguments = docopt(__doc__)
116 |     locale.setlocale(locale.LC_ALL, 'en_US.UTF-8')
117 | 
118 |     if arguments['latest'] or arguments['--date']:
119 |         if arguments['latest']:
120 |             report_date = 'latest'
121 | 
122 |         elif (arguments['--date']):
123 |             report_date = arguments['<report_date>']
124 | 
125 |         report = _download_report(report_date)
126 |         
127 |     if arguments['--from-file'] :
128 |         report = arguments['<filename>']
129 |         report_date = None
130 | 
131 |     with open(report, 'r') as fd:
132 |         data, current, changes  = process(fd.readlines(), arguments['<currency>'])
133 |         _visualize(data, arguments['<currency>'], report_date)
134 |         
135 | 
136 |         
137 | 
138 | 


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/Data/latest.htm:
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  1 | <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
  2 | <html lang="en-US" xml:lang="en" xmlns="http://www.w3.org/1999/xhtml">
  3 | <head>
  4 | <title>CFTC Commitments of Traders Report - CME (Futures Only)</title>
  5 | <!--begin meta-->
  6 | <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
  7 | <meta http-equiv="Pragma" content="no-cache">
  8 | <meta http-equiv="Expires" content="0">
  9 | <meta name="description" content="This is the viewable version of the most recent release of the CME short form futures only commitments report." />
 10 | <meta name="file" content="deacmesf.htm" />
 11 | <meta name="keywords" content="ommitments, short, CFTC, CME, Futures only" />
 12 | <meta name="office" content="dea" />
 13 | <!--end meta-->
 14 | 
 15 | <script type="text/javascript" src="http://www.google-analytics.com/ga.js"></script><script type='text/javascript'>var pageTracker = _gat._getTracker("UA-21047137-1");	pageTracker._trackPageview();</script><script type="text/javascript" src="/ucm/fragments/web_header/js/gaAddons.js"></script></head>
 16 | <body>
 17 | <!--begin content-->
 18 |  <pre>
 19 |  <!--ih:includeHTML file="deacmesf.txt"--> 
 20 |  
 21 | MALAYSIAN PALM OIL CALENDAR SW - CHICAGO MERCANTILE EXCHANGE         Code-037642
 22 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
 23 | --------------------------------------------------------------| NONREPORTABLE
 24 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
 25 | --------------------------|-----------------|-----------------|-----------------
 26 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
 27 | --------------------------------------------------------------------------------
 28 | (CONTRACTS OF 25 METRIC TONS)                        OPEN INTEREST:       23,952
 29 | COMMITMENTS
 30 |    2,540    6,176      360   19,932   16,736   22,832   23,272    1,120      680
 31 | 
 32 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:          .)
 33 |        .        .        .        .        .        .        .        .        .
 34 | 
 35 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
 36 |     10.6     25.8      1.5     83.2     69.9     95.3     97.2      4.7      2.8
 37 | 
 38 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       20)
 39 |        3        6        1        6        8       10       15                  
 40 |  
 41 |  
 42 | BUTTER (CASH SETTLED) - CHICAGO MERCANTILE EXCHANGE                  Code-050642
 43 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
 44 | --------------------------------------------------------------| NONREPORTABLE
 45 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
 46 | --------------------------|-----------------|-----------------|-----------------
 47 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
 48 | --------------------------------------------------------------------------------
 49 | (CONTRACTS OF 20,000 POUNDS)                         OPEN INTEREST:        5,114
 50 | COMMITMENTS
 51 |    1,384    1,710      182    2,682    2,435    4,248    4,327      866      787
 52 | 
 53 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        246)
 54 |       67      -60       21      152      235      240      196        6       50
 55 | 
 56 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
 57 |     27.1     33.4      3.6     52.4     47.6     83.1     84.6     16.9     15.4
 58 | 
 59 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       36)
 60 |        5        9        7       16       18       27       28                  
 61 |  
 62 |  
 63 | MILK, Class III - CHICAGO MERCANTILE EXCHANGE                        Code-052641
 64 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
 65 | --------------------------------------------------------------| NONREPORTABLE
 66 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
 67 | --------------------------|-----------------|-----------------|-----------------
 68 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
 69 | --------------------------------------------------------------------------------
 70 | (CONTRACTS OF 200,000 POUNDS)                        OPEN INTEREST:       30,925
 71 | COMMITMENTS
 72 |   19,247    6,284    1,122    7,667   16,679   28,036   24,085    2,889    6,840
 73 | 
 74 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      1,046)
 75 |      759      360      103      -15      308      847      771      199      275
 76 | 
 77 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
 78 |     62.2     20.3      3.6     24.8     53.9     90.7     77.9      9.3     22.1
 79 | 
 80 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       75)
 81 |       20       23       22       15       25       50       55                  
 82 |  
 83 |  
 84 | NON FAT DRY MILK - CHICAGO MERCANTILE EXCHANGE                       Code-052642
 85 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
 86 | --------------------------------------------------------------| NONREPORTABLE
 87 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
 88 | --------------------------|-----------------|-----------------|-----------------
 89 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
 90 | --------------------------------------------------------------------------------
 91 | (CONTRACTS OF 44,000 LBS.)                           OPEN INTEREST:        7,351
 92 | COMMITMENTS
 93 |      933      687    1,379    4,559    4,774    6,871    6,840      480      511
 94 | 
 95 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        329)
 96 |      154       26     -105      220      409      269      330       60       -1
 97 | 
 98 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
 99 |     12.7      9.3     18.8     62.0     64.9     93.5     93.0      6.5      7.0
100 | 
101 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       42)
102 |       11        7       11       19       16       34       30                  
103 |  
104 |  
105 | LEAN HOGS - CHICAGO MERCANTILE EXCHANGE                              Code-054642
106 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
107 | --------------------------------------------------------------| NONREPORTABLE
108 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
109 | --------------------------|-----------------|-----------------|-----------------
110 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
111 | --------------------------------------------------------------------------------
112 | (CONTRACTS OF 40,000 POUNDS)                         OPEN INTEREST:      237,466
113 | COMMITMENTS
114 |   89,959   48,271   36,724   85,239  118,086  211,922  203,081   25,544   34,385
115 | 
116 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      5,196)
117 |    2,303      636    3,082     -464    2,911    4,921    6,629      275   -1,433
118 | 
119 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
120 |     37.9     20.3     15.5     35.9     49.7     89.2     85.5     10.8     14.5
121 | 
122 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      319)
123 |      124       67      112       69       84      252      227                  
124 |  
125 |  
126 | LIVE CATTLE - CHICAGO MERCANTILE EXCHANGE                            Code-057642
127 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
128 | --------------------------------------------------------------| NONREPORTABLE
129 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
130 | --------------------------|-----------------|-----------------|-----------------
131 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
132 | --------------------------------------------------------------------------------
133 | (CONTRACTS OF 40,000 POUNDS)                         OPEN INTEREST:      327,514
134 | COMMITMENTS
135 |  129,921   38,903   48,104  121,470  189,885  299,495  276,892   28,019   50,622
136 | 
137 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:    -11,109)
138 |   -7,460   -2,043   -1,397      835   -3,505   -8,022   -6,945   -3,087   -4,164
139 | 
140 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
141 |     39.7     11.9     14.7     37.1     58.0     91.4     84.5      8.6     15.5
142 | 
143 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      411)
144 |      127       88      123       98      149      293      311                  
145 |  
146 |  
147 | RANDOM LENGTH LUMBER - CHICAGO MERCANTILE EXCHANGE                   Code-058643
148 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
149 | --------------------------------------------------------------| NONREPORTABLE
150 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
151 | --------------------------|-----------------|-----------------|-----------------
152 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
153 | --------------------------------------------------------------------------------
154 | (CONTRACTS OF 110,000 BOARD FEET)                    OPEN INTEREST:        5,065
155 | COMMITMENTS
156 |    2,262    1,372      289      766    2,288    3,317    3,949    1,748    1,116
157 | 
158 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        628)
159 |      586      147       93     -382      330      297      570      331       58
160 | 
161 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
162 |     44.7     27.1      5.7     15.1     45.2     65.5     78.0     34.5     22.0
163 | 
164 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       63)
165 |       24       12        5       16       22       44       37                  
166 |  
167 |  
168 | FEEDER CATTLE - CHICAGO MERCANTILE EXCHANGE                          Code-061641
169 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
170 | --------------------------------------------------------------| NONREPORTABLE
171 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
172 | --------------------------|-----------------|-----------------|-----------------
173 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
174 | --------------------------------------------------------------------------------
175 | (CONTRACTS OF 50,000 POUNDS)                         OPEN INTEREST:       51,212
176 | COMMITMENTS
177 |   20,049   12,851   10,558   13,556   11,725   44,163   35,134    7,049   16,078
178 | 
179 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      2,516)
180 |     -913      799    2,611      933     -997    2,631    2,413     -115      103
181 | 
182 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
183 |     39.1     25.1     20.6     26.5     22.9     86.2     68.6     13.8     31.4
184 | 
185 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      203)
186 |       48       54       55       54       63      139      149                  
187 |  
188 |  
189 | DRY WHEY - CHICAGO MERCANTILE EXCHANGE                               Code-052645
190 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
191 | --------------------------------------------------------------| NONREPORTABLE
192 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
193 | --------------------------|-----------------|-----------------|-----------------
194 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
195 | --------------------------------------------------------------------------------
196 | (CONTRACTS OF 44,000 LBS.)                           OPEN INTEREST:        5,564
197 | COMMITMENTS
198 |      280    4,532      154    3,981      436    4,415    5,122    1,149      442
199 | 
200 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        364)
201 |       12      183       78      239       36      329      297       35       67
202 | 
203 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
204 |      5.0     81.5      2.8     71.5      7.8     79.3     92.1     20.7      7.9
205 | 
206 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       20)
207 |        4        6        3        9        4       15       11                  
208 |  
209 |  
210 | CHEESE (CASH-SETTLED) - CHICAGO MERCANTILE EXCHANGE                  Code-063642
211 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
212 | --------------------------------------------------------------| NONREPORTABLE
213 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
214 | --------------------------|-----------------|-----------------|-----------------
215 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
216 | --------------------------------------------------------------------------------
217 | (CONTRACTS OF 20,000 POUNDS)                         OPEN INTEREST:       24,145
218 | COMMITMENTS
219 |    6,505   16,895      147   16,814    6,324   23,466   23,366      679      779
220 | 
221 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      1,120)
222 |      167      722       19      923      359    1,109    1,100       11       20
223 | 
224 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
225 |     26.9     70.0      0.6     69.6     26.2     97.2     96.8      2.8      3.2
226 | 
227 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       53)
228 |       16        6        5       21       16       37       27                  
229 |  
230 |  
231 | RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE                          Code-089741
232 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
233 | --------------------------------------------------------------| NONREPORTABLE
234 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
235 | --------------------------|-----------------|-----------------|-----------------
236 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
237 | --------------------------------------------------------------------------------
238 | (CONTRACTS OF RUB 2,500,000)                         OPEN INTEREST:       30,417
239 | COMMITMENTS
240 |   19,639    1,437        0    8,924   28,107   28,563   29,544    1,854      873
241 | 
242 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:       -586)
243 |     -292     -966        0        0      518     -292     -448     -294     -138
244 | 
245 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
246 |     64.6      4.7      0.0     29.3     92.4     93.9     97.1      6.1      2.9
247 | 
248 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       32)
249 |       14        4        0        6        9       20       13                  
250 |  
251 |  
252 | CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE                        Code-090741
253 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
254 | --------------------------------------------------------------| NONREPORTABLE
255 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
256 | --------------------------|-----------------|-----------------|-----------------
257 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
258 | --------------------------------------------------------------------------------
259 | (CONTRACTS OF CAD 100,000)                           OPEN INTEREST:      125,056
260 | COMMITMENTS
261 |   53,152   33,812    1,584   37,935   66,128   92,671  101,524   32,385   23,532
262 | 
263 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      6,632)
264 |    7,025   -3,765      300      420    9,675    7,745    6,210   -1,113      422
265 | 
266 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
267 |     42.5     27.0      1.3     30.3     52.9     74.1     81.2     25.9     18.8
268 | 
269 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       82)
270 |       31       16        8       22       26       54       49                  
271 |  
272 |  
273 | SWISS FRANC - CHICAGO MERCANTILE EXCHANGE                            Code-092741
274 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
275 | --------------------------------------------------------------| NONREPORTABLE
276 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
277 | --------------------------|-----------------|-----------------|-----------------
278 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
279 | --------------------------------------------------------------------------------
280 | (CONTRACTS OF CHF 125,000)                           OPEN INTEREST:       47,482
281 | COMMITMENTS
282 |    6,608   18,092      474   32,860   13,288   39,942   31,854    7,540   15,628
283 | 
284 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     -1,401)
285 |     -451   -3,588     -246      138      829     -559   -3,005     -842    1,604
286 | 
287 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
288 |     13.9     38.1      1.0     69.2     28.0     84.1     67.1     15.9     32.9
289 | 
290 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       40)
291 |        7       16        6       12        9       22       28                  
292 |  
293 |  
294 | MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE                           Code-095741
295 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
296 | --------------------------------------------------------------| NONREPORTABLE
297 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
298 | --------------------------|-----------------|-----------------|-----------------
299 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
300 | --------------------------------------------------------------------------------
301 | (CONTRACTS OF MXN 500,000)                           OPEN INTEREST:      190,028
302 | COMMITMENTS
303 |   30,271   90,484    9,972  143,548   83,212  183,791  183,668    6,237    6,360
304 | 
305 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        564)
306 |     -958      767     -248    1,418      365      212      884      352     -320
307 | 
308 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
309 |     15.9     47.6      5.2     75.5     43.8     96.7     96.7      3.3      3.3
310 | 
311 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      138)
312 |       46       52       13       20       26       76       83                  
313 |  
314 |  
315 | BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE                 Code-096742
316 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
317 | --------------------------------------------------------------| NONREPORTABLE
318 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
319 | --------------------------|-----------------|-----------------|-----------------
320 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
321 | --------------------------------------------------------------------------------
322 | (CONTRACTS OF GBP 62,500)                            OPEN INTEREST:      212,044
323 | COMMITMENTS
324 |   39,039  104,567    3,999  143,574   69,947  186,612  178,513   25,432   33,531
325 | 
326 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      1,031)
327 |      904    1,893     -936     -265    1,187     -297    2,144    1,328   -1,113
328 | 
329 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
330 |     18.4     49.3      1.9     67.7     33.0     88.0     84.2     12.0     15.8
331 | 
332 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      124)
333 |       25       52       16       23       43       61       98                  
334 |  
335 |  
336 | JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE                           Code-097741
337 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
338 | --------------------------------------------------------------| NONREPORTABLE
339 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
340 | --------------------------|-----------------|-----------------|-----------------
341 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
342 | --------------------------------------------------------------------------------
343 | (CONTRACTS OF JPY 12,500,000)                        OPEN INTEREST:      204,277
344 | COMMITMENTS
345 |   27,701   78,985    3,095  155,557   80,051  186,353  162,131   17,924   42,146
346 | 
347 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      2,645)
348 |    1,827   -1,949      253     -679    2,837    1,401    1,141    1,244    1,504
349 | 
350 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
351 |     13.6     38.7      1.5     76.2     39.2     91.2     79.4      8.8     20.6
352 | 
353 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      119)
354 |       25       44       11       31       33       62       82                  
355 |  
356 |  
357 | EURO FX - CHICAGO MERCANTILE EXCHANGE                                Code-099741
358 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
359 | --------------------------------------------------------------| NONREPORTABLE
360 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
361 | --------------------------|-----------------|-----------------|-----------------
362 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
363 | --------------------------------------------------------------------------------
364 | (CONTRACTS OF EUR 125,000)                           OPEN INTEREST:      406,350
365 | COMMITMENTS
366 |  125,333  172,097   10,485  216,770  159,331  352,588  341,913   53,762   64,437
367 | 
368 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     -2,828)
369 |   -1,375      438    2,157   -3,720  -12,304   -2,938   -9,709      110    6,881
370 | 
371 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
372 |     30.8     42.4      2.6     53.3     39.2     86.8     84.1     13.2     15.9
373 | 
374 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      235)
375 |       68       81       31       60       62      139      164                  
376 |  
377 |  
378 | EURO FX/BRITISH POUND XRATE - CHICAGO MERCANTILE EXCHANGE            Code-299741
379 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
380 | --------------------------------------------------------------| NONREPORTABLE
381 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
382 | --------------------------|-----------------|-----------------|-----------------
383 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
384 | --------------------------------------------------------------------------------
385 | (CONTRACTS OF EUR 125,000)                           OPEN INTEREST:       29,042
386 | COMMITMENTS
387 |   13,098    2,286      279    6,086   21,735   19,463   24,300    9,579    4,742
388 | 
389 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      1,784)
390 |    1,058      443       14      -29      828    1,043    1,285      741      499
391 | 
392 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
393 |     45.1      7.9      1.0     21.0     74.8     67.0     83.7     33.0     16.3
394 | 
395 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       21)
396 |        8        3        3        6        8       15       13                  
397 |  
398 |  
399 | BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE                         Code-102741
400 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
401 | --------------------------------------------------------------| NONREPORTABLE
402 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
403 | --------------------------|-----------------|-----------------|-----------------
404 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
405 | --------------------------------------------------------------------------------
406 | (CONTRACTS OF BRL 100,000)                           OPEN INTEREST:       37,134
407 | COMMITMENTS
408 |   28,702    2,652        2    6,247   33,779   34,951   36,433    2,183      701
409 | 
410 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        484)
411 |      330      187        0      103      413      433      600       51     -116
412 | 
413 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
414 |     77.3      7.1      0.0     16.8     91.0     94.1     98.1      5.9      1.9
415 | 
416 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       29)
417 |       13        9        1        3        6       16       16                  
418 |  
419 |  
420 | NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE                     Code-112741
421 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
422 | --------------------------------------------------------------| NONREPORTABLE
423 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
424 | --------------------------|-----------------|-----------------|-----------------
425 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
426 | --------------------------------------------------------------------------------
427 | (CONTRACTS OF NZD 100,000)                           OPEN INTEREST:       56,314
428 | COMMITMENTS
429 |   36,565   33,689      276   14,467   19,525   51,308   53,490    5,006    2,824
430 | 
431 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      2,241)
432 |    1,705      674      265      377    1,774    2,347    2,713     -106     -472
433 | 
434 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
435 |     64.9     59.8      0.5     25.7     34.7     91.1     95.0      8.9      5.0
436 | 
437 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       79)
438 |       37       22        4       14       10       53       34                  
439 |  
440 |  
441 | SOUTH AFRICAN RAND - CHICAGO MERCANTILE EXCHANGE                     Code-122741
442 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
443 | --------------------------------------------------------------| NONREPORTABLE
444 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
445 | --------------------------|-----------------|-----------------|-----------------
446 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
447 | --------------------------------------------------------------------------------
448 | (CONTRACTS OF ZAR 500,000)                           OPEN INTEREST:       31,502
449 | COMMITMENTS
450 |    7,750    1,912    7,717   14,679   21,434   30,146   31,063    1,356      439
451 | 
452 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:       -188)
453 |      472      346     -193     -416     -201     -137      -48      -51     -140
454 | 
455 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
456 |     24.6      6.1     24.5     46.6     68.0     95.7     98.6      4.3      1.4
457 | 
458 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       30)
459 |       16        4        2        7        7       23       13                  
460 |  
461 |  
462 | 3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE                    Code-132741
463 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
464 | --------------------------------------------------------------| NONREPORTABLE
465 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
466 | --------------------------|-----------------|-----------------|-----------------
467 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
468 | --------------------------------------------------------------------------------
469 | (CONTRACTS OF $1,000,000)                            OPEN INTEREST:   12,069,047
470 | COMMITMENTS
471 |  469,994  2907557  2227175  8802339  5768601 11499508 10903333  569,539  1165714
472 | 
473 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     52,047)
474 |   83,715  221,575  -96,369   69,841  -22,479   57,187  102,727   -5,140  -50,680
475 | 
476 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
477 |      3.9     24.1     18.5     72.9     47.8     95.3     90.3      4.7      9.7
478 | 
479 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      288)
480 |       28      107      102      119      134      227      276                  
481 |  
482 |  
483 | S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE                   Code-13874+
484 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
485 | --------------------------------------------------------------| NONREPORTABLE
486 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
487 | --------------------------|-----------------|-----------------|-----------------
488 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
489 | --------------------------------------------------------------------------------
490 | (S&P 500 INDEX X $250.00)                            OPEN INTEREST:      675,290
491 | COMMITMENTS
492 |  100,160   87,317   24,378  469,631  477,999  594,169  589,693   81,121   85,597
493 | 
494 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     27,811)
495 |    4,752    1,083    3,697   18,817   15,017   27,267   19,797      544    8,014
496 | 
497 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
498 |     14.8     12.9      3.6     69.5     70.8     88.0     87.3     12.0     12.7
499 | 
500 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      608)
501 |      126      148       79      232      232      397      420                  
502 |  
503 |  
504 | S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE                    Code-138741
505 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
506 | --------------------------------------------------------------| NONREPORTABLE
507 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
508 | --------------------------|-----------------|-----------------|-----------------
509 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
510 | --------------------------------------------------------------------------------
511 | (S&P 500 INDEX X $250.00)                            OPEN INTEREST:       71,643
512 | COMMITMENTS
513 |    4,724    3,435    1,589   39,477   43,185   45,790   48,209   25,853   23,434
514 | 
515 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      2,205)
516 |       -3   -2,980    1,389    1,882      691    3,268     -900   -1,063    3,105
517 | 
518 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
519 |      6.6      4.8      2.2     55.1     60.3     63.9     67.3     36.1     32.7
520 | 
521 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       57)
522 |       12        5        2       22       25       35       31                  
523 |  
524 |  
525 | E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE             Code-13874A
526 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
527 | --------------------------------------------------------------| NONREPORTABLE
528 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
529 | --------------------------|-----------------|-----------------|-----------------
530 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
531 | --------------------------------------------------------------------------------
532 | ($50 X S&P 500 INDEX)                                OPEN INTEREST:    3,018,235
533 | COMMITMENTS
534 |  486,939  429,166  104,186  2150771  2174070  2741896  2707422  276,339  310,813
535 | 
536 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:    128,031)
537 |   10,396    6,933   24,922   84,677   71,631  119,995  103,486    8,036   24,545
538 | 
539 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
540 |     16.1     14.2      3.5     71.3     72.0     90.8     89.7      9.2     10.3
541 | 
542 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      599)
543 |      121      149       76      227      220      385      408                  
544 |  
545 |  
546 | E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE             Code-33874A
547 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
548 | --------------------------------------------------------------| NONREPORTABLE
549 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
550 | --------------------------|-----------------|-----------------|-----------------
551 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
552 | --------------------------------------------------------------------------------
553 | (S&P 400 INDEX X $100)                               OPEN INTEREST:       94,729
554 | COMMITMENTS
555 |   23,813    2,852    1,226   56,760   87,200   81,799   91,278   12,930    3,451
556 | 
557 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:        267)
558 |     -274      188     -424      109      794     -589      558      856     -291
559 | 
560 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
561 |     25.1      3.0      1.3     59.9     92.1     86.4     96.4     13.6      3.6
562 | 
563 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       86)
564 |       15        5        3       45       36       61       43                  
565 |  
566 |  
567 | NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE                Code-20974+
568 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
569 | --------------------------------------------------------------| NONREPORTABLE
570 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
571 | --------------------------|-----------------|-----------------|-----------------
572 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
573 | --------------------------------------------------------------------------------
574 | (NASDAQ 100 INDEX X $100)                            OPEN INTEREST:       45,770
575 | COMMITMENTS
576 |   24,046    6,110      688   15,287   32,556   40,022   39,354    5,749    6,417
577 | 
578 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:       -569)
579 |     -497       50      139     -202   -1,334     -560   -1,145       -9      576
580 | 
581 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
582 |     52.5     13.3      1.5     33.4     71.1     87.4     86.0     12.6     14.0
583 | 
584 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      241)
585 |       71       52       17       69       70      148      131                  
586 |  
587 |  
588 | NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE          Code-209742
589 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
590 | --------------------------------------------------------------| NONREPORTABLE
591 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
592 | --------------------------|-----------------|-----------------|-----------------
593 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
594 | --------------------------------------------------------------------------------
595 | (NASDAQ 100 STOCK INDEX X $20)                       OPEN INTEREST:      228,852
596 | COMMITMENTS
597 |  120,230   30,549    3,441   76,437  162,778  200,108  196,768   28,744   32,084
598 | 
599 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     -2,843)
600 |   -2,485      251      697   -1,012   -6,672   -2,800   -5,724      -43    2,881
601 | 
602 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
603 |     52.5     13.3      1.5     33.4     71.1     87.4     86.0     12.6     14.0
604 | 
605 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      241)
606 |       71       52       17       69       70      148      131                  
607 |  
608 |  
609 | AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE                      Code-232741
610 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
611 | --------------------------------------------------------------| NONREPORTABLE
612 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
613 | --------------------------|-----------------|-----------------|-----------------
614 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
615 | --------------------------------------------------------------------------------
616 | (CONTRACTS OF AUD 100,000)                           OPEN INTEREST:      127,869
617 | COMMITMENTS
618 |   79,313   55,095    1,734   16,536   49,043   97,583  105,872   30,286   21,997
619 | 
620 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:     13,764)
621 |   12,768    5,298     -170     -642    6,430   11,956   11,558    1,808    2,206
622 | 
623 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
624 |     62.0     43.1      1.4     12.9     38.4     76.3     82.8     23.7     17.2
625 | 
626 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       87)
627 |       37       21        8       18       21       59       46                  
628 |  
629 |  
630 | NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE                   Code-240741
631 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
632 | --------------------------------------------------------------| NONREPORTABLE
633 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
634 | --------------------------|-----------------|-----------------|-----------------
635 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
636 | --------------------------------------------------------------------------------
637 | (NIKKEI INDEX X $5.00)                               OPEN INTEREST:       32,342
638 | COMMITMENTS
639 |   10,365    4,782      123   12,600   18,874   23,088   23,779    9,254    8,563
640 | 
641 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      2,843)
642 |    1,035      157      123      421      197    1,579      477    1,264    2,366
643 | 
644 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
645 |     32.0     14.8      0.4     39.0     58.4     71.4     73.5     28.6     26.5
646 | 
647 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       41)
648 |       15        6        1       15        8       31       14                  
649 |  
650 |  
651 | NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE         Code-240743
652 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
653 | --------------------------------------------------------------| NONREPORTABLE
654 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
655 | --------------------------|-----------------|-----------------|-----------------
656 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
657 | --------------------------------------------------------------------------------
658 | (NIKKEI INDEX X JPY 500)                             OPEN INTEREST:       61,522
659 | COMMITMENTS
660 |   14,949   23,132    2,113   32,541   19,834   49,603   45,079   11,919   16,443
661 | 
662 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:      3,316)
663 |    3,028    6,073      313   -1,677      446    1,664    6,832    1,652   -3,516
664 | 
665 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
666 |     24.3     37.6      3.4     52.9     32.2     80.6     73.3     19.4     26.7
667 | 
668 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       89)
669 |       23       14        8       36       27       62       46                  
670 |  
671 |  
672 | S&P GSCI COMMODITY INDEX - CHICAGO MERCANTILE EXCHANGE               Code-256741
673 | FUTURES ONLY POSITIONS AS OF 02/14/17                         |
674 | --------------------------------------------------------------| NONREPORTABLE
675 |       NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
676 | --------------------------|-----------------|-----------------|-----------------
677 |   LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
678 | --------------------------------------------------------------------------------
679 | (GSCI X $250)                                        OPEN INTEREST:       16,096
680 | COMMITMENTS
681 |    8,646    6,025      553    6,126    9,216   15,325   15,794      771      302
682 | 
683 | CHANGES FROM 02/07/17 (CHANGE IN OPEN INTEREST:          .)
684 |        .        .        .        .        .        .        .        .        .
685 | 
686 | PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
687 |     53.7     37.4      3.4     38.1     57.3     95.2     98.1      4.8      1.9
688 | 
689 | NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       20)
690 |        6        4        3        9        2       17        7                  
691 | 
692 | <!--/ih:includeHTML-->
693 | </pre>
694 | <!--end content-->
695 | <!--begin footer-->
696 | <hr />
697 | <p style="text-align:center;font-size:14px;margin-top:0px">Updated February 17, 2017</p>
698 | <!--end footer-->
699 | </body>
700 | </html>
701 | 


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