Trading Activities (Tables)

6 Months Ended

Jun. 30, 2013

Summary of Valuation of Master's Investments

The following tables summarize the valuation of the Master’s investments as of June 30, 2013 and December 31, 2012, respectively.

June 30, 2013	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
Assets
Futures and exchange-cleared swaps	$	8,115,777	$	(71,675,064	)	$	(63,559,287	)
Options purchased		97,810,694		(521,975	)		97,288,719
Total Assets	$	105,926,471	$	(72,197,039	)	$	33,729,432
Liabilities
Futures and exchange-cleared swaps	$	54,116,616	$	(3,733,676	)	$	50,382,940
Options premium received		8,614,810		(41,602,304	)		(32,987,494	)
Total Liabilities	$	62,731,426	$	(45,335,980	)	$	17,395,446
Net unrealized depreciation on open futures and exchange-cleared swaps						$	(13,176,347	)
Total options purchased							97,288,719
Total options premium received							(32,987,494	)
Total net unrealized gain (loss) on total contracts						$	51,124,878
December 31, 2012	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
Assets
Futures and exchange-cleared swaps	$	37,825,169	$	(45,379,656	)	$	(7,554,487	)
Options purchased		160,452,143		(13,450	)		160,438,693
Total Assets	$	198,277,312	$	(45,393,106	)	$	152,884,206
Liabilities
Futures and exchange-cleared swaps	$	16,858,333	$	(39,025,073	)	$	(22,166,740	)
Options premium received		8,878,980		(46,116,393	)		(37,237,413	)
Total Liabilities	$	25,737,313	$	(85,141,466	)	$	(59,404,153	)
Net unrealized depreciation on open futures and exchange-cleared swaps						$	(29,721,227	)
Total options purchased							160,438,693
Total options premium received							(37,237,413	)
Total net unrealized gain (loss) on total contracts						$	93,480,053

Master's Gross Fair Values of Derivative Instruments of Futures and Exchange-Cleared Swaps and Options Contracts as Separate Assets and Liabilities

The following tables indicate the Master’s gross fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of June 30, 2013 and December 31, 2012.

	June 30, 2013
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	62,232,394
Total unrealized appreciation on open futures and exchange-cleared swap contracts		62,232,394
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy		(75,408,741	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts		(75,408,741	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(13,176,347	)*
Assets
Options Purchased
Energy	$	97,288,719
Total options purchased	$	97,288,719	**
Liabilities
Options Premium Received
Energy	$	(32,987,494	)
Total options premium received	$	(32,987,494	)***

* This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.

** This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.

*** This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

	December 31, 2012
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	54,683,502
Total unrealized appreciation on open futures and exchange-cleared swap contracts		54,683,502
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy		(84,404,729	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts		(84,404,729	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(29,721,227	)*
Assets
Options Purchased
Energy	$	160,438,693
Total options purchased	$	160,438,693	**
Liabilities
Options Premium Received
Energy	$	(37,237,413	)
Total options premium received	$	(37,237,413	)***

* This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.

** This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.

*** This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

Trading Gains and Losses, by Market Sector, on Derivative Instruments

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2013 and 2012.

Sector	Three Months Ended June 30, 2013 Gain (loss) from trading			Three Months Ended June 30, 2012 Gain (loss) from trading			Six Months Ended June 30, 2013 Gain (loss) from trading			Six Months Ended June 30, 2012 Gain (loss) from trading
Energy	$	6,193,641		$	(27,407,405	)	$	(48,100,507	)	$	(26,926,017	)
Grains		—			156,569			—			633,102
Indices		—			438,249			—			(836,720	)
Lumber		—			108,627			—			163,753
Softs		—			(1,200,671	)		—			(1,631,060	)
Total	$	6,193,641	****	$	(27,904,631	)****	$	(48,100,507	)****	$	(28,596,942	)****

**** This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Members’ Capital.