I can highly recommend MF Global. We use them for years. Apply with MF GLobal in London they are the best in customer service and have very good rates when you do volume. Chicago MF Global i am not sure.
MF is fine if you do a lot of volume but if you are retail you kind of get lost in the shuffle which is understandable. A decent but smaller firm a friend of mine is with now is US Derivatives. They seem to be able to deliver for him but I havent tried them yet but he has been raving. Also think Dorman does a good job in that space.