BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
REPORT DATE: 07/03/2007
BANK BANK LONG SHORT CALL LONG SHORT PUT
COMMODITY NAME TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
CBT WHEAT NON U.S. 6 1,348 1.0 1,858 1.4 128,671 10,129 11.6 393 0.4 87,337
CBT CORN U.S. 2 250 0.0 0 0.0 855,402 278 0.0 0 0.0 633,878
NON U.S. 6 10,894 1.3 4,310 0.5 22,550 3.6 575 0.1
---- --------- ---- --------- ---- --------- ---- --------- ----
8 11,144 1.3 4,310 0.5 22,828 3.6 575 0.1
CBT U.S. TREASURY BONDS U.S. 3 1,250 0.3 8,150 2.1 395,790 1,500 0.4 1,750 0.5 386,192
NON U.S. 10 8,861 2.2 3,559 0.9 13,997 3.6 9,064 2.3
---- --------- ---- --------- ---- --------- ---- --------- ----
13 10,111 2.5 11,709 3.0 15,497 4.0 10,814 2.8
NYME NATURAL GAS U.S. 4 6,480 1.0 9,260 1.4 661,358 10,025 1.6 10,710 1.7 613,494
NON U.S. 7 361,633 54.7 8,267 1.3 358,972 58.5 10,452 1.7
---- --------- ---- --------- ---- --------- ---- --------- ----
11 368,113 55.7 17,527 2.7 368,997 60.1 21,162 3.4
NYME EUR STYLE NATURAL GAS OPTIONS U.S. 5 131,986 4.4 144,435 4.9 2,970,772 144,187 5.4 154,257 5.8 2,669,830
NON U.S. 10 393,663 13.3 801,017 27.0 357,496 13.4 592,334 22.2
---- --------- ---- --------- ---- --------- ---- --------- ----
15 525,649 17.7 945,452 31.9 501,683 18.8 746,591 28.0
CBT 10-YEAR U.S. TREASURY NOTES U.S. 3 47,295 3.8 43,600 3.5 1,251,931 40,139 2.2 65,751 3.6 1,823,431
NON U.S. 39 42,037 3.4 33,029 2.6 232,528 12.8 80,046 4.4
---- --------- ---- --------- ---- --------- ---- --------- ----
42 89,332 7.2 76,629 6.1 272,667 15.0 145,797 8.0
CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 8,315 2.3 700 0.2 366,488 6,714 1.4 13,515 2.9 474,106
NON U.S. 13 35,905 9.8 15,050 4.1 34,436 7.3 16,136 3.4
---- --------- ---- --------- ---- --------- ---- --------- ----
15 44,220 12.1 15,750 4.3 41,150 8.7 29,651 6.3
CBT 30-DAY FEDERAL FUNDS U.S. 2 17,360 3.0 28,857 5.0 573,120 19,652 5.3 21,020 5.7 368,184
NON U.S. 13 11,683 2.0 23,663 4.1 26,782 7.3 1,700 0.5
---- --------- ---- --------- ---- --------- ---- --------- ----
15 29,043 5.0 52,520 9.1 46,434 12.6 22,720 6.2
NYME PJM ELECTRICITY MONTHLY U.S. 2 580 0.9 720 1.1 64,680 820 1.3 480 0.7 65,342
NON U.S. 3 2,440 3.8 820 1.3 3,260 5.0 820 1.3
---- --------- ---- --------- ---- --------- ---- --------- ----
5 3,020 4.7 1,540 2.4 4,080 6.3 1,300 2.0
NYME CRUDE OIL, LIGHT SWEET U.S. 4 83,262 5.5 103,667 6.9 1,511,029 107,277 6.9 87,322 5.6 1,560,948
NON U.S. 14 125,402 8.3 190,320 12.6 170,068 10.9 140,342 9.0
---- --------- ---- --------- ---- --------- ---- --------- ----
18 208,664 13.8 293,987 19.5 277,345 17.8 227,664 14.6
NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 6,198 4.1 16,960 11.3 150,241 6,525 4.2 10,860 7.1 153,540
NON U.S. 9 13,149 8.8 24,309 16.2 26,100 17.0 12,450 8.1
---- --------- ---- --------- ---- --------- ---- --------- ----
14 19,347 12.9 41,269 27.5 32,625 21.2 23,310 15.2
NYME CRUDE OIL AVG PRICE OPTIONS U.S. 5 19,320 6.9 25,280 9.1 278,718 31,510 12.0 14,859 5.7 261,839
NON U.S. 8 39,687 14.2 68,060 24.4 70,157 26.8 46,507 17.8
---- --------- ---- --------- ---- --------- ---- --------- ----
13 59,007 21.1 93,340 33.5 101,667 38.8 61,366 23.5
NYBT SUGAR NO. 11 NON U.S. 8 17,153 3.7 5,390 1.2 464,720 3,090 1.6 1,753 0.9 187,615
NYBT COFFEE C NON U.S. 5 940 0.9 1,220 1.1 107,317 300 0.4 1,150 1.5 75,170
CMX SILVER U.S. 2 1,529 2.3 1,029 1.6 65,873 600 1.6 600 1.6 38,053
NON U.S. 4 4,529 6.9 8,717 13.2 3,609 9.5 8,844 23.2
---- --------- ---- --------- ---- --------- ---- --------- ----
6 6,058 9.2 9,746 14.8 4,209 11.1 9,444 24.8
CMX GOLD U.S. 2 12,319 5.9 20,917 10.0 208,625 10,420 7.8 12,585 9.5 133,001
NON U.S. 4 37,314 17.9 29,397 14.1 12,914 9.7 32,806 24.7
---- --------- ---- --------- ---- --------- ---- --------- ----
6 49,633 23.8 50,314 24.1 23,334 17.5 45,391 34.2
CME CANADIAN DOLLAR U.S. 2 1,942 7.8 3,074 12.4 24,755 1,882 9.7 1,670 8.6 19,312
NON U.S. 4 1,130 4.6 670 2.7 2,361 12.2 225 1.2
---- --------- ---- --------- ---- --------- ---- --------- ----
6 3,072 12.4 3,744 15.1 4,243 21.9 1,895 9.8
CME EURO FX U.S. 2 8,418 13.1 4,679 7.3 64,072 7,654 10.1 6,828 9.0 75,600
NON U.S. 4 1,325 2.1 865 1.4 3,070 4.1 585 0.8
---- --------- ---- --------- ---- --------- ---- --------- ----
6 9,743 15.2 5,544 8.7 10,724 14.2 7,413 9.8
NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 350 0.5 0 0.0 68,882 275 1.0 0 0.0 27,567
NON U.S. 3 3,165 4.6 2,914 4.2 1,147 4.2 1,110 4.0
---- --------- ---- --------- ---- --------- ---- --------- ----
5 3,515 5.1 2,914 4.2 1,422 5.2 1,110 4.0
CME 3-MONTH EURODOLLARS U.S. 7 443,131 2.7 657,278 4.0 16,494,585 364,605 2.6 323,086 2.3 14,171,895
NON U.S. 59 1,930,647 11.7 1,665,885 10.1 1,098,784 7.8 983,325 6.9
---- --------- ---- --------- ---- --------- ---- --------- ----
66 2,373,778 14.4 2,323,163 14.1 1,463,389 10.4 1,306,411 9.2