BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
BANK BANK LONG SHORT CALL LONG SHORT PUT
DATE COMMODITY TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
03/06/07 CBT CORN U.S. 1 250 0.0 0 0.0 935,027 250 0.0 0 0.0 666,140
NON U.S. 7 15,941 1.7 1,919 0.2 21,432 3.2 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
8 16,191 1.7 1,919 0.2 21,682 3.2 0 0.0
03/06/07 CBT U.S. TREASURY BONDS U.S. 3 16,200 3.3 56,300 11.5 490,623 10,900 2.8 35,050 9.1 384,544
NON U.S. 8 4,605 0.9 6,215 1.3 12,101 3.1 1,301 0.3
---- ------- ---- ------- ---- ------- ---- ------- ----
11 20,805 4.2 62,515 12.8 23,001 5.9 36,351 9.4
03/06/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 22 0.1 20 0.1 33,010 15 0.1 0 0.0 19,511
NON U.S. 4 1,850 5.6 500 1.5 900 4.6 1,550 7.9
---- ------- ---- ------- ---- ------- ---- ------- ----
6 1,872 5.7 520 1.6 915 4.7 1,550 7.9
03/06/07 NYME NATURAL GAS U.S. 4 10,130 1.2 29,825 3.5 858,027 18,210 2.4 11,185 1.5 762,324
NON U.S. 10 449,852 52.4 20,616 2.4 434,420 57.0 16,668 2.2
---- ------- ---- ------- ---- ------- ---- ------- ----
14 459,982 53.6 50,441 5.9 452,630 59.4 27,853 3.7
03/06/07 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 149,601 5.2 173,190 6.0 2,876,083 147,532 6.7 162,186 7.4 2,203,506
NON U.S. 8 458,098 15.9 922,829 32.1 338,997 15.4 694,787 31.5
---- ------- ---- ------- ---- ------- ---- ------- ----
13 607,699 21.1 1096019 38.1 486,529 22.1 856,973 38.9
03/06/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 65,138 6.4 51,460 5.1 1,013,625 42,905 4.1 106,647 10.2 1,048,362
NON U.S. 27 46,371 4.6 55,644 5.5 110,999 10.6 40,365 3.9
---- ------- ---- ------- ---- ------- ---- ------- ----
32 111,509 11.0 107,104 10.6 153,904 14.7 147,012 14.1
03/06/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 3,750 1.9 5,850 3.0 192,511 3,161 1.3 8,350 3.4 243,268
NON U.S. 12 8,438 4.4 4,226 2.2 16,408 6.7 9,703 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
14 12,188 6.3 10,076 5.2 19,569 8.0 18,053 7.4
03/06/07 CBT 30-DAY FEDERAL FUNDS U.S. 3 15,700 3.7 9,050 2.1 423,476 68,000 11.3 40,899 6.8 603,415
NON U.S. 16 20,487 4.8 15,300 3.6 58,039 9.6 43,354 7.2
---- ------- ---- ------- ---- ------- ---- ------- ----
19 36,187 8.5 24,350 5.7 126,039 20.9 84,253 14.0
03/06/07 NYME CRUDE OIL, LIGHT SWEET U.S. 4 103,887 6.8 112,050 7.3 1,534,605 132,562 8.2 94,487 5.9 1,612,714
NON U.S. 14 134,001 8.7 207,485 13.5 185,198 11.5 189,354 11.7
---- ------- ---- ------- ---- ------- ---- ------- ----
18 237,888 15.5 319,535 20.8 317,760 19.7 283,841 17.6
03/06/07 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 4,630 3.5 13,040 10.0 130,988 4,325 3.8 8,405 7.5 112,692
NON U.S. 6 19,424 14.8 20,849 15.9 16,175 14.4 17,215 15.3
---- ------- ---- ------- ---- ------- ---- ------- ----
11 24,054 18.3 33,889 25.9 20,500 18.2 25,620 22.8
03/06/07 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 4 15,395 6.4 15,335 6.4 239,730 15,557 7.4 6,959 3.3 210,056
NON U.S. 8 33,319 13.9 49,999 20.9 54,660 26.0 42,088 20.0
---- ------- ---- ------- ---- ------- ---- ------- ----
12 48,714 20.3 65,334 27.3 70,217 33.4 49,047 23.3
03/06/07 NYBT SUGAR NO. 11 NON U.S. 6 12,260 3.4 3,368 0.9 364,835 3,255 2.0 2,349 1.4 163,319
03/06/07 CMX SILVER U.S. 3 5,519 7.8 3,059 4.3 70,706 1,070 3.7 1,380 4.8 28,605
NON U.S. 3 1,770 2.5 2,640 3.7 1,538 5.4 1,870 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
6 7,289 10.3 5,699 8.0 2,608 9.1 3,250 11.3
03/06/07 CMX GOLD U.S. 3 33,923 12.8 34,892 13.2 264,060 18,857 14.1 22,796 17.1 133,359
NON U.S. 5 34,281 13.0 37,325 14.1 13,768 10.3 19,190 14.4
---- ------- ---- ------- ---- ------- ---- ------- ----
8 68,204 25.8 72,217 27.3 32,625 24.4 41,986 31.5
03/06/07 CME CANADIAN DOLLAR U.S. 2 2,769 13.5 605 2.9 20,540 1,093 7.8 656 4.7 14,096
NON U.S. 4 2,843 13.8 895 4.4 2,090 14.8 420 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 5,612 27.3 1,500 7.3 3,183 22.6 1,076 7.7
03/06/07 CME EURO FX U.S. 2 12,520 14.0 5,922 6.6 89,743 10,140 13.9 4,063 5.6 73,184
NON U.S. 6 3,521 3.9 775 0.9 4,243 5.8 865 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
8 16,041 17.9 6,697 7.5 14,383 19.7 4,928 6.8
03/06/07 CME 3-MONTH EURODOLLARS U.S. 9 643,973 4.7 782,021 5.8 13,576,167 627,893 4.8 599,776 4.6 13,017,358
NON U.S. 58 1386196 10.2 1148050 8.5 911,769 7.0 771,953 5.9
---- ------- ---- ------- ---- ------- ---- ------- ----
67 2030169 14.9 1930071 14.3 1539662 11.8 1371729 10.5
03/06/07 CME S&P 500 STOCK INDEX U.S. 2 30 0.0 13 0.0 433,232 0 0.0 0 0.0 1,172,980
NON U.S. 3 3,574 0.8 31 0.0 109 0.0 31 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,604 0.8 44 0.0 109 0.0 31 0.0
03/06/07 CME E-MINI S&P 500 STOCK INDEX U.S. 1 0 0.0 0 0.0 299,584 0 0.0 230 0.1 382,087
NON U.S. 4 3,114 1.0 730 0.2 4,588 1.2 4,728 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,114 1.0 730 0.2 4,588 1.2 4,958 1.3