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.
11/07/06 CBT WHEAT U.S. 1 0 0.0 200 0.1 172,059 1,450 1.1 1,000 0.7 133,835
NON U.S. 4 2,797 1.6 500 0.3 2,065 1.5 200 0.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,797 1.6 700 0.4 3,515 2.6 1,200 0.8
11/07/06 CBT CORN U.S. 1 500 0.1 500 0.1 848,088 75 0.0 0 0.0 766,914
NON U.S. 4 7,831 0.9 3,679 0.4 14,225 1.9 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 8,331 1.0 4,179 0.5 14,300 1.9 0 0.0
11/07/06 CBT U.S. TREASURY BONDS U.S. 3 6,699 1.3 10,254 2.0 515,577 26,350 4.2 54,250 8.6 631,751
NON U.S. 7 2,919 0.6 12,009 2.3 29,456 4.7 6,790 1.1
---- ------- ---- ------- ---- ------- ---- ------- ----
10 9,618 1.9 22,263 4.3 55,806 8.9 61,040 9.7
11/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 38 0.1 0 0.0 67,233 15 0.0 0 0.0 34,485
NON U.S. 3 1,270 1.9 1,050 1.6 1,870 5.4 596 1.7
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,308 2.0 1,050 1.6 1,885 5.4 596 1.7
11/07/06 NYME NATURAL GAS U.S. 5 36,416 4.2 39,065 4.5 859,969 39,198 6.2 27,993 4.4 633,446
NON U.S. 11 125,362 14.6 38,350 4.5 111,425 17.6 39,259 6.2
---- ------- ---- ------- ---- ------- ---- ------- ----
16 161,778 18.8 77,415 9.0 150,623 23.8 67,252 10.6
11/07/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 196,195 8.6 153,906 6.8 2,278,070 203,320 10.3 175,001 8.9 1,968,102
NON U.S. 9 398,509 17.5 514,596 22.6 329,067 16.7 364,337 18.5
---- ------- ---- ------- ---- ------- ---- ------- ----
15 594,704 26.1 668,502 29.4 532,387 27.0 539,338 27.4
11/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 137,840 11.5 27,243 2.3 1,195,743 51,208 3.2 94,306 5.8 1,622,407
NON U.S. 32 36,180 3.0 24,952 2.1 256,899 15.8 34,070 2.1
---- ------- ---- ------- ---- ------- ---- ------- ----
36 174,020 14.5 52,195 4.4 308,107 19.0 128,376 7.9
11/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 13,825 5.9 6,604 2.8 235,586 13,615 4.5 1,025 0.3 302,733
NON U.S. 11 9,887 4.2 7,003 3.0 27,723 9.2 6,492 2.1
---- ------- ---- ------- ---- ------- ---- ------- ----
14 23,712 10.1 13,607 5.8 41,338 13.7 7,517 2.4
11/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 22,061 6.7 25,295 7.7 330,174 17,153 3.5 24,930 5.1 492,789
NON U.S. 15 19,604 5.9 20,128 6.1 39,704 8.1 25,509 5.2
---- ------- ---- ------- ---- ------- ---- ------- ----
18 41,665 12.6 45,423 13.8 56,857 11.6 50,439 10.3
11/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 90,815 6.3 156,446 10.9 1,431,657 118,645 7.5 113,393 7.2 1,580,384
NON U.S. 13 109,506 7.6 181,008 12.6 195,522 12.4 177,438 11.2
---- ------- ---- ------- ---- ------- ---- ------- ----
17 200,321 13.9 337,454 23.5 314,167 19.9 290,831 18.4
11/07/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 4 600 0.8 1,720 2.3 76,055 200 0.3 1,020 1.4 70,497
NON U.S. 7 16,425 21.6 10,850 14.3 7,600 10.8 17,800 25.2
---- ------- ---- ------- ---- ------- ---- ------- ----
11 17,025 22.4 12,570 16.6 7,800 11.1 18,820 26.6
11/07/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 2 800 0.4 2,350 1.1 215,811 400 0.2 700 0.4 187,728
NON U.S. 7 31,843 14.8 33,275 15.4 39,332 21.0 31,876 17.0
---- ------- ---- ------- ---- ------- ---- ------- ----
9 32,643 15.2 35,625 16.5 39,732 21.2 32,576 17.4
11/07/06 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 411,475 365 0.2 0 0.0 229,196
NON U.S. 4 4,245 1.0 6,368 1.5 2,040 0.9 5,911 2.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 4,245 1.0 6,368 1.5 2,405 1.1 5,911 2.6
11/07/06 NYBT COFFEE C U.S. 1 0 0.0 0 0.0 113,582 20 0.0 0 0.0 59,368
NON U.S. 4 628 0.6 825 0.7 1,516 2.6 765 1.3
---- ------- ---- ------- ---- ------- ---- ------- ----
5 628 0.6 825 0.7 1,536 2.6 765 1.3
11/07/06 CMX SILVER U.S. 3 3,304 4.0 2,775 3.4 82,641 1,550 3.7 730 1.8 41,517
NON U.S. 3 5,749 7.0 4,613 5.6 3,651 8.8 2,080 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 9,053 11.0 7,388 9.0 5,201 12.5 2,810 6.8
11/07/06 CMX GOLD U.S. 3 22,940 7.4 29,362 9.4 310,778 10,325 6.7 20,172 13.0 154,599
NON U.S. 10 33,471 10.8 41,654 13.4 15,145 9.8 15,407 10.0
---- ------- ---- ------- ---- ------- ---- ------- ----
13 56,411 18.2 71,016 22.8 25,470 16.5 35,579 23.0
11/07/06 CME EURO FX U.S. 2 7,320 11.8 1,531 2.5 61,952 8,582 14.2 2,623 4.4 60,227
NON U.S. 5 3,970 6.4 210 0.3 4,261 7.1 1,452 2.4
---- ------- ---- ------- ---- ------- ---- ------- ----
7 11,290 18.2 1,741 2.8 12,843 21.3 4,075 6.8
11/07/06 CME 3-MONTH EURODOLLARS U.S. 8 664,473 4.4 553,541 3.7 15,061,342 874,732 7.0 655,348 5.3 12,427,740
NON U.S. 55 800,719 5.3 684,175 4.5 665,657 5.4 710,500 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
63 1465192 9.7 1237716 8.2 1540389 12.4 1365848 11.0
11/07/06 CME S&P 500 STOCK INDEX NON U.S. 6 194 0.1 104 0.0 299,039 698 0.1 2,251 0.2 978,860
11/07/06 CME E-MINI S&P 500 STOCK INDEX U.S. 1 0 0.0 0 0.0 257,485 100 0.0 0 0.0 293,479
NON U.S. 5 6,263 2.4 1,173 0.5 6,019 2.1 6,208 2.1
---- ------- ---- ------- ---- ------- ---- ------- ----
6 6,263 2.4 1,173 0.5 6,119 2.1 6,208 2.1