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.
12/05/06 CBT U.S. TREASURY BONDS U.S. 3 8,300 2.2 9,050 2.4 372,793 21,782 5.7 21,421 5.6 380,563
NON U.S. 5 200 0.1 232 0.1 43,350 11.4 140 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
8 8,500 2.3 9,282 2.5 65,132 17.1 21,561 5.6
12/05/06 NYME NATURAL GAS U.S. 5 33,346 3.8 35,645 4.1 866,962 35,935 5.6 24,260 3.7 647,270
NON U.S. 11 186,630 21.5 31,520 3.6 179,565 27.7 33,300 5.1
---- ------- ---- ------- ---- ------- ---- ------- ----
16 219,976 25.3 67,165 7.7 215,500 33.3 57,560 8.8
12/05/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 175,351 7.5 159,127 6.8 2,323,484 199,846 10.1 173,922 8.7 1,988,342
NON U.S. 8 423,024 18.2 615,656 26.5 331,028 16.6 428,117 21.5
---- ------- ---- ------- ---- ------- ---- ------- ----
14 598,375 25.7 774,783 33.3 530,874 26.7 602,039 30.2
12/05/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 142,161 15.5 26,115 2.8 917,809 53,695 5.4 67,651 6.8 999,201
NON U.S. 24 16,375 1.8 22,425 2.4 131,445 13.2 14,450 1.4
---- ------- ---- ------- ---- ------- ---- ------- ----
28 158,536 17.3 48,540 5.2 185,140 18.6 82,101 8.2
12/05/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 2,200 1.4 1,500 1.0 152,249 6,353 3.4 500 0.3 186,841
NON U.S. 8 3,580 2.4 3,200 2.1 23,330 12.5 2,200 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
11 5,780 3.8 4,700 3.1 29,683 15.9 2,700 1.5
12/05/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 22,545 5.9 25,200 6.6 379,205 23,635 4.5 19,700 3.7 525,356
NON U.S. 15 20,884 5.5 21,168 5.6 39,244 7.5 22,833 4.3
---- ------- ---- ------- ---- ------- ---- ------- ----
18 43,429 11.4 46,368 12.2 62,879 12.0 42,533 8.0
12/05/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 73,095 6.5 93,473 8.3 1,120,183 81,910 6.4 76,988 6.0 1,288,154
NON U.S. 11 119,126 10.6 170,733 15.2 167,206 13.0 169,254 13.1
---- ------- ---- ------- ---- ------- ---- ------- ----
15 192,221 17.1 264,206 23.5 249,116 19.4 246,242 19.1
12/05/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 800 1.1 1,985 2.7 73,673 500 0.7 1,675 2.4 70,822
NON U.S. 5 11,399 15.5 13,424 18.2 8,850 12.5 12,200 17.2
---- ------- ---- ------- ---- ------- ---- ------- ----
10 12,199 16.6 15,409 20.9 9,350 13.2 13,875 19.6
12/05/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 3 5,750 2.6 10,525 4.8 218,308 2,281 1.1 3,425 1.7 199,867
NON U.S. 7 30,808 14.1 44,720 20.5 52,139 26.1 37,786 18.9
---- ------- ---- ------- ---- ------- ---- ------- ----
10 36,558 16.7 55,245 25.3 54,420 27.2 41,211 20.6
12/05/06 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 453,296 365 0.1 0 0.0 254,340
NON U.S. 6 5,003 1.1 6,608 1.5 3,090 1.2 5,738 2.3
---- ------- ---- ------- ---- ------- ---- ------- ----
7 5,003 1.1 6,608 1.5 3,455 1.3 5,738 2.3
12/05/06 CMX SILVER U.S. 3 2,964 5.2 1,459 2.6 56,670 450 1.8 0 0.0 25,472
NON U.S. 2 3,479 6.1 2,240 4.0 1,750 6.9 850 3.3
---- ------- ---- ------- ---- ------- ---- ------- ----
5 6,443 11.3 3,699 6.6 2,200 8.7 850 3.3
12/05/06 CMX GOLD U.S. 3 18,728 10.3 19,265 10.6 181,321 6,450 6.9 11,500 12.3 93,295
NON U.S. 7 18,033 9.9 26,857 14.8 10,355 11.1 13,005 13.9
---- ------- ---- ------- ---- ------- ---- ------- ----
10 36,761 20.2 46,122 25.4 16,805 18.0 24,505 26.2
12/05/06 CME CANADIAN DOLLAR U.S. 2 2,575 12.3 572 2.7 20,950 2,288 12.2 2,135 11.4 18,699
NON U.S. 3 3,616 17.3 915 4.4 2,611 14.0 1,221 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 6,191 29.6 1,487 7.1 4,899 26.2 3,356 17.9
12/05/06 CME EURO FX U.S. 2 13,749 13.6 6,169 6.1 100,984 13,681 14.7 5,143 5.5 93,352
NON U.S. 9 7,941 7.9 1,569 1.6 5,646 6.0 682 0.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 21,690 21.5 7,738 7.7 19,327 20.7 5,825 6.2
12/05/06 CME 3-MONTH EURODOLLARS U.S. 9 688,769 4.5 582,744 3.8 15,207,714 1067699 7.9 893,117 6.6 13,526,177
NON U.S. 57 951,936 6.3 843,100 5.5 743,642 5.5 740,750 5.5
---- ------- ---- ------- ---- ------- ---- ------- ----
66 1640705 10.8 1425844 9.3 1811341 13.4 1633867 12.1