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.
01/03/07 CBT WHEAT NON U.S. 5 3,250 2.7 100 0.1 118,665 1,616 2.0 150 0.2 80,009
01/03/07 CBT U.S. TREASURY BONDS U.S. 3 27,300 5.5 54,075 10.9 495,214 27,100 7.1 38,521 10.1 382,116
NON U.S. 6 4,698 0.9 1,956 0.4 35,629 9.3 1,201 0.3
---- ------- ---- ------- ---- ------- ---- ------- ----
9 31,998 6.4 56,031 11.3 62,729 16.4 39,722 10.4
01/03/07 NYME NATURAL GAS U.S. 5 26,226 3.2 31,545 3.8 820,816 27,845 4.8 22,320 3.8 585,138
NON U.S. 12 218,759 26.7 30,930 3.8 209,675 35.8 28,832 4.9
---- ------- ---- ------- ---- ------- ---- ------- ----
17 244,985 29.9 62,475 7.6 237,520 40.6 51,152 8.7
01/03/07 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 159,865 6.7 164,023 6.8 2,396,313 186,004 9.9 161,787 8.6 1,885,695
NON U.S. 8 439,186 18.3 673,841 28.1 311,367 16.5 446,453 23.7
---- ------- ---- ------- ---- ------- ---- ------- ----
14 599,051 25.0 837,864 34.9 497,371 26.4 608,240 32.3
01/03/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 103,329 10.1 37,800 3.7 1,025,889 77,825 8.6 99,851 11.0 904,020
NON U.S. 23 31,887 3.1 21,767 2.1 75,218 8.3 19,974 2.2
---- ------- ---- ------- ---- ------- ---- ------- ----
27 135,216 13.2 59,567 5.8 153,043 16.9 119,825 13.2
01/03/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 1,750 1.0 3,750 2.2 172,809 1,500 0.6 4,950 2.0 247,642
NON U.S. 8 5,962 3.5 8,482 4.9 15,082 6.1 8,378 3.4
---- ------- ---- ------- ---- ------- ---- ------- ----
11 7,712 4.5 12,232 7.1 16,582 6.7 13,328 5.4
01/03/07 CBT 30-DAY FEDERAL FUNDS U.S. 2 22,200 5.6 22,800 5.8 393,703 24,556 4.9 14,080 2.8 497,099
NON U.S. 14 12,080 3.1 16,140 4.1 53,142 10.7 27,081 5.4
---- ------- ---- ------- ---- ------- ---- ------- ----
16 34,280 8.7 38,940 9.9 77,698 15.6 41,161 8.2
01/03/07 NYME CRUDE OIL, LIGHT SWEET U.S. 4 80,752 7.1 94,622 8.3 1,136,241 84,697 6.6 87,954 6.8 1,290,911
NON U.S. 11 115,301 10.1 170,540 15.0 166,301 12.9 163,026 12.6
---- ------- ---- ------- ---- ------- ---- ------- ----
15 196,053 17.2 265,162 23.3 250,998 19.5 250,980 19.4
01/03/07 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 700 0.9 1,935 2.4 79,428 680 0.8 1,805 2.2 82,872
NON U.S. 5 13,299 16.7 16,104 20.3 12,695 15.3 15,795 19.1
---- ------- ---- ------- ---- ------- ---- ------- ----
10 13,999 17.6 18,039 22.7 13,375 16.1 17,600 21.3
01/03/07 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 3 5,775 2.8 9,225 4.5 204,866 1,831 1.0 3,009 1.6 190,080
NON U.S. 6 27,508 13.4 43,795 21.4 49,549 26.1 36,488 19.2
---- ------- ---- ------- ---- ------- ---- ------- ----
9 33,283 16.2 53,020 25.9 51,380 27.1 39,497 20.8
01/03/07 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 443,070 365 0.1 0 0.0 245,944
NON U.S. 8 6,879 1.6 5,198 1.2 2,765 1.1 5,694 2.3
---- ------- ---- ------- ---- ------- ---- ------- ----
9 6,879 1.6 5,198 1.2 3,130 1.2 5,694 2.3
01/03/07 CMX SILVER U.S. 3 5,914 9.1 2,659 4.1 64,669 600 1.9 1,400 4.5 30,898
NON U.S. 3 3,589 5.5 2,800 4.3 1,796 5.8 920 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 9,503 14.6 5,459 8.4 2,396 7.7 2,320 7.5
01/03/07 CMX GOLD U.S. 3 22,763 11.2 24,612 12.1 203,199 9,165 8.6 12,682 11.9 106,558
NON U.S. 5 17,881 8.8 27,917 13.7 9,990 9.4 16,045 15.1
---- ------- ---- ------- ---- ------- ---- ------- ----
8 40,644 20.0 52,529 25.8 19,155 18.0 28,727 27.0
01/03/07 CME CANADIAN DOLLAR U.S. 2 1,006 7.7 334 2.6 13,011 1,815 14.7 563 4.6 12,342
NON U.S. 3 1,920 14.8 915 7.0 1,550 12.6 200 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,926 22.5 1,249 9.6 3,365 27.3 763 6.2
01/03/07 CME EURO FX U.S. 2 10,118 12.4 5,712 7.0 81,334 8,169 13.9 3,959 6.7 58,955
NON U.S. 6 4,785 5.9 2,070 2.5 2,671 4.5 526 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
8 14,903 18.3 7,782 9.5 10,840 18.4 4,485 7.6
01/03/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 750 2.9 0 0.0 25,740 0 0.0 0 0.0 12,213
NON U.S. 4 100 0.4 36 0.1 10 0.1 25 0.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 850 3.3 36 0.1 10 0.1 25 0.2
01/03/07 CME 3-MONTH EURODOLLARS U.S. 9 472,181 4.5 521,777 5.0 10,538,283 738,353 8.6 727,120 8.5 8,584,383
NON U.S. 48 920,243 8.7 716,668 6.8 565,422 6.6 579,686 6.8
---- ------- ---- ------- ---- ------- ---- ------- ----
57 1392424 13.2 1238445 11.8 1303775 15.2 1306806 15.3