BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
REPORT DATE: 05/03/2007
BANK BANK LONG SHORT CALL LONG SHORT PUT
COMMODITY NAME TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
CBT CORN U.S. 2 250 0.0 0 0.0 1,021,053 278 0.0 0 0.0 671,094
NON U.S. 5 42,437 4.2 3,310 0.3 38,374 5.7 275 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
7 42,687 4.2 3,310 0.3 38,652 5.7 275 0.0
CBT U.S. TREASURY BONDS U.S. 3 12,950 2.5 48,300 9.4 512,675 6,150 1.7 22,950 6.3 364,078
NON U.S. 9 2,250 0.4 4,462 0.9 5,100 1.4 225 0.1
---- --------- ---- --------- ---- --------- ---- --------- ----
12 15,200 2.9 52,762 10.3 11,250 3.1 23,175 6.4
NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 418 1.5 0 0.0 27,161 15 0.1 400 1.9 20,809
NON U.S. 4 1,425 5.2 625 2.3 1,000 4.8 1,075 5.2
---- --------- ---- --------- ---- --------- ---- --------- ----
6 1,843 6.7 625 2.3 1,015 4.9 1,475 7.1
NYME NATURAL GAS U.S. 4 7,115 1.0 8,625 1.2 710,088 11,760 1.7 5,235 0.7 703,183
NON U.S. 8 432,072 60.8 12,930 1.8 431,980 61.4 13,864 2.0
---- --------- ---- --------- ---- --------- ---- --------- ----
12 439,187 61.8 21,555 3.0 443,740 63.1 19,099 2.7
NYME EUR STYLE NATURAL GAS OPTIONS U.S. 5 130,330 4.5 156,540 5.4 2,890,698 138,472 5.7 156,517 6.4 2,434,314
NON U.S. 8 420,350 14.5 921,551 31.9 385,180 15.8 673,078 27.6
---- --------- ---- --------- ---- --------- ---- --------- ----
13 550,680 19.0 1,078,091 37.3 523,652 21.5 829,595 34.0
CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 33,269 3.6 36,075 3.9 920,307 28,114 3.2 66,235 7.6 873,732
NON U.S. 21 35,733 3.9 45,349 4.9 99,289 11.4 26,268 3.0
---- --------- ---- --------- ---- --------- ---- --------- ----
26 69,002 7.5 81,424 8.8 127,403 14.6 92,503 10.6
CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 6,600 2.2 600 0.2 304,920 2,100 1.0 4,200 2.0 205,715
NON U.S. 11 16,286 5.3 15,998 5.2 11,336 5.5 5,699 2.8
---- --------- ---- --------- ---- --------- ---- --------- ----
14 22,886 7.5 16,598 5.4 13,436 6.5 9,899 4.8
CBT 30-DAY FEDERAL FUNDS U.S. 3 23,885 4.5 11,150 2.1 531,137 76,753 15.2 43,899 8.7 503,801
NON U.S. 18 7,437 1.4 9,998 1.9 43,077 8.6 10,069 2.0
---- --------- ---- --------- ---- --------- ---- --------- ----
21 31,322 5.9 21,148 4.0 119,830 23.8 53,968 10.7
NYME CRUDE OIL, LIGHT SWEET U.S. 4 102,832 6.2 128,683 7.7 1,666,915 126,312 7.6 90,877 5.5 1,667,392
NON U.S. 15 141,789 8.5 214,807 12.9 190,490 11.4 185,518 11.1
---- --------- ---- --------- ---- --------- ---- --------- ----
19 244,621 14.7 343,490 20.6 316,802 19.0 276,395 16.6
NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 6,403 4.2 15,565 10.3 151,039 6,300 5.0 8,705 6.9 126,105
NON U.S. 8 22,974 15.2 23,449 15.5 18,125 14.4 16,265 12.9
---- --------- ---- --------- ---- --------- ---- --------- ----
13 29,377 19.4 39,014 25.8 24,425 19.4 24,970 19.8
NYME CRUDE OIL AVG PRICE OPTIONS U.S. 4 13,370 5.0 24,225 9.1 266,259 26,596 11.5 7,834 3.4 231,033
NON U.S. 9 35,138 13.2 56,472 21.2 58,861 25.5 42,301 18.3
---- --------- ---- --------- ---- --------- ---- --------- ----
13 48,508 18.2 80,697 30.3 85,457 37.0 50,135 21.7
NYBT SUGAR NO. 11 NON U.S. 6 15,036 3.3 2,640 0.6 452,059 2,690 1.4 1,433 0.8 186,648
NYBT COFFEE C NON U.S. 6 983 0.8 1,140 0.9 121,103 323 0.5 925 1.4 67,256
CMX SILVER U.S. 2 3,669 5.6 1,429 2.2 65,894 760 2.4 400 1.3 31,800
NON U.S. 5 2,821 4.3 6,222 9.4 2,419 7.6 5,330 16.8
---- --------- ---- --------- ---- --------- ---- --------- ----
7 6,490 9.9 7,651 11.6 3,179 10.0 5,730 18.1
CMX GOLD U.S. 2 26,615 11.0 25,501 10.6 241,379 16,331 12.0 13,567 10.0 136,339
NON U.S. 5 32,602 13.5 39,001 16.2 14,590 10.7 34,470 25.3
---- --------- ---- --------- ---- --------- ---- --------- ----
7 59,217 24.5 64,502 26.8 30,921 22.7 48,037 35.3
CME CANADIAN DOLLAR U.S. 2 1,660 7.6 751 3.4 21,925 2,279 11.7 419 2.1 19,548
NON U.S. 4 1,605 7.3 880 4.0 3,865 19.8 260 1.3
---- --------- ---- --------- ---- --------- ---- --------- ----
6 3,265 14.9 1,631 7.4 6,144 31.5 679 3.4
CME EURO FX U.S. 2 10,846 13.0 4,280 5.1 83,303 10,025 10.7 6,615 7.1 93,318
NON U.S. 7 3,391 4.1 297 0.4 6,623 7.1 1,381 1.5
---- --------- ---- --------- ---- --------- ---- --------- ----
9 14,237 17.1 4,577 5.5 16,648 17.8 7,996 8.6
CME 3-MONTH EURODOLLARS U.S. 8 582,278 4.1 775,277 5.4 14,364,095 522,183 4.1 333,137 2.6 12,678,797
NON U.S. 58 1,847,478 12.9 1,494,658 10.4 885,746 7.0 713,577 5.6
---- --------- ---- --------- ---- --------- ---- --------- ----
66 2,429,756 17.0 2,269,935 15.8 1,407,929 11.1 1,046,714 8.2
CME S&P 500 STOCK INDEX U.S. 1 180 0.1 0 0.0 318,309 20 0.0 0 0.0 1,163,147
NON U.S. 6 426 0.1 131 0.0 729 0.1 1,043 0.1
---- --------- ---- --------- ---- --------- ---- --------- ----
7 606 0.2 131 0.0 749 0.1 1,043 0.1