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.
10/03/06 CBT CORN U.S. 1 0 0.0 0 0.0 655,055 100 0.0 0 0.0 461,719
NON U.S. 4 5,379 0.8 3,680 0.6 9,101 2.0 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,379 0.8 3,680 0.6 9,201 2.0 0 0.0
10/03/06 CBT U.S. TREASURY BONDS U.S. 2 1,400 0.3 7,450 1.6 465,067 24,950 4.4 54,800 9.6 573,561
NON U.S. 7 4,201 0.9 4,216 0.9 21,734 3.8 10,625 1.9
---- ------- ---- ------- ---- ------- ---- ------- ----
9 5,601 1.2 11,666 2.5 46,684 8.2 65,425 11.5
10/03/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 28 0.0 0 0.0 60,508 15 0.0 0 0.0 32,656
NON U.S. 3 1,440 2.4 725 1.2 1,645 5.0 1,400 4.3
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,468 2.4 725 1.2 1,660 5.0 1,400 4.3
10/03/06 NYME NATURAL GAS U.S. 5 35,481 4.4 39,095 4.8 813,166 52,335 8.0 41,665 6.4 652,169
NON U.S. 11 70,173 8.6 38,275 4.7 63,360 9.7 40,607 6.2
---- ------- ---- ------- ---- ------- ---- ------- ----
16 105,654 13.0 77,370 9.5 115,695 17.7 82,272 12.6
10/03/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 183,065 8.2 158,965 7.1 2,228,466 239,585 12.1 187,645 9.5 1,978,244
NON U.S. 8 378,677 17.0 422,268 18.9 336,489 17.0 300,027 15.2
---- ------- ---- ------- ---- ------- ---- ------- ----
14 561,742 25.2 581,233 26.0 576,074 29.1 487,672 24.7
10/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 73,184 6.4 31,558 2.8 1,144,337 41,700 2.8 94,331 6.4 1,479,715
NON U.S. 32 30,774 2.7 30,394 2.7 174,359 11.8 31,820 2.2
---- ------- ---- ------- ---- ------- ---- ------- ----
36 103,958 9.1 61,952 5.5 216,059 14.6 126,151 8.6
10/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 10,500 4.9 6,025 2.8 215,824 14,600 4.7 2,025 0.7 310,208
NON U.S. 11 10,415 4.8 4,049 1.9 19,244 6.2 4,285 1.4
---- ------- ---- ------- ---- ------- ---- ------- ----
14 20,915 9.7 10,074 4.7 33,844 10.9 6,310 2.1
10/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 10,270 5.0 13,335 6.5 205,623 8,974 2.8 10,220 3.2 315,627
NON U.S. 10 7,640 3.7 7,340 3.6 18,970 6.0 8,150 2.6
---- ------- ---- ------- ---- ------- ---- ------- ----
13 17,910 8.7 20,675 10.1 27,944 8.8 18,370 5.8
10/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 81,064 6.2 147,065 11.3 1,299,962 113,234 7.5 92,751 6.1 1,518,219
NON U.S. 12 91,917 7.1 167,617 12.9 181,183 11.9 164,345 10.8
---- ------- ---- ------- ---- ------- ---- ------- ----
16 172,981 13.3 314,682 24.2 294,417 19.4 257,096 16.9
10/03/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 150 0.3 720 1.4 53,025 200 0.4 120 0.2 57,135
NON U.S. 5 11,550 21.8 5,525 10.4 6,275 11.0 14,575 25.5
---- ------- ---- ------- ---- ------- ---- ------- ----
7 11,700 22.1 6,245 11.8 6,475 11.4 14,695 25.7
10/03/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 2 225 0.1 2,175 1.1 196,296 150 0.1 825 0.5 175,183
NON U.S. 6 25,173 12.8 31,830 16.2 35,772 20.4 24,279 13.9
---- ------- ---- ------- ---- ------- ---- ------- ----
8 25,398 12.9 34,005 17.3 35,922 20.5 25,104 14.4
10/03/06 NYBT COFFEE C U.S. 1 100 0.1 0 0.0 96,792 20 0.0 0 0.0 55,288
NON U.S. 4 355 0.4 100 0.1 1,173 2.1 100 0.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 455 0.5 100 0.1 1,193 2.1 100 0.2
10/03/06 CMX SILVER U.S. 3 3,329 4.5 2,734 3.7 74,020 1,650 4.4 630 1.7 37,842
NON U.S. 4 5,024 6.8 3,723 5.0 3,651 9.6 2,140 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
7 8,353 11.3 6,457 8.7 5,301 14.0 2,770 7.4
10/03/06 CMX GOLD U.S. 3 17,515 7.1 19,808 8.0 246,161 7,100 5.6 14,687 11.6 127,138
NON U.S. 11 19,971 8.1 27,487 11.2 10,825 8.5 14,712 11.6
---- ------- ---- ------- ---- ------- ---- ------- ----
14 37,486 15.2 47,295 19.2 17,925 14.1 29,399 23.2
10/03/06 CME EURO FX U.S. 2 6,694 11.5 2,991 5.2 58,024 6,156 10.4 2,646 4.4 59,468
NON U.S. 6 4,420 7.6 360 0.6 4,425 7.4 1,020 1.7
---- ------- ---- ------- ---- ------- ---- ------- ----
8 11,114 19.1 3,351 5.8 10,581 17.8 3,666 6.1
10/03/06 CME 3-MONTH EURODOLLARS U.S. 7 546,808 4.2 470,860 3.7 12,894,671 818,117 7.2 622,844 5.4 11,437,742
NON U.S. 47 669,510 5.2 453,442 3.5 560,784 4.9 503,676 4.4
---- ------- ---- ------- ---- ------- ---- ------- ----
54 1216318 9.4 924,302 7.2 1378901 12.1 1126520 9.8