BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 11/01/2011



                                          BANK     BANK        LONG            SHORT           CALL        LONG            SHORT             PUT
  COMMODITY NAME                          TYPE     COUNT       CALLS   %       CALLS   %       O. I.       PUTS    %       PUTS     %        O. I.

CBT WHEAT                                 U.S.                 3,942  2.1      3,802  2.0    189,289       4,607  3.1      1,471   1.0    146,303
                                          NON U.S.             1,150  0.6        115  0.1                  1,860  1.3        470   0.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        5,092  2.7      3,917  2.1                  6,467  4.4      1,941   1.3

CBT CORN                                  U.S.                18,922  1.7     14,421  1.3  1,090,457      20,013  2.2     16,307   1.8    911,512
                                          NON U.S.             3,370  0.3      1,438  0.1                  1,320  0.1      6,500   0.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       22,292  2.0     15,859  1.4                 21,333  2.3     22,807   2.5

CBT U.S. TREASURY BONDS                   U.S.                 8,420  4.0     11,725  5.5    213,131      13,958  6.8      9,475   4.6    203,901
                                          NON U.S.             1,620  0.8      2,450  1.1                    560  0.3        760   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       10,040  4.8     14,175  6.6                 14,518  7.1     10,235   5.0

NYME NO. 2 HEATING OIL, N.Y. HARBOR       U.S.                 3,430  3.6      2,095  2.2     94,609       3,675  4.9      4,195   5.6     74,602
                                          NON U.S.             1,200  1.3        735  0.8                  1,260  1.7        825   1.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        4,630  4.9      2,830  3.0                  4,935  6.6      5,020   6.7

NYME HEATING OIL AVG PRICE OPTIONS        U.S.                11,565  9.2      5,315  4.2    125,147       2,525  3.4      9,363  12.6     74,189
                                          NON U.S.             2,811  2.2      2,090  1.7                  1,370  1.8      1,140   1.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       14,376 11.4      7,405  5.9                  3,895  5.2     10,503  14.1

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               288,169  8.1    341,954  9.7  3,538,988     154,125  6.5    148,700   6.2  2,386,729
                                          NON U.S.            24,580  0.7     39,469  1.1                 25,564  1.1     11,310   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8      312,749  8.8    381,423 10.8                179,689  7.6    160,010   6.7

ICUS COTTON NO. 2                         U.S.                10,632  5.2      7,002  3.4    205,209       3,570  2.7      2,848   2.1    134,365
                                          NON U.S.             1,020  0.5        425  0.2                    620  0.5        335   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9       11,652  5.7      7,427  3.6                  4,190  3.2      3,183   2.3

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        5       32,975  6.2     14,150  2.7    530,493      36,024  6.1     15,500   2.6    593,415
                                          NON U.S.   11        4,615  0.9     31,435  5.9                 13,250  2.2     11,010   1.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     16       37,590  7.1     45,585  8.6                 49,274  8.3     26,510   4.5

CBT 5-YEAR U.S. TREASURY NOTES            U.S.                33,650 10.7      1,900  0.6    313,854      24,050  8.5        700   0.2    282,450
                                          NON U.S.               900  0.3     64,853 20.7                    650  0.2     42,803  15.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       34,550 11.0     66,753 21.3                 24,700  8.7     43,503  15.4

CBT 30-DAY FEDERAL FUNDS                  U.S.        4        2,000  0.9      8,645  4.0    217,764      13,050  2.4     13,225   2.4    554,448
                                          NON U.S.    8        4,310  2.0      5,200  2.4                 54,000  9.7     55,451  10.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12        6,310  2.9     13,845  6.4                 67,050 12.1     68,676  12.4

NYME CRUDE OIL, LIGHT SWEET               U.S.               129,820  6.2    163,440  7.8  2,103,308     126,493  6.7    113,134   6.0  1,891,160
                                          NON U.S.            32,850  1.6     51,132  2.4                 50,388  2.7     38,739   2.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     14      162,670  7.8    214,572 10.2                176,881  9.4    151,873   8.0

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                33,873 12.0     35,917 12.8    281,191      13,592  9.4      4,395   3.1    143,995
                                          NON U.S.             2,200  0.8        400  0.1                  2,050  1.4      3,325   2.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       36,073 12.8     36,317 12.9                 15,642 10.8      7,720   5.4

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.        4       78,592  9.5    101,421 12.3    827,888     122,067 16.3     79,545  10.6    749,377
                                          NON U.S.    9       45,943  5.5     85,892 10.4                 80,784 10.8     56,614   7.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      124,535 15.0    187,313 22.7                202,851 27.1    136,159  18.2

NYME EUR STYLE BRENT OPTIONS              U.S.                11,117 16.0     11,232 16.2     69,462       4,621  7.3      4,990   7.9     63,334
                                          NON U.S.               500  0.7      2,575  3.7                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       11,617 16.7     13,807 19.9                  4,621  7.3      4,990   7.9

NYME BRENT AVG PRICE OPTIONS              U.S.                 6,262  4.2     11,030  7.5    147,931      15,995 14.1      6,630   5.9    113,047
                                          NON U.S.             6,445  4.4     18,063 12.2                  7,580  6.7      6,295   5.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       12,707  8.6     29,093 19.7                 23,575 20.8     12,925  11.5

CMX SILVER                                U.S.                 3,774  2.9      7,006  5.5    128,138       6,874  7.5      4,025   4.4     91,700
                                          NON U.S.             3,357  2.6      5,152  4.0                  2,260  2.5      4,127   4.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8        7,131  5.5     12,158  9.5                  9,134 10.0      8,152   8.9

CMX GOLD                                  U.S.                59,936  7.9     67,194  8.9    756,746      45,410  8.9     47,645   9.3    509,946
                                          NON U.S.            22,435  3.0     28,262  3.7                 17,493  3.4     27,777   5.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12       82,371 10.9     95,456 12.6                 62,903 12.3     75,422  14.7

CME EURO FX                               U.S.                 2,922  3.2        466  0.5     92,125       3,397  2.2        786   0.5    157,251
                                          NON U.S.             4,610  5.0      2,127  2.3                  4,483  2.9      3,105   2.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        7,532  8.2      2,593  2.8                  7,880  5.1      3,891   2.5

CME 3-MONTH EURODOLLARS                   U.S.       13      373,728  4.0    357,263  3.8  9,358,040     614,880  5.7    348,321   3.2 10,758,100
                                          NON U.S.   25      359,763  3.8    435,133  4.6                511,638  4.8    410,860   3.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     38      733,491  7.8    792,396  8.4              1,126,518 10.5    759,181   7.0

CME E-MINI S&P 500 STOCK INDEX            U.S.                   250  0.0          0  0.0    609,175         890  0.1        826   0.1  1,034,917
                                          NON U.S.             1,545  0.3         75  0.0                  1,762  0.2      1,455   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        1,795  0.3         75  0.0                  2,652  0.3      2,281   0.2