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December Bank Participation Report Options

  • IN CONTRACTS-NOT DELTA ADJUSTED

     

    REPORT DATE: 12/1/2015

    COMMODITY

    BANK TYPE

    BANK COUNT

    LONG CALLS

    %

    SHORT CALLS

    %

    CALL O.I.

    LONG PUTS

    %

    SHORT PUTS

    %

    PUT O.I.

    NYME #2 HEATING OIL, NY HARBOR-ULSD

    U.S.

     

    1,975

    7.5

    675

    2.6

    26,372

    250

    2.1

    200

    1.7

    11,879

    NON U.S.

     

    2,400

    9.1

    2,850

    10.8

     

    575

    4.8

    450

    3.8

     
     

    6

    4,375

    16.6

    3,525

    13.4

    825

    6.9

    650

    5.5

     

    IFED NATURAL GAS PENULTIMATE ICE

    U.S.

     

    531,752

    14.7

    450,648

    12.4

    3,623,543

    233,312

    6.8

    175,512

    5.1

    3,435,684

    NON U.S.

     

    75,477

    2.1

    96,656

    2.7

     

    54,036

    1.6

    41,980

    1.2

     
     

    9

    607,229

    16.8

    547,304

    15.1

    287,348

    8.4

    217,492

    6.3

     

    NYME EUR STYLE NATURAL GAS OPTIONS

    U.S.

     

    166,579

    10.6

    148,490

    9.5

    1,568,957

    66,145

    5.3

    48,273

    3.9

    1,246,486

    NON U.S.

     

    58,673

    3.7

    100,345

    6.4

     

    36,450

    2.9

    32,810

    2.6

     
     

    10

    225,252

    14.4

    248,835

    15.9

    102,595

    8.2

    81,083

    6.5

     

    NYME NAT GAS OPT ON CALENDAR STRIP

    U.S.

     

    2,515

    24.6

    620

    6.1

    10,207

    1,040

    26.7

    800

    20.5

    3,900

    NON U.S.

     

    580

    5.7

    1,508

    14.8

     

    0

    0.0

    0

    0.0

     
     

    8

    3,095

    30.3

    2,128

    20.8

    1,040

    26.7

    800

    20.5

     

    CBT 10-YEAR U.S. TREASURY NOTES

    U.S.

    5

    34,213

    3.9

    19,013

    2.2

    866,946

    16,365

    1.8

    36,543

    4.1

    900,550

    NON U.S.

    8

    10,900

    1.3

    38,125

    4.4

     

    23,100

    2.6

    13,700

    1.5

     
     

    13

    45,113

    5.2

    57,138

    6.6

    39,465

    4.4

    50,243

    5.6

     

    CBT 5-YEAR U.S. TREASURY NOTES

    U.S.

     

    15,861

    6.0

    11

    0.00

    264,695

    4,321

    0.9

    971

    0.2

    496,614

    NON U.S.

     

    0

    0.0

    2,000

    0.8

     

    46,500

    9.4

    6,500

    1.3

     
     

    9

    15,861

    6.0

    2,011

    0.8

    50,821

    10.2

    7,471

    1.5

     

    ICEU CRUDE OIL, LIGHT SWEET-WTI

    U.S.

     

    39,432

    11.1

    34,002

    9.6

    355,979

    26,400

    12.2

    15,175

    7.0

    215,828

    NON U.S.

     

    15,820

    4.4

    13,800

    3.9

     

    11,075

    5.1

    6,100

    2.8

     
     

    12

    55,252

    15.5

    47,802

    13.4

    37,475

    17.4

    21,275

    9.9

     

    ICEU WTI CRUDE OIL 1ST LINE-LINKED

    U.S.

     

    9,676

    24.8

    8,936

    22.9

    39,036

    11,174

    28.2

    9,616

    24.3

    39,625

    NON U.S.

     

    2,840

    7.3

    6,850

    17.5

     

    2,599

    6.6

    3,021

    7.6

     
     

    12

    12,516

    32.1

    15,786

    40.4

    13,773

    34.8

    12,637

    31.9

     

    NYME CRUDE OIL, LIGHT SWEET

    U.S.

     

    100,806

    6.9

    107,526

    7.4

    1,458,119

    75,743

    8.3

    61,902

    6.7

    917,960

    NON U.S.

     

    97,419

    6.7

    123,351

    8.5

     

    63,693

    6.9

    59,270

    6.5

     
     

    16

    198,225

    13.6

    230,877

    15.8

    139,436

    15.2

    121,172

    13.2

     

    NYME CRUDE OIL AVG PRICE OPTIONS

    U.S.

     

    34,146

    14.3

    30,979

    13.0

    238,020

    17,268

    10.3

    21,814

    13.1

    167,004

    NON U.S.

     

    31,185

    13.1

    58,790

    24.7

     

    32,974

    19.7

    28,160

    16.9

     
     

    10

    65,331

    27.4

    89,769

    37.7

    50,242

    30.1

    49,974

    29.9

     

    NYME DATED BRENT CALENDAR SWAP

    U.S.

     

    60

    2.2

    0

    0.0

    2,670

    100

    5.6

    0

    0.0

    1,790

    NON U.S.

     

    300

    11.2

    2,370

    88.8

     

    1,590

    88.8

    0

    0.0

     
     

    5

    360

    13.5

    2,370

    88.8

    1,690

    94.4

    0

    0.0

     

    NYME BRENT AVG PRICE OPTIONS

    U.S.

     

    3,425

    4.8

    2,980

    4.2

    71,622

    3,992

    8.4

    5,140

    10.8

    47,581

    NON U.S.

     

    10,576

    14.8

    7,941

    11.1

     

    5,574

    11.7

    6,126

    12.9

     
     

    11

    14,001

    19.5

    10,921

    15.2

    9,566

    20.1

    11,266

    23.7

     

    NYME PALLADIUM

    U.S.

     

    219

    6.8

    100

    3.1

    3,216

    122

    9.7

    140

    11.1

    1,258

    NON U.S.

     

    240

    7.5

    264

    8.2

     

    0

    0.0

    311

    24.7

     
     

    5

    459

    14.3

    364

    11.3

    122

    9.7

    451

    35.9

     

    CMX SILVER

    U.S.

     

    5,296

    8.5

    3,813

    6.1

    62,246

    1,171

    3.5

    1,505

    4.5

    33,410

    NON U.S.

     

    6,105

    9.8

    13,162

    21.1

     

    5,264

    15.8

    4,294

    12.9

     
     

    10

    11,401

    18.3

    16,975

    27.3

    6,435

    19.3

    5,799

    17.4

     

    CMX GOLD

    U.S.

     

    26,542

    3.8

    35,054

    5.1

    691,064

    13,859

    5.2

    7,419

    2.8

    267,384

    NON U.S.

     

    72,769

    10.5

    95,730

    13.9

     

    27,453

    10.3

    40,943

    15.3

     
     

    17

    99,311

    14.4

    130,784

    18.9

    41,312

    15.5

    48,362

    18.1

     

    CME EURO FX

    U.S.

     

    3,775

    2.1

    902

    0.5

    184,010

    6,977

    3.4

    3,309

    1.6

    207,605

    NON U.S.

     

    6,605

    3.6

    1,570

    0.9

     

    3,233

    1.6

    1,673

    0.8

     
     

    5

    10,380

    5.6

    2,472

    1.3

    10,210

    4.9

    4,982

    2.4

     

    CME 3-MONTH EURODOLLARS

    U.S.

    7

    312,132

    2.3

    153,982

    1.1

    13,578,706

    409,799

    2.1

    223,557

    1.1

    19,579,910

    NON U.S.

    24

    703,351

    5.2

    223,496

    1.6

     

    1,044,049

    5.3

    240,187

    1.2

     
     

    31

    1,015,483

    7.5

    377,478

    2.8

    1,453,848

    7.4

    463,744

    2.4

     

    CME E-MINI S&P 500 STOCK INDEX

    U.S.

     

    0

    0.0

    2,000

    0.2

    1,133,784

    39

    0.00

    325

    0.0

    2,219,464

    NON U.S.

     

    11,550

    1.0

    3,625

    0.3

     

    26,645

    1.2

    7,215

    0.3

     
     

    6

    11,550

    1.0

    5,625

    0.5

    26,684

    1.2

    7,540

    0.3

     

    NYME GULF COAST JET FUEL CAL SWAP

    U.S.

     

    1,710

    27.4

    2,480

    39.8

    6,234

    210

    100.0

    0

    0.0

    210

    NON U.S.

     

    694

    11.1

    800

    12.8

     

    0

    0.0

    60

    28.6

     
     

    5

    2,404

    38.6

    3,280

    52.6

    210

    100.0

    60

    28.6