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January Bank Participation Report Options

  • IN CONTRACTS-NOT DELTA ADJUSTED

     

    REPORT DATE: 1/3/2017

    COMMODITY

    BANK TYPE

    BANK COUNT

    LONG CALLS

    %

    SHORT CALLS

    %

    CALL O.I.

    LONG PUTS

    %

    SHORT PUTS

    %

    PUT O.I.

    CBT WHEAT-SRW

    U.S.

     

    250

    0.1

    0

    0.0

    189,028

    0

    0.0

    2,000

    1.6

    122,533

    NON U.S.

     

    2,097

    1.1

    1,122

    0.6

     

    0

    0.0

    3,315

    2.7

     
     

    5

    2,347

    1.2

    1,122

    0.6

    0

    0.0

    5,315

    4.3

     

    CBT U.S. TREASURY BONDS

    U.S.

     

    7,081

    3.4

    3,822

    1.8

    209,290

    6,491

    3.1

    4,837

    2.3

    207,202

    NON U.S.

     

    5,450

    2.6

    100

    0.0

     

    1,550

    0.7

    500

    0.2

     
     

    5

    12,531

    6.0

    3,922

    1.9

    8,041

    3.9

    5,337

    2.6

     

    NYME #2 HEATING OIL, NY HARBOR-ULSD

    U.S.

     

    2,824

    7.9

    940

    2.6

    35,671

    200

    1.1

    550

    3.1

    17,976

    NON U.S.

     

    4,142

    11.6

    3,393

    9.5

     

    2,050

    11.4

    2,325

    12.9

     
     

    6

    6,966

    19.5

    4,333

    12.1

    2,250

    12.5

    2,875

    16.0

     

    IFED NATURAL GAS PENULTIMATE ICE

    U.S.

     

    179,980

    6.0

    150,560

    5.0

    2,988,976

    90,720

    5.1

    62,188

    3.5

    1,786,946

    NON U.S.

     

    23,465

    0.8

    79,916

    2.7

     

    39,796

    2.2

    38,720

    2.2

     
     

    9

    203,445

    6.8

    230,476

    7.7

    130,516

    7.3

    100,908

    5.6

     

    NYME EUR STYLE NATURAL GAS OPTIONS

    U.S.

     

    98,088

    6.2

    126,494

    8.0

    1,589,886

    60,947

    7.8

    23,985

    3.1

    776,746

    NON U.S.

     

    39,598

    2.5

    131,040

    8.2

     

    43,030

    5.5

    32,089

    4.1

     
     

    10

    137,686

    8.7

    257,534

    16.2

    103,977

    13.4

    56,074

    7.2

     

    NYME NAT GAS OPT ON CALENDAR STRIP

    U.S.

     

    700

    30.7

    600

    26.3

    2,278

    0

    -1.#QNAN

    0

    -1.#QNAN

    0

    NON U.S.

     

    200

    8.8

    280

    12.3

     

    0

    -1.#QNAN

    0

    -1.#QNAN

     
     

    6

    900

    39.5

    880

    38.6

    0

    -1.#QNAN

    0

    -1.#QNAN

     

    CBT 10-YEAR U.S. TREASURY NOTES

    U.S.

    4

    42,161

    4.2

    45,010

    4.4

    1,013,938

    21,063

    1.6

    67,684

    5.1

    1,330,145

    NON U.S.

    16

    24,803

    2.4

    47,178

    4.7

     

    79,388

    6.0

    12,095

    0.9

     
     

    20

    66,964

    6.6

    92,188

    9.1

    100,451

    7.6

    79,779

    6.0

     

    CBT 5-YEAR U.S. TREASURY NOTES

    U.S.

     

    9,883

    3.7

    13,321

    5.0

    266,019

    6,233

    0.8

    22,461

    2.9

    776,019

    NON U.S.

     

    2,650

    1.0

    9,000

    3.4

     

    6,300

    0.8

    5,900

    0.8

     
     

    9

    12,533

    4.7

    22,321

    8.4

    12,533

    1.6

    28,361

    3.7

     

    ICEU CRUDE OIL, LIGHT SWEET-WTI

    U.S.

     

    54,500

    13.1

    65,125

    15.6

    416,576

    63,665

    16.6

    33,500

    8.7

    384,497

    NON U.S.

     

    15,650

    3.8

    14,385

    3.5

     

    11,000

    2.9

    8,800

    2.3

     
     

    11

    70,150

    16.8

    79,510

    19.1

    74,665

    19.4

    42,300

    11.0

     

    ICEU WTI CRUDE OIL 1ST LINE-LINKED

    U.S.

     

    4,014

    30.4

    2,484

    18.8

    13,204

    1,896

    15.0

    2,391

    18.9

    12,621

    NON U.S.

     

    960

    7.3

    1,485

    11.2

     

    600

    4.8

    600

    4.8

     
     

    6

    4,974

    37.7

    3,969

    30.1

    2,496

    19.8

    2,991

    23.7

     

    NYME CRUDE OIL, LIGHT SWEET

    U.S.

     

    99,234

    6.9

    131,633

    9.1

    1,445,064

    82,256

    7.5

    44,967

    4.1

    1,098,879

    NON U.S.

     

    87,215

    6.0

    137,792

    9.5

     

    93,639

    8.5

    57,751

    5.3

     
     

    21

    186,449

    12.9

    269,425

    18.6

    175,895

    16.0

    102,718

    9.3

     

    NYME CRUDE OIL AVG PRICE OPTIONS

    U.S.

     

    14,748

    10.4

    7,836

    5.5

    141,373

    9,390

    5.8

    19,173

    11.9

    161,248

    NON U.S.

     

    7,905

    5.6

    51,082

    36.1

     

    39,391

    24.4

    18,030

    11.2

     
     

    8

    22,653

    16.0

    58,918

    41.7

    48,781

    30.3

    37,203

    23.1

     

    NYME BRENT AVG PRICE OPTIONS

    U.S.

     

    155

    1.4

    5,753

    52.3

    11,007

    0

    0.0

    0

    0.0

    4,800

    NON U.S.

     

    2,610

    23.7

    590

    5.4

     

    202

    4.2

    2,598

    54.1

     
     

    7

    2,765

    25.1

    6,343

    57.6

    202

    4.2

    2,598

    54.1

     

    CMX SILVER

    U.S.

     

    2,843

    4.1

    3,330

    4.7

    70,158

    1,150

    3.0

    106

    0.3

    38,755

    NON U.S.

     

    4,681

    6.7

    5,584

    8.0

     

    1,940

    5.0

    1,622

    4.2

     
     

    12

    7,524

    10.7

    8,914

    12.7

    3,090

    8.0

    1,728

    4.5

     

    CMX GOLD

    U.S.

     

    52,739

    8.3

    36,216

    5.7

    634,449

    18,460

    5.6

    17,344

    5.3

    328,613

    NON U.S.

     

    31,358

    4.9

    41,823

    6.6

     

    17,295

    5.3

    19,224

    5.9

     
     

    16

    84,097

    13.3

    78,039

    12.3

    35,755

    10.9

    36,568

    11.1

     

    CME JAPANESE YEN

    U.S.

     

    6,425

    6.4

    722

    0.7

    100,156

    2,245

    2.9

    1,899

    2.5

    76,504

    NON U.S.

     

    1,711

    1.7

    640

    0.6

     

    1,220

    1.6

    250

    0.3

     
     

    5

    8,136

    8.1

    1,362

    1.4

    3,465

    4.5

    2,149

    2.8

     

    CME EURO FX

    U.S.

     

    7,006

    5.8

    109

    0.1

    119,836

    4,179

    3.0

    3,015

    2.2

    138,980

    NON U.S.

     

    4,249

    3.5

    1,724

    1.4

     

    4,596

    3.3

    4,214

    3.0

     
     

    5

    11,255

    9.4

    1,833

    1.5

    8,775

    6.3

    7,229

    5.2

     

    CME 3-MONTH EURODOLLARS

    U.S.

    8

    260,576

    1.9

    326,907

    2.4

    13,366,414

    511,774

    2.5

    231,230

    1.1

    20,491,085

    NON U.S.

    20

    492,136

    3.7

    184,458

    1.4

     

    594,979

    2.9

    303,179

    1.5

     
     

    28

    752,712

    5.6

    511,365

    3.8

    1,106,753

    5.4

    534,409

    2.6

     

    CME E-MINI S&P 500 STOCK INDEX

    U.S.

     

    0

    0.0

    0

    0.0

    1,219,131

    42

    0.00

    0

    0.0

    2,433,274

    NON U.S.

     

    200

    0.0

    5,426

    0.4

     

    7,901

    0.3

    10,905

    0.4

     
     

    6

    200

    0.0

    5,426

    0.4

    7,943

    0.3

    10,905

    0.4