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March Bank Participation Report Options

  • IN CONTRACTS-NOT DELTA ADJUSTED

     

    REPORT DATE: 3/1/2016

    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

    390

    0.2

    182,881

    390

    0.3

    1,200

    1.0

    118,297

    NON U.S.

     

    600

    0.3

    1,470

    0.8

     

    700

    0.6

    1,720

    1.5

     
     

    5

    850

    0.5

    1,860

    1.0

    1,090

    0.9

    2,920

    2.5

     

    NYME #2 HEATING OIL, NY HARBOR-ULSD

    U.S.

     

    1,865

    4.3

    475

    1.1

    43,163

    90

    0.5

    0

    0.0

    19,361

    NON U.S.

     

    3,954

    9.2

    4,800

    11.1

     

    1,000

    5.2

    650

    3.4

     
     

    6

    5,819

    13.5

    5,275

    12.2

    1,090

    5.6

    650

    3.4

     

    IFED NATURAL GAS PENULTIMATE ICE

    U.S.

     

    403,897

    10.6

    395,056

    10.3

    3,820,470

    177,646

    6.3

    166,024

    5.9

    2,804,797

    NON U.S.

     

    58,609

    1.5

    81,856

    2.1

     

    40,266

    1.4

    29,240

    1.0

     
     

    9

    462,506

    12.1

    476,912

    12.5

    217,912

    7.8

    195,264

    7.0

     

    NYME EUR STYLE NATURAL GAS OPTIONS

    U.S.

     

    133,785

    7.9

    149,144

    8.8

    1,702,644

    59,983

    5.6

    32,547

    3.0

    1,076,814

    NON U.S.

     

    76,611

    4.5

    120,581

    7.1

     

    35,325

    3.3

    33,893

    3.1

     
     

    10

    210,396

    12.4

    269,725

    15.8

    95,308

    8.9

    66,440

    6.2

     

    NYME NAT GAS OPT ON CALENDAR STRIP

    U.S.

     

    1,100

    13.5

    500

    6.1

    8,166

    1,240

    24.3

    400

    7.8

    5,100

    NON U.S.

     

    800

    9.8

    3,108

    38.1

     

    0

    0.0

    1,720

    33.7

     
     

    9

    1,900

    23.3

    3,608

    44.2

    1,240

    24.3

    2,120

    41.6

     

    CBT 10-YEAR U.S. TREASURY NOTES

    U.S.

    5

    36,975

    3.3

    27,750

    2.5

    1,109,895

    31,825

    3.1

    48,250

    4.7

    1,018,313

    NON U.S.

    13

    21,000

    1.9

    53,050

    4.8

     

    64,540

    6.3

    24,240

    2.4

     
     

    18

    57,975

    5.2

    80,800

    7.3

    96,365

    9.5

    72,490

    7.1

     

    CBT 5-YEAR U.S. TREASURY NOTES

    U.S.

     

    2,100

    1.1

    7,050

    3.6

    196,004

    13,350

    2.7

    17,050

    3.5

    491,255

    NON U.S.

     

    1,225

    0.6

    1,000

    0.5

     

    5,225

    1.1

    10,000

    2.0

     
     

    5

    3,325

    1.7

    8,050

    4.1

    18,575

    3.8

    27,050

    5.5

     

    ICEU CRUDE OIL, LIGHT SWEET-WTI

    U.S.

     

    50,684

    14.9

    37,395

    11.0

    339,872

    18,180

    8.2

    16,675

    7.5

    222,533

    NON U.S.

     

    14,020

    4.1

    12,100

    3.6

     

    11,625

    5.2

    4,500

    2.0

     
     

    12

    64,704

    19.0

    49,495

    14.6

    29,805

    13.4

    21,175

    9.5

     

    ICEU WTI CRUDE OIL 1ST LINE-LINKED

    U.S.

     

    6,967

    25.8

    7,487

    27.8

    26,952

    8,725

    31.7

    8,200

    29.8

    27,515

    NON U.S.

     

    1,810

    6.7

    4,125

    15.3

     

    1,660

    6.0

    1,890

    6.9

     
     

    10

    8,777

    32.6

    11,612

    43.1

    10,385

    37.7

    10,090

    36.7

     

    NYME CRUDE OIL, LIGHT SWEET

    U.S.

     

    129,541

    7.7

    133,614

    8.0

    1,672,428

    56,839

    5.4

    63,151

    6.0

    1,051,287

    NON U.S.

     

    100,634

    6.0

    133,570

    8.0

     

    78,322

    7.5

    48,052

    4.6

     
     

    18

    230,175

    13.8

    267,184

    16.0

    135,161

    12.9

    111,203

    10.6

     

    NYME CRUDE OIL AVG PRICE OPTIONS

    U.S.

     

    30,137

    14.9

    26,015

    12.8

    202,860

    15,185

    11.0

    16,698

    12.1

    138,240

    NON U.S.

     

    23,938

    11.8

    45,806

    22.6

     

    23,325

    16.9

    20,395

    14.8

     
     

    8

    54,075

    26.7

    71,821

    35.4

    38,510

    27.9

    37,093

    26.8

     

    NYME BRENT AVG PRICE OPTIONS

    U.S.

     

    2,155

    5.4

    1,581

    4.0

    39,732

    2,632

    8.5

    3,850

    12.5

    30,922

    NON U.S.

     

    8,560

    21.5

    6,970

    17.5

     

    3,872

    12.5

    4,783

    15.5

     
     

    9

    10,715

    27.0

    8,551

    21.5

    6,504

    21.0

    8,633

    27.9

     

    NYME PALLADIUM

    U.S.

     

    274

    9.3

    649

    21.9

    2,961

    0

    0.0

    0

    0.0

    1,061

    NON U.S.

     

    22

    0.7

    345

    11.7

     

    0

    0.0

    275

    25.9

     
     

    5

    296

    10.0

    994

    33.6

    0

    0.0

    275

    25.9

     

    CMX SILVER

    U.S.

     

    4,297

    5.7

    4,207

    5.6

    75,607

    300

    1.0

    1,150

    3.7

    31,091

    NON U.S.

     

    5,006

    6.6

    13,476

    17.8

     

    3,980

    12.8

    2,963

    9.5

     
     

    10

    9,303

    12.3

    17,683

    23.4

    4,280

    13.8

    4,113

    13.2

     

    CMX GOLD

    U.S.

     

    37,318

    4.6

    52,410

    6.5

    809,941

    14,188

    4.1

    11,954

    3.4

    347,010

    NON U.S.

     

    81,618

    10.1

    104,832

    12.9

     

    29,453

    8.5

    48,768

    14.1

     
     

    17

    118,936

    14.7

    157,242

    19.4

    43,641

    12.6

    60,722

    17.5

     

    CME JAPANESE YEN

    U.S.

     

    1,247

    1.6

    1,730

    2.2

    79,559

    385

    0.4

    369

    0.4

    89,407

    NON U.S.

     

    3,966

    5.0

    1,013

    1.3

     

    3,863

    4.3

    0

    0.0

     
     

    5

    5,213

    6.6

    2,743

    3.4

    4,248

    4.8

    369

    0.4

     

    CME EURO FX

    U.S.

     

    5,799

    4.0

    1,248

    0.9

    143,788

    5,477

    2.8

    6,141

    3.2

    194,076

    NON U.S.

     

    5,923

    4.1

    2,040

    1.4

     

    8,006

    4.1

    3,418

    1.8

     
     

    5

    11,722

    8.2

    3,288

    2.3

    13,483

    6.9

    9,559

    4.9

     

    CME 3-MONTH EURODOLLARS

    U.S.

    7

    277,474

    1.8

    247,738

    1.6

    15,216,864

    523,213

    2.1

    272,024

    1.1

    24,589,065

    NON U.S.

    29

    652,238

    4.3

    247,720

    1.6

     

    997,404

    4.1

    293,949

    1.2

     
     

    36

    929,712

    6.1

    495,458

    3.3

    1,520,617

    6.2

    565,973

    2.3

     

    CME E-MINI S&P 500 STOCK INDEX

    U.S.

     

    0

    0.0

    0

    0.0

    1,343,421

    1,111

    0.0

    1,072

    0.0

    2,301,509

    NON U.S.

     

    2,525

    0.2

    4,365

    0.3

     

    16,362

    0.7

    8,310

    0.4

     
     

    8

    2,525

    0.2

    4,365

    0.3

    17,473

    0.8

    9,382

    0.4