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November Bank Participation Report Options

  • IN CONTRACTS-NOT DELTA ADJUSTED

     

    REPORT DATE: 11/3/2015

    COMMODITY

    BANK TYPE

    BANK COUNT

    LONG CALLS

    %

    SHORT CALLS

    %

    CALL O.I.

    LONG PUTS

    %

    SHORT PUTS

    %

    PUT O.I.

    CBT WHEAT-SRW

    U.S.

     

    0

    0.0

    390

    0.3

    150,263

    500

    0.3

    990

    0.6

    166,120

    NON U.S.

     

    250

    0.2

    530

    0.4

     

    1,015

    0.6

    2,860

    1.7

     
     

    6

    250

    0.2

    920

    0.6

    1,515

    0.9

    3,850

    2.3

     

    NYME #2 HEATING OIL, NY HARBOR-ULSD

    U.S.

     

    3,815

    8.1

    2,115

    4.5

    47,109

    1,565

    6.2

    450

    1.8

    25,175

    NON U.S.

     

    5,287

    11.2

    5,295

    11.2

     

    2,177

    8.6

    1,660

    6.6

     
     

    6

    9,102

    19.3

    7,410

    15.7

    3,742

    14.9

    2,110

    8.4

     

    IFED NATURAL GAS PENULTIMATE ICE

    U.S.

     

    573,108

    14.8

    487,164

    12.5

    3,884,601

    287,572

    7.5

    212,252

    5.6

    3,823,455

    NON U.S.

     

    75,385

    1.9

    109,456

    2.8

     

    57,916

    1.5

    39,440

    1.0

     
     

    9

    648,493

    16.7

    596,620

    15.4

    345,488

    9.0

    251,692

    6.6

     

    NYME EUR STYLE NATURAL GAS OPTIONS

    U.S.

     

    188,904

    11.6

    162,349

    10.0

    1,630,486

    77,588

    5.9

    60,963

    4.6

    1,326,094

    NON U.S.

     

    54,935

    3.4

    98,870

    6.1

     

    39,972

    3.0

    33,983

    2.6

     
     

    10

    243,839

    15.0

    261,219

    16.0

    117,560

    8.9

    94,946

    7.2

     

    NYME NAT GAS OPT ON CALENDAR STRIP

    U.S.

     

    2,515

    25.0

    620

    6.2

    10,067

    560

    16.4

    800

    23.4

    3,420

    NON U.S.

     

    580

    5.8

    1,368

    13.6

     

    0

    0.0

    0

    0.0

     
     

    8

    3,095

    30.7

    1,988

    19.7

    560

    16.4

    800

    23.4

     

    CBT 10-YEAR U.S. TREASURY NOTES

    U.S.

    6

    45,077

    4.9

    37,014

    4.0

    922,367

    53,900

    5.3

    36,501

    3.6

    1,021,374

    NON U.S.

    12

    16,235

    1.8

    43,915

    4.8

     

    34,745

    3.4

    30,825

    3.0

     
     

    18

    61,312

    6.6

    80,929

    8.8

    88,645

    8.7

    67,326

    6.6

     

    CBT 5-YEAR U.S. TREASURY NOTES

    U.S.

    4

    13,200

    4.1

    4,225

    1.3

    320,605

    12,977

    2.2

    12,475

    2.1

    596,161

    NON U.S.

    6

    20,420

    6.4

    5,850

    1.8

     

    19,000

    3.2

    12,650

    2.1

     
     

    10

    33,620

    10.5

    10,075

    3.1

    31,977

    5.4

    25,125

    4.2

     

    ICEU CRUDE OIL, LIGHT SWEET-WTI

    U.S.

     

    59,245

    9.8

    52,250

    8.7

    601,693

    34,725

    9.3

    23,189

    6.2

    374,386

    NON U.S.

     

    27,370

    4.5

    26,615

    4.4

     

    17,950

    4.8

    8,925

    2.4

     
     

    14

    86,615

    14.4

    78,865

    13.1

    52,675

    14.1

    32,114

    8.6

     

    ICEU WTI CRUDE OIL 1ST LINE-LINKED

    U.S.

     

    11,339

    22.8

    10,249

    20.6

    49,664

    12,223

    25.7

    10,562

    22.2

    47,555

    NON U.S.

     

    3,760

    7.6

    8,395

    16.9

     

    3,278

    6.9

    3,822

    8.0

     
     

    12

    15,099

    30.4

    18,644

    37.5

    15,501

    32.6

    14,384

    30.2

     

    NYME CRUDE OIL, LIGHT SWEET

    U.S.

     

    144,034

    6.9

    163,237

    7.8

    2,080,491

    107,452

    8.0

    77,681

    5.8

    1,335,379

    NON U.S.

     

    133,117

    6.4

    171,435

    8.2

     

    84,770

    6.3

    78,083

    5.8

     
     

    16

    277,151

    13.3

    334,672

    16.1

    192,222

    14.4

    155,764

    11.7

     

    NYME CRUDE OIL AVG PRICE OPTIONS

    U.S.

     

    34,499

    13.8

    33,492

    13.4

    249,735

    19,181

    10.5

    24,054

    13.2

    182,237

    NON U.S.

     

    30,040

    12.0

    61,053

    24.4

     

    36,158

    19.8

    30,910

    17.0

     
     

    10

    64,539

    25.8

    94,545

    37.9

    55,339

    30.4

    54,964

    30.2

     

    NYME DATED BRENT CALENDAR SWAP

    U.S.

     

    90

    3.4

    0

    0.0

    2,670

    100

    5.6

    0

    0.0

    1,790

    NON U.S.

     

    450

    16.9

    2,550

    95.5

     

    1,590

    88.8

    0

    0.0

     
     

    5

    540

    20.2

    2,550

    95.5

    1,690

    94.4

    0

    0.0

     

    NYME BRENT AVG PRICE OPTIONS

    U.S.

     

    3,464

    4.4

    3,006

    3.8

    79,148

    4,822

    8.7

    5,724

    10.3

    55,547

    NON U.S.

     

    10,056

    12.7

    8,036

    10.2

     

    6,144

    11.1

    6,036

    10.9

     
     

    10

    13,520

    17.1

    11,042

    14.0

    10,966

    19.7

    11,760

    21.2

     

    NYME PALLADIUM

    U.S.

     

    801

    18.2

    609

    13.8

    4,412

    0

    0.0

    250

    16.6

    1,506

    NON U.S.

     

    405

    9.2

    425

    9.6

     

    0

    0.0

    180

    12.0

     
     

    5

    1,206

    27.3

    1,034

    23.4

    0

    0.0

    430

    28.6

     

    CMX SILVER

    U.S.

     

    8,585

    8.7

    5,038

    5.1

    98,587

    2,160

    4.1

    4,572

    8.6

    53,329

    NON U.S.

     

    9,950

    10.1

    22,210

    22.5

     

    5,598

    10.5

    8,658

    16.2

     
     

    10

    18,535

    18.8

    27,248

    27.6

    7,758

    14.5

    13,230

    24.8

     

    CMX GOLD

    U.S.

     

    30,131

    2.8

    40,036

    3.8

    1,067,300

    16,320

    4.5

    10,094

    2.8

    362,955

    NON U.S.

     

    121,951

    11.4

    166,512

    15.6

     

    33,055

    9.1

    59,734

    16.5

     
     

    18

    152,082

    14.2

    206,548

    19.4

    49,375

    13.6

    69,828

    19.2

     

    CME 3-MONTH EURODOLLARS

    U.S.

    7

    293,425

    2.1

    152,782

    1.1

    13,729,991

    432,250

    2.6

    186,800

    1.1

    16,643,322

    NON U.S.

    28

    589,955

    4.3

    211,562

    1.5

     

    1,041,171

    6.3

    272,101

    1.6

     
     

    35

    883,380

    6.4

    364,344

    2.7

    1,473,421

    8.9

    458,901

    2.8

     

    CME E-MINI S&P 500 STOCK INDEX

    U.S.

     

    0

    0.0

    0

    0.0

    1,222,193

    58

    0.00

    325

    0.0

    2,471,211

    NON U.S.

     

    12,380

    1.0

    3,350

    0.3

     

    27,339

    1.1

    7,695

    0.3

     
     

    9

    12,380

    1.0

    3,350

    0.3

    27,397

    1.1

    8,020

    0.3

     

    NYME GULF COAST JET FUEL CAL SWAP

    U.S.

     

    1,940

    31.9

    2,990

    49.1

    6,084

    210

    100.0

    0

    0.0

    210

    NON U.S.

     

    769

    12.6

    1,225

    20.1

     

    0

    0.0

    60

    28.6

     
     

    5

    2,709

    44.5

    4,215

    69.3

    210

    100.0

    60

    28.6