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September Bank Participation Report Options

  • IN CONTRACTS-NOT DELTA ADJUSTED

     

    REPORT DATE: 9/6/2016

    COMMODITY

    BANK TYPE

    BANK COUNT

    LONG CALLS

    %

    SHORT CALLS

    %

    CALL O.I.

    LONG PUTS

    %

    SHORT PUTS

    %

    PUT O.I.

    CBT U.S. TREASURY BONDS

    U.S.

     

    16,928

    9.0

    14,409

    7.6

    188,820

    14,605

    6.9

    18,111

    8.6

    211,772

    NON U.S.

     

    350

    0.2

    15,340

    8.1

     

    16,165

    7.6

    675

    0.3

     
     

    5

    17,278

    9.2

    29,749

    15.8

    30,770

    14.5

    18,786

    8.9

     

    NYME #2 HEATING OIL, NY HARBOR-ULSD

    U.S.

     

    3,075

    6.2

    1,366

    2.8

    49,287

    450

    2.4

    150

    0.8

    18,930

    NON U.S.

     

    4,365

    8.9

    5,115

    10.4

     

    2,375

    12.5

    1,031

    5.4

     
     

    6

    7,440

    15.1

    6,481

    13.1

    2,825

    14.9

    1,181

    6.2

     

    IFED NATURAL GAS PENULTIMATE ICE

    U.S.

     

    263,963

    9.0

    180,624

    6.1

    2,944,825

    111,830

    5.2

    94,548

    4.4

    2,131,463

    NON U.S.

     

    23,729

    0.8

    67,476

    2.3

     

    37,966

    1.8

    40,800

    1.9

     
     

    9

    287,692

    9.8

    248,100

    8.4

    149,796

    7.0

    135,348

    6.4

     

    NYME NATURAL GAS

    U.S.

     

    101

    0.2

    0

    0.0

    64,657

    0

    0.0

    2,050

    2.5

    80,678

    NON U.S.

     

    47

    0.1

    700

    1.1

     

    0

    0.0

    900

    1.1

     
     

    5

    148

    0.2

    700

    1.1

    0

    0.0

    2,950

    3.7

     

    NYME EUR STYLE NATURAL GAS OPTIONS

    U.S.

     

    113,348

    6.7

    139,434

    8.3

    1,679,979

    70,722

    6.4

    35,515

    3.2

    1,098,271

    NON U.S.

     

    48,201

    2.9

    120,901

    7.2

     

    40,512

    3.7

    33,783

    3.1

     
     

    10

    161,549

    9.6

    260,335

    15.5

    111,234

    10.1

    69,298

    6.3

     

    NYME NAT GAS OPT ON CALENDAR STRIP

    U.S.

     

    1,100

    10.7

    700

    6.8

    10,306

    1,480

    19.7

    400

    5.3

    7,520

    NON U.S.

     

    800

    7.8

    2,908

    28.2

     

    200

    2.7

    1,900

    25.3

     
     

    9

    1,900

    18.4

    3,608

    35.0

    1,680

    22.3

    2,300

    30.6

     

    CBT 10-YEAR U.S. TREASURY NOTES

    U.S.

    5

    8,400

    0.9

    19,906

    2.1

    957,374

    10,650

    1.3

    23,455

    2.9

    812,214

    NON U.S.

    13

    10,122

    1.1

    51,153

    5.3

     

    18,478

    2.3

    11,153

    1.4

     
     

    18

    18,522

    1.9

    71,059

    7.4

    29,128

    3.6

    34,608

    4.3

     

    CBT 5-YEAR U.S. TREASURY NOTES

    U.S.

    4

    6,600

    2.8

    1,200

    0.5

    234,430

    18,600

    2.7

    20,200

    2.9

    688,976

    NON U.S.

    5

    0

    0.0

    22,200

    9.5

     

    5,483

    0.8

    200

    0.0

     
     

    9

    6,600

    2.8

    23,400

    10.0

    24,083

    3.5

    20,400

    3.0

     

    ICEU CRUDE OIL, LIGHT SWEET-WTI

    U.S.

     

    66,480

    13.0

    46,478

    9.1

    510,931

    36,617

    10.6

    23,250

    6.7

    346,019

    NON U.S.

     

    15,240

    3.0

    12,900

    2.5

     

    10,550

    3.0

    10,950

    3.2

     
     

    11

    81,720

    16.0

    59,378

    11.6

    47,167

    13.6

    34,200

    9.9

     

    ICEU WTI CRUDE OIL 1ST LINE-LINKED

    U.S.

     

    5,599

    26.2

    5,869

    27.4

    21,389

    4,615

    23.6

    4,950

    25.3

    19,565

    NON U.S.

     

    1,380

    6.5

    2,020

    9.4

     

    1,360

    7.0

    1,420

    7.3

     
     

    8

    6,979

    32.6

    7,889

    36.9

    5,975

    30.5

    6,370

    32.6

     

    NYME CRUDE OIL, LIGHT SWEET

    U.S.

     

    113,853

    6.4

    136,241

    7.7

    1,778,898

    68,050

    6.0

    47,675

    4.2

    1,140,740

    NON U.S.

     

    118,549

    6.7

    171,607

    9.6

     

    92,932

    8.1

    64,861

    5.7

     
     

    20

    232,402

    13.1

    307,848

    17.3

    160,982

    14.1

    112,536

    9.9

     

    NYME CRUDE OIL AVG PRICE OPTIONS

    U.S.

     

    20,170

    13.5

    16,735

    11.2

    149,624

    13,644

    10.4

    20,668

    15.8

    130,612

    NON U.S.

     

    14,203

    9.5

    41,268

    27.6

     

    23,845

    18.3

    18,974

    14.5

     
     

    10

    34,373

    23.0

    58,003

    38.8

    37,489

    28.7

    39,642

    30.4

     

    NYME BRENT AVG PRICE OPTIONS

    U.S.

     

    820

    4.8

    3,888

    22.9

    16,948

    1,302

    11.5

    1,588

    14.0

    11,366

    NON U.S.

     

    4,140

    24.4

    3,680

    21.7

     

    2,468

    21.7

    3,292

    29.0

     
     

    9

    4,960

    29.3

    7,568

    44.7

    3,770

    33.2

    4,880

    42.9

     

    CMX SILVER

    U.S.

     

    5,004

    5.8

    5,091

    5.9

    86,511

    890

    1.9

    1,175

    2.6

    45,899

    NON U.S.

     

    4,335

    5.0

    7,906

    9.1

     

    2,810

    6.1

    2,174

    4.7

     
     

    12

    9,339

    10.8

    12,997

    15.0

    3,700

    8.1

    3,349

    7.3

     

    CMX GOLD

    U.S.

     

    51,622

    6.9

    48,594

    6.5

    746,535

    21,910

    6.4

    9,948

    2.9

    344,037

    NON U.S.

     

    44,978

    6.0

    58,681

    7.9

     

    21,914

    6.4

    24,201

    7.0

     
     

    17

    96,600

    12.9

    107,275

    14.4

    43,824

    12.7

    34,149

    9.9

     

    CME JAPANESE YEN

    U.S.

     

    8,643

    10.9

    968

    1.2

    79,078

    5,993

    6.1

    943

    1.0

    97,583

    NON U.S.

     

    2,098

    2.7

    885

    1.1

     

    2,214

    2.3

    780

    0.8

     
     

    5

    10,741

    13.6

    1,853

    2.3

    8,207

    8.4

    1,723

    1.8

     

    CME EURO FX

    U.S.

     

    2,178

    1.8

    316

    0.3

    121,592

    3,670

    2.7

    4,900

    3.7

    134,016

    NON U.S.

     

    5,991

    4.9

    5,468

    4.5

     

    7,479

    5.6

    7,633

    5.7

     
     

    5

    8,169

    6.7

    5,784

    4.8

    11,149

    8.3

    12,533

    9.4

     

    NYME GASOLINE BLENDSTOCK (RBOB)

    U.S.

     

    1,595

    9.6

    2,025

    12.2

    16,565

    140

    1.5

    570

    6.0

    9,444

    NON U.S.

     

    600

    3.6

    525

    3.2

     

    200

    2.1

    800

    8.5

     
     

    5

    2,195

    13.3

    2,550

    15.4

    340

    3.6

    1,370

    14.5

     

    CME 3-MONTH EURODOLLARS

    U.S.

    8

    274,560

    1.8

    240,896

    1.6

    15,219,156

    428,593

    2.2

    178,767

    0.9

    19,061,292

    NON U.S.

    29

    743,767

    4.9

    296,246

    1.9

     

    1,149,661

    6.0

    408,173

    2.1

     
     

    37

    1,018,327

    6.7

    537,142

    3.5

    1,578,254

    8.3

    586,940

    3.1

     

    CME E-MINI S&P 500 STOCK INDEX

    U.S.

     

    0

    0.0

    0

    0.0

    1,657,377

    70

    0.00

    0

    0.0

    3,174,270

    NON U.S.

     

    8,784

    0.5

    4,408

    0.3

     

    15,738

    0.5

    33,163

    1.0

     
     

    8

    8,784

    0.5

    4,408

    0.3

    15,808

    0.5

    33,163

    1.0