BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 08/07/2012



                                          BANK     BANK        LONG            SHORT           CALL        LONG            SHORT             PUT
  COMMODITY NAME                          TYPE     COUNT       CALLS   %       CALLS   %       O. I.       PUTS    %       PUTS     %        O. I.

CBT CORN                                  U.S.                17,305  1.7     11,115  1.1  1,038,932      22,810  2.1     18,323   1.7  1,081,513
                                          NON U.S.             1,830  0.2      1,330  0.1                  1,605  0.1      5,830   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7       19,135  1.9     12,445  1.2                 24,415  2.2     24,153   2.2

CBT SOYBEANS                              U.S.                 4,827  0.7      4,513  0.7    653,300       7,785  1.5      5,807   1.2    502,482
                                          NON U.S.               680  0.1      1,395  0.2                    880  0.2        495   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        5,507  0.8      5,908  0.9                  8,665  1.7      6,302   1.3

CBT U.S. TREASURY BONDS                   U.S.                10,185  5.4      9,870  5.2    189,272       7,170  3.9      7,790   4.2    185,352
                                          NON U.S.             2,425  1.3      5,976  3.2                  2,675  1.4      6,976   3.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7       12,610  6.7     15,846  8.4                  9,845  5.3     14,766   8.0

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               310,853  7.7    364,971  9.0  4,054,141     188,476  6.3    153,472   5.1  3,000,632
                                          NON U.S.            36,844  0.9     48,558  1.2                 35,180  1.2     14,461   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10      347,697  8.6    413,529 10.2                223,656  7.5    167,933   5.6

NYME NAT GAS OPT ON CALENDAR STRIP        U.S.                 3,288 20.0      2,205 13.4     16,475       1,360 17.0      2,100  26.3      8,000
                                          NON U.S.                 0  0.0        408  2.5                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        3,288 20.0      2,613 15.9                  1,360 17.0      2,100  26.3

ICUS COTTON NO. 2                         U.S.                 4,240  3.0      2,751  2.0    140,036       1,570  1.2      1,790   1.3    134,743
                                          NON U.S.             1,065  0.8        435  0.3                    391  0.3        285   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,305  3.8      3,186  2.3                  1,961  1.5      2,075   1.5

CBT 2-YEAR U.S. TREASURY NOTES            U.S.        5       13,800  3.6     24,200  6.3    384,553       3,280  3.0      1,200   1.1    108,989
                                          NON U.S.    4        5,400  1.4          0  0.0                  1,500  1.4          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9       19,200  5.0     24,200  6.3                  4,780  4.4      1,200   1.1

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        7       13,925  2.1     38,710  5.7    676,385      65,862  5.7     70,876   6.1  1,157,599
                                          NON U.S.   16       21,549  3.2     22,906  3.4                 80,800  7.0    131,734  11.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     23       35,474  5.3     61,616  9.1                146,662 12.7    202,610  17.5

CBT 5-YEAR U.S. TREASURY NOTES            U.S.        4        7,250  3.8      5,675  3.0    192,116       4,700  2.5      1,875   1.0    187,675
                                          NON U.S.    4        3,700  1.9      1,500  0.8                    600  0.3     18,600   9.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       10,950  5.7      7,175  3.8                  5,300  2.8     20,475  10.9

CBT 30-DAY FEDERAL FUNDS                  U.S.                 7,000 13.6      6,000 11.7     51,320       5,000  7.7      5,000   7.7     64,694
                                          NON U.S.             8,325 16.2          0  0.0                  1,000  1.5      1,000   1.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       15,325 29.8      6,000 11.7                  6,000  9.2      6,000   9.2

NYME CRUDE OIL, LIGHT SWEET               U.S.               134,642  6.6    156,324  7.7  2,042,252      82,155  5.7     79,033   5.5  1,439,441
                                          NON U.S.            36,542  1.8     51,782  2.5                 41,967  2.9     27,884   1.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     17      171,184  8.4    208,106 10.2                124,122  8.6    106,917   7.4

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                24,916 12.6     28,192 14.2    198,288       7,182 10.5      1,988   2.9     68,210
                                          NON U.S.               750  0.4        400  0.2                    100  0.1        350   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       25,666 13.0     28,592 14.4                  7,282 10.6      2,338   3.4

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.                56,422  9.2     82,912 13.5    615,685      96,559 16.5     57,538   9.8    586,268
                                          NON U.S.            48,178  7.8     91,275 14.8                 85,270 14.5     50,703   8.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      104,600 17.0    174,187 28.3                181,829 31.0    108,241  18.4

NYME EUR STYLE BRENT OPTIONS              U.S.                 8,179 10.6      8,804 11.4     77,316       1,900  4.7      6,052  15.0     40,310
                                          NON U.S.               500  0.6      1,075  1.4                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        8,679 11.2      9,879 12.8                  1,900  4.7      6,052  15.0

NYME BRENT AVG PRICE OPTIONS              U.S.                15,252  7.5     23,102 11.3    203,723      22,542 12.7     11,098   6.2    178,183
                                          NON U.S.            15,211  7.5     31,603 15.5                 16,660  9.3     17,608   9.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11       30,463 15.0     54,705 26.8                 39,202 22.0     28,706  16.1

NYME PALLADIUM                            U.S.                   800  9.7        500  6.0      8,272         300  7.5         50   1.3      3,980
                                          NON U.S.               350  4.2        300  3.6                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        1,150 13.9        800  9.6                    300  7.5         50   1.3

NYME PLATINUM                             U.S.                   400  5.3        403  5.4      7,484          50  2.6          0   0.0      1,897
                                          NON U.S.               200  2.7        200  2.7                      0  0.0         50   2.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5          600  8.0        603  8.1                     50  2.6         50   2.6

ICUS SUGAR NO. 11                         U.S.                 3,080  1.2      7,245  2.8    260,877       4,340  1.7      8,200   3.2    253,271
                                          NON U.S.             3,235  1.2      1,964  0.8                  2,279  0.9        349   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        6,315  2.4      9,209  3.6                  6,619  2.6      8,549   3.3

CMX SILVER                                U.S.                 5,128  4.8      5,475  5.1    107,594       5,785  7.2      3,747   4.6     80,737
                                          NON U.S.             4,638  4.3     10,510  9.8                  3,480  4.3     11,680  14.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9        9,766  9.1     15,985 14.9                  9,265 11.5     15,427  19.1

CMX GOLD                                  U.S.                75,052  9.7     71,196  9.2    776,239      31,734  7.6     51,198  12.2    418,358
                                          NON U.S.            33,847  4.4     36,838  4.7                 16,980  4.1     23,412   5.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12      108,899 14.1    108,034 13.9                 48,714 11.7     74,610  17.8

CME 3-MONTH EURODOLLARS                   U.S.       10      290,700  4.9    332,330  5.6  5,949,325     443,860  5.0    505,900   5.7  8,799,224
                                          NON U.S.   25      446,577  7.5    463,028  7.8                719,693  8.2    772,546   8.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     35      737,277 12.4    795,358 13.4              1,163,553 13.2  1,278,446  14.5

CME E-MINI S&P 500 STOCK INDEX            U.S.                     0  0.0        300  0.0    729,821          64  0.0        300   0.0  1,279,873
                                          NON U.S.            13,650  1.9      3,300  0.5                  3,950  0.3      2,300   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10       13,650  1.9      3,600  0.5                  4,014  0.3      2,600   0.2