BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 12/06/2011



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

CBT CORN                                  U.S.                 8,541  1.5      9,616  1.7    574,686      11,368  2.3      4,255   0.9    498,226
                                          NON U.S.             1,545  0.3        350  0.1                  1,995  0.4      5,250   1.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       10,086  1.8      9,966  1.8                 13,363  2.7      9,505   2.0

CBT U.S. TREASURY BONDS                   U.S.                 4,125  1.5      4,800  1.8    266,936       3,675  2.9      5,800   4.5    128,416
                                          NON U.S.             2,000  0.7      3,610  1.4                  3,400  2.6      3,750   2.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        6,125  2.2      8,410  3.2                  7,075  5.5      9,550   7.4

NYME HEATING OIL AVG PRICE OPTIONS        U.S.                10,280 10.9      4,570  4.8     94,340       2,410  4.2      7,618  13.1     57,939
                                          NON U.S.             2,294  2.4      1,975  2.1                    940  1.6        615   1.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       12,574 13.3      6,545  6.9                  3,350  5.8      8,233  14.2

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               277,398  7.5    334,520  9.0  3,699,893     151,558  6.0    145,794   5.8  2,534,583
                                          NON U.S.            23,342  0.6     38,224  1.0                 23,434  0.9     10,175   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8      300,740  8.1    372,744 10.0                174,992  6.9    155,969   6.2

ICUS COTTON NO. 2                         U.S.                 2,800  2.7      4,449  4.3    102,965         400  0.6      1,206   1.8     66,854
                                          NON U.S.               470  0.5         50  0.0                    470  0.7         50   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        3,270  3.2      4,499  4.3                    870  1.3      1,256   1.9

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6       15,383  2.5     13,425  2.2    614,935       5,183  1.1     15,925   3.5    458,768
                                          NON U.S.    6        4,070  0.7     24,570  4.0                 18,450  4.0     27,000   5.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12       19,453  3.2     37,995  6.2                 23,633  5.1     42,925   9.4

CBT 5-YEAR U.S. TREASURY NOTES            U.S.                 8,800  5.2      2,250  1.3    169,097       2,850  2.1      1,000   0.7    135,731
                                          NON U.S.               100  0.1     42,070 24.9                    100  0.1     40,870  30.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        8,900  5.3     44,320 26.2                  2,950  2.2     41,870  30.8

CBT 30-DAY FEDERAL FUNDS                  U.S.                 2,000  1.1      8,620  4.7    184,920      11,050  2.1     11,225   2.1    524,580
                                          NON U.S.             5,460  3.0      4,100  2.2                 43,000  8.2     41,150   7.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10        7,460  4.1     12,720  6.9                 54,050 10.3     52,375   9.9

NYME CRUDE OIL, LIGHT SWEET               U.S.               102,888  6.0    126,615  7.4  1,709,201      98,296  6.7     75,927   5.2  1,457,930
                                          NON U.S.            26,254  1.5     45,413  2.7                 39,660  2.7     32,087   2.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     15      129,142  7.5    172,028 10.1                137,956  9.4    108,014   7.4

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                25,879 12.9     29,712 14.8    201,009       8,547  9.7      2,324   2.6     88,297
                                          NON U.S.             1,700  0.8        400  0.2                    350  0.4        650   0.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       27,579 13.7     30,112 15.0                  8,897 10.1      2,974   3.3

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.        4       74,801  9.3    100,729 12.6    801,383     120,439 16.7     76,785  10.6    721,612
                                          NON U.S.   10       52,259  6.5     93,538 11.7                 85,331 11.8     64,152   8.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     14      127,060 15.8    194,267 24.3                205,770 28.5    140,937  19.5

NYME EUR STYLE BRENT OPTIONS              U.S.                11,047 19.8      6,497 11.7     55,661       5,421 11.6      5,717  12.3     46,614
                                          NON U.S.               500  0.9      2,025  3.6                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       11,547 20.7      8,522 15.3                  5,421 11.6      5,717  12.3

NYME BRENT AVG PRICE OPTIONS              U.S.                 7,445  4.7     11,757  7.5    156,839      16,750 12.5      7,758   5.8    134,012
                                          NON U.S.             6,660  4.2     20,733 13.2                  9,205  6.9      7,790   5.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9       14,105  8.9     32,490 20.7                 25,955 19.4     15,548  11.6

ICUS SUGAR NO. 11                         U.S.                 4,170  1.2      6,870  1.9    355,212       7,480  2.3      3,810   1.2    330,884
                                          NON U.S.             6,935  2.0      7,564  2.1                  2,740  0.8      2,054   0.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       11,105  3.2     14,434  4.0                 10,220  3.1      5,864   1.8

CMX SILVER                                U.S.                 1,868  2.4      4,241  5.3     79,316       4,287  7.6      2,605   4.6     56,445
                                          NON U.S.             2,193  2.8      4,016  5.1                  2,254  4.0      3,346   5.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        4,061  5.2      8,257 10.4                  6,541 11.6      5,951  10.5

CMX GOLD                                  U.S.                42,665  7.4     39,122  6.8    574,947      33,067  9.0     33,944   9.2    369,458
                                          NON U.S.            17,970  3.1     21,653  3.8                 12,693  3.4     20,976   5.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10       60,635 10.5     60,775 10.6                 45,760 12.4     54,920  14.9

CME EURO FX                               U.S.                 2,676  2.9        469  0.5     91,518       3,359  2.1      1,657   1.1    157,681
                                          NON U.S.             3,554  3.9      1,500  1.6                  4,215  2.7      2,795   1.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        6,230  6.8      1,969  2.1                  7,574  4.8      4,452   2.9

CME 3-MONTH EURODOLLARS                   U.S.       13      373,445  4.2    361,736  4.0  8,935,914     704,580  6.3    443,271   4.0 11,125,175
                                          NON U.S.   28      434,191  4.9    453,822  5.1                551,953  5.0    446,721   4.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     41      807,636  9.1    815,558  9.1              1,256,533 11.3    889,992   8.0