BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 07/03/2012



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

CBT WHEAT                                 U.S.                 9,865  6.2      3,395  2.1    159,837       4,052  3.0      2,724   2.0    135,623
                                          NON U.S.               650  0.4        778  0.5                    500  0.4        110   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       10,515  6.6      4,173  2.6                  4,552  3.4      2,834   2.1

CBT CORN                                  U.S.                17,093  2.2      8,351  1.1    766,777      20,140  2.5     13,663   1.7    793,840
                                          NON U.S.             1,280  0.2        955  0.1                    955  0.1      5,005   0.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       18,373  2.4      9,306  1.2                 21,095  2.6     18,668   2.3

CBT U.S. TREASURY BONDS                   U.S.                14,935  6.3     10,270  4.3    237,449      12,120  6.5      8,590   4.6    186,097
                                          NON U.S.             4,050  1.7      9,500  4.0                  5,925  3.2     11,250   6.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       18,985  8.0     19,770  8.3                 18,045  9.7     19,840  10.6

NYME HEATING OIL AVG PRICE OPTIONS        U.S.                10,095 13.5      5,202  7.0     74,830         837  1.6      8,727  16.7     52,381
                                          NON U.S.             1,934  2.6      1,073  1.4                     50  0.1          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       12,029 16.1      6,275  8.4                    887  1.7      8,727  16.7

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               317,305  7.6    377,416  9.0  4,184,315     195,326  6.4    164,134   5.4  3,056,044
                                          NON U.S.            36,187  0.9     47,712  1.1                 33,160  1.1     14,331   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10      353,492  8.5    425,128 10.1                228,486  7.5    178,465   5.9

ICUS COTTON NO. 2                         U.S.                 3,940  3.3      2,260  1.9    118,101       1,195  1.0      1,215   1.0    120,934
                                          NON U.S.             1,065  0.9        435  0.4                    391  0.3        235   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,005  4.2      2,695  2.3                  1,586  1.3      1,450   1.2

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6       15,975  2.7     33,607  5.7    588,881      64,608  7.2     70,640   7.9    897,358
                                          NON U.S.   15       17,150  2.9     15,807  2.7                 93,850 10.5    107,306  12.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     21       33,125  5.6     49,414  8.4                158,458 17.7    177,946  19.9

CBT 5-YEAR U.S. TREASURY NOTES            U.S.                 2,500  1.8      2,000  1.4    141,467       4,000  2.2          0   0.0    184,642
                                          NON U.S.             3,925  2.8      3,400  2.4                  2,250  1.2     25,700  13.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        6,425  4.6      5,400  3.8                  6,250  3.4     25,700  13.9

NYME CRUDE OIL, LIGHT SWEET               U.S.               134,820  6.6    154,483  7.6  2,032,331      91,950  6.2     79,622   5.4  1,482,656
                                          NON U.S.            36,004  1.8     49,716  2.4                 40,004  2.7     27,291   1.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     17      170,824  8.4    204,199 10.0                131,954  8.9    106,913   7.2

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                24,786 12.5     27,957 14.1    198,920       6,922  9.8      2,550   3.6     70,579
                                          NON U.S.               550  0.3        400  0.2                    100  0.1        150   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       25,336 12.8     28,357 14.3                  7,022  9.9      2,700   3.8

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.                57,922  8.9     78,823 12.2    647,175      98,837 16.3     60,027   9.9    608,037
                                          NON U.S.            49,917  7.7     94,205 14.6                 91,186 15.0     53,737   8.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      107,839 16.6    173,028 26.8                190,023 31.3    113,764  18.7

NYME EUR STYLE BRENT OPTIONS              U.S.                 7,574  9.6      9,629 12.2     78,892       1,850  4.6      7,032  17.4     40,488
                                          NON U.S.               500  0.6      1,025  1.3                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        8,074 10.2     10,654 13.5                  1,850  4.6      7,032  17.4

NYME BRENT AVG PRICE OPTIONS              U.S.                12,485  6.0     21,296 10.2    208,607      22,135 11.7     12,598   6.7    188,716
                                          NON U.S.            16,422  7.9     33,537 16.1                 18,135  9.6     18,695   9.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11       28,907 13.9     54,833 26.3                 40,270 21.3     31,293  16.6

NYME PALLADIUM                            U.S.                   800 11.1        500  7.0      7,185         300  7.2          0   0.0      4,180
                                          NON U.S.               350  4.9        300  4.2                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        1,150 16.0        800 11.2                    300  7.2          0   0.0

NYME PLATINUM                             U.S.                   400  6.9        300  5.2      5,794          50  2.9          0   0.0      1,699
                                          NON U.S.               200  3.5        200  3.5                      0  0.0         50   2.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5          600 10.4        500  8.7                     50  2.9         50   2.9

ICUS SUGAR NO. 11                         U.S.                 3,180  1.5      5,060  2.4    215,063       4,190  2.1      7,160   3.5    204,039
                                          NON U.S.             2,580  1.2        824  0.4                  1,355  0.7        224   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,760  2.7      5,884  2.8                  5,545  2.8      7,384   3.6

CMX SILVER                                U.S.                 4,343  4.4      5,145  5.2     99,667       4,810  6.4      2,962   3.9     75,281
                                          NON U.S.             4,723  4.7      7,727  7.8                  3,709  4.9     10,792  14.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8        9,066  9.1     12,872 13.0                  8,519 11.3     13,754  18.2

CMX GOLD                                  U.S.                78,199  9.6     75,275  9.3    811,746      32,517  7.1     56,486  12.4    457,067
                                          NON U.S.            32,358  4.0     38,258  4.7                 21,192  4.6     24,937   5.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12      110,557 13.6    113,533 14.0                 53,709 11.7     81,423  17.9

CME 3-MONTH EURODOLLARS                   U.S.       10      252,150  4.2    291,910  4.8  6,050,705     440,160  4.9    530,150   5.9  8,939,623
                                          NON U.S.   26      325,357  5.4    337,590  5.6                872,529  9.8  1,000,567  11.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     36      577,507  9.6    629,500 10.4              1,312,689 14.7  1,530,717  17.1

CME E-MINI S&P 500 STOCK INDEX            U.S.                     0  0.0          0  0.0    746,116           0  0.0          0   0.0  1,222,747
                                          NON U.S.            17,781  2.4      4,810  0.6                  8,015  0.7      3,865   0.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10       17,781  2.4      4,810  0.6                  8,015  0.7      3,865   0.3