BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 10/04/2011



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

CBT WHEAT                                 U.S.                 3,087  1.8      3,886  2.2    173,437       4,052  3.0      1,814   1.4    132,930
                                          NON U.S.             1,100  0.6        115  0.1                  1,760  1.3        465   0.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        4,187  2.4      4,001  2.3                  5,812  4.3      2,279   1.7

CBT CORN                                  U.S.                20,252  1.8     17,533  1.6  1,101,086      23,085  2.3     18,624   1.9    990,695
                                          NON U.S.             3,350  0.3      1,238  0.1                  1,400  0.1      6,400   0.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       23,602  2.1     18,771  1.7                 24,485  2.4     25,024   2.5

CBT U.S. TREASURY BONDS                   U.S.        6        7,970  2.7     11,315  3.9    292,472       6,470  2.9     10,865   4.8    225,619
                                          NON U.S.    4        9,845  3.4      9,650  3.3                  1,060  0.5      1,065   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10       17,815  6.1     20,965  7.2                  7,530  3.4     11,930   5.3

NYME NO. 2 HEATING OIL, N.Y. HARBOR       U.S.                 3,205  4.2      1,780  2.3     76,220       3,080  3.8      3,705   4.6     80,359
                                          NON U.S.               950  1.2        615  0.8                  1,460  1.8      1,055   1.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        4,155  5.4      2,395  3.1                  4,540  5.6      4,760   5.9

NYME HEATING OIL AVG PRICE OPTIONS        U.S.                13,527  9.0      5,865  3.9    150,746       2,145  2.7     10,482  13.0     80,926
                                          NON U.S.             3,330  2.2      2,310  1.5                  1,830  2.3      1,665   2.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       16,857 11.2      8,175  5.4                  3,975  5.0     12,147  15.1

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               295,808  8.6    343,104 10.0  3,426,627     159,921  6.7    147,530   6.2  2,386,586
                                          NON U.S.            23,662  0.7     37,598  1.1                 25,798  1.1     12,515   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8      319,470  9.3    380,702 11.1                185,719  7.8    160,045   6.7

ICUS COTTON NO. 2                         U.S.                10,432  5.2      6,502  3.2    201,400       5,167  3.6      4,247   3.0    141,924
                                          NON U.S.               970  0.5        425  0.2                    620  0.4        335   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       11,402  5.7      6,927  3.4                  5,787  4.0      4,582   3.2

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6       23,975  4.7     28,050  5.5    509,073      31,475  5.0     25,525   4.1    625,907
                                          NON U.S.    8        3,365  0.7      3,575  0.7                 12,950  2.1     13,010   2.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     14       27,340  5.4     31,625  6.2                 44,425  7.1     38,535   6.2

CBT 5-YEAR U.S. TREASURY NOTES            U.S.                35,537 15.0        700  0.3    237,514      26,550  9.7        700   0.3    274,403
                                          NON U.S.               800  0.3     43,695 18.4                  1,300  0.5     41,179  15.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7       36,337 15.3     44,395 18.7                 27,850 10.2     41,879  15.3

CBT 30-DAY FEDERAL FUNDS                  U.S.                 2,000  0.9      5,645  2.4    233,128      20,900  3.3     20,075   3.2    635,685
                                          NON U.S.             4,310  1.8      6,400  2.7                 54,000  8.5     55,451   8.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11        6,310  2.7     12,045  5.1                 74,900 11.8     75,526  11.9

NYME CRUDE OIL, LIGHT SWEET               U.S.               119,392  5.7    154,374  7.3  2,112,862     125,255  6.4    105,063   5.4  1,947,267
                                          NON U.S.            32,385  1.5     49,851  2.4                 52,122  2.7     35,499   1.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     15      151,777  7.2    204,225  9.7                177,377  9.1    140,562   7.2

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                33,873 12.0     35,817 12.7    281,712      13,592 10.0      4,235   3.1    136,418
                                          NON U.S.             2,050  0.7        400  0.1                  2,250  1.6      3,275   2.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       35,923 12.7     36,217 12.8                 15,842 11.6      7,510   5.5

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.        4       80,726  9.5    106,249 12.5    851,157     127,275 16.1     81,801  10.3    790,633
                                          NON U.S.    9       35,110  4.1     83,038  9.8                 85,628 10.8     57,446   7.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      115,836 13.6    189,287 22.3                212,903 26.9    139,247  17.6

NYME BRENT CRUDE OIL LAST DAY             U.S.                   950  9.7        180  1.8      9,768          30  0.2        295   1.6     18,261
                                          NON U.S.               555  5.7        250  2.6                  1,080  5.9        500   2.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        1,505 15.4        430  4.4                  1,110  6.1        795   4.3

NYME EUR STYLE BRENT OPTIONS              U.S.                11,217 16.5     11,197 16.5     67,957       3,421  5.9      4,990   8.6     58,090
                                          NON U.S.               500  0.7      2,575  3.8                      0  0.0        250   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       11,717 17.2     13,772 20.3                  3,421  5.9      5,240   9.0

NYME BRENT AVG PRICE OPTIONS              U.S.                 5,259  3.9      6,253  4.6    136,566      13,980 11.8      7,020   5.9    118,770
                                          NON U.S.             7,200  5.3      9,948  7.3                  6,765  5.7      6,405   5.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7       12,459  9.2     16,201 11.9                 20,745 17.5     13,425  11.3

CMX SILVER                                U.S.                 3,304  2.7      7,276  5.9    123,160       6,264  6.9      3,614   4.0     90,641
                                          NON U.S.             3,345  2.7      5,446  4.4                  1,870  2.1      4,209   4.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8        6,649  5.4     12,722 10.3                  8,134  9.0      7,823   8.6

CMX GOLD                                  U.S.                65,858  8.5     70,395  9.1    776,775      46,157  8.9     53,413  10.3    517,848
                                          NON U.S.            21,749  2.8     30,010  3.9                 20,257  3.9     28,740   5.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12       87,607 11.3    100,405 13.0                 66,414 12.8     82,153  15.8

CME EURO FX                               U.S.                 3,392  3.3        411  0.4    101,589       2,727  1.8        239   0.2    150,427
                                          NON U.S.             5,901  5.8      1,687  1.7                  4,004  2.7      3,300   2.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        9,293  9.1      2,098  2.1                  6,731  4.5      3,539   2.4

CME 3-MONTH EURODOLLARS                   U.S.       14      381,843  3.9    389,600  4.0  9,718,734     558,173  5.2    318,476   3.0 10,689,825
                                          NON U.S.   27      357,463  3.7    458,553  4.7                535,598  5.0    428,760   4.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     41      739,306  7.6    848,153  8.7              1,093,771 10.2    747,236   7.0

CME E-MINI S&P 500 STOCK INDEX            U.S.                   250  0.0          0  0.0    713,785         251  0.0      5,821   0.5  1,181,850
                                          NON U.S.             2,190  0.3        308  0.0                    390  0.0      1,945   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        2,440  0.3        308  0.0                    641  0.0      7,766   0.7