BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 09/04/2012



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

CBT CORN                                  U.S.                17,433  1.8     11,171  1.2    950,954      21,012  2.4     13,770   1.6    860,278
                                          NON U.S.             1,772  0.2      1,180  0.1                  3,435  0.4      5,280   0.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       19,205  2.0     12,351  1.3                 24,447  2.8     19,050   2.2

CBT SOYBEANS                              U.S.                 5,644  0.9      5,372  0.8    660,993       8,125  1.6      4,905   0.9    520,518
                                          NON U.S.               835  0.1      1,715  0.3                  1,315  0.3        345   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        6,479  1.0      7,087  1.1                  9,440  1.9      5,250   1.0

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               307,796  7.9    353,943  9.1  3,875,191     180,331  6.5    146,382   5.2  2,788,312
                                          NON U.S.            36,039  0.9     46,338  1.2                 34,297  1.2     13,306   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10      343,835  8.8    400,281 10.3                214,628  7.7    159,688   5.7

NYME NAT GAS OPT ON CALENDAR STRIP        U.S.                 3,328 15.7      2,205 10.4     21,155       1,380 17.1      2,100  26.1      8,060
                                          NON U.S.                 0  0.0        448  2.1                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        3,328 15.7      2,653 12.5                  1,380 17.1      2,100  26.1

ICUS COTTON NO. 2                         U.S.                 4,095  2.8      3,881  2.6    148,766       1,720  1.2      1,448   1.0    145,695
                                          NON U.S.             1,065  0.7        435  0.3                    391  0.3        285   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,160  3.5      4,316  2.9                  2,111  1.5      1,733   1.2

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6       24,000  4.6     19,475  3.7    527,178      24,188  3.3     19,410   2.6    742,984
                                          NON U.S.   12       16,564  3.1     43,000  8.2                 98,414 13.2     92,100  12.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     18       40,564  7.7     62,475 11.9                122,602 16.5    111,510  15.0

CBT 30-DAY FEDERAL FUNDS                  U.S.                 5,500 12.1      6,000 13.2     45,374       4,000  8.4      4,000   8.4     47,390
                                          NON U.S.             9,309 20.5          0  0.0                    750  1.6        750   1.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7       14,809 32.6      6,000 13.2                  4,750 10.0      4,750  10.0

NYME CRUDE OIL, LIGHT SWEET               U.S.               133,662  6.5    160,541  7.9  2,042,903      91,006  6.2     77,591   5.3  1,458,325
                                          NON U.S.            33,850  1.7     56,805  2.8                 48,013  3.3     27,562   1.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     17      167,512  8.2    217,346 10.7                139,019  9.5    105,153   7.2

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                24,946 12.5     27,922 14.0    199,868       7,082 10.5      2,166   3.2     67,225
                                          NON U.S.               650  0.3        530  0.3                      0  0.0        350   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       25,596 12.8     28,452 14.3                  7,082 10.5      2,516   3.7

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.                56,665  9.3     85,036 13.9    610,552      96,951 17.1     56,750  10.0    568,146
                                          NON U.S.            47,107  7.7     99,987 16.4                 92,841 16.3     46,661   8.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      103,772 17.0    185,023 30.3                189,792 33.4    103,411  18.2

NYME BRENT AVG PRICE OPTIONS              U.S.                16,862  8.5     23,077 11.7    197,904      26,407 15.2     13,333   7.7    173,217
                                          NON U.S.            14,155  7.2     33,769 17.1                 20,505 11.8     16,551   9.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12       31,017 15.7     56,846 28.8                 46,912 27.0     29,884  17.3

NYME PLATINUM                             U.S.                   400  3.8        500  4.8     10,504          50  1.2        700  16.6      4,212
                                          NON U.S.               750  7.1        500  4.8                      0  0.0        650  15.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        1,150 10.9      1,000  9.6                     50  1.2      1,350  32.0

ICUS SUGAR NO. 11                         U.S.                 3,405  1.1      7,795  2.6    301,985       4,340  1.8      8,700   3.5    247,421
                                          NON U.S.             3,385  1.1      1,639  0.5                  1,129  0.5        424   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        6,790  2.2      9,434  3.1                  5,469  2.3      9,124   3.7

CMX SILVER                                U.S.                 5,008  5.2      6,237  6.4     97,074       6,245  8.0      3,797   4.9     77,624
                                          NON U.S.             4,831  5.0      8,479  8.7                  3,123  4.0      9,586  12.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9        9,839 10.2     14,716 15.1                  9,368 12.0     13,383  17.2

CMX GOLD                                  U.S.                74,264  9.2     71,022  8.8    805,910      33,211  7.5     50,674  11.4    443,285
                                          NON U.S.            32,574  4.0     39,571  4.9                 18,336  4.1     21,618   4.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12      106,838 13.2    110,593 13.7                 51,547 11.6     72,292  16.3

CME EURO FX                               U.S.                 6,443  5.1        292  0.2    125,853       2,283  1.2      4,897   2.6    186,925
                                          NON U.S.             5,643  4.5      1,967  1.6                  7,743  4.1      1,203   0.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       12,086  9.6      2,259  1.8                 10,026  5.3      6,100   3.2

CME 3-MONTH EURODOLLARS                   U.S.       10      309,000  4.9    354,506  5.6  6,343,107     457,535  5.0    517,650   5.7  9,120,893
                                          NON U.S.   27      433,596  6.8    502,364  7.9                772,528  8.5    792,991   8.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     37      742,596 11.7    856,870 13.5              1,230,063 13.5  1,310,641  14.4

CME E-MINI S&P 500 STOCK INDEX            U.S.                     0  0.0        300  0.0    680,685           0  0.0        300   0.0  1,190,731
                                          NON U.S.             8,220  1.2      1,735  0.3                  2,551  0.2      2,466   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        8,220  1.2      2,035  0.3                  2,551  0.2      2,766   0.2