BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
BANK BANK LONG SHORT CALL LONG SHORT PUT
DATE COMMODITY TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
04/05/05 CBT U.S. TREASURY BONDS U.S. 4 15,050 4.2 6,600 1.9 355,226 7,400 1.5 3,250 0.7 498,395
NON U.S. 11 7,700 2.2 8,090 2.3 9,733 2.0 12,510 2.5
---- ------- ---- ------- ---- ------- ---- ------- ----
15 22,750 6.4 14,690 4.2 17,133 3.5 15,760 3.2
04/05/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 700 2.0 0 0.0 35,097 600 1.5 0 0.0 40,034
NON U.S. 3 2,810 8.0 990 2.8 1,610 4.0 1,815 4.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,510 10.0 990 2.8 2,210 5.5 1,815 4.5
04/05/05 NYME NATURAL GAS U.S. 5 16,942 4.3 10,773 2.7 391,861 20,799 4.5 13,324 2.9 462,193
NON U.S. 6 29,202 7.5 26,862 6.9 37,178 8.0 37,079 8.0
---- ------- ---- ------- ---- ------- ---- ------- ----
11 46,144 11.8 37,635 9.6 57,977 12.5 50,403 10.9
04/05/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 24,828 5.5 32,298 7.2 450,305 28,801 5.4 32,528 6.1 534,520
NON U.S. 6 52,206 11.6 65,833 14.6 69,861 13.1 60,827 11.4
---- ------- ---- ------- ---- ------- ---- ------- ----
11 77,034 17.1 98,131 21.8 98,662 18.5 93,355 17.5
04/05/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 66,316 5.4 61,795 5.1 1,223,178 109,444 6.5 82,572 4.9 1,690,831
NON U.S. 33 49,477 4.0 53,928 4.4 163,666 9.7 97,366 5.8
---- ------- ---- ------- ---- ------- ---- ------- ----
41 115,793 9.4 115,723 9.5 273,110 16.2 179,938 10.7
04/05/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 8,275 2.3 12,250 3.4 356,815 8,625 1.4 4,850 0.8 613,365
NON U.S. 14 24,170 6.8 32,663 9.2 22,675 3.7 23,582 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
17 32,445 9.1 44,913 12.6 31,300 5.1 28,432 4.6
04/05/05 CBT 30-DAY FEDERAL FUNDS U.S. 2 21,350 6.1 28,237 8.0 352,591 6,300 2.1 7,778 2.6 297,620
NON U.S. 13 23,050 6.5 8,500 2.4 21,126 7.1 11,793 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
15 44,400 12.6 36,737 10.4 27,426 9.2 19,571 6.6
04/05/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 59,011 9.5 36,693 5.9 620,650 66,071 7.4 41,439 4.6 897,036
NON U.S. 12 50,889 8.2 90,583 14.6 114,006 12.7 118,274 13.2
---- ------- ---- ------- ---- ------- ---- ------- ----
16 109,900 17.7 127,276 20.5 180,077 20.1 159,713 17.8
04/05/05 NYBT COFFEE C NON U.S. 5 60 0.1 360 0.3 107,856 1,241 1.8 0 0.0 67,148
04/05/05 CMX SILVER U.S. 1 700 1.2 871 1.4 60,610 0 0.0 300 1.5 19,489
NON U.S. 4 4,760 7.9 6,223 10.3 1,020 5.2 1,720 8.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,460 9.1 7,094 11.7 1,020 5.2 2,020 10.3
04/05/05 CMX GOLD U.S. 1 14,470 7.5 16,922 8.8 192,375 19,620 12.1 13,800 8.5 161,646
NON U.S. 8 23,600 12.3 19,692 10.2 29,375 18.2 17,010 10.5
---- ------- ---- ------- ---- ------- ---- ------- ----
9 38,070 19.8 36,614 19.0 48,995 30.3 30,810 19.0
04/05/05 CME CANADIAN DOLLAR U.S. 2 1,164 12.5 1,808 19.4 9,341 964 11.3 1,199 14.0 8,560
NON U.S. 3 300 3.2 450 4.8 530 6.2 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,464 15.7 2,258 24.2 1,494 17.5 1,199 14.0
04/05/05 CME EURO FX U.S. 2 5,314 7.3 2,577 3.5 72,685 3,432 6.7 2,586 5.0 51,431
NON U.S. 6 3,011 4.1 150 0.2 2,511 4.9 466 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
8 8,325 11.4 2,727 3.7 5,943 11.6 3,052 5.9
04/05/05 CME 3-MONTH EURODOLLARS U.S. 8 255,917 3.2 687,243 8.5 8,066,732 671,029 7.1 314,669 3.3 9,459,977
NON U.S. 51 425,375 5.3 523,457 6.5 946,439 10.0 588,924 6.2
---- ------- ---- ------- ---- ------- ---- ------- ----
59 681,292 8.5 1210700 15.0 1617468 17.1 903,593 9.5