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.
04/04/06 CBT U.S. TREASURY BONDS U.S. 3 32,850 7.1 50,873 11.0 461,516 12,200 2.9 17,213 4.1 416,503
NON U.S. 7 4,000 0.9 1,000 0.2 17,012 4.1 885 0.2
---- ------- ---- ------- ---- ------- ---- ------- ----
10 36,850 8.0 51,873 11.2 29,212 7.0 18,098 4.3
04/04/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 800 2.6 0 0.0 31,281 775 3.0 0 0.0 26,157
NON U.S. 3 2,315 7.4 125 0.4 1,445 5.5 630 2.4
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,115 10.0 125 0.4 2,220 8.5 630 2.4
04/04/06 NYME NATURAL GAS U.S. 4 28,555 5.1 23,162 4.1 558,525 34,405 6.2 27,316 5.0 550,816
NON U.S. 10 46,982 8.4 25,812 4.6 40,843 7.4 37,905 6.9
---- ------- ---- ------- ---- ------- ---- ------- ----
14 75,537 13.5 48,974 8.7 75,248 13.6 65,221 11.9
04/04/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 77,750 6.8 68,650 6.0 1,147,997 115,515 9.5 90,405 7.4 1,214,291
NON U.S. 7 208,366 18.2 243,551 21.2 209,084 17.2 159,969 13.2
---- ------- ---- ------- ---- ------- ---- ------- ----
12 286,116 25.0 312,201 27.2 324,599 26.7 250,374 20.6
04/04/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 58,350 5.6 62,402 5.9 1,050,590 102,806 8.7 112,182 9.4 1,188,445
NON U.S. 26 38,439 3.7 30,469 2.9 68,647 5.8 62,415 5.3
---- ------- ---- ------- ---- ------- ---- ------- ----
30 96,789 9.3 92,871 8.8 171,453 14.5 174,597 14.7
04/04/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 12,911 6.8 1,550 0.8 188,632 28,461 8.1 10,050 2.9 351,369
NON U.S. 7 8,000 4.2 750 0.4 31,200 8.9 9,015 2.6
---- ------- ---- ------- ---- ------- ---- ------- ----
11 20,911 11.0 2,300 1.2 59,661 17.0 19,065 5.5
04/04/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 18,933 1.9 65,738 6.4 1,020,276 63,712 10.8 37,597 6.4 588,238
NON U.S. 10 17,899 1.8 37,599 3.7 23,135 3.9 38,239 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
13 36,832 3.7 103,337 10.1 86,847 14.7 75,836 12.9
04/04/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 54,188 5.8 54,747 5.8 936,699 87,420 6.7 76,072 5.9 1,300,214
NON U.S. 14 94,669 10.1 151,272 16.1 173,408 13.3 166,260 12.8
---- ------- ---- ------- ---- ------- ---- ------- ----
18 148,857 15.9 206,019 21.9 260,828 20.0 242,332 18.7
04/04/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 100 0.8 20 0.2 12,220 150 0.9 20 0.1 15,829
NON U.S. 3 550 4.5 3,000 24.5 3,250 20.5 500 3.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 650 5.3 3,020 24.7 3,400 21.4 520 3.3
04/04/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 150 0.4 600 1.6 37,048 0 0.0 150 0.3 48,325
NON U.S. 4 2,100 5.7 5,100 13.8 7,200 14.9 3,825 7.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,250 6.1 5,700 15.4 7,200 14.9 3,975 8.2
04/04/06 CMX SILVER U.S. 2 3,815 4.3 4,590 5.2 88,921 500 1.2 1,810 4.4 41,202
NON U.S. 5 4,340 4.9 2,747 3.1 2,785 6.8 2,045 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 8,155 9.2 7,337 8.3 3,285 8.0 3,855 9.4
04/04/06 CMX GOLD U.S. 2 14,190 9.8 14,511 10.1 144,169 10,525 8.7 15,935 13.2 120,425
NON U.S. 9 14,818 10.3 14,092 9.8 21,773 18.1 6,900 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 29,008 20.1 28,603 19.9 32,298 26.8 22,835 18.9
04/04/06 CME CANADIAN DOLLAR U.S. 2 3,849 28.5 543 4.0 13,509 3,845 24.3 1,343 8.5 15,811
NON U.S. 3 533 3.9 294 2.2 3,505 22.2 650 4.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 4,382 32.4 837 6.2 7,350 46.5 1,993 12.6
04/04/06 CME JAPANESE YEN U.S. 3 1,607 2.5 35,031 53.8 65,083 31,375 65.9 908 1.9 47,599
NON U.S. 4 3,439 5.3 1,550 2.4 1,000 2.1 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 5,046 7.8 36,581 56.2 32,375 68.0 908 1.9
04/04/06 CME EURO FX U.S. 2 4,027 5.1 2,636 3.3 79,438 4,139 5.8 2,929 4.1 70,817
NON U.S. 6 10,146 12.8 56 0.1 5,449 7.7 682 1.0
---- ------- ---- ------- ---- ------- ---- ------- ----
8 14,173 17.9 2,692 3.4 9,588 13.5 3,611 5.1
04/04/06 CME 3-MONTH EURODOLLARS U.S. 10 568,623 4.3 643,178 4.8 13,297,756 603,332 4.9 258,490 2.1 12,426,690
NON U.S. 46 642,183 4.8 773,928 5.8 626,944 5.0 564,865 4.5
---- ------- ---- ------- ---- ------- ---- ------- ----
56 1210806 9.1 1417106 10.6 1230276 9.9 823,355 6.6