BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
REPORT DATE: 04/03/2007
BANK BANK LONG SHORT CALL LONG SHORT PUT
COMMODITY NAME TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
CBT CORN U.S. 2 250 0.0 0 0.0 1,130,295 278 0.0 0 0.0 774,291
NON U.S. 6 25,467 2.3 3,369 0.3 24,799 3.2 74 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
8 25,717 2.3 3,369 0.3 25,077 3.2 74 0.0
CBT U.S. TREASURY BONDS U.S. 3 14,200 2.9 41,600 8.4 497,136 7,150 1.9 21,500 5.7 379,201
NON U.S. 7 2,000 0.4 2,206 0.4 3,050 0.8 121 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
10 16,200 3.3 43,806 8.8 10,200 2.7 21,621 5.7
NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 418 1.4 0 0.0 29,549 15 0.1 400 2.0 20,275
NON U.S. 4 1,850 6.3 575 1.9 900 4.4 1,500 7.4
---- --------- ---- --------- ---- --------- ---- --------- ----
6 2,268 7.7 575 1.9 915 4.5 1,900 9.4
NYME NATURAL GAS U.S. 4 9,100 1.2 9,425 1.3 734,123 13,895 1.9 9,035 1.3 719,896
NON U.S. 9 437,145 59.5 13,938 1.9 431,515 59.9 13,091 1.8
---- --------- ---- --------- ---- --------- ---- --------- ----
13 446,245 60.7 23,363 3.2 445,410 61.8 22,126 3.1
NYME EUR STYLE NATURAL GAS OPTIONS U.S. 5 139,082 4.8 170,695 5.9 2,911,947 141,812 6.3 157,067 7.0 2,244,218
NON U.S. 8 454,419 15.6 957,233 32.9 382,615 17.0 671,633 29.9
---- --------- ---- --------- ---- --------- ---- --------- ----
13 593,501 20.4 1,127,928 38.8 524,427 23.3 828,700 36.9
NYBT COTTON NO. 2 NON U.S. 5 1,473 0.8 350 0.2 189,047 20 0.0 0 0.0 108,771
CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 41,830 4.3 59,601 6.2 966,012 28,000 2.9 72,345 7.6 955,137
NON U.S. 25 55,945 5.8 50,150 5.2 110,287 11.5 42,222 4.4
---- --------- ---- --------- ---- --------- ---- --------- ----
31 97,775 10.1 109,751 11.4 138,287 14.4 114,567 12.0
CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 7,750 3.2 2,000 0.8 238,982 7,050 3.1 4,600 2.0 230,764
NON U.S. 10 7,836 3.3 10,215 4.3 13,236 5.7 3,160 1.4
---- --------- ---- --------- ---- --------- ---- --------- ----
13 15,586 6.5 12,215 5.1 20,286 8.8 7,760 3.4
CBT 30-DAY FEDERAL FUNDS U.S. 3 23,510 4.4 6,880 1.3 534,428 74,170 11.7 43,899 6.9 633,045
NON U.S. 16 18,416 3.4 16,293 3.0 63,559 10.0 36,744 5.8
---- --------- ---- --------- ---- --------- ---- --------- ----
19 41,926 7.8 23,173 4.3 137,729 21.7 80,643 12.7
NYME CRUDE OIL, LIGHT SWEET U.S. 4 103,647 6.3 120,547 7.3 1,646,192 129,762 7.8 98,737 5.9 1,660,395
NON U.S. 15 143,260 8.7 213,882 13.0 190,597 11.5 189,891 11.4
---- --------- ---- --------- ---- --------- ---- --------- ----
19 246,907 15.0 334,429 20.3 320,359 19.3 288,628 17.3
NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 4,805 3.5 13,190 9.5 138,597 4,425 3.7 8,305 6.9 120,222
NON U.S. 6 20,124 14.5 21,649 15.6 16,775 14.0 16,865 14.0
---- --------- ---- --------- ---- --------- ---- --------- ----
11 24,929 18.0 34,839 25.1 21,200 17.7 25,170 20.9
NYME CRUDE OIL AVG PRICE OPTIONS U.S. 4 15,095 5.8 22,325 8.5 262,329 23,051 10.4 7,484 3.4 220,838
NON U.S. 8 30,816 11.7 55,583 21.2 57,153 25.9 40,123 18.2
---- --------- ---- --------- ---- --------- ---- --------- ----
12 45,911 17.5 77,908 29.7 80,204 36.3 47,607 21.6
NYBT SUGAR NO. 11 NON U.S. 6 13,284 3.1 3,943 0.9 432,005 3,490 1.8 2,242 1.2 192,905
NYBT COFFEE C NON U.S. 6 1,133 0.9 1,525 1.2 131,966 748 1.3 795 1.4 58,823
CMX SILVER U.S. 3 5,104 6.6 3,569 4.6 77,101 2,590 7.4 1,440 4.1 35,175
NON U.S. 3 1,720 2.2 3,990 5.2 1,468 4.2 6,770 19.2
---- --------- ---- --------- ---- --------- ---- --------- ----
6 6,824 8.8 7,559 9.8 4,058 11.6 8,210 23.3
CMX GOLD U.S. 3 29,550 13.3 30,113 13.6 221,731 19,344 17.8 11,196 10.3 108,804
NON U.S. 3 24,274 10.9 26,650 12.0 10,330 9.5 26,102 24.0
---- --------- ---- --------- ---- --------- ---- --------- ----
6 53,824 24.2 56,763 25.6 29,674 27.3 37,298 34.3
CME CANADIAN DOLLAR U.S. 2 815 5.4 394 2.6 14,985 1,967 14.1 227 1.6 13,929
NON U.S. 3 2,360 15.7 1,130 7.5 1,867 13.4 200 1.4
---- --------- ---- --------- ---- --------- ---- --------- ----
5 3,175 21.1 1,524 10.1 3,834 27.5 427 3.0
CME EURO FX U.S. 2 10,232 13.3 4,023 5.2 76,859 8,101 12.5 2,583 4.0 64,989
NON U.S. 6 1,759 2.3 81 0.1 2,565 3.9 1,206 1.9
---- --------- ---- --------- ---- --------- ---- --------- ----
8 11,991 15.6 4,104 5.3 10,666 16.4 3,789 5.9
CME 3-MONTH EURODOLLARS U.S. 8 523,078 4.1 681,025 5.3 12,892,815 407,859 3.4 302,692 2.5 11,929,632
NON U.S. 54 1,596,953 12.4 1,243,294 9.6 809,451 6.8 592,747 5.0
---- --------- ---- --------- ---- --------- ---- --------- ----
62 2,120,031 16.5 1,924,319 14.9 1,217,310 10.2 895,439 7.5
CME S&P 500 STOCK INDEX U.S. 1 180 0.0 0 0.0 486,180 20 0.0 0 0.0 1,139,910
NON U.S. 5 2,496 0.5 331 0.1 709 0.1 43 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
6 2,676 0.5 331 0.1 729 0.1 43 0.0