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.
08/02/05 CBT U.S. TREASURY BONDS U.S. 3 17,997 5.2 5,000 1.4 347,009 16,900 3.6 4,249 0.9 469,145
NON U.S. 10 285 0.1 4,596 1.3 9,814 2.1 17,300 3.7
---- ------- ---- ------- ---- ------- ---- ------- ----
13 18,282 5.3 9,596 2.7 26,714 5.7 21,549 4.6
08/02/05 NYME NATURAL GAS U.S. 5 16,180 3.3 15,343 3.1 496,538 23,566 3.4 21,902 3.2 683,280
NON U.S. 6 35,663 7.2 30,960 6.2 43,851 6.4 36,499 5.3
---- ------- ---- ------- ---- ------- ---- ------- ----
11 51,843 10.5 46,303 9.3 67,417 9.8 58,401 8.5
08/02/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 37,418 6.1 35,826 5.9 611,482 46,114 6.3 60,035 8.3 727,635
NON U.S. 6 72,314 11.8 90,594 14.8 106,499 14.6 92,634 12.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 109,732 17.9 126,420 20.7 152,613 20.9 152,669 21.0
08/02/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 71,316 6.0 87,977 7.4 1,188,007 78,100 5.5 92,138 6.5 1,408,140
NON U.S. 33 32,730 2.8 32,265 2.7 126,208 9.0 65,450 4.6
---- ------- ---- ------- ---- ------- ---- ------- ----
38 104,046 8.8 120,242 10.1 204,308 14.5 157,588 11.1
08/02/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 2,750 0.9 45,900 15.7 292,334 18,500 2.7 56,025 8.3 675,398
NON U.S. 14 18,650 6.4 9,025 3.1 54,773 8.1 11,650 1.7
---- ------- ---- ------- ---- ------- ---- ------- ----
18 21,400 7.3 54,925 18.8 73,273 10.8 67,675 10.0
08/02/05 CBT 30-DAY FEDERAL FUNDS U.S. 2 50,446 9.5 37,267 7.0 530,264 5,500 2.3 20,397 8.5 241,189
NON U.S. 3 8,375 1.6 4,000 0.8 20,290 8.4 1,050 0.4
---- ------- ---- ------- ---- ------- ---- ------- ----
5 58,821 11.1 41,267 7.8 25,790 10.7 21,447 8.9
08/02/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 47,977 6.6 43,854 6.1 724,780 71,481 7.7 34,401 3.7 923,809
NON U.S. 12 79,275 10.9 127,879 17.6 116,683 12.6 120,922 13.1
---- ------- ---- ------- ---- ------- ---- ------- ----
16 127,252 17.5 171,733 23.7 188,164 20.3 155,323 16.8
08/02/05 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 220,368 0 0.0 100 0.1 123,546
NON U.S. 4 1,805 0.8 4,349 2.0 2,075 1.7 1,345 1.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,805 0.8 4,349 2.0 2,075 1.7 1,445 1.2
08/02/05 CMX SILVER U.S. 2 3,170 6.1 3,121 6.0 51,886 400 2.2 820 4.5 18,330
NON U.S. 3 355 0.7 5,383 10.4 600 3.3 450 2.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,525 6.8 8,504 16.4 1,000 5.5 1,270 7.0
08/02/05 CMX GOLD U.S. 2 11,060 7.8 12,982 9.2 141,419 16,280 16.4 7,965 8.0 99,414
NON U.S. 11 16,933 12.0 7,936 5.6 16,921 17.0 6,546 6.6
---- ------- ---- ------- ---- ------- ---- ------- ----
13 27,993 19.8 20,918 14.8 33,201 33.4 14,511 14.6
08/02/05 CME CANADIAN DOLLAR U.S. 2 958 7.7 3,482 27.8 12,505 2,151 22.7 1,097 11.6 9,478
NON U.S. 4 1,474 11.8 300 2.4 645 6.8 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,432 19.5 3,782 30.2 2,796 29.5 1,097 11.6
08/02/05 CME EURO FX U.S. 1 3,607 5.4 2,397 3.6 66,767 2,367 4.4 1,950 3.6 54,037
NON U.S. 6 2,638 4.0 1,660 2.5 2,190 4.1 3,133 5.8
---- ------- ---- ------- ---- ------- ---- ------- ----
7 6,245 9.4 4,057 6.1 4,557 8.5 5,083 9.4
08/02/05 CME 3-MONTH EURODOLLARS U.S. 8 390,525 4.4 738,343 8.3 8,873,968 969,895 10.6 665,379 7.3 9,134,642
NON U.S. 47 408,097 4.6 416,057 4.7 684,860 7.5 326,311 3.6
---- ------- ---- ------- ---- ------- ---- ------- ----
55 798,622 9.0 1154400 13.0 1654755 18.1 991,690 10.9