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.
08/01/06 CBT U.S. TREASURY BONDS U.S. 3 7,150 1.4 32,186 6.2 516,749 18,685 2.7 58,098 8.5 681,731
NON U.S. 5 2,000 0.4 0 0.0 7,337 1.1 8,100 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
8 9,150 1.8 32,186 6.2 26,022 3.8 66,198 9.7
08/01/06 NYME NATURAL GAS U.S. 5 33,083 3.7 34,345 3.9 890,680 52,930 7.0 41,797 5.6 752,910
NON U.S. 10 75,245 8.4 38,331 4.3 60,167 8.0 38,810 5.2
---- ------- ---- ------- ---- ------- ---- ------- ----
15 108,328 12.1 72,676 8.2 113,097 15.0 80,607 10.8
08/01/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 149,037 7.3 137,628 6.8 2,035,245 203,578 10.5 162,433 8.4 1,942,821
NON U.S. 7 319,874 15.7 366,096 18.0 266,812 13.7 216,006 11.1
---- ------- ---- ------- ---- ------- ---- ------- ----
13 468,911 23.0 503,724 24.8 470,390 24.2 378,439 19.5
08/01/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 105,433 8.0 29,125 2.2 1,314,287 70,900 5.6 50,042 4.0 1,264,812
NON U.S. 29 41,521 3.2 31,009 2.4 65,579 5.2 63,094 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
35 146,954 11.2 60,134 4.6 136,479 10.8 113,136 9.0
08/01/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 4,040 1.4 1,725 0.6 281,709 5,370 1.6 2,225 0.7 332,230
NON U.S. 14 12,618 4.5 13,117 4.7 15,368 4.6 12,015 3.6
---- ------- ---- ------- ---- ------- ---- ------- ----
18 16,658 5.9 14,842 5.3 20,738 6.2 14,240 4.3
08/01/06 CBT 30-DAY FEDERAL FUNDS U.S. 4 39,028 9.9 34,922 8.9 392,456 56,763 35.9 36,823 23.3 158,097
NON U.S. 17 20,056 5.1 37,618 9.6 21,851 13.8 16,717 10.6
---- ------- ---- ------- ---- ------- ---- ------- ----
21 59,084 15.0 72,540 18.5 78,614 49.7 53,540 33.9
08/01/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 56,115 5.2 95,849 8.8 1,085,027 88,905 6.4 48,400 3.5 1,398,955
NON U.S. 11 81,142 7.5 158,495 14.6 181,219 13.0 167,305 12.0
---- ------- ---- ------- ---- ------- ---- ------- ----
15 137,257 12.7 254,344 23.4 270,124 19.4 215,705 15.5
08/01/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 150 0.3 520 1.2 43,190 100 0.2 120 0.3 41,668
NON U.S. 5 10,300 23.8 5,525 12.8 5,650 13.6 12,250 29.4
---- ------- ---- ------- ---- ------- ---- ------- ----
7 10,450 24.1 6,045 14.0 5,750 13.8 12,370 29.7
08/01/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 275 0.2 825 0.5 156,932 250 0.2 925 0.6 152,405
NON U.S. 4 17,048 10.9 21,820 13.9 26,361 17.3 12,943 8.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 17,323 11.1 22,645 14.4 26,611 17.5 13,868 9.1
08/01/06 CMX SILVER U.S. 3 3,060 4.3 3,216 4.5 71,636 1,900 4.4 1,000 2.3 43,268
NON U.S. 3 5,740 8.0 2,790 3.9 2,130 4.9 1,690 3.9
---- ------- ---- ------- ---- ------- ---- ------- ----
6 8,800 12.3 6,006 8.4 4,030 9.3 2,690 6.2
08/01/06 CMX GOLD U.S. 2 10,735 5.7 15,068 8.0 189,534 6,050 5.7 16,050 15.0 106,705
NON U.S. 7 10,202 5.4 7,135 3.8 6,995 6.6 6,725 6.3
---- ------- ---- ------- ---- ------- ---- ------- ----
9 20,937 11.1 22,203 11.8 13,045 12.3 22,775 21.3
08/01/06 CME CANADIAN DOLLAR U.S. 2 6,762 32.5 320 1.5 20,802 4,502 19.5 2,873 12.4 23,132
NON U.S. 5 2,640 12.7 1,430 6.9 4,911 21.2 1,360 5.9
---- ------- ---- ------- ---- ------- ---- ------- ----
7 9,402 45.2 1,750 8.4 9,413 40.7 4,233 18.3
08/01/06 CME JAPANESE YEN U.S. 3 2,280 3.0 30,149 39.6 76,215 25,201 44.8 1,003 1.8 56,282
NON U.S. 2 3,560 4.7 1,000 1.3 1,000 1.8 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,840 7.7 31,149 40.9 26,201 46.6 1,003 1.8
08/01/06 CME EURO FX U.S. 2 4,820 7.2 1,976 3.0 66,854 6,040 8.5 1,915 2.7 71,116
NON U.S. 6 6,870 10.3 389 0.6 3,295 4.6 499 0.7
---- ------- ---- ------- ---- ------- ---- ------- ----
8 11,690 17.5 2,365 3.6 9,335 13.1 2,414 3.4
08/01/06 CME 3-MONTH EURODOLLARS U.S. 9 561,210 3.6 598,297 3.9 15,534,255 777,759 5.4 475,270 3.3 14,419,023
NON U.S. 49 819,192 5.3 827,204 5.3 551,982 3.8 601,770 4.2
---- ------- ---- ------- ---- ------- ---- ------- ----
58 1380402 8.9 1425501 9.2 1329741 9.2 1077040 7.5