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.
12/06/05 CBT CORN NON U.S. 5 4,289 1.6 1,750 0.7 266,837 6,847 5.3 50 0.0 130,173
12/06/05 CBT U.S. TREASURY BONDS U.S. 3 15,492 5.4 7,675 2.7 284,431 16,350 6.8 13,675 5.7 239,266
NON U.S. 7 12,395 4.4 5,000 1.8 3,790 1.6 800 0.3
---- ------- ---- ------- ---- ------- ---- ------- ----
10 27,887 9.8 12,675 4.5 20,140 8.4 14,475 6.0
12/06/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 675 0.8 0 0.0 86,391 500 1.5 0 0.0 33,258
NON U.S. 5 1,965 2.3 665 0.8 1,175 3.5 175 0.5
---- ------- ---- ------- ---- ------- ---- ------- ----
7 2,640 3.1 665 0.8 1,675 5.0 175 0.5
12/06/05 NYME NATURAL GAS U.S. 4 28,626 5.2 22,056 4.0 554,332 33,654 4.5 26,125 3.5 744,306
NON U.S. 9 42,260 7.6 32,459 5.9 62,822 8.4 50,280 6.8
---- ------- ---- ------- ---- ------- ---- ------- ----
13 70,886 12.8 54,515 9.9 96,476 12.9 76,405 10.3
12/06/05 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 54,840 6.2 60,907 6.9 884,682 68,350 6.6 83,705 8.1 1,031,935
NON U.S. 7 117,392 13.3 146,094 16.5 176,828 17.1 137,748 13.3
---- ------- ---- ------- ---- ------- ---- ------- ----
12 172,232 19.5 207,001 23.4 245,178 23.7 221,453 21.4
12/06/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 3 39,358 5.1 38,120 4.9 777,408 32,854 3.5 84,050 9.0 933,022
NON U.S. 21 18,050 2.3 26,951 3.5 30,538 3.3 15,241 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
24 57,408 7.4 65,071 8.4 63,392 6.8 99,291 10.6
12/06/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 750 0.5 6,800 4.4 156,078 6,509 3.2 10,734 5.2 205,162
NON U.S. 8 5,000 3.2 2,790 1.8 23,400 11.4 17,690 8.6
---- ------- ---- ------- ---- ------- ---- ------- ----
10 5,750 3.7 9,590 6.2 29,909 14.6 28,424 13.8
12/06/05 CBT 30-DAY FEDERAL FUNDS U.S. 3 9,250 1.6 11,046 2.0 565,079 7,314 2.8 7,164 2.7 264,977
NON U.S. 9 17,300 3.1 27,950 4.9 10,700 4.0 12,550 4.7
---- ------- ---- ------- ---- ------- ---- ------- ----
12 26,550 4.7 38,996 6.9 18,014 6.8 19,714 7.4
12/06/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 44,138 5.5 42,978 5.3 809,290 82,995 7.1 48,047 4.1 1,165,907
NON U.S. 12 87,579 10.8 128,592 15.9 122,195 10.5 136,560 11.7
---- ------- ---- ------- ---- ------- ---- ------- ----
16 131,717 16.3 171,570 21.2 205,190 17.6 184,607 15.8
12/06/05 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 0 0.0 10,857 100 0.6 100 0.6 17,167
NON U.S. 4 945 8.7 1,800 16.6 2,625 15.3 425 2.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 945 8.7 1,800 16.6 2,725 15.9 525 3.1
12/06/05 CMX SILVER U.S. 2 3,715 6.0 1,700 2.8 61,524 650 2.4 1,880 7.0 26,992
NON U.S. 4 3,345 5.4 1,990 3.2 700 2.6 2,030 7.5
---- ------- ---- ------- ---- ------- ---- ------- ----
6 7,060 11.4 3,690 6.0 1,350 5.0 3,910 14.5
12/06/05 CMX GOLD U.S. 2 19,395 15.5 14,919 11.9 125,000 6,865 8.7 8,740 11.1 79,056
NON U.S. 9 10,875 8.7 8,695 7.0 14,943 18.9 12,688 16.0
---- ------- ---- ------- ---- ------- ---- ------- ----
11 30,270 24.2 23,614 18.9 21,808 27.6 21,428 27.1
12/06/05 CME CANADIAN DOLLAR U.S. 2 3,066 23.7 2,131 16.5 12,948 2,675 19.0 1,105 7.8 14,081
NON U.S. 3 735 5.7 100 0.8 1,775 12.6 425 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,801 29.4 2,231 17.3 4,450 31.6 1,530 10.8
12/06/05 CME JAPANESE YEN U.S. 3 1,922 3.1 18,161 29.5 61,481 16,457 51.2 2,319 7.2 32,148
NON U.S. 4 1,743 2.8 825 1.3 950 3.0 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 3,665 5.9 18,986 30.8 17,407 54.2 2,319 7.2
12/06/05 CME EURO FX U.S. 2 5,387 7.3 3,031 4.1 74,230 3,132 6.3 721 1.5 49,560
NON U.S. 8 5,088 6.9 302 0.4 1,310 2.6 462 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
10 10,475 14.2 3,333 4.5 4,442 8.9 1,183 2.4
12/06/05 CME 3-MONTH EURODOLLARS U.S. 10 633,123 5.3 596,264 5.0 11,840,183 736,847 7.8 337,862 3.6 9,388,985
NON U.S. 50 514,509 4.3 465,443 3.9 620,285 6.6 283,675 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
60 1147632 9.6 1061707 8.9 1357132 14.4 621,537 6.6