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.
02/01/05 CBT U.S. TREASURY BONDS U.S. 4 20,050 7.7 1,700 0.6 261,957 12,159 2.6 6,935 1.5 458,969
NON U.S. 12 6,275 2.4 6,600 2.5 13,401 2.9 12,213 2.7
---- ------- ---- ------- ---- ------- ---- ------- ----
16 26,325 10.1 8,300 3.1 25,560 5.5 19,148 4.2
02/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 3 390 0.8 165 0.3 50,534 50 0.1 155 0.4 37,674
NON U.S. 3 5,640 11.2 2,640 5.2 1,690 4.5 2,865 7.6
---- ------- ---- ------- ---- ------- ---- ------- ----
6 6,030 12.0 2,805 5.5 1,740 4.6 3,020 8.0
02/01/05 NYME NATURAL GAS U.S. 4 4,809 1.3 5,492 1.5 377,237 8,890 1.6 5,814 1.0 554,906
NON U.S. 6 24,982 6.6 23,461 6.2 38,392 6.9 41,396 7.5
---- ------- ---- ------- ---- ------- ---- ------- ----
10 29,791 7.9 28,953 7.7 47,282 8.5 47,210 8.5
02/01/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 5,834 1.6 5,238 1.4 374,056 7,741 1.6 4,945 1.0 477,621
NON U.S. 6 41,104 11.0 50,286 13.4 57,198 12.0 53,156 11.1
---- ------- ---- ------- ---- ------- ---- ------- ----
11 46,938 12.6 55,524 14.8 64,939 13.6 58,101 12.1
02/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 98,382 9.8 35,432 3.5 1,007,381 47,841 3.4 44,786 3.2 1,415,435
NON U.S. 36 65,518 6.5 53,803 5.3 189,653 13.4 92,600 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
41 163,900 16.3 89,235 8.8 237,494 16.8 137,386 9.7
02/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 8,314 3.3 24,032 9.5 252,741 26,171 3.8 29,577 4.2 696,964
NON U.S. 17 5,750 2.3 16,162 6.4 39,525 5.7 32,886 4.7
---- ------- ---- ------- ---- ------- ---- ------- ----
21 14,064 5.6 40,194 15.9 65,696 9.5 62,463 8.9
02/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 2 17,450 5.7 14,527 4.7 308,831 4,563 2.0 17,608 7.7 229,622
NON U.S. 12 20,300 6.6 12,350 4.0 29,250 12.7 10,450 4.6
---- ------- ---- ------- ---- ------- ---- ------- ----
14 37,750 12.3 26,877 8.7 33,813 14.7 28,058 12.3
02/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 33,633 6.6 22,953 4.5 506,889 41,393 5.0 27,115 3.3 821,090
NON U.S. 10 45,742 9.0 73,160 14.4 88,518 10.8 97,147 11.8
---- ------- ---- ------- ---- ------- ---- ------- ----
14 79,375 15.6 96,113 18.9 129,911 15.8 124,262 15.1
02/01/05 NYBT SUGAR NO. 11 U.S. 1 0 0.0 69 0.0 273,701 0 0.0 400 0.2 170,645
NON U.S. 4 2,952 1.1 5,616 2.1 1,723 1.0 1,595 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,952 1.1 5,685 2.1 1,723 1.0 1,995 1.1
02/01/05 CMX SILVER U.S. 1 150 0.2 1,071 1.7 63,471 0 0.0 700 3.1 22,515
NON U.S. 6 6,504 10.2 8,395 13.2 1,715 7.6 4,010 17.8
---- ------- ---- ------- ---- ------- ---- ------- ----
7 6,654 10.4 9,466 14.9 1,715 7.6 4,710 20.9
02/01/05 CMX GOLD U.S. 1 20,990 8.9 25,628 10.9 234,593 20,575 11.1 11,710 6.3 185,097
NON U.S. 7 19,605 8.4 25,450 10.8 28,680 15.5 20,660 11.2
---- ------- ---- ------- ---- ------- ---- ------- ----
8 40,595 17.3 51,078 21.7 49,255 26.6 32,370 17.5
02/01/05 CME CANADIAN DOLLAR U.S. 3 1,204 9.4 1,814 14.2 12,780 1,551 13.4 2,276 19.6 11,595
NON U.S. 3 1,087 8.5 850 6.7 850 7.3 850 7.3
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,291 17.9 2,664 20.9 2,401 20.7 3,126 26.9
02/01/05 CME JAPANESE YEN U.S. 3 2,132 5.7 1,880 5.0 37,707 2,506 8.0 902 2.9 31,278
NON U.S. 2 750 2.0 800 2.1 850 2.7 200 0.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,882 7.7 2,680 7.1 3,356 10.7 1,102 3.5
02/01/05 CME EURO FX U.S. 4 6,292 8.8 3,340 4.7 71,330 6,025 8.9 2,861 4.2 67,407
NON U.S. 8 3,366 4.7 197 0.3 5,000 7.4 886 1.3
---- ------- ---- ------- ---- ------- ---- ------- ----
12 9,658 13.5 3,537 5.0 11,025 16.3 3,747 5.5
02/01/05 CME 3-MONTH EURODOLLARS U.S. 8 354,365 5.0 450,366 6.4 7,072,795 799,371 9.9 308,390 3.8 8,063,140
NON U.S. 52 429,653 6.1 572,084 8.1 910,066 11.3 734,595 9.1
---- ------- ---- ------- ---- ------- ---- ------- ----
60 784,018 11.1 1022450 14.5 1709437 21.2 1042985 12.9
02/01/05 CME S&P 500 STOCK INDEX NON U.S. 5 2,464 1.5 1,979 1.2 162,378 10,674 2.4 9,834 2.2 453,340