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.
02/07/06 CBT U.S. TREASURY BONDS U.S. 2 20,900 6.3 20,520 6.1 334,159 10,310 2.4 9,706 2.3 421,156
NON U.S. 8 1,200 0.4 600 0.2 18,885 4.5 1,000 0.2
---- ------- ---- ------- ---- ------- ---- ------- ----
10 22,100 6.7 21,120 6.3 29,195 6.9 10,706 2.5
02/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 1,310 2.8 0 0.0 47,580 1,275 3.8 0 0.0 33,356
NON U.S. 4 1,345 2.8 275 0.6 1,245 3.7 400 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,655 5.6 275 0.6 2,520 7.5 400 1.2
02/07/06 NYME NATURAL GAS U.S. 4 33,115 5.4 23,446 3.8 617,007 37,517 5.4 24,425 3.5 693,250
NON U.S. 11 45,090 7.3 31,386 5.1 55,000 7.9 50,913 7.3
---- ------- ---- ------- ---- ------- ---- ------- ----
15 78,205 12.7 54,832 8.9 92,517 13.3 75,338 10.8
02/07/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 66,700 6.9 60,171 6.2 971,127 88,160 7.8 83,890 7.4 1,134,819
NON U.S. 7 170,247 17.5 187,993 19.4 196,430 17.3 137,536 12.1
---- ------- ---- ------- ---- ------- ---- ------- ----
12 236,947 24.4 248,164 25.6 284,590 25.1 221,426 19.5
02/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 39,092 3.7 40,574 3.9 1,051,580 77,870 5.0 112,155 7.2 1,548,101
NON U.S. 26 55,461 5.3 32,262 3.1 71,727 4.6 53,647 3.5
---- ------- ---- ------- ---- ------- ---- ------- ----
30 94,553 9.0 72,836 7.0 149,597 9.6 165,802 10.7
02/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 1,850 0.8 3,200 1.4 222,746 11,000 3.1 1,650 0.5 357,032
NON U.S. 8 6,000 2.7 500 0.2 18,700 5.2 16,900 4.7
---- ------- ---- ------- ---- ------- ---- ------- ----
10 7,850 3.5 3,700 1.6 29,700 8.3 18,550 5.2
02/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 12,250 1.8 22,650 3.3 676,708 25,815 6.8 26,500 7.0 378,732
NON U.S. 8 14,049 2.1 49,211 7.3 19,625 5.2 48,949 12.9
---- ------- ---- ------- ---- ------- ---- ------- ----
11 26,299 3.9 71,861 10.6 45,440 12.0 75,449 19.9
02/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 54,273 6.2 51,042 5.8 875,949 102,565 7.5 77,987 5.7 1,364,295
NON U.S. 14 94,580 10.8 140,300 16.0 178,638 13.1 173,040 12.7
---- ------- ---- ------- ---- ------- ---- ------- ----
18 148,853 17.0 191,342 21.8 281,203 20.6 251,027 18.4
02/07/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 550 2.6 21,237 0 0.0 150 0.6 25,451
NON U.S. 4 2,025 9.5 3,100 14.6 4,200 16.5 1,175 4.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,025 9.5 3,650 17.2 4,200 16.5 1,325 5.2
02/07/06 CMX SILVER U.S. 2 5,215 4.5 4,370 3.8 115,138 1,350 3.1 2,700 6.3 42,864
NON U.S. 5 5,939 5.2 4,724 4.1 1,225 2.9 2,044 4.8
---- ------- ---- ------- ---- ------- ---- ------- ----
7 11,154 9.7 9,094 7.9 2,575 6.0 4,744 11.1
02/07/06 CMX GOLD U.S. 2 17,320 12.6 20,422 14.8 137,673 12,025 10.3 15,614 13.4 116,864
NON U.S. 11 15,651 11.4 10,482 7.6 11,335 9.7 8,610 7.4
---- ------- ---- ------- ---- ------- ---- ------- ----
13 32,971 24.0 30,904 22.4 23,360 20.0 24,224 20.8
02/07/06 CME JAPANESE YEN U.S. 3 1,458 2.5 35,584 61.1 58,227 32,016 70.9 631 1.4 45,177
NON U.S. 3 1,509 2.6 350 0.6 0 0.0 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,967 5.1 35,934 61.7 32,016 70.9 631 1.4
02/07/06 CME EURO FX U.S. 2 3,781 8.0 1,778 3.8 47,163 2,530 5.4 2,238 4.8 46,703
NON U.S. 5 1,810 3.8 65 0.1 1,660 3.6 1,440 3.1
---- ------- ---- ------- ---- ------- ---- ------- ----
7 5,591 11.8 1,843 3.9 4,190 9.0 3,678 7.9
02/07/06 CME 3-MONTH EURODOLLARS U.S. 10 474,496 4.2 553,528 4.9 11,265,721 668,167 6.6 271,748 2.7 10,177,784
NON U.S. 47 518,582 4.6 402,026 3.6 528,938 5.2 390,986 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
57 993,078 8.8 955,554 8.5 1197105 11.8 662,734 6.5