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.
02/06/07 CBT WHEAT NON U.S. 5 3,225 2.4 0 0.0 137,196 1,132 1.1 150 0.1 105,312
02/06/07 CBT CORN U.S. 1 750 0.1 500 0.1 947,782 250 0.0 0 0.0 845,907
NON U.S. 4 14,214 1.5 4,560 0.5 23,484 2.8 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 14,964 1.6 5,060 0.6 23,734 2.8 0 0.0
02/06/07 CBT U.S. TREASURY BONDS U.S. 2 32,150 4.8 60,700 9.1 667,097 36,400 8.1 40,700 9.1 448,776
NON U.S. 7 2,250 0.3 372 0.1 17,370 3.9 8 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
9 34,400 5.1 61,072 9.2 53,770 12.0 40,708 9.1
02/06/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 176 0.4 150 0.4 42,129 15 0.1 0 0.0 24,011
NON U.S. 3 1,170 2.8 750 1.8 1,170 4.9 975 4.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,346 3.2 900 2.2 1,185 5.0 975 4.1
02/06/07 NYME NATURAL GAS U.S. 5 20,825 2.1 30,105 3.1 981,470 24,465 3.0 20,261 2.5 824,251
NON U.S. 11 379,316 38.6 33,864 3.5 369,720 44.9 24,821 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
16 400,141 40.7 63,969 6.6 394,185 47.9 45,082 5.5
02/06/07 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 167,883 5.7 175,749 6.0 2,920,934 170,598 7.8 170,165 7.8 2,185,589
NON U.S. 8 472,923 16.2 900,661 30.8 335,127 15.3 634,625 29.0
---- ------- ---- ------- ---- ------- ---- ------- ----
14 640,806 21.9 1076410 36.8 505,725 23.1 804,790 36.8
02/06/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 91,859 7.2 69,135 5.4 1,281,423 81,584 7.7 61,370 5.8 1,055,078
NON U.S. 29 43,697 3.4 26,374 2.1 145,268 13.8 29,965 2.8
---- ------- ---- ------- ---- ------- ---- ------- ----
35 135,556 10.6 95,509 7.5 226,852 21.5 91,335 8.6
02/06/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 10,850 4.7 7,050 3.1 229,546 16,164 5.2 24,096 7.8 308,055
NON U.S. 11 5,930 2.6 3,720 1.6 15,980 5.2 8,435 2.7
---- ------- ---- ------- ---- ------- ---- ------- ----
14 16,780 7.3 10,770 4.7 32,144 10.4 32,531 10.5
02/06/07 CBT 30-DAY FEDERAL FUNDS U.S. 3 24,318 5.4 17,900 4.0 452,733 45,667 7.5 15,203 2.5 609,275
NON U.S. 16 18,623 4.1 14,900 3.3 56,354 9.2 33,009 5.4
---- ------- ---- ------- ---- ------- ---- ------- ----
19 42,941 9.5 32,800 7.3 102,021 16.7 48,212 7.9
02/06/07 NYME CRUDE OIL, LIGHT SWEET U.S. 4 115,542 7.3 115,479 7.3 1,587,770 129,394 8.0 93,797 5.8 1,610,049
NON U.S. 12 132,202 8.3 206,259 13.0 181,506 11.3 182,104 11.3
---- ------- ---- ------- ---- ------- ---- ------- ----
16 247,744 15.6 321,738 20.3 310,900 19.3 275,901 17.1
02/06/07 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 4,400 3.6 13,160 10.6 123,578 4,275 3.8 8,300 7.3 113,612
NON U.S. 6 19,074 15.4 20,379 16.5 15,375 13.5 17,415 15.3
---- ------- ---- ------- ---- ------- ---- ------- ----
11 23,474 19.0 33,539 27.1 19,650 17.3 25,715 22.6
02/06/07 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 3 14,145 6.0 12,035 5.1 237,115 10,110 4.9 6,484 3.1 206,329
NON U.S. 7 28,674 12.1 45,030 19.0 48,342 23.4 38,343 18.6
---- ------- ---- ------- ---- ------- ---- ------- ----
10 42,819 18.1 57,065 24.1 58,452 28.3 44,827 21.7
02/06/07 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 503,050 365 0.2 0 0.0 242,132
NON U.S. 8 9,995 2.0 5,298 1.1 3,090 1.3 5,429 2.2
---- ------- ---- ------- ---- ------- ---- ------- ----
9 9,995 2.0 5,298 1.1 3,455 1.5 5,429 2.2
02/06/07 CMX SILVER U.S. 3 7,119 9.1 3,549 4.5 78,514 1,070 3.0 1,160 3.3 35,299
NON U.S. 3 3,455 4.4 4,586 5.8 1,835 5.2 2,725 7.7
---- ------- ---- ------- ---- ------- ---- ------- ----
6 10,574 13.5 8,135 10.3 2,905 8.2 3,885 11.0
02/06/07 CMX GOLD U.S. 3 26,778 12.0 28,125 12.6 223,308 11,009 10.6 17,507 16.9 103,666
NON U.S. 4 31,808 14.2 36,233 16.2 13,295 12.8 9,405 9.1
---- ------- ---- ------- ---- ------- ---- ------- ----
7 58,586 26.2 64,358 28.8 24,304 23.4 26,912 26.0
02/06/07 CME CANADIAN DOLLAR U.S. 2 2,809 15.9 660 3.7 17,672 1,132 8.6 595 4.5 13,110
NON U.S. 3 2,230 12.6 875 5.0 1,530 11.7 200 1.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,039 28.5 1,535 8.7 2,662 20.3 795 6.0
02/06/07 CME EURO FX U.S. 2 13,031 13.9 5,930 6.3 93,732 10,316 15.0 4,441 6.5 68,839
NON U.S. 8 3,685 3.9 1,955 2.1 3,821 5.6 715 1.0
---- ------- ---- ------- ---- ------- ---- ------- ----
10 16,716 17.8 7,885 8.4 14,137 20.6 5,156 7.5
02/06/07 NYME GASOLINE BLENDSTOCK (RBOB) NON U.S. 6 1,250 2.6 811 1.7 47,995 35 0.2 725 4.6 15,869
02/06/07 CME 3-MONTH EURODOLLARS U.S. 9 539,591 4.3 663,131 5.3 12,459,564 604,624 5.3 556,690 4.8 11,479,767
NON U.S. 53 1226967 9.8 1059516 8.5 801,141 7.0 724,483 6.3
---- ------- ---- ------- ---- ------- ---- ------- ----
62 1766558 14.1 1722647 13.8 1405765 12.3 1281173 11.1
02/06/07 CME E-MINI S&P 500 STOCK INDEX U.S. 1 0 0.0 0 0.0 222,151 50 0.0 50 0.0 284,554
NON U.S. 4 0 0.0 401 0.2 2,818 1.0 200 0.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 0 0.0 401 0.2 2,868 1.0 250 0.1