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.
01/03/06 CBT CORN U.S. 1 400 0.1 0 0.0 318,233 0 0.0 600 0.3 173,110
NON U.S. 4 4,919 1.5 2,500 0.8 5,717 3.3 50 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,319 1.6 2,500 0.8 5,717 3.3 650 0.3
01/03/06 CBT U.S. TREASURY BONDS U.S. 3 16,458 7.1 4,403 1.9 231,265 4,308 2.0 4,853 2.2 218,240
NON U.S. 5 600 0.3 0 0.0 4,185 1.9 3,450 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
8 17,058 7.4 4,403 1.9 8,493 3.9 8,303 3.8
01/03/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 1 1,275 1.8 0 0.0 70,140 1,275 4.0 0 0.0 32,250
NON U.S. 4 1,610 2.3 525 0.7 1,420 4.4 275 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,885 4.1 525 0.7 2,695 8.4 275 0.9
01/03/06 NYME NATURAL GAS U.S. 4 28,680 5.5 18,464 3.5 524,378 32,990 5.0 23,175 3.5 654,462
NON U.S. 9 41,925 8.0 27,124 5.2 52,907 8.1 46,926 7.2
---- ------- ---- ------- ---- ------- ---- ------- ----
13 70,605 13.5 45,588 8.7 85,897 13.1 70,101 10.7
01/03/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 56,470 6.5 50,734 5.9 865,854 66,222 6.4 83,812 8.1 1,028,422
NON U.S. 7 120,326 13.9 153,727 17.8 177,775 17.3 119,221 11.6
---- ------- ---- ------- ---- ------- ---- ------- ----
12 176,796 20.4 204,461 23.7 243,997 23.7 203,033 19.7
01/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 42,175 5.6 22,722 3.0 752,498 57,188 5.8 82,305 8.4 977,669
NON U.S. 22 21,725 2.9 21,595 2.9 44,773 4.6 47,245 4.8
---- ------- ---- ------- ---- ------- ---- ------- ----
26 63,900 8.5 44,317 5.9 101,961 10.4 129,550 13.2
01/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 0 0.0 4,350 2.7 160,638 6,311 2.6 4,550 1.9 238,489
NON U.S. 9 4,000 2.5 0 0.0 17,750 7.4 15,450 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
11 4,000 2.5 4,350 2.7 24,061 10.0 20,000 8.4
01/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 2 6,600 1.6 15,500 3.9 401,804 1,300 1.1 3,200 2.6 123,646
NON U.S. 7 2,300 0.6 12,900 3.2 3,300 2.7 2,200 1.8
---- ------- ---- ------- ---- ------- ---- ------- ----
9 8,900 2.2 28,400 7.1 4,600 3.8 5,400 4.4
01/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 53,108 6.7 39,213 5.0 790,685 93,805 8.1 65,102 5.7 1,151,807
NON U.S. 11 83,739 10.6 126,788 16.0 129,738 11.3 140,280 12.2
---- ------- ---- ------- ---- ------- ---- ------- ----
15 136,847 17.3 166,001 21.0 223,543 19.4 205,382 17.9
01/03/06 CMX SILVER U.S. 2 4,065 5.7 2,350 3.3 71,451 750 2.1 2,750 7.8 35,180
NON U.S. 4 4,425 6.2 3,593 5.0 975 2.8 2,545 7.2
---- ------- ---- ------- ---- ------- ---- ------- ----
6 8,490 11.9 5,943 8.3 1,725 4.9 5,295 15.0
01/03/06 CMX GOLD U.S. 2 19,940 13.5 16,431 11.1 147,663 11,610 11.9 15,180 15.6 97,389
NON U.S. 8 12,065 8.2 13,894 9.4 14,578 15.0 13,100 13.5
---- ------- ---- ------- ---- ------- ---- ------- ----
10 32,005 21.7 30,325 20.5 26,188 26.9 28,280 29.1
01/03/06 CME JAPANESE YEN U.S. 3 1,594 2.9 34,878 62.4 55,900 32,161 65.0 2,113 4.3 49,451
NON U.S. 3 1,709 3.1 440 0.8 0 0.0 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 3,303 6.0 35,318 63.2 32,161 65.0 2,113 4.3
01/03/06 CME EURO FX U.S. 2 4,275 8.3 923 1.8 51,493 2,479 5.8 879 2.0 43,096
NON U.S. 6 2,580 5.0 52 0.1 1,495 3.5 1,436 3.3
---- ------- ---- ------- ---- ------- ---- ------- ----
8 6,855 13.3 975 1.9 3,974 9.3 2,315 5.3
01/03/06 CME 3-MONTH EURODOLLARS U.S. 9 342,873 4.1 382,624 4.6 8,380,586 527,900 6.4 179,871 2.2 8,308,476
NON U.S. 37 318,526 3.8 194,567 2.3 376,126 4.5 195,669 2.4
---- ------- ---- ------- ---- ------- ---- ------- ----
46 661,399 7.9 577,191 6.9 904,026 10.9 375,540 4.6