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.
07/05/05 CBT U.S. TREASURY BONDS U.S. 3 19,186 5.8 7,741 2.3 331,944 14,500 3.0 9,650 2.0 484,005
NON U.S. 12 6,065 1.8 10,471 3.2 13,342 2.8 24,401 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
15 25,251 7.6 18,212 5.5 27,842 5.8 34,051 7.0
07/05/05 NYME NATURAL GAS U.S. 5 14,800 3.2 15,081 3.3 458,365 24,486 4.2 21,821 3.7 588,102
NON U.S. 6 33,053 7.2 28,761 6.3 46,379 7.9 33,804 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 47,853 10.4 43,842 9.6 70,865 12.1 55,625 9.4
07/05/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 34,263 6.2 37,582 6.8 551,587 47,177 7.3 45,390 7.0 646,040
NON U.S. 6 66,328 12.0 88,839 16.1 98,209 15.2 85,478 13.2
---- ------- ---- ------- ---- ------- ---- ------- ----
11 100,591 18.2 126,421 22.9 145,386 22.5 130,868 20.2
07/05/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 59,751 5.4 56,745 5.1 1,113,895 45,151 3.4 78,125 5.8 1,342,593
NON U.S. 25 43,705 3.9 47,010 4.2 117,270 8.7 56,679 4.2
---- ------- ---- ------- ---- ------- ---- ------- ----
29 103,456 9.3 103,755 9.3 162,421 12.1 134,804 10.0
07/05/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 2,750 0.9 25,650 8.8 291,007 5,130 0.9 36,250 6.0 601,150
NON U.S. 12 15,264 5.2 30,357 10.4 28,895 4.8 16,443 2.7
---- ------- ---- ------- ---- ------- ---- ------- ----
16 18,014 6.1 56,007 19.2 34,025 5.7 52,693 8.7
07/05/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 30,311 5.6 13,605 2.5 539,070 11,355 3.8 12,660 4.2 302,541
NON U.S. 7 31,019 5.8 19,970 3.7 32,985 10.9 15,282 5.1
---- ------- ---- ------- ---- ------- ---- ------- ----
11 61,330 11.4 33,575 6.2 44,340 14.7 27,942 9.3
07/05/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 52,950 7.6 44,985 6.4 699,465 69,258 8.2 36,929 4.4 841,681
NON U.S. 10 79,718 11.4 123,918 17.7 111,501 13.2 111,119 13.2
---- ------- ---- ------- ---- ------- ---- ------- ----
14 132,668 19.0 168,903 24.1 180,759 21.4 148,048 17.6
07/05/05 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 0 0.0 8,119 300 2.7 300 2.7 11,295
NON U.S. 4 870 10.7 1,500 18.5 3,300 29.2 1,410 12.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 870 10.7 1,500 18.5 3,600 31.9 1,710 15.2
07/05/05 CMX SILVER U.S. 2 2,555 5.7 2,721 6.0 45,093 1,756 7.1 1,320 5.3 24,710
NON U.S. 3 130 0.3 3,963 8.8 1,400 5.7 2,660 10.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,685 6.0 6,684 14.8 3,156 12.8 3,980 16.1
07/05/05 CMX GOLD U.S. 2 17,457 9.3 17,533 9.3 187,653 14,897 9.8 11,605 7.6 151,835
NON U.S. 12 16,536 8.8 16,615 8.9 24,710 16.3 20,137 13.3
---- ------- ---- ------- ---- ------- ---- ------- ----
14 33,993 18.1 34,148 18.2 39,607 26.1 31,742 20.9
07/05/05 CME CANADIAN DOLLAR U.S. 2 1,090 8.5 3,255 25.5 12,751 2,262 26.1 860 9.9 8,676
NON U.S. 3 1,099 8.6 300 2.4 445 5.1 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,189 17.1 3,555 27.9 2,707 31.2 860 9.9
07/05/05 CME JAPANESE YEN U.S. 2 1,817 4.2 4,361 10.2 42,789 1,925 6.0 1,538 4.8 32,216
NON U.S. 4 2,329 5.4 650 1.5 1,000 3.1 50 0.2
---- ------- ---- ------- ---- ------- ---- ------- ----
6 4,146 9.6 5,011 11.7 2,925 9.1 1,588 5.0
07/05/05 CME EURO FX U.S. 2 7,096 9.4 5,063 6.7 75,392 2,358 3.9 3,121 5.1 60,602
NON U.S. 5 1,748 2.3 760 1.0 2,275 3.8 3,398 5.6
---- ------- ---- ------- ---- ------- ---- ------- ----
7 8,844 11.7 5,823 7.7 4,633 7.7 6,519 10.7
07/05/05 CME 3-MONTH EURODOLLARS U.S. 8 397,014 4.9 692,090 8.5 8,182,611 843,989 10.2 667,282 8.1 8,274,062
NON U.S. 44 416,285 5.1 520,403 6.4 713,804 8.6 395,362 4.8
---- ------- ---- ------- ---- ------- ---- ------- ----
52 813,299 10.0 1212493 14.9 1,557,793 18.8 1062644 12.9