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.
07/03/06 CBT U.S. TREASURY BONDS U.S. 4 4,950 1.0 31,887 6.4 494,832 12,408 2.2 44,621 7.9 564,292
NON U.S. 8 5,080 1.0 0 0.0 9,937 1.8 7,125 1.3
---- ------- ---- ------- ---- ------- ---- ------- ----
12 10,030 2.0 31,887 6.4 22,345 4.0 51,746 9.2
07/03/06 NYME NATURAL GAS U.S. 5 28,673 3.5 23,985 3.0 809,188 45,195 6.6 39,920 5.8 689,031
NON U.S. 10 79,504 9.8 41,962 5.2 60,267 8.7 40,095 5.8
---- ------- ---- ------- ---- ------- ---- ------- ----
15 108,177 13.3 65,947 8.2 105,462 15.3 80,015 11.6
07/03/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 119,059 6.6 113,821 6.4 1,792,360 136,601 8.1 108,425 6.4 1,687,076
NON U.S. 7 293,104 16.4 331,292 18.5 258,175 15.3 206,427 12.2
---- ------- ---- ------- ---- ------- ---- ------- ----
13 412,163 23.0 445,113 24.9 394,776 23.4 314,852 18.6
07/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 78,150 6.3 45,980 3.7 1,245,043 82,572 6.4 87,217 6.7 1,298,808
NON U.S. 24 33,905 2.7 22,532 1.8 45,914 3.5 17,342 1.3
---- ------- ---- ------- ---- ------- ---- ------- ----
28 112,055 9.0 68,512 5.5 128,486 9.9 104,559 8.0
07/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 6,378 2.7 7,531 3.1 239,370 2,831 1.0 1,775 0.6 293,714
NON U.S. 8 5,718 2.4 8,100 3.4 6,818 2.3 11,115 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
11 12,096 5.1 15,631 6.5 9,649 3.3 12,890 4.4
07/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 5 37,429 6.3 67,975 11.5 593,393 56,038 10.1 53,510 9.6 557,140
NON U.S. 18 28,220 4.8 55,672 9.4 26,505 4.8 22,557 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
23 65,649 11.1 123,647 20.9 82,543 14.9 76,067 13.6
07/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 47,160 5.0 74,910 7.9 949,007 82,650 6.4 47,905 3.7 1,288,530
NON U.S. 11 86,922 9.2 151,070 15.9 162,365 12.6 163,580 12.7
---- ------- ---- ------- ---- ------- ---- ------- ----
15 134,082 14.2 225,980 23.8 245,015 19.0 211,485 16.4
07/03/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 50 0.1 20 0.1 38,040 100 0.2 20 0.0 40,243
NON U.S. 5 9,225 24.3 4,750 12.5 5,900 14.7 11,600 28.8
---- ------- ---- ------- ---- ------- ---- ------- ----
7 9,275 24.4 4,770 12.6 6,000 14.9 11,620 28.8
07/03/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 150 0.1 900 0.6 141,331 300 0.2 900 0.6 142,204
NON U.S. 4 15,448 10.9 18,045 12.8 25,704 18.1 13,344 9.4
---- ------- ---- ------- ---- ------- ---- ------- ----
5 15,598 11.0 18,945 13.4 26,004 18.3 14,244 10.0
07/03/06 CMX GOLD U.S. 2 13,115 6.5 12,715 6.3 201,949 5,725 4.4 19,860 15.4 129,145
NON U.S. 7 18,255 9.0 14,838 7.3 7,055 5.5 6,247 4.8
---- ------- ---- ------- ---- ------- ---- ------- ----
9 31,370 15.5 27,553 13.6 12,780 9.9 26,107 20.2
07/03/06 CME CANADIAN DOLLAR U.S. 2 6,541 32.5 442 2.2 20,151 4,478 20.9 1,909 8.9 21,385
NON U.S. 4 2,740 13.6 1,150 5.7 4,080 19.1 1,460 6.8
---- ------- ---- ------- ---- ------- ---- ------- ----
6 9,281 46.1 1,592 7.9 8,558 40.0 3,369 15.7
07/03/06 CME JAPANESE YEN U.S. 3 2,621 3.6 28,515 39.3 72,648 25,247 45.7 1,189 2.2 55,205
NON U.S. 2 3,560 4.9 1,000 1.4 1,000 1.8 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 6,181 8.5 29,515 40.7 26,247 47.5 1,189 2.2
07/03/06 CME EURO FX U.S. 2 4,931 7.6 2,717 4.2 64,877 4,455 6.9 2,937 4.5 64,898
NON U.S. 5 6,084 9.4 189 0.3 1,306 2.0 483 0.7
---- ------- ---- ------- ---- ------- ---- ------- ----
7 11,015 17.0 2,906 4.5 5,761 8.9 3,420 5.2
07/03/06 CME 3-MONTH EURODOLLARS U.S. 8 403,186 2.8 551,953 3.8 14,515,225 595,847 4.3 377,011 2.7 13,752,293
NON U.S. 48 743,762 5.1 789,781 5.4 456,360 3.3 433,353 3.2
---- ------- ---- ------- ---- ------- ---- ------- ----
56 1146948 7.9 1341734 9.2 1052207 7.6 810,364 5.9