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.
06/07/05 CBT U.S. TREASURY BONDS U.S. 4 19,521 5.9 7,900 2.4 330,497 11,700 2.4 10,500 2.2 481,460
NON U.S. 12 8,526 2.6 11,894 3.6 5,345 1.1 33,594 7.0
---- ------- ---- ------- ---- ------- ---- ------- ----
16 28,047 8.5 19,794 6.0 17,045 3.5 44,094 9.2
06/07/05 NYME NATURAL GAS U.S. 5 16,858 3.8 12,338 2.8 446,264 21,164 4.1 17,790 3.4 518,594
NON U.S. 6 33,788 7.6 32,121 7.2 36,477 7.0 30,833 5.9
---- ------- ---- ------- ---- ------- ---- ------- ----
11 50,646 11.4 44,459 10.0 57,641 11.1 48,623 9.3
06/07/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 27,678 5.4 33,513 6.6 510,984 40,395 6.9 33,410 5.7 584,304
NON U.S. 6 61,034 11.9 82,799 16.2 95,138 16.3 80,329 13.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 88,712 17.3 116,312 22.8 135,533 23.2 113,739 19.4
06/07/05 NYBT COTTON NO. 2 NON U.S. 5 1,064 1.2 150 0.2 91,354 255 0.4 0 0.0 65,687
06/07/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 78,121 7.0 66,941 6.0 1,108,758 93,311 6.7 93,517 6.7 1,388,521
NON U.S. 28 40,080 3.6 31,125 2.8 106,605 7.7 64,120 4.6
---- ------- ---- ------- ---- ------- ---- ------- ----
33 118,201 10.6 98,066 8.8 199,916 14.4 157,637 11.3
06/07/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 11,075 3.7 12,875 4.3 298,609 19,004 3.1 16,525 2.7 611,359
NON U.S. 12 16,350 5.5 45,751 15.3 46,515 7.6 18,400 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
15 27,425 9.2 58,626 19.6 65,519 10.7 34,925 5.7
06/07/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 29,815 6.4 20,453 4.4 466,183 19,905 5.8 18,250 5.4 340,388
NON U.S. 10 26,932 5.8 18,582 4.0 16,848 4.9 13,735 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
14 56,747 12.2 39,035 8.4 36,753 10.7 31,985 9.4
06/07/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 53,493 8.1 41,056 6.2 664,215 65,770 8.4 36,137 4.6 785,581
NON U.S. 12 69,504 10.5 118,056 17.8 108,123 13.8 108,959 13.9
---- ------- ---- ------- ---- ------- ---- ------- ----
16 122,997 18.6 159,112 24.0 173,893 22.2 145,096 18.5
06/07/05 NYBT SUGAR NO. 11 U.S. 1 0 0.0 0 0.0 234,993 0 0.0 100 0.1 121,278
NON U.S. 4 2,101 0.9 4,154 1.8 975 0.8 1,476 1.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,101 0.9 4,154 1.8 975 0.8 1,576 1.3
06/07/05 NYBT COFFEE C NON U.S. 5 20 0.0 360 0.4 91,388 1,036 1.9 0 0.0 54,367
06/07/05 CMX SILVER U.S. 2 3,940 6.3 3,121 5.0 62,142 1,030 4.4 1,200 5.1 23,320
NON U.S. 4 3,460 5.6 6,374 10.3 2,040 8.7 3,170 13.6
---- ------- ---- ------- ---- ------- ---- ------- ----
6 7,400 11.9 9,495 15.3 3,070 13.1 4,370 18.7
06/07/05 CMX GOLD U.S. 2 11,410 7.9 11,142 7.7 143,895 10,933 9.1 8,149 6.7 120,730
NON U.S. 11 15,976 11.1 13,481 9.4 20,755 17.2 13,501 11.2
---- ------- ---- ------- ---- ------- ---- ------- ----
13 27,386 19.0 24,623 17.1 31,688 26.3 21,650 17.9
06/07/05 CME CANADIAN DOLLAR U.S. 2 392 3.9 3,231 31.8 10,152 1,450 28.7 709 14.0 5,052
NON U.S. 3 400 3.9 200 2.0 300 5.9 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 792 7.8 3,431 33.8 1,750 34.6 709 14.0
06/07/05 CME EURO FX U.S. 2 6,010 12.5 4,398 9.2 47,983 1,803 4.2 2,793 6.5 43,048
NON U.S. 4 1,328 2.8 650 1.4 1,200 2.8 1,628 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
6 7,338 15.3 5,048 10.6 3,003 7.0 4,421 10.3
06/07/05 CME 3-MONTH EURODOLLARS U.S. 10 460,109 4.8 807,827 8.5 9,558,633 1052179 10.1 572,347 5.5 10,386,220
NON U.S. 51 584,252 6.1 722,382 7.6 946,515 9.1 564,546 5.4
---- ------- ---- ------- ---- ------- ---- ------- ----
61 1044361 10.9 1530209 16.1 1998694 19.2 1136893 10.9
06/07/05 CME S&P 500 STOCK INDEX NON U.S. 5 335 0.2 100 0.0 216,125 13,007 2.3 100 0.0 566,351