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.
06/06/06 CBT U.S. TREASURY BONDS U.S. 4 8,200 1.8 26,562 5.7 466,748 8,653 1.5 39,038 6.9 567,158
NON U.S. 7 2,035 0.4 3,610 0.8 7,117 1.3 4,625 0.8
---- ------- ---- ------- ---- ------- ---- ------- ----
11 10,235 2.2 30,172 6.5 15,770 2.8 43,663 7.7
06/06/06 NYME NATURAL GAS U.S. 5 28,378 4.0 20,920 2.9 718,202 40,475 6.4 38,741 6.2 627,723
NON U.S. 10 63,093 8.8 33,920 4.7 50,339 8.0 30,448 4.9
---- ------- ---- ------- ---- ------- ---- ------- ----
15 91,471 12.8 54,840 7.6 90,814 14.4 69,189 11.1
06/06/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 106,236 6.5 94,094 5.7 1,641,874 129,786 8.3 96,652 6.2 1,563,616
NON U.S. 7 270,369 16.5 299,688 18.3 250,981 16.1 210,212 13.4
---- ------- ---- ------- ---- ------- ---- ------- ----
13 376,605 23.0 393,782 24.0 380,767 24.4 306,864 19.6
06/06/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 69,400 6.3 44,430 4.0 1,099,561 44,350 4.0 73,911 6.6 1,120,616
NON U.S. 26 45,165 4.1 26,373 2.4 55,532 5.0 26,165 2.3
---- ------- ---- ------- ---- ------- ---- ------- ----
30 114,565 10.4 70,803 6.4 99,882 9.0 100,076 8.9
06/06/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 1,500 0.8 1,750 1.0 178,525 1,000 0.4 750 0.3 233,967
NON U.S. 10 7,610 4.3 5,630 3.2 25,125 10.7 12,215 5.2
---- ------- ---- ------- ---- ------- ---- ------- ----
12 9,110 5.1 7,380 4.2 26,125 11.1 12,965 5.5
06/06/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 20,379 5.6 29,065 7.9 366,946 34,807 7.4 33,575 7.1 470,087
NON U.S. 10 8,200 2.2 46,275 12.6 10,284 2.2 8,649 1.8
---- ------- ---- ------- ---- ------- ---- ------- ----
13 28,579 7.8 75,340 20.5 45,091 9.6 42,224 8.9
06/06/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 47,635 4.8 74,547 7.6 986,063 80,010 6.3 54,560 4.3 1,271,228
NON U.S. 12 85,355 8.7 148,837 15.1 154,280 12.1 157,150 12.4
---- ------- ---- ------- ---- ------- ---- ------- ----
16 132,990 13.5 223,384 22.7 234,290 18.4 211,710 16.7
06/06/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 150 0.5 20 0.1 31,390 100 0.3 120 0.3 37,713
NON U.S. 4 8,500 27.1 3,325 10.6 5,225 13.9 11,900 31.6
---- ------- ---- ------- ---- ------- ---- ------- ----
6 8,650 27.6 3,345 10.7 5,325 14.2 12,020 31.9
06/06/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 150 0.1 950 0.8 121,041 300 0.2 900 0.7 120,651
NON U.S. 4 12,998 10.7 16,070 13.3 23,429 19.4 14,232 11.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 13,148 10.8 17,020 14.1 23,729 19.6 15,132 12.5
06/06/06 CMX GOLD U.S. 2 10,090 5.6 11,020 6.1 179,976 3,125 2.5 17,390 14.1 123,632
NON U.S. 9 20,345 11.3 15,851 8.8 8,647 7.0 8,207 6.6
---- ------- ---- ------- ---- ------- ---- ------- ----
11 30,435 16.9 26,871 14.9 11,772 9.5 25,597 20.7
06/06/06 CME CANADIAN DOLLAR U.S. 2 4,919 27.7 376 2.1 17,766 5,167 17.2 2,222 7.4 30,123
NON U.S. 3 1,033 5.8 250 1.4 5,069 16.8 1,160 3.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 5,952 33.5 626 3.5 10,236 34.0 3,382 11.3
06/06/06 CME JAPANESE YEN U.S. 3 6,702 8.4 37,436 46.8 79,968 33,775 55.4 1,926 3.2 61,019
NON U.S. 3 3,875 4.8 1,350 1.7 1,000 1.6 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 10,577 13.2 38,786 48.5 34,775 57.0 1,926 3.2
06/06/06 CME EURO FX U.S. 2 8,243 9.0 2,321 2.5 91,173 5,735 5.6 5,416 5.3 103,111
NON U.S. 7 8,488 9.3 735 0.8 6,473 6.3 1,998 1.9
---- ------- ---- ------- ---- ------- ---- ------- ----
9 16,731 18.3 3,056 3.3 12,208 11.9 7,414 7.2
06/06/06 CME 3-MONTH EURODOLLARS U.S. 10 637,151 4.1 771,867 5.0 15,403,342 761,773 4.9 432,528 2.8 15,584,880
NON U.S. 47 736,532 4.8 897,242 5.8 685,118 4.4 505,476 3.2
---- ------- ---- ------- ---- ------- ---- ------- ----
57 1373683 8.9 1669109 10.8 1446891 9.3 938,004 6.0