BANK PARTICIPATION IN FUTURES OPTIONS MARKETS
(IN CONTRACTS - NOT DELTA ADJUSTED)
REPORT DATE: 06/05/2007
BANK BANK LONG SHORT CALL LONG SHORT PUT
COMMODITY NAME TYPE COUNT CALLS % CALLS % O. I. PUTS % PUTS % O. I.
CBT WHEAT NON U.S. 6 1,298 0.9 1,763 1.2 149,111 13,937 12.7 200 0.2 109,694
CBT CORN U.S. 2 250 0.0 0 0.0 1,064,847 278 0.0 0 0.0 729,634
NON U.S. 7 39,650 3.7 5,685 0.5 43,852 6.0 275 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
9 39,900 3.7 5,685 0.5 44,130 6.0 275 0.0
CBT U.S. TREASURY BONDS U.S. 3 750 0.2 5,750 1.8 322,587 250 0.1 1,350 0.5 290,859
NON U.S. 5 6,400 2.0 1,202 0.4 250 0.1 2,052 0.7
---- --------- ---- --------- ---- --------- ---- --------- ----
8 7,150 2.2 6,952 2.2 500 0.2 3,402 1.2
NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 560 2.3 0 0.0 24,184 0 0.0 250 1.3 19,772
NON U.S. 4 625 2.6 775 3.2 1,025 5.2 150 0.8
---- --------- ---- --------- ---- --------- ---- --------- ----
6 1,185 4.9 775 3.2 1,025 5.2 400 2.1
NYME NATURAL GAS U.S. 4 6,830 1.0 8,975 1.4 654,722 10,675 1.7 10,185 1.6 624,562
NON U.S. 8 364,409 55.7 10,821 1.7 361,679 57.9 11,415 1.8
---- --------- ---- --------- ---- --------- ---- --------- ----
12 371,239 56.7 19,796 3.1 372,354 59.6 21,600 3.4
NYME EUR STYLE NATURAL GAS OPTIONS U.S. 5 132,158 4.5 151,430 5.1 2,940,722 145,237 5.5 163,052 6.2 2,634,407
NON U.S. 9 406,105 13.8 816,116 27.8 369,085 14.0 605,982 23.0
---- --------- ---- --------- ---- --------- ---- --------- ----
14 538,263 18.3 967,546 32.9 514,322 19.5 769,034 29.2
CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 22,750 2.7 57,900 6.9 839,561 30,460 2.6 45,966 4.0 1,159,930
NON U.S. 30 39,171 4.7 32,966 3.9 196,600 16.9 26,291 2.3
---- --------- ---- --------- ---- --------- ---- --------- ----
35 61,921 7.4 90,866 10.8 227,060 19.5 72,257 6.3
CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 1,200 0.4 5,450 1.8 306,921 7,317 1.8 33,666 8.4 402,272
NON U.S. 9 23,005 7.5 9,100 3.0 32,353 8.0 13,553 3.4
---- --------- ---- --------- ---- --------- ---- --------- ----
11 24,205 7.9 14,550 4.8 39,670 9.8 47,219 11.8
CBT 30-DAY FEDERAL FUNDS U.S. 2 17,917 3.4 31,158 5.9 525,890 25,653 6.4 20,620 5.1 403,541
NON U.S. 10 5,683 1.1 1,983 0.4 20,182 5.0 4,700 1.2
---- --------- ---- --------- ---- --------- ---- --------- ----
12 23,600 4.5 33,141 6.3 45,835 11.4 25,320 6.3
NYME CRUDE OIL, LIGHT SWEET U.S. 4 89,438 6.0 100,284 6.7 1,498,982 110,363 7.7 83,707 5.8 1,438,471
NON U.S. 14 121,654 8.1 186,307 12.4 166,660 11.6 143,986 10.0
---- --------- ---- --------- ---- --------- ---- --------- ----
18 211,092 14.1 286,591 19.1 277,023 19.3 227,693 15.8
NYME EUR STYLE CRUDE OIL OPTIONS U.S. 5 5,353 3.9 16,565 12.2 135,617 5,600 4.7 9,385 7.9 118,320
NON U.S. 9 16,549 12.2 20,874 15.4 21,350 18.0 11,400 9.6
---- --------- ---- --------- ---- --------- ---- --------- ----
14 21,902 16.1 37,439 27.6 26,950 22.7 20,785 17.5
NYME CRUDE OIL AVG PRICE OPTIONS U.S. 5 18,245 6.4 27,190 9.5 286,349 34,590 14.0 13,084 5.3 246,999
NON U.S. 9 40,665 14.2 67,586 23.6 65,009 26.3 45,424 18.4
---- --------- ---- --------- ---- --------- ---- --------- ----
14 58,910 20.6 94,776 33.1 99,599 40.3 58,508 23.7
NYBT SUGAR NO. 11 NON U.S. 8 20,932 3.5 3,612 0.6 591,492 4,070 1.8 2,277 1.0 229,912
NYBT COFFEE C NON U.S. 6 1,258 0.9 1,440 1.1 133,174 142 0.2 1,055 1.3 79,345
CMX SILVER U.S. 2 2,705 3.7 1,429 1.9 73,884 1,506 3.7 400 1.0 40,995
NON U.S. 4 3,470 4.7 10,206 13.8 3,625 8.8 10,125 24.7
---- --------- ---- --------- ---- --------- ---- --------- ----
6 6,175 8.4 11,635 15.7 5,131 12.5 10,525 25.7
CMX GOLD U.S. 2 12,306 6.8 17,186 9.5 181,020 5,501 4.8 8,970 7.9 113,491
NON U.S. 7 27,414 15.1 27,087 15.0 11,785 10.4 31,282 27.6
---- --------- ---- --------- ---- --------- ---- --------- ----
9 39,720 21.9 44,273 24.5 17,286 15.2 40,252 35.5
CME CANADIAN DOLLAR U.S. 2 3,427 12.7 3,439 12.7 26,989 4,159 12.5 1,581 4.7 33,351
NON U.S. 3 1,300 4.8 550 2.0 5,814 17.4 375 1.1
---- --------- ---- --------- ---- --------- ---- --------- ----
5 4,727 17.5 3,989 14.7 9,973 29.9 1,956 5.8
CME EURO FX U.S. 2 11,529 12.6 5,503 6.0 91,476 11,801 12.1 7,273 7.5 97,531
NON U.S. 7 3,327 3.6 423 0.5 5,760 5.9 1,183 1.2
---- --------- ---- --------- ---- --------- ---- --------- ----
9 14,856 16.2 5,926 6.5 17,561 18.0 8,456 8.7
NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 400 0.4 50 0.1 98,789 750 2.0 50 0.1 37,897
NON U.S. 3 6,467 6.5 2,950 3.0 1,047 2.8 2,890 7.6
---- --------- ---- --------- ---- --------- ---- --------- ----
6 6,867 6.9 3,000 3.1 1,797 4.8 2,940 7.7
CME 3-MONTH EURODOLLARS U.S. 8 650,661 3.6 885,383 4.8 18,273,582 547,544 3.4 435,926 2.7 16,285,984
NON U.S. 58 2,196,593 12.0 1,781,184 9.7 1,226,027 7.5 1,015,182 6.2
---- --------- ---- --------- ---- --------- ---- --------- ----
66 2,847,254 15.6 2,666,567 14.5 1,773,571 10.9 1,451,108 8.9
CME S&P 500 STOCK INDEX U.S. 1 180 0.1 0 0.0 307,614 20 0.0 0 0.0 1,254,976
NON U.S. 6 1,626 0.5 46 0.0 284 0.0 73 0.0
---- --------- ---- --------- ---- --------- ---- --------- ----
7 1,806 0.6 46 0.0 304 0.0 73 0.0