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.
03/01/05 CBT U.S. TREASURY BONDS U.S. 4 15,299 5.4 1,978 0.7 281,159 10,484 2.1 4,950 1.0 505,804
NON U.S. 16 7,500 2.7 6,560 2.3 16,305 3.2 19,514 3.9
---- ------- ---- ------- ---- ------- ---- ------- ----
20 22,799 8.1 8,538 3.0 26,789 5.3 24,464 4.9
03/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 3 340 0.9 105 0.3 37,388 0 0.0 55 0.2 32,986
NON U.S. 3 3,075 8.2 1,640 4.4 1,625 4.9 2,065 6.3
---- ------- ---- ------- ---- ------- ---- ------- ----
6 3,415 9.1 1,745 4.7 1,625 4.9 2,120 6.5
03/01/05 NYME NATURAL GAS U.S. 4 4,099 1.2 4,515 1.3 353,196 6,820 1.5 4,226 0.9 455,810
NON U.S. 7 27,212 7.7 25,381 7.2 30,537 6.7 34,986 7.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 31,311 8.9 29,896 8.5 37,357 8.2 39,212 8.6
03/01/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 8,772 2.2 9,168 2.3 406,013 9,764 2.0 9,433 2.0 481,782
NON U.S. 6 45,284 11.2 61,574 15.2 59,489 12.3 50,829 10.6
---- ------- ---- ------- ---- ------- ---- ------- ----
11 54,056 13.4 70,742 17.5 69,253 14.3 60,262 12.6
03/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 50,992 6.3 54,770 6.8 805,618 57,666 4.8 39,206 3.3 1,205,662
NON U.S. 31 46,110 5.7 31,698 3.9 125,388 10.4 66,880 5.5
---- ------- ---- ------- ---- ------- ---- ------- ----
37 97,102 12.0 86,468 10.7 183,054 15.2 106,086 8.8
03/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 2 2,000 0.9 18,650 8.5 219,237 14,855 2.3 31,412 4.9 639,152
NON U.S. 13 14,910 6.8 20,002 9.1 39,505 6.2 24,985 3.9
---- ------- ---- ------- ---- ------- ---- ------- ----
15 16,910 7.7 38,652 17.6 54,360 8.5 56,397 8.8
03/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 2 27,550 8.0 25,877 7.6 342,275 4,563 2.0 17,951 7.7 231,982
NON U.S. 13 28,350 8.3 10,400 3.0 17,820 7.7 12,543 5.4
---- ------- ---- ------- ---- ------- ---- ------- ----
15 55,900 16.3 36,277 10.6 22,383 9.7 30,494 13.1
03/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 34,337 6.8 27,046 5.4 502,203 45,158 6.0 31,203 4.1 756,333
NON U.S. 8 45,280 9.0 72,491 14.4 88,453 11.7 91,244 12.1
---- ------- ---- ------- ---- ------- ---- ------- ----
12 79,617 15.8 99,537 19.8 133,611 17.7 122,447 16.2
03/01/05 CMX SILVER U.S. 1 0 0.0 871 1.7 50,172 0 0.0 300 1.8 16,499
NON U.S. 4 3,320 6.6 5,573 11.1 820 5.0 1,420 8.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,320 6.6 6,444 12.8 820 5.0 1,720 10.4
03/01/05 CMX GOLD U.S. 1 21,040 8.5 27,826 11.2 248,713 26,375 13.4 13,060 6.6 196,582
NON U.S. 9 21,805 8.8 27,112 10.9 29,420 15.0 20,236 10.3
---- ------- ---- ------- ---- ------- ---- ------- ----
10 42,845 17.3 54,938 22.1 55,795 28.4 33,296 16.9
03/01/05 CME CANADIAN DOLLAR U.S. 3 1,313 8.4 2,379 15.3 15,561 2,203 16.4 2,451 18.2 13,465
NON U.S. 3 1,612 10.4 1,575 10.1 1,625 12.1 1,325 9.8
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,925 18.8 3,954 25.4 3,828 28.5 3,776 28.0
03/01/05 CME EURO FX U.S. 3 6,787 8.4 4,699 5.8 81,006 5,465 8.7 2,242 3.6 62,954
NON U.S. 6 5,758 7.1 437 0.5 3,991 6.3 935 1.5
---- ------- ---- ------- ---- ------- ---- ------- ----
9 12,545 15.5 5,136 6.3 9,456 15.0 3,177 5.1
03/01/05 CME 3-MONTH EURODOLLARS U.S. 8 312,965 3.6 590,827 6.9 8,595,042 780,405 8.7 327,541 3.6 9,019,952
NON U.S. 52 370,603 4.3 407,259 4.7 876,643 9.7 623,906 6.9
---- ------- ---- ------- ---- ------- ---- ------- ----
60 683,568 7.9 998,086 11.6 1657048 18.4 951,447 10.5
03/01/05 CME S&P 500 STOCK INDEX NON U.S. 5 710 0.4 200 0.1 171,029 6,235 1.3 400 0.1 494,751