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.
03/07/06 CBT U.S. TREASURY BONDS U.S. 3 19,850 5.2 30,400 8.0 378,447 26,950 7.1 11,797 3.1 376,941
NON U.S. 9 4,700 1.2 2,400 0.6 25,137 6.7 7,750 2.1
---- ------- ---- ------- ---- ------- ---- ------- ----
12 24,550 6.4 32,800 8.6 52,087 13.8 19,547 5.2
03/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 800 2.3 0 0.0 34,345 775 2.7 10 0.0 28,501
NON U.S. 3 2,370 6.9 125 0.4 1,275 4.5 455 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,170 9.2 125 0.4 2,050 7.2 465 1.6
03/07/06 NYME NATURAL GAS U.S. 4 29,510 5.2 16,598 2.9 567,481 36,115 6.2 25,905 4.4 585,452
NON U.S. 11 48,572 8.6 29,544 5.2 45,740 7.8 41,257 7.0
---- ------- ---- ------- ---- ------- ---- ------- ----
15 78,082 13.8 46,142 8.1 81,855 14.0 67,162 11.4
03/07/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 74,605 7.0 67,048 6.3 1,064,950 99,978 9.3 86,710 8.1 1,074,942
NON U.S. 7 182,567 17.1 212,760 20.0 188,557 17.5 140,314 13.1
---- ------- ---- ------- ---- ------- ---- ------- ----
12 257,172 24.1 279,808 26.3 288,535 26.8 227,024 21.2
03/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 53,800 5.8 38,879 4.2 925,532 111,409 8.4 87,775 6.6 1,330,559
NON U.S. 25 38,924 4.2 16,840 1.8 84,847 6.4 41,050 3.1
---- ------- ---- ------- ---- ------- ---- ------- ----
29 92,724 10.0 55,719 6.0 196,256 14.8 128,825 9.7
03/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 10,874 7.1 7,700 5.0 154,162 21,268 6.7 17,446 5.5 317,675
NON U.S. 6 4,500 2.9 500 0.3 4,400 1.4 11,000 3.5
---- ------- ---- ------- ---- ------- ---- ------- ----
9 15,374 10.0 8,200 5.3 25,668 8.1 28,446 9.0
03/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 14,549 1.8 45,955 5.6 823,714 59,824 12.7 48,462 10.3 470,039
NON U.S. 8 9,249 1.1 16,999 2.1 19,809 4.2 31,139 6.6
---- ------- ---- ------- ---- ------- ---- ------- ----
11 23,798 2.9 62,954 7.7 79,633 16.9 79,601 16.9
03/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 48,863 5.3 53,992 5.9 918,102 89,650 7.2 81,702 6.5 1,253,424
NON U.S. 13 91,053 9.9 146,166 15.9 168,303 13.4 166,067 13.2
---- ------- ---- ------- ---- ------- ---- ------- ----
17 139,916 15.2 200,158 21.8 257,953 20.6 247,769 19.7
03/07/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 50 0.6 20 0.3 7,965 250 2.3 120 1.1 11,083
NON U.S. 3 550 6.9 2,025 25.4 3,200 28.9 500 4.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 600 7.5 2,045 25.7 3,450 31.2 620 5.6
03/07/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 500 1.7 28,619 0 0.0 150 0.4 35,259
NON U.S. 4 1,725 6.0 4,050 14.2 5,250 14.9 2,200 6.2
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,725 6.0 4,550 15.9 5,250 14.9 2,350 6.6
03/07/06 CMX SILVER U.S. 2 4,225 4.3 3,350 3.4 98,007 1,360 4.0 1,700 5.1 33,608
NON U.S. 7 3,482 3.6 2,390 2.4 805 2.4 1,170 3.5
---- ------- ---- ------- ---- ------- ---- ------- ----
9 7,707 7.9 5,740 5.8 2,165 6.4 2,870 8.6
03/07/06 CMX GOLD U.S. 2 18,660 12.0 19,563 12.6 155,431 13,690 10.5 19,049 14.6 130,088
NON U.S. 9 15,453 9.9 10,568 6.8 13,009 10.0 8,430 6.5
---- ------- ---- ------- ---- ------- ---- ------- ----
11 34,113 21.9 30,131 19.4 26,699 20.5 27,479 21.1
03/07/06 CME JAPANESE YEN U.S. 3 1,080 2.1 32,068 61.2 52,400 31,134 72.2 508 1.2 43,124
NON U.S. 4 1,739 3.3 1,450 2.8 1,000 2.3 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 2,819 5.4 33,518 64.0 32,134 74.5 508 1.2
03/07/06 CME EURO FX U.S. 2 3,068 5.9 1,584 3.0 52,039 2,491 5.5 2,960 6.5 45,497
NON U.S. 4 4,148 8.0 0 0.0 1,859 4.1 270 0.6
---- ------- ---- ------- ---- ------- ---- ------- ----
6 7,216 13.9 1,584 3.0 4,350 9.6 3,230 7.1
03/07/06 CME 3-MONTH EURODOLLARS U.S. 11 563,759 4.2 713,217 5.3 13,457,766 658,011 5.6 285,016 2.4 11,673,634
NON U.S. 49 627,487 4.7 610,763 4.5 611,911 5.2 503,529 4.3
---- ------- ---- ------- ---- ------- ---- ------- ----
60 1191246 8.9 1323980 9.8 1269922 10.8 788,545 6.7