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.
05/03/05 CBT U.S. TREASURY BONDS U.S. 5 23,000 6.3 15,300 4.2 363,737 7,305 1.4 3,650 0.7 526,068
NON U.S. 13 8,440 2.3 22,650 6.2 6,006 1.1 21,010 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
18 31,440 8.6 37,950 10.4 13,311 2.5 24,660 4.7
05/03/05 NYME NATURAL GAS U.S. 5 15,582 3.8 10,411 2.5 408,782 23,534 5.0 15,675 3.3 474,551
NON U.S. 6 26,423 6.5 25,750 6.3 37,805 8.0 32,749 6.9
---- ------- ---- ------- ---- ------- ---- ------- ----
11 42,005 10.3 36,161 8.8 61,339 13.0 48,424 10.2
05/03/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 26,508 5.8 34,874 7.6 456,807 35,629 6.5 31,870 5.8 551,718
NON U.S. 6 52,173 11.4 74,119 16.2 82,472 14.9 65,177 11.8
---- ------- ---- ------- ---- ------- ---- ------- ----
11 78,681 17.2 108,993 23.8 118,101 21.4 97,047 17.6
05/03/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 94,312 7.2 75,983 5.8 1,307,778 115,412 6.1 70,033 3.7 1,892,002
NON U.S. 39 72,560 5.5 46,529 3.6 189,301 10.0 92,770 4.9
---- ------- ---- ------- ---- ------- ---- ------- ----
45 166,872 12.7 122,512 9.4 304,713 16.1 162,803 8.6
05/03/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 26,300 6.8 14,350 3.7 385,199 11,804 1.5 8,300 1.1 785,395
NON U.S. 21 14,920 3.9 53,628 13.9 75,395 9.6 38,901 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
24 41,220 10.7 67,978 17.6 87,199 11.1 47,201 6.1
05/03/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 30,643 6.9 28,092 6.4 441,938 17,383 5.6 15,717 5.0 312,556
NON U.S. 14 19,200 4.3 7,400 1.7 14,460 4.6 17,795 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
18 49,843 11.2 35,492 8.1 31,843 10.2 33,512 10.7
05/03/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 59,658 9.4 36,147 5.7 634,801 74,310 8.1 43,702 4.7 920,421
NON U.S. 13 53,109 8.4 101,810 16.0 121,692 13.2 120,162 13.1
---- ------- ---- ------- ---- ------- ---- ------- ----
17 112,767 17.8 137,957 21.7 196,002 21.3 163,864 17.8
05/03/05 CMX SILVER U.S. 1 1,000 2.1 821 1.7 47,550 100 0.6 300 1.7 17,733
NON U.S. 5 3,535 7.4 4,963 10.4 2,660 15.0 2,250 12.7
---- ------- ---- ------- ---- ------- ---- ------- ----
6 4,535 9.5 5,784 12.1 2,760 15.6 2,550 14.4
05/03/05 CMX GOLD U.S. 1 16,704 8.4 17,736 8.9 199,167 18,439 10.7 14,973 8.7 172,250
NON U.S. 11 27,268 13.7 21,157 10.6 31,136 18.1 20,710 12.0
---- ------- ---- ------- ---- ------- ---- ------- ----
12 43,972 22.1 38,893 19.5 49,575 28.8 35,683 20.7
05/03/05 CME CANADIAN DOLLAR U.S. 2 1,308 9.4 3,702 26.6 13,905 1,637 17.0 1,802 18.7 9,619
NON U.S. 4 400 2.9 450 3.2 830 8.6 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 1,708 12.3 4,152 29.8 2,467 25.6 1,802 18.7
05/03/05 CME EURO FX U.S. 2 4,132 5.9 2,004 2.8 70,614 4,190 7.1 4,043 6.9 58,690
NON U.S. 9 4,132 5.9 66 0.1 3,539 6.0 1,081 1.8
---- ------- ---- ------- ---- ------- ---- ------- ----
11 8,264 11.8 2,070 2.9 7,729 13.1 5,124 8.7
05/03/05 CME 3-MONTH EURODOLLARS U.S. 8 415,314 4.9 834,151 9.9 8,411,120 771,811 8.2 324,530 3.5 9,376,054
NON U.S. 49 458,330 5.4 611,666 7.3 893,040 9.5 495,919 5.3
---- ------- ---- ------- ---- ------- ---- ------- ----
57 873,644 10.3 1445817 17.2 1664851 17.7 820,449 8.8
05/03/05 CME S&P 500 STOCK INDEX NON U.S. 5 335 0.1 100 0.0 233,337 377 0.1 100 0.0 513,734