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.
05/02/06 CBT U.S. TREASURY BONDS U.S. 3 27,646 4.8 52,627 9.2 571,518 24,846 3.5 35,660 5.1 705,950
NON U.S. 14 3,455 0.6 1,410 0.2 10,390 1.5 5,552 0.8
---- ------- ---- ------- ---- ------- ---- ------- ----
17 31,101 5.4 54,037 9.4 35,236 5.0 41,212 5.9
05/02/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 800 2.7 25 0.1 29,440 775 2.5 25 0.1 30,434
NON U.S. 3 1,735 5.9 50 0.2 1,345 4.4 430 1.4
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,535 8.6 75 0.3 2,120 6.9 455 1.5
05/02/06 NYME NATURAL GAS U.S. 5 22,807 3.8 17,511 2.9 597,161 35,363 6.4 33,110 5.9 556,539
NON U.S. 10 48,001 8.0 23,473 3.9 43,747 7.9 32,637 5.9
---- ------- ---- ------- ---- ------- ---- ------- ----
15 70,808 11.8 40,984 6.8 79,110 14.3 65,747 11.8
05/02/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 101,863 7.5 95,372 7.0 1,366,014 122,127 9.1 91,650 6.8 1,338,973
NON U.S. 8 241,882 17.7 275,474 20.2 224,386 16.8 173,488 13.0
---- ------- ---- ------- ---- ------- ---- ------- ----
14 343,745 25.2 370,846 27.2 346,513 25.9 265,138 19.8
05/02/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 4 91,000 7.7 83,469 7.0 1,188,511 62,513 4.2 77,876 5.3 1,472,439
NON U.S. 29 35,157 3.0 10,570 0.9 104,892 7.1 68,336 4.6
---- ------- ---- ------- ---- ------- ---- ------- ----
33 126,157 10.7 94,039 7.9 167,405 11.3 146,212 9.9
05/02/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 9,050 3.8 5,200 2.2 236,061 19,050 6.2 7,390 2.4 305,101
NON U.S. 11 10,450 4.4 29,190 12.4 24,020 7.9 3,115 1.0
---- ------- ---- ------- ---- ------- ---- ------- ----
14 19,500 8.2 34,390 14.6 43,070 14.1 10,505 3.4
05/02/06 CBT 30-DAY FEDERAL FUNDS U.S. 4 30,842 4.1 58,953 7.8 758,082 56,033 9.8 65,489 11.4 573,133
NON U.S. 11 12,600 1.7 54,025 7.1 34,534 6.0 9,999 1.7
---- ------- ---- ------- ---- ------- ---- ------- ----
15 43,442 5.8 112,978 14.9 90,567 15.8 75,488 13.1
05/02/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 49,085 5.1 60,569 6.2 971,528 92,200 6.6 70,512 5.0 1,401,347
NON U.S. 15 85,757 8.8 151,850 15.6 176,959 12.6 170,269 12.2
---- ------- ---- ------- ---- ------- ---- ------- ----
19 134,842 13.9 212,419 21.8 269,159 19.2 240,781 17.2
05/02/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 150 0.6 20 0.1 23,865 100 0.4 120 0.5 26,009
NON U.S. 3 750 3.1 2,725 11.4 4,100 15.8 1,400 5.4
---- ------- ---- ------- ---- ------- ---- ------- ----
5 900 3.7 2,745 11.5 4,200 16.2 1,520 5.9
05/02/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 150 0.2 1,000 1.4 70,436 300 0.3 900 1.0 88,735
NON U.S. 4 2,500 3.5 8,660 12.3 12,193 13.7 8,241 9.3
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,650 3.7 9,660 13.7 12,493 14.0 9,141 10.3
05/02/06 CMX SILVER U.S. 2 3,675 4.5 4,570 5.6 81,505 525 1.2 1,350 3.0 44,940
NON U.S. 3 4,540 5.6 3,633 4.5 1,920 4.3 1,280 2.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 8,215 10.1 8,203 10.1 2,445 5.5 2,630 5.8
05/02/06 CMX GOLD U.S. 2 17,135 9.4 14,976 8.2 183,122 12,645 7.4 20,775 12.2 170,662
NON U.S. 8 15,740 8.6 14,377 7.9 21,735 12.7 11,285 6.6
---- ------- ---- ------- ---- ------- ---- ------- ----
10 32,875 18.0 29,353 16.1 34,380 20.1 32,060 18.8
05/02/06 CME JAPANESE YEN U.S. 3 3,293 4.4 37,217 50.1 74,260 31,388 62.6 959 1.9 50,178
NON U.S. 3 7,000 9.4 1,350 1.8 1,000 2.0 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 10,293 13.8 38,567 51.9 32,388 64.6 959 1.9
05/02/06 CME EURO FX U.S. 2 6,398 7.8 2,964 3.6 81,605 4,736 5.6 5,179 6.1 84,859
NON U.S. 6 8,176 10.0 66 0.1 5,416 6.4 711 0.8
---- ------- ---- ------- ---- ------- ---- ------- ----
8 14,574 17.8 3,030 3.7 10,152 12.0 5,890 6.9
05/02/06 CME 3-MONTH EURODOLLARS U.S. 11 596,548 4.2 688,535 4.8 14,273,702 663,158 4.6 340,713 2.4 14,316,438
NON U.S. 44 530,295 3.7 821,579 5.8 734,534 5.1 598,686 4.2
---- ------- ---- ------- ---- ------- ---- ------- ----
55 1126843 7.9 1510114 10.6 1397692 9.7 939,399 6.6
05/02/06 CME S&P 500 STOCK INDEX U.S. 2 0 0.0 150 0.0 340,748 100 0.0 635 0.1 864,913
NON U.S. 3 90 0.0 7 0.0 487 0.1 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 90 0.0 157 0.0 587 0.1 635 0.1