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.
11/01/05 CBT CORN NON U.S. 6 6,776 1.6 0 0.0 425,117 10,378 4.6 2,220 1.0 227,037
11/01/05 CBT U.S. TREASURY BONDS U.S. 4 15,119 3.4 5,844 1.3 440,040 13,519 3.8 7,644 2.1 357,062
NON U.S. 11 8,980 2.0 12,466 2.8 43,303 12.1 5,620 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
15 24,099 5.4 18,310 4.1 56,822 15.9 13,264 3.7
11/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 2 385 0.4 0 0.0 100,804 0 0.0 200 0.5 41,562
NON U.S. 4 3,435 3.4 1,300 1.3 1,460 3.5 975 2.3
---- ------- ---- ------- ---- ------- ---- ------- ----
6 3,820 3.8 1,300 1.3 1,460 3.5 1,175 2.8
11/01/05 NYME NATURAL GAS U.S. 5 23,308 4.7 14,914 3.0 491,376 31,053 4.4 25,588 3.6 704,002
NON U.S. 10 38,005 7.7 33,237 6.8 57,477 8.2 44,382 6.3
---- ------- ---- ------- ---- ------- ---- ------- ----
15 61,313 12.4 48,151 9.8 88,530 12.6 69,970 9.9
11/01/05 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 5 50,583 7.0 52,637 7.2 726,171 56,224 6.2 68,412 7.5 912,541
NON U.S. 7 78,737 10.8 110,284 15.2 145,988 16.0 143,373 15.7
---- ------- ---- ------- ---- ------- ---- ------- ----
12 129,320 17.8 162,921 22.4 202,212 22.2 211,785 23.2
11/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 51,653 5.4 59,967 6.3 953,170 79,948 6.3 88,113 7.0 1,267,286
NON U.S. 30 28,355 3.0 28,973 3.0 64,223 5.1 28,375 2.2
---- ------- ---- ------- ---- ------- ---- ------- ----
36 80,008 8.4 88,940 9.3 144,171 11.4 116,488 9.2
11/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 7,639 2.2 24,225 6.8 354,798 16,203 3.6 29,759 6.6 448,822
NON U.S. 16 24,800 7.0 20,303 5.7 23,750 5.3 19,274 4.3
---- ------- ---- ------- ---- ------- ---- ------- ----
19 32,439 9.2 44,528 12.5 39,953 8.9 49,033 10.9
11/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 3 64,753 10.0 77,734 12.0 648,226 17,452 5.2 20,095 5.9 338,787
NON U.S. 8 24,885 3.8 42,901 6.6 25,415 7.5 29,550 8.7
---- ------- ---- ------- ---- ------- ---- ------- ----
11 89,638 13.8 120,635 18.6 42,867 12.7 49,645 14.6
11/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 53,016 6.3 58,457 6.9 844,079 92,127 7.0 50,149 3.8 1,322,534
NON U.S. 12 87,691 10.4 131,904 15.6 141,754 10.7 159,703 12.1
---- ------- ---- ------- ---- ------- ---- ------- ----
16 140,707 16.7 190,361 22.5 233,881 17.7 209,852 15.9
11/01/05 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 0 0.0 9,656 200 1.5 200 1.5 13,668
NON U.S. 4 990 10.3 1,800 18.6 2,850 20.9 550 4.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 990 10.3 1,800 18.6 3,050 22.4 750 5.5
11/01/05 CMX SILVER U.S. 2 4,312 6.0 3,235 4.5 72,413 1,650 5.0 1,710 5.2 32,808
NON U.S. 3 3,145 4.3 4,713 6.5 2,950 9.0 2,630 8.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 7,457 10.3 7,948 11.0 4,600 14.0 4,340 13.2
11/01/05 CMX GOLD U.S. 2 13,110 8.1 15,651 9.6 162,813 15,680 11.5 14,275 10.5 136,353
NON U.S. 11 17,343 10.7 17,536 10.8 28,963 21.2 20,901 15.3
---- ------- ---- ------- ---- ------- ---- ------- ----
13 30,453 18.8 33,187 20.4 44,643 32.7 35,176 25.8
11/01/05 CME CANADIAN DOLLAR U.S. 2 1,113 10.9 2,334 22.8 10,222 1,548 14.3 1,072 9.9 10,858
NON U.S. 3 685 6.7 100 1.0 1,570 14.5 200 1.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,798 17.6 2,434 23.8 3,118 28.8 1,272 11.7
11/01/05 CME JAPANESE YEN U.S. 3 1,712 3.0 17,034 30.0 56,711 16,404 35.7 1,603 3.5 45,903
NON U.S. 5 1,068 1.9 600 1.1 950 2.1 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
8 2,780 4.9 17,634 31.1 17,354 37.8 1,603 3.5
11/01/05 CME EURO FX U.S. 2 4,481 7.3 3,672 6.0 60,972 3,648 7.9 1,089 2.3 46,393
NON U.S. 5 4,355 7.1 550 0.9 815 1.8 760 1.6
---- ------- ---- ------- ---- ------- ---- ------- ----
7 8,836 14.4 4,222 6.9 4,463 9.7 1,849 3.9
11/01/05 CME 3-MONTH EURODOLLARS U.S. 9 553,000 5.5 585,285 5.9 9,988,593 629,430 7.4 368,969 4.3 8,522,696
NON U.S. 45 418,704 4.2 379,359 3.8 519,354 6.1 324,775 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
54 971,704 9.7 964,644 9.7 1148784 13.5 693,744 8.1
11/01/05 CME S&P 500 STOCK INDEX NON U.S. 6 310 0.1 2 0.0 255,857 590 0.1 190 0.0 546,534