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.
10/04/05 CBT U.S. TREASURY BONDS U.S. 3 8,800 2.9 3,524 1.2 298,375 13,556 4.0 9,934 2.9 340,386
NON U.S. 11 12,265 4.1 11,475 3.8 23,334 6.9 8,550 2.5
---- ------- ---- ------- ---- ------- ---- ------- ----
14 21,065 7.0 14,999 5.0 36,890 10.9 18,484 5.4
10/04/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR
U.S. 1 350 0.4 0 0.0 96,856 0 0.0 200 0.5 41,303
NON U.S. 4 3,235 3.3 1,450 1.5 1,160 2.8 1,025 2.5
---- ------- ---- ------- ---- ------- ---- ------- ----
5 3,585 3.7 1,450 1.5 1,160 2.8 1,225 3.0
10/04/05 NYME NATURAL GAS U.S. 5 20,015 4.3 16,285 3.5 468,150 31,372 4.5 23,533 3.4 699,974
NON U.S. 9 35,425 7.6 27,751 5.9 56,127 8.0 47,709 6.8
---- ------- ---- ------- ---- ------- ---- ------- ----
14 55,440 11.9 44,036 9.4 87,499 12.5 71,242 10.2
10/04/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 46,008 6.1 44,345 5.9 756,784 51,723 5.7 61,654 6.8 903,004
NON U.S. 7 74,633 9.9 99,125 13.1 130,333 14.4 134,472 14.9
---- ------- ---- ------- ---- ------- ---- ------- ----
12 120,641 16.0 143,470 19.0 182,056 20.1 196,126 21.7
10/04/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 37,981 4.3 54,327 6.1 884,877 76,588 7.4 79,977 7.7 1,041,396
NON U.S. 25 29,275 3.3 18,868 2.1 56,814 5.5 32,949 3.2
---- ------- ---- ------- ---- ------- ---- ------- ----
30 67,256 7.6 73,195 8.2 133,402 12.9 112,926 10.9
10/04/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 6,058 2.4 22,000 8.8 250,989 11,894 2.6 26,600 5.7 463,067
NON U.S. 16 12,200 4.9 8,375 3.3 14,150 3.1 40,313 8.7
---- ------- ---- ------- ---- ------- ---- ------- ----
19 18,258 7.3 30,375 12.1 26,044 5.7 66,913 14.4
10/04/05 CBT 30-DAY FEDERAL FUNDS U.S. 5 67,878 11.0 68,534 11.1 618,910 14,652 4.8 15,602 5.2 302,627
NON U.S. 8 26,535 4.3 45,126 7.3 5,455 1.8 20,400 6.7
---- ------- ---- ------- ---- ------- ---- ------- ----
13 94,413 15.3 113,660 18.4 20,107 6.6 36,002 11.9
10/04/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 47,521 5.8 54,635 6.7 818,094 86,282 6.9 44,825 3.6 1,243,693
NON U.S. 12 84,435 10.3 134,279 16.4 138,067 11.1 154,118 12.4
---- ------- ---- ------- ---- ------- ---- ------- ----
16 131,956 16.1 188,914 23.1 224,349 18.0 198,943 16.0
10/04/05 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 0 0.0 9,008 300 2.2 300 2.2 13,594
NON U.S. 4 1,035 11.5 1,800 20.0 3,075 22.6 675 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,035 11.5 1,800 20.0 3,375 24.8 975 7.2
10/04/05 CMX GOLD U.S. 2 11,400 7.5 13,627 9.0 151,972 17,270 13.7 12,075 9.5 126,494
NON U.S. 10 14,773 9.7 14,080 9.3 27,709 21.9 18,750 14.8
---- ------- ---- ------- ---- ------- ---- ------- ----
12 26,173 17.2 27,707 18.3 44,979 35.6 30,825 24.3
10/04/05 CME CANADIAN DOLLAR U.S. 2 706 7.6 2,370 25.7 9,230 1,410 13.1 1,411 13.1 10,800
NON U.S. 3 0 0.0 100 1.1 800 7.4 200 1.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 706 7.6 2,470 26.8 2,210 20.5 1,611 15.0
10/04/05 CME JAPANESE YEN U.S. 2 1,776 4.8 2,131 5.7 37,141 1,823 6.5 745 2.7 27,981
NON U.S. 4 1,508 4.1 1,060 2.9 950 3.4 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 3,284 8.9 3,191 8.6 2,773 9.9 745 2.7
10/04/05 CME EURO FX U.S. 2 3,766 5.9 3,517 5.5 64,347 3,660 8.0 1,246 2.7 45,778
NON U.S. 6 2,610 4.1 832 1.3 941 2.1 838 1.8
---- ------- ---- ------- ---- ------- ---- ------- ----
8 6,376 10.0 4,349 6.8 4,601 10.1 2,084 4.5
10/04/05 NYME UNLEADED GASOLINE, N.Y. HARBOR
U.S. 1 0 0.0 0 0.0 45,643 0 0.0 200 0.6 31,073
NON U.S. 4 1,050 2.3 550 1.2 375 1.2 900 2.9
---- ------- ---- ------- ---- ------- ---- ------- ----
5 1,050 2.3 550 1.2 375 1.2 1,100 3.5
10/04/05 CME 3-MONTH EURODOLLARS U.S. 10 509,152 5.6 511,661 5.6 9,094,418 661,471 8.8 389,396 5.2 7,532,435
NON U.S. 44 342,593 3.8 301,143 3.3 449,267 6.0 284,194 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
54 851,745 9.4 812,804 8.9 1110738 14.8 673,590 9.0