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.
09/06/05 CBT U.S. TREASURY BONDS U.S. 3 34,757 11.0 27,030 8.6 315,836 11,168 3.7 9,794 3.2 302,315
NON U.S. 7 5,615 1.8 2,000 0.6 7,323 2.4 1,100 0.4
---- ------- ---- ------- ---- ------- ---- ------- ----
10 40,372 12.8 29,030 9.2 18,491 6.1 10,894 3.6
09/06/05 NYME NATURAL GAS U.S. 5 15,600 2.8 14,762 2.7 553,538 23,791 3.1 22,212 2.9 776,797
NON U.S. 8 38,305 6.9 31,336 5.7 46,530 6.0 40,104 5.2
---- ------- ---- ------- ---- ------- ---- ------- ----
13 53,905 9.7 46,098 8.4 70,321 9.1 62,316 8.1
09/06/05 NYME OTC NATURAL GAS OPTIONS U.S. 5 44,763 6.4 44,510 6.3 704,474 51,435 5.8 63,646 7.2 879,768
NON U.S. 7 74,181 10.5 95,789 13.6 117,729 13.4 118,482 13.5
---- ------- ---- ------- ---- ------- ---- ------- ----
12 118,944 16.9 140,299 19.9 169,164 19.2 182,128 20.7
09/06/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 54,431 7.1 53,968 7.1 764,280 72,893 7.4 65,115 6.6 991,301
NON U.S. 24 16,155 2.1 12,204 1.6 58,000 5.9 32,715 3.3
---- ------- ---- ------- ---- ------- ---- ------- ----
30 70,586 9.2 66,172 8.7 130,893 13.3 97,830 9.9
09/06/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 9,438 4.6 25,950 12.6 206,473 13,988 3.1 29,050 6.5 447,518
NON U.S. 13 3,250 1.6 8,542 4.1 27,133 6.1 35,102 7.8
---- ------- ---- ------- ---- ------- ---- ------- ----
16 12,688 6.2 34,492 16.7 41,121 9.2 64,152 14.3
09/06/05 CBT 30-DAY FEDERAL FUNDS U.S. 3 115,600 20.8 66,417 12.0 554,739 16,508 6.7 17,655 7.1 248,088
NON U.S. 6 5,210 0.9 11,330 2.0 6,735 2.7 4,966 2.0
---- ------- ---- ------- ---- ------- ---- ------- ----
9 120,810 21.7 77,747 14.0 23,243 9.4 22,621 9.1
09/06/05 NYME CRUDE OIL, LIGHT SWEET U.S. 4 44,714 5.5 51,894 6.4 810,247 79,139 7.0 37,363 3.3 1,125,277
NON U.S. 12 76,887 9.5 131,463 16.2 128,482 11.4 134,325 11.9
---- ------- ---- ------- ---- ------- ---- ------- ----
16 121,601 15.0 183,357 22.6 207,621 18.4 171,688 15.2
09/06/05 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 1 0 0.0 0 0.0 9,013 300 2.5 300 2.5 11,881
NON U.S. 4 780 8.7 1,500 16.6 3,050 25.7 920 7.7
---- ------- ---- ------- ---- ------- ---- ------- ----
5 780 8.7 1,500 16.6 3,350 28.2 1,220 10.2
09/06/05 CMX SILVER U.S. 2 2,400 4.8 1,921 3.8 49,992 800 4.9 750 4.6 16,385
NON U.S. 3 360 0.7 4,933 9.9 500 3.1 1,000 6.1
---- ------- ---- ------- ---- ------- ---- ------- ----
5 2,760 5.5 6,854 13.7 1,300 8.0 1,750 10.7
09/06/05 CMX GOLD U.S. 2 10,325 6.6 14,382 9.2 156,611 13,760 12.3 10,592 9.4 112,166
NON U.S. 11 20,738 13.2 11,613 7.4 22,165 19.8 9,302 8.3
---- ------- ---- ------- ---- ------- ---- ------- ----
13 31,063 19.8 25,995 16.6 35,925 32.1 19,894 17.7
09/06/05 CME CANADIAN DOLLAR U.S. 2 1,180 8.7 3,741 27.4 13,632 1,856 14.1 1,315 10.0 13,171
NON U.S. 4 1,574 11.5 300 2.2 1,195 9.1 400 3.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 2,754 20.2 4,041 29.6 3,051 23.2 1,715 13.0
09/06/05 CME JAPANESE YEN U.S. 2 2,752 6.0 4,472 9.8 45,503 1,948 6.4 1,364 4.5 30,593
NON U.S. 4 3,798 8.3 1,060 2.3 950 3.1 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 6,550 14.3 5,532 12.1 2,898 9.5 1,364 4.5
09/06/05 CME EURO FX U.S. 2 5,729 7.5 2,702 3.6 75,919 3,112 5.0 2,376 3.8 61,983
NON U.S. 6 1,733 2.3 650 0.9 1,680 2.7 528 0.9
---- ------- ---- ------- ---- ------- ---- ------- ----
8 7,462 9.8 3,352 4.5 4,792 7.7 2,904 4.7
09/06/05 CME 3-MONTH EURODOLLARS U.S. 9 485,049 4.6 788,160 7.5 10,480,415 982,342 9.8 532,223 5.3 9,976,661
NON U.S. 54 440,700 4.2 407,783 3.9 874,733 8.8 379,413 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
63 925,749 8.8 1195943 11.4 1857075 18.6 911,636 9.1