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.
09/05/06 CBT CORN NON U.S. 5 3,944 0.7 3,735 0.6 581,711 10,628 2.6 0 0.0 413,812
09/05/06 CBT U.S. TREASURY BONDS U.S. 3 4,200 1.1 10,250 2.7 376,288 6,800 1.5 40,950 9.0 452,861
NON U.S. 4 2,076 0.6 3,777 1.0 9,330 2.1 8,878 2.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 6,276 1.7 14,027 3.7 16,130 3.6 49,828 11.0
09/05/06 NYME NATURAL GAS U.S. 5 38,936 4.3 43,180 4.8 907,503 65,355 8.5 48,430 6.3 770,150
NON U.S. 11 80,307 8.8 44,854 4.9 62,199 8.1 43,550 5.7
---- ------- ---- ------- ---- ------- ---- ------- ----
16 119,243 13.1 88,034 9.7 127,554 16.6 91,980 12.0
09/05/06 NYME EUR STYLE NATURAL GAS OPTIONS
U.S. 6 170,295 7.7 153,510 7.0 2,207,911 215,000 10.5 172,405 8.4 2,046,358
NON U.S. 7 350,856 15.9 432,313 19.6 330,622 16.2 265,558 13.0
---- ------- ---- ------- ---- ------- ---- ------- ----
13 521,151 23.6 585,823 26.6 545,622 26.7 437,963 21.4
09/05/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 58,025 4.8 28,080 2.3 1,204,971 41,397 4.0 40,365 3.9 1,034,197
NON U.S. 32 45,392 3.8 32,363 2.7 95,814 9.3 29,342 2.8
---- ------- ---- ------- ---- ------- ---- ------- ----
37 103,417 8.6 60,443 5.0 137,211 13.3 69,707 6.7
09/05/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 15,337 8.2 4,025 2.2 186,997 13,980 7.4 1,025 0.5 188,730
NON U.S. 12 11,527 6.2 11,688 6.3 19,572 10.4 9,340 4.9
---- ------- ---- ------- ---- ------- ---- ------- ----
15 26,864 14.4 15,713 8.5 33,552 17.8 10,365 5.4
09/05/06 CBT 30-DAY FEDERAL FUNDS U.S. 2 3,200 2.4 5,200 4.0 131,609 2,800 2.2 1,400 1.1 126,992
NON U.S. 8 6,775 5.1 7,825 5.9 6,550 5.2 3,650 2.9
---- ------- ---- ------- ---- ------- ---- ------- ----
10 9,975 7.5 13,025 9.9 9,350 7.4 5,050 4.0
09/05/06 NYME CRUDE OIL, LIGHT SWEET U.S. 4 59,840 5.1 127,775 10.9 1,168,119 119,745 8.2 45,990 3.2 1,453,339
NON U.S. 12 79,578 6.8 158,171 13.5 180,227 12.4 169,798 11.7
---- ------- ---- ------- ---- ------- ---- ------- ----
16 139,418 11.9 285,946 24.4 299,972 20.6 215,788 14.9
09/05/06 NYME EUR STYLE CRUDE OIL OPTIONS U.S. 2 150 0.3 520 1.0 52,485 100 0.2 20 0.0 51,910
NON U.S. 5 10,200 19.4 7,700 14.7 6,100 11.8 12,725 24.5
---- ------- ---- ------- ---- ------- ---- ------- ----
7 10,350 19.7 8,220 15.7 6,200 12.0 12,745 24.5
09/05/06 NYME CRUDE OIL AVG PRICE OPTIONS U.S. 2 250 0.2 1,350 0.8 164,345 200 0.1 875 0.5 166,441
NON U.S. 5 18,298 11.1 26,395 16.1 32,494 19.5 18,293 11.0
---- ------- ---- ------- ---- ------- ---- ------- ----
7 18,548 11.3 27,745 16.9 32,694 19.6 19,168 11.5
09/05/06 CMX SILVER U.S. 3 3,456 5.0 3,065 4.4 69,642 1,550 5.0 630 2.0 31,160
NON U.S. 2 5,145 7.4 1,550 2.2 1,841 5.9 1,180 3.8
---- ------- ---- ------- ---- ------- ---- ------- ----
5 8,601 12.4 4,615 6.6 3,391 10.9 1,810 5.8
09/05/06 CMX GOLD U.S. 2 14,990 5.9 23,575 9.3 253,886 7,275 5.8 18,577 14.7 126,143
NON U.S. 8 19,129 7.5 19,425 7.7 7,075 5.6 7,510 6.0
---- ------- ---- ------- ---- ------- ---- ------- ----
10 34,119 13.4 43,000 17.0 14,350 11.4 26,087 20.7
09/05/06 CME CANADIAN DOLLAR U.S. 2 5,651 29.0 496 2.5 19,492 4,129 17.1 2,551 10.6 24,089
NON U.S. 4 2,665 13.7 100 0.5 5,289 22.0 1,210 5.0
---- ------- ---- ------- ---- ------- ---- ------- ----
6 8,316 42.7 596 3.0 9,418 39.1 3,761 15.6
09/05/06 CME JAPANESE YEN U.S. 3 3,323 4.3 29,700 38.1 77,959 25,558 43.5 1,518 2.6 58,794
NON U.S. 2 3,560 4.6 1,000 1.3 1,000 1.7 0 0.0
---- ------- ---- ------- ---- ------- ---- ------- ----
5 6,883 8.9 30,700 39.4 26,558 45.2 1,518 2.6
09/05/06 CME EURO FX U.S. 2 6,305 8.3 2,353 3.1 75,891 8,729 10.2 2,670 3.1 85,246
NON U.S. 6 6,226 8.2 19 0.0 4,130 4.8 513 0.6
---- ------- ---- ------- ---- ------- ---- ------- ----
8 12,531 16.5 2,372 3.1 12,859 15.0 3,183 3.7
09/05/06 CME 3-MONTH EURODOLLARS U.S. 9 659,444 3.8 650,547 3.8 17,225,735 915,216 6.0 614,528 4.0 15,306,783
NON U.S. 51 761,121 4.4 717,100 4.2 549,760 3.6 507,147 3.3
---- ------- ---- ------- ---- ------- ---- ------- ----
60 1420565 8.2 1367647 8.0 1464976 9.6 1121675 7.3
09/05/06 CME S&P 500 STOCK INDEX NON U.S. 5 57 0.0 1,500 0.4 373,298 432 0.0 0 0.0 973,572