Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
104.26%
(a)(b)
CALL
OPTIONS
-
93.14%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
10/31/2022
,
Strike
Price
$
3.69
........................
1,562
$
64,352,838
$
63,527,416
63,527,416
PUT
OPTIONS
-
11.12%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
10/31/2022
,
Strike
Price
$
459.26
....................
1,562
64,352,838
7,585,546
7,585,546
TOTAL
PURCHASED
OPTIONS
(Cost
$
75,677,856
)
....
71,112,962
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.26%
Money
Market
Deposit
Account
-
0.26%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
177,263
177,263
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
177,263
)
177,263
Total
Investments
(Cost
$
75,855,119
)
-
104
.52
%
..
71,290,225
Liabilities
in
E
xcess
of
Other
Assets
-
(
4
.52
)
%
........
(
3,081,628
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
68,208,597
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
104.26
%
Short
Term
Investments
.......................................
0.26
Total
Investments
..............................................
104.52
Liabilities
in
Excess
of
Other
Assets
.....................
(4.52
)
Net
Assets
........................................................
100.00
%
Percentages
are
stated
as
a
percent
of
net
assets.
(a)
Exchange-Traded.
(b)
Purchased
option
contracts
are
held
in
connection
with
corresponding
option
contracts
written
short.
(c)
The
U.S.
Bank
Money
Market
Deposit
Account
(the
“MMDA”)
is
a
short-term
investment
vehicle
in
which
the
Fund
holds
cash
balances.
The
MMDA
will
bear
interest
at
a
variable
rate
that
is
determined
based
on
conditions
and
may
change
daily
and
by
any
amount.
The
rate
shown
is
as
of
July
31,
2022.