Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
106.95%
(a)(b)
CALL
OPTIONS
-
92.39%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/30/2022
,
Strike
Price
$
3.81
........................
3,791
$
156,185,409
$
153,451,674
153,451,674
PUT
OPTIONS
-
14.56%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/30/2022
,
Strike
Price
$
474.97
....................
3,791
156,185,409
24,181,859
24,181,859
TOTAL
PURCHASED
OPTIONS
(Cost
$
185,449,968
)
..
177,633,533
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.39%
Money
Market
Deposit
Account
-
0.39%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
653,204
653,204
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
653,204
)
653,204
Total
Investments
(Cost
$
186,103,172
)
-
107
.34
%
.
178,286,737
Liabilities
in
E
xcess
of
Other
Assets
-
(
7
.34
)
%
........
(
12,190,568
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
166,096,169
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
106.95
%
Short
Term
Investments
.......................................
0.39
Total
Investments
..............................................
107.34
Liabilities
in
Excess
of
Other
Assets
.....................
(7.34
)
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.