Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
106.38%
(a)(b)
CALL
OPTIONS
-
101.18%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
3.81
............................................
661
$
27,232,539
$
26,539,150
26,539,150
PUT
OPTIONS
-
5.20%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
377.24
........................................
661
27,232,539
1,364,965
1,364,965
TOTAL
PURCHASED
OPTIONS
(Cost
$
26,606,943
)
....
27,904,115
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.15%
Money
Market
Deposit
Account
-
0.15%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
40,065
40,065
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
40,065
)
..
40,065
Total
Investments
(Cost
$
26,647,008
)
-
106
.53
%
..
27,944,180
Liabilities
in
E
xcess
of
Other
Assets
-
(
6
.53
)
%
........
(
1,712,249
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
26,231,931
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
106.38
%
Short
Term
Investments
.......................................
0.15
Total
Investments
..............................................
106.53
Liabilities
in
Excess
of
Other
Assets
.....................
(6.53
)
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.