Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
100.66%
(a)(b)
CALL
OPTIONS
-
100.66%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
9/30/2022
,
Strike
Price
$
429.14
........................................
308
$
12,689,292
$
179,646
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
9/30/2022
,
Strike
Price
$
3.39
...........................................
154
6,344,646
6,267,775
6,447,421
TOTAL
PURCHASED
OPTIONS
(Cost
$
8,306,604
)
......
6,447,421
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.28%
Money
Market
Deposit
Account
-
0.28%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
18,192
18,192
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
18,192
)
..
18,192
Total
Investments
(Cost
$
8,324,796
)
-
100
.94
%
....
6,465,613
Liabilities
in
E
xcess
of
Other
Assets
-
(
0
.94
)
%
........
(
60,139
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
6,405,474
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
100.66
%
Short
Term
Investments
.......................................
0.28
Total
Investments
..............................................
100.94
Liabilities
in
Excess
of
Other
Assets
.....................
(0.94
)
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.