Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
102.38%
(a)(b)
CALL
OPTIONS
-
92.02%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
11/30/2022
,
Strike
Price
$
3.64
........................
4,956
$
204,182,244
$
201,590,499
201,590,499
PUT
OPTIONS
-
10.36%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
11/30/2022
,
Strike
Price
$
455.56
....................
4,956
204,182,244
22,702,393
22,702,393
TOTAL
PURCHASED
OPTIONS
(Cost
$
238,845,315
)
..
224,292,892
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.34%
Money
Market
Deposit
Account
-
0.34%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
742,824
742,824
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
742,824
)
742,824
Total
Investments
(Cost
$
239,588,139
)
-
102
.72
%
225,035,716
Liabilities
in
E
xcess
of
Other
Assets
-
(
2
.72
)
%
........
(
5,960,829
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
219,074,887
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
102.38
%
Short
Term
Investments
.......................................
0.34
Total
Investments
..............................................
102.72
Liabilities
in
Excess
of
Other
Assets
.....................
(2.72
)
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.