Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
108.06%
(a)(b)
CALL
OPTIONS
-
96.91%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
451.65
........................................
567
$
23,359,833
$
722,793
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
3.64
...........................................
567
23,359,833
22,875,424
23,598,217
PUT
OPTIONS
-
11.15%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
451.67
........................................
567
23,359,833
2,714,878
2,714,878
TOTAL
PURCHASED
OPTIONS
(Cost
$
29,097,261
)
....
26,313,095
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.78%
Money
Market
Deposit
Account
-
0.78%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
189,365
189,365
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
189,365
)
189,365
Total
Investments
(Cost
$
29,286,626
)
-
108
.84
%
..
26,502,460
Liabilities
in
E
xcess
of
Other
Assets
-
(
8
.84
)
%
........
(
2,152,508
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
24,349,952
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
108.06
%
Short
Term
Investments
.......................................
0.78
Total
Investments
..............................................
108.84
Liabilities
in
Excess
of
Other
Assets
.....................
(8.84
)
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.