Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
104.23%
(a)(b)
CALL
OPTIONS
-
93.18%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
3.61
............................................
7,614
$
313,689,186
$
307,206,641
307,206,641
PUT
OPTIONS
-
11.05%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
451.64
........................................
7,614
313,689,186
36,442,071
36,442,071
TOTAL
PURCHASED
OPTIONS
(Cost
$
359,588,387
)
..
343,648,712
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.59%
Money
Market
Deposit
Account
-
0.59%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
1,952,357
1,952,357
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,952,357
)
...................................................
1,952,357
Total
Investments
(Cost
$
361,540,744
)
-
104
.82
%
345,601,069
Liabilities
in
E
xcess
of
Other
Assets
-
(
4
.82
)
%
........
(
15,913,128
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
329,687,941
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
104.23
%
Short
Term
Investments
.......................................
0.59
Total
Investments
..............................................
104.82
Liabilities
in
Excess
of
Other
Assets
.....................
(4.82
)
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.