Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
104.11%
(a)(b)
CALL
OPTIONS
-
98.43%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
5/31/2023
,
Strike
Price
$
4.12
............................................
2,901
$
119,518,299
$
116,911,221
116,911,221
PUT
OPTIONS
-
5.68%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
5/31/2023
,
Strike
Price
$
392.28
........................................
2,901
119,518,299
6,744,664
6,744,664
TOTAL
PURCHASED
OPTIONS
(Cost
$
119,736,498
)
..
123,655,885
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.28%
Money
Market
Deposit
Account
-
0.28%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
330,698
330,698
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
330,698
)
330,698
Total
Investments
(Cost
$
120,067,196
)
-
104
.39
%
123,986,583
Liabilities
in
E
xcess
of
Other
Assets
-
(
4
.39
)
%
........
(
5,211,101
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
118,775,482
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
104.11
%
Short
Term
Investments
.......................................
0.28
Total
Investments
..............................................
104.39
Liabilities
in
Excess
of
Other
Assets
.....................
(4.39
)
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.