Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
100.45%
(a)(b)
CALL
OPTIONS
-
90.55%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/30/2022
,
Strike
Price
$
3.79
........................
7,449
$
306,891,351
$
301,534,513
301,534,513
PUT
OPTIONS
-
9.90%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/30/2022
,
Strike
Price
$
451.21
....................
7,449
306,891,351
32,959,474
32,959,474
TOTAL
PURCHASED
OPTIONS
(Cost
$
347,487,439
)
..
334,493,987
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.39%
Money
Market
Deposit
Account
-
0.39%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
1,314,640
1,314,640
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,314,640
)
...................................................
1,314,640
Total
Investments
(Cost
$
348,802,079
)
-
100
.84
%
335,808,627
Liabilities
in
E
xcess
of
Other
Assets
-
(
0
.84
)
%
........
(
2,800,942
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
333,007,685
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
100.45
%
Short
Term
Investments
.......................................
0.39
Total
Investments
..............................................
100.84
Liabilities
in
Excess
of
Other
Assets
.....................
(0.84
)
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.