Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
103.38%
(a)(b)
CALL
OPTIONS
-
94.80%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
2/28/2023
,
Strike
Price
$
3.49
...........................................
5,698
$
234,751,902
$
230,830,232
230,830,232
PUT
OPTIONS
-
8.58%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
2/28/2023
,
Strike
Price
$
436.63
........................................
5,698
234,751,902
20,891,395
20,891,395
TOTAL
PURCHASED
OPTIONS
(Cost
$
263,549,535
)
..
251,721,627
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.52%
Money
Market
Deposit
Account
-
0.52%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
1,260,631
1,260,631
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,260,631
)
...................................................
1,260,631
Total
Investments
(Cost
$
264,810,166
)
-
103
.90
%
252,982,258
Liabilities
in
E
xcess
of
Other
Assets
-
(
3
.90
)
%
........
(
9,486,323
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
243,495,935
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
103.38
%
Short
Term
Investments
.......................................
0.52
Total
Investments
..............................................
103.90
Liabilities
in
Excess
of
Other
Assets
.....................
(3.90
)
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.