Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
105.00%
(a)(b)
CALL
OPTIONS
-
97.99%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
4/28/2023
,
Strike
Price
$
4.13
............................................
4,621
$
190,380,579
$
186,216,274
186,216,274
PUT
OPTIONS
-
7.01%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
4/28/2023
,
Strike
Price
$
412.01
........................................
4,621
190,380,579
13,327,269
13,327,269
TOTAL
PURCHASED
OPTIONS
(Cost
$
200,175,744
)
..
199,543,543
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.24%
Money
Market
Deposit
Account
-
0.24%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
462,939
462,939
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
462,939
)
462,939
Total
Investments
(Cost
$
200,638,683
)
-
105
.24
%
200,006,482
Liabilities
in
E
xcess
of
Other
Assets
-
(
5
.24
)
%
........
(
9,964,174
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
190,042,308
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
105.00
%
Short
Term
Investments
.......................................
0.24
Total
Investments
..............................................
105.24
Liabilities
in
Excess
of
Other
Assets
.....................
(5.24
)
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.