Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
104.45%
(a)(b)
CALL
OPTIONS
-
93.87%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
11/30/2022
,
Strike
Price
$
3.66
........................
1,893
$
77,989,707
$
76,996,008
76,996,008
PUT
OPTIONS
-
10.58%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
11/30/2022
,
Strike
Price
$
455.57
....................
1,893
77,989,707
8,672,998
8,672,998
TOTAL
PURCHASED
OPTIONS
(Cost
$
90,590,754
)
....
85,669,006
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.31%
Money
Market
Deposit
Account
-
0.31%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
256,677
256,677
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
256,677
)
256,677
Total
Investments
(Cost
$
90,847,431
)
-
104
.76
%
...
85,925,683
Liabilities
in
E
xcess
of
Other
Assets
-
(
4
.76
)
%
........
(
3,902,482
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
82,023,201
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
104.45
%
Short
Term
Investments
.......................................
0.31
Total
Investments
..............................................
104.76
Liabilities
in
Excess
of
Other
Assets
.....................
(4.76
)
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.