Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
107.94%
(a)(b)
CALL
OPTIONS
-
102.64%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
3.77
............................................
11,480
$
472,964,520
$
461,081,482
461,081,482
PUT
OPTIONS
-
5.30%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
377.25
........................................
11,480
472,964,520
23,818,083
23,818,083
TOTAL
PURCHASED
OPTIONS
(Cost
$
461,403,681
)
..
484,899,565
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.25%
Money
Market
Deposit
Account
-
0.25%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
1,110,446
1,110,446
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,110,446
)
...................................................
1,110,446
Total
Investments
(Cost
$
462,514,127
)
-
108
.19
%
486,010,011
Liabilities
in
E
xcess
of
Other
Assets
-
(
8
.19
)
%
........
(
36,806,355
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
449,203,656
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
107.94
%
Short
Term
Investments
.......................................
0.25
Total
Investments
..............................................
108.19
Liabilities
in
Excess
of
Other
Assets
.....................
(8.19
)
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.