Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
101.27%
(a)(b)
CALL
OPTIONS
-
93.16%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
3.60
...........................................
2,653
$
109,300,947
$
107,044,786
107,044,786
PUT
OPTIONS
-
8.11%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
3/31/2023
,
Strike
Price
$
429.06
........................................
2,653
109,300,947
9,313,690
9,313,690
TOTAL
PURCHASED
OPTIONS
(Cost
$
117,883,154
)
..
116,358,476
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.59%
Money
Market
Deposit
Account
-
0.59%
U.S.
Bank
Money
Market
Deposit
Account
,
1
.600
%
(c)
$
674,339
674,339
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
674,339
)
674,339
Total
Investments
(Cost
$
118,557,493
)
-
101
.86
%
117,032,815
Liabilities
in
E
xcess
of
Other
Assets
-
(
1
.86
)
%
........
(
2,129,689
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
114,903,126
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
101.27
%
Short
Term
Investments
.......................................
0.59
Total
Investments
..............................................
101.86
Liabilities
in
Excess
of
Other
Assets
.....................
(1.86
)
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.