Purchased Put Options (Exchange-Traded) — 3.0% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 113 | $ | 40,517,506 | $ | 3,700 | 10/3/22 | $ 1,250,910 |
S&P 500 Index | 112 | 40,158,944 | 3,700 | 10/5/22 | 1,330,000 | ||
S&P 500 Index | 110 | 39,441,820 | 3,830 | 10/7/22 | 2,657,600 | ||
S&P 500 Index | 109 | 39,083,258 | 3,860 | 10/10/22 | 2,950,085 | ||
S&P 500 Index | 112 | 40,158,944 | 3,700 | 10/12/22 | 1,557,920 | ||
S&P 500 Index | 114 | 40,876,068 | 3,610 | 10/14/22 | 1,080,150 | ||
S&P 500 Index | 114 | 40,876,068 | 3,650 | 10/17/22 | 1,360,020 | ||
S&P 500 Index | 112 | 40,158,944 | 3,650 | 10/19/22 | 1,399,440 | ||
S&P 500 Index | 115 | 41,234,630 | 3,450 | 10/21/22 | 595,700 | ||
S&P 500 Index | 114 | 40,876,068 | 3,450 | 10/24/22 | 615,030 | ||
S&P 500 Index | 115 | 41,234,630 | 3,400 | 10/26/22 | 531,300 | ||
S&P 500 Index | 116 | 41,593,192 | 3,380 | 10/28/22 | 488,940 | ||
Total | $15,817,095 |
Written Call Options (Exchange-Traded) — (0.1)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 113 | $40,517,506 | $4,050 | 10/3/22 | $ (283) | ||
S&P 500 Index | 112 | 40,158,944 | 4,100 | 10/5/22 | (280) | ||
S&P 500 Index | 110 | 39,441,820 | 4,200 | 10/7/22 | (550) | ||
S&P 500 Index | 109 | 39,083,258 | 4,300 | 10/10/22 | (545) | ||
S&P 500 Index | 112 | 40,158,944 | 4,110 | 10/12/22 | (1,960) | ||
S&P 500 Index | 114 | 40,876,068 | 4,020 | 10/14/22 | (10,830) | ||
S&P 500 Index | 114 | 40,876,068 | 4,000 | 10/17/22 | (17,670) | ||
S&P 500 Index | 112 | 40,158,944 | 4,050 | 10/19/22 | (14,280) | ||
S&P 500 Index | 115 | 41,234,630 | 3,880 | 10/21/22 | (120,175) | ||
S&P 500 Index | 114 | 40,876,068 | 3,850 | 10/24/22 | (180,120) | ||
S&P 500 Index | 115 | 41,234,630 | 3,900 | 10/26/22 | (129,375) | ||
S&P 500 Index | 116 | 41,593,192 | 3,820 | 10/28/22 | (313,200) | ||
Total | $(789,268) |
Abbreviations: | |
ADR | – American Depositary Receipt |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $4,018,093 | $47,769,081 | $(51,786,602) | $(572) | $ — | $ — | $1,685 | — |
Liquidity Fund | — | 75,100,960 | (68,366,012) | — | — | 6,734,948 | 42,214 | 6,734,948 |
Total | $(572) | $ — | $6,734,948 | $43,899 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks* | $509,491,177 | $ — | $ — | $509,491,177 |
Short-Term Investments | 6,734,948 | — | — | 6,734,948 |
Purchased Put Options | 15,817,095 | — | — | 15,817,095 |
Total Investments | $532,043,220 | $ — | $ — | $532,043,220 |
Liability Description | ||||
Written Call Options | $ (789,268) | $ — | $ — | $ (789,268) |
Total | $ (789,268) | $ — | $ — | $ (789,268) |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |