Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
99.96%
(a)(b)
CALL
OPTIONS
-
97.11%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
2/28/2023
,
Strike
Price
$
3.48
...........................................
1,797
$
73,044,456
$
72,421,305
72,421,305
PUT
OPTIONS
-
2.85%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
2/28/2023
,
Strike
Price
$
414.80
........................................
1,797
73,044,456
2,127,169
2,127,169
TOTAL
PURCHASED
OPTIONS
(Cost
$
79,652,282
)
....
74,548,474
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.12%
Money
Market
Deposit
Account
-
0.12%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
88,008
88,008
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
88,008
)
..
88,008
Total
Investments
(Cost
$
79,740,290
)
-
100
.08
%
..
74,636,482
Liabilities
in
E
xcess
of
Other
Assets
-
(
0
.08
)
%
........
(
59,479
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
74,577,003
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
99.96
%
Short
Term
Investments
.......................................
0.12
Total
Investments
..............................................
100.08
Liabilities
in
Excess
of
Other
Assets
.....................
(0.08
)
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
January
31,
2023.