Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
102.33%
(a)(b)
CALL
OPTIONS
-
100.09%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
9/29/2023
,
Strike
Price
$
3.58
...........................................
5,943
$
241,571,064
$
236,552,233
236,552,233
PUT
OPTIONS
-
2.24%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
9/29/2023
,
Strike
Price
$
357.19
........................................
5,943
241,571,064
5,302,215
5,302,215
TOTAL
PURCHASED
OPTIONS
(Cost
$
227,208,076
)
..
241,854,448
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.26%
Money
Market
Deposit
Account
-
0.26%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
611,896
611,896
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
611,896
)
611,896
Total
Investments
(Cost
$
227,819,972
)
-
102
.59
%
242,466,344
Liabilities
in
E
xcess
of
Other
Assets
-
(
2
.59
)
%
........
(
6,123,518
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
236,342,826
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
102.33
%
Short
Term
Investments
.......................................
0.26
Total
Investments
..............................................
102.59
Liabilities
in
Excess
of
Other
Assets
.....................
(2.59
)
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.