Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
100.00%
(a)(b)
CALL
OPTIONS
-
98.02%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
4/28/2023
,
Strike
Price
$
4.11
............................................
2,400
$
97,555,200
$
96,215,177
96,215,177
PUT
OPTIONS
-
1.98%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
4/28/2023
,
Strike
Price
$
391.40
........................................
2,400
97,555,200
1,943,305
1,943,305
TOTAL
PURCHASED
OPTIONS
(Cost
$
98,459,362
)
....
98,158,482
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.27%
Money
Market
Deposit
Account
-
0.27%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
265,378
265,378
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
265,378
)
265,378
Total
Investments
(Cost
$
98,724,740
)
-
100
.27
%
...
98,423,860
Liabilities
in
E
xcess
of
Other
Assets
-
(
0
.27
)
%
........
(
267,829
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
98,156,031
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
100.00
%
Short
Term
Investments
.......................................
0.27
Total
Investments
..............................................
100.27
Liabilities
in
Excess
of
Other
Assets
.....................
(0.27
)
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.