Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
102.00%
(a)(b)
CALL
OPTIONS
-
100.60%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
3.76
............................................
1,600
$
65,036,800
$
63,931,684
63,931,684
PUT
OPTIONS
-
1.40%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
358.39
........................................
1,600
65,036,800
891,178
891,178
TOTAL
PURCHASED
OPTIONS
(Cost
$
63,086,557
)
....
64,822,862
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.26%
Money
Market
Deposit
Account
-
0.26%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
164,548
164,548
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
164,548
)
164,548
Total
Investments
(Cost
$
63,251,105
)
-
102
.26
%
..
64,987,410
Liabilities
in
E
xcess
of
Other
Assets
-
(
2
.26
)
%
........
(
1,434,979
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
63,552,431
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
102.00
%
Short
Term
Investments
.......................................
0.26
Total
Investments
..............................................
102.26
Liabilities
in
Excess
of
Other
Assets
.....................
(2.26
)
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.