Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
104.25%
(a)(b)
CALL
OPTIONS
-
99.99%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/29/2023
,
Strike
Price
$
3.82
........................
16,890
$
686,544,720
$
668,624,974
668,624,974
PUT
OPTIONS
-
4.26%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
12/29/2023
,
Strike
Price
$
382.43
....................
16,890
686,544,720
28,497,666
28,497,666
TOTAL
PURCHASED
OPTIONS
(Cost
$
678,254,885
)
..
697,122,640
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.27%
Money
Market
Deposit
Account
-
0.27%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
1,788,490
1,788,490
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,788,490
)
...................................................
1,788,490
Total
Investments
(Cost
$
680,043,375
)
-
104
.52
%
698,911,130
Liabilities
in
E
xcess
of
Other
Assets
-
(
4
.52
)
%
........
(
30,206,796
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
668,704,334
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
104.25
%
Short
Term
Investments
.......................................
0.27
Total
Investments
..............................................
104.52
Liabilities
in
Excess
of
Other
Assets
.....................
(4.52
)
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.