Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
101.54%
(a)(b)
CALL
OPTIONS
-
99.41%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
3.77
............................................
12,352
$
502,084,096
$
493,540,491
493,540,491
PUT
OPTIONS
-
2.13%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
6/30/2023
,
Strike
Price
$
377.25
........................................
12,352
502,084,096
10,578,420
10,578,420
TOTAL
PURCHASED
OPTIONS
(Cost
$
497,931,408
)
..
504,118,911
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.26%
Money
Market
Deposit
Account
-
0.26%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
1,313,693
1,313,693
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
1,313,693
)
...................................................
1,313,693
Total
Investments
(Cost
$
499,245,101
)
-
101
.80
%
505,432,604
Liabilities
in
E
xcess
of
Other
Assets
-
(
1
.80
)
%
........
(
8,960,043
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
496,472,561
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
101.54
%
Short
Term
Investments
.......................................
0.26
Total
Investments
..............................................
101.80
Liabilities
in
Excess
of
Other
Assets
.....................
(1.80
)
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.