Contracts
Notional
Amount
Value
PURCHASED
OPTIONS
-
102.54%
(a)(b)
CALL
OPTIONS
-
98.72%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
10/31/2023
,
Strike
Price
$
3.86
........................
20,565
$
835,926,120
$
819,864,855
819,864,855
PUT
OPTIONS
-
3.82%
SPY
SPDR
S&P
500®
Trust
ETF
,
Expires
10/31/2023
,
Strike
Price
$
386.21
....................
20,565
835,926,120
31,690,665
31,690,665
TOTAL
PURCHASED
OPTIONS
(Cost
$
835,375,022
)
..
851,555,520
Principal
Amount
SHORT
TERM
INVESTMENTS
-
0.26%
Money
Market
Deposit
Account
-
0.26%
U.S.
Bank
Money
Market
Deposit
Account
,
3
.900
%
(c)
$
2,186,901
2,186,901
TOTAL
SHORT
TERM
INVESTMENTS
(Cost
$
2,186,901
)
...................................................
2,186,901
Total
Investments
(Cost
$
837,561,923
)
-
102
.80
%
853,742,421
Liabilities
in
E
xcess
of
Other
Assets
-
(
2
.80
)
%
........
(
23,225,690
)
TOTAL
NET
ASSETS
-
100
.00
%
.............................
$
830,516,731
Asset
Type
%
of
Net
Assets
Purchased
Options
..............................................
102.54
%
Short
Term
Investments
.......................................
0.26
Total
Investments
..............................................
102.80
Liabilities
in
Excess
of
Other
Assets
.....................
(2.80
)
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.