TrueShares Structured Outcome (February) ETF | |||||||||||||
Schedule of Investments | |||||||||||||
September 30, 2021 (Unaudited) | |||||||||||||
Shares / Principal Amount | Value | ||||||||||||
SHORT-TERM INVESTMENTS - 89.5% | |||||||||||||
Money Market Funds — 0.8% | |||||||||||||
First American Treasury Obligations Fund - Class X, 0.01% (a) | 27,750 | $ | 27,750 | ||||||||||
Total Money Market Funds (Cost $27,750) | 27,750 | ||||||||||||
U.S. Treasury Bills - 88.7% | |||||||||||||
0.03%, 01/20/2022 (c)(d) | 3,085,000 | 3,084,697 | |||||||||||
Total U.S. Treasury Bills (Cost $3,084,810) | 3,084,697 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,112,560) | 3,112,447 | ||||||||||||
Number of Contracts (b) | Notional Value | ||||||||||||
PURCHASED OPTIONS - 11.6% | |||||||||||||
PURCHASED CALL OPTIONS - 11.6% | |||||||||||||
CBOE SPDR S&P 500 ETF Trust | |||||||||||||
Expiration: January 31, 2022, Exercise Price: $376 | 67 | 402,517 | $ | 2,875,238 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $333,707) | 402,517 | ||||||||||||
Total Investments (Cost $3,446,267) - 101.1% | 3,514,964 | ||||||||||||
Other assets and liabilities, net - (1.1)% | (36,394 | ) | |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,478,570 |
Percentages are stated as a percent of net assets. |
CBOE | Chicago Board Options Exchange | ||||||||||||
SPDR | Standard & Poor's Depositary Receipt |
(a) The rate shown is the annualized seven-day yield at period end. | |||||||||||||
(b) Each contract has a multiplier of 100. | |||||||||||||
(c) The rate shown is the effective yield as of September 30, 2021. | |||||||||||||
(d) Designated as collateral for written options. | |||||||||||||
TrueShares Structured Outcome (February) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2021 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - (1.0)% | ||||||||||||
WRITTEN PUT OPTIONS - (1.0)% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: January 31, 2022, Exercise Price: $338 | 90 | $ | 34,071 | $ | 3,862,260 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $136,910) | $ | 34,071 | ||||||||||
Percentages are stated as a percent of net assets. | ||||||||
CBOE | Chicago Board Options Exchange | |||||||
SPDR | Standard & Poor's Depositary Receipt | |||||||
(a) Each contract has a multiplier of 100. | ||||||||
Fair Value Measurements | ||||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. | ||||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs | ||||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant | ||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the | ||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. | ||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3. | ||||||||
The following is a summary of the inputs used to value the Fund's investments carried at fair value as of September 30, 2021: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Money Market Funds | $ | 27,750 | $ | - | $ | - | $ | 27,750 | ||||||||
U.S. Treasury Bills | - | 3,084,697 | - | 3,084,697 | ||||||||||||
Purchased Call Options | - | 402,517 | - | 402,517 | ||||||||||||
Total Investments - Assets | $ | 27,750 | $ | 3,487,214 | $ | - | $ | 3,514,964 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 34,071 | $ | - | $ | 34,071 | ||||||||