TrueShares Structured Outcome (April) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 94.5% | ||||||||||||
Money Market Funds - 0.5% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 26,171 | $ | 26,171 | |||||||||
Total Money Market Funds (Cost $26,171) | 26,171 | |||||||||||
U.S. Treasury Bills - 94.0% | ||||||||||||
5.50%, 03/21/2024 (c)(d) | 4,608,000 | 4,491,701 | ||||||||||
Total U.S. Treasury Bills (Cost $4,511,986) | 4,491,701 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,538,157) | 4,517,872 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 6.9% | ||||||||||||
PURCHASED CALL OPTIONS - 6.9% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: March 28, 2024, Exercise Price: $409.39 | 89 | 330,321 | $ | 3,804,572 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $344,523) | 330,321 | |||||||||||
TOTAL INVESTMENTS (Cost $4,882,680) - 101.4% | 4,848,193 | |||||||||||
Other Assets and Liabilities, net - (1.4)% | (68,242 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,779,951 | ||||||||||
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 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, 2023. | ||||
(d) Designated as collateral for written options. |
TrueShares Structured Outcome (April) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 1.3% | ||||||||||||
WRITTEN PUT OPTIONS - 1.3% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: March 28, 2024, Exercise Price: $368.45 | 125 | $ | 59,996 | $ | 5,343,500 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $181,117) | $ | 59,996 | ||||||||||
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, 2023: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Money Market Funds | $ | 26,171 | $ | - | $ | - | $ | 26,171 | ||||||||
U.S. Treasury Bills | - | 4,491,701 | - | 4,491,701 | ||||||||||||
Purchased Call Options | - | 330,321 | - | 330,321 | ||||||||||||
Total Investments - Assets | $ | 26,171 | $ | 4,822,022 | $ | - | $ | 4,848,193 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 59,996 | $ | - | $ | 59,996 |