TrueShares Structured Outcome (August) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 100.7% | ||||||||||||
Money Market Funds - 0.5% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 77,900 | $ | 77,900 | |||||||||
Total Money Market Funds (Cost $77,900) | 77,900 | |||||||||||
U.S. Treasury Bills - 100.2% | ||||||||||||
5.44%, 07/11/2024 (c)(d) | 16,130,000 | 15,470,367 | ||||||||||
Total U.S. Treasury Bills (Cost $15,483,295) | 15,470,367 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,561,195) | 15,548,267 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 3.1% | ||||||||||||
PURCHASED CALL OPTIONS - 3.1% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: July 31, 2024, Exercise Price: $457.79 | 274 | 480,826 | $ | 11,712,952 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $1,067,118) | 480,826 | |||||||||||
TOTAL INVESTMENTS (Cost $16,628,313) - 103.8% | 16,029,093 | |||||||||||
Other Assets and Liabilities, net - (3.8)% | (580,610 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 15,448,483 |
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 (August) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 4.0% | ||||||||||||
WRITTEN PUT OPTIONS - 4.0% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: July 31, 2024, Exercise Price: $412.01 | 391 | $ | 615,012 | $ | 16,714,468 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $450,866) | $ | 615,012 |
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 | $ | 77,900 | $ | - | $ | - | $ | 77,900 | ||||||||
U.S. Treasury Bills | - | 15,470,367 | - | 15,470,367 | ||||||||||||
Purchased Call Options | - | 480,826 | - | 480,826 | ||||||||||||
Total Investments - Assets | $ | 77,900 | $ | 15,951,193 | $ | - | $ | 16,029,093 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 615,012 | $ | - | $ | 615,012 |