TrueShares Structured Outcome (February) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 94.6% | ||||||||||||
Money Market Funds - 0.5% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 16,197 | $ | 16,197 | |||||||||
Total Money Market Funds (Cost $16,197) | 16,197 | |||||||||||
U.S. Treasury Bills - 94.1% | ||||||||||||
5.44%, 1/25/2024 (c)(d) | 3,165,000 | 3,111,448 | ||||||||||
Total U.S. Treasury Bills (Cost $3,119,158) | 3,111,448 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,135,355) | 3,127,645 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 6.2% | ||||||||||||
PURCHASED CALL OPTIONS - 6.2% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: January 31, 2024, Exercise Price: $406.48 | 60 | 205,883 | $ | 2,564,880 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $225,382) | 205,883 | |||||||||||
TOTAL INVESTMENTS (Cost $3,360,737) - 100.8% | 3,333,528 | |||||||||||
Other Assets and Liabilities, net - (0.8)% | (25,098 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,308,430 |
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 (February) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - (0.7)% | ||||||||||||
WRITTEN PUT OPTIONS - (0.7)% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: January 31, 2024, Exercise Price: $365.83 | 86 | $ | 24,176 | $ | 3,676,328 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $117,083) | $ | 24,176 |
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 | $ | 16,197 | $ | - | $ | - | $ | 16,197 | ||||||||
U.S. Treasury Bills | - | 3,111,448 | - | 3,111,448 | ||||||||||||
Purchased Call Options | - | 205,883 | - | 205,883 | ||||||||||||
Total Investments - Assets | $ | 16,197 | $ | 3,317,331 | $ | - | $ | 3,333,528 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 24,176 | $ | - | $ | 24,176 |