TrueShares Structured Outcome (June) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 94.8% | ||||||||||||
Money Market Funds - 0.6% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 18,521 | $ | 18,521 | |||||||||
Total Money Market Funds (Cost $18,521) | 18,521 | |||||||||||
U.S. Treasury Bills - 94.2% | ||||||||||||
5.44%, 5/16/2024 (c)(d) | 3,117,000 | 3,014,183 | ||||||||||
Total U.S. Treasury Bills (Cost $3,020,259) | 3,014,183 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,038,780) | 3,032,704 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 7.1% | ||||||||||||
PURCHASED CALL OPTIONS - 7.1% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: May 31, 2024, Exercise Price: $417.85 | 61 | 226,254 | $ | 2,607,628 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $239,099) | 226,254 | |||||||||||
TOTAL INVESTMENTS (Cost $3,277,879) - 101.9% | 3,258,958 | |||||||||||
Other assets and liabilities, net - (1.9)% | (59,849 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,199,109 |
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 (June) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 1.9% | ||||||||||||
WRITTEN PUT OPTIONS - 1.9% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: May 31, 2024, Exercise Price: $376.07 | 83 | $ | 59,728 | $ | 3,548,084 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $109,761) | $ | 59,728 |
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 | $ | 18,521 | $ | - | $ | - | $ | 18,521 | ||||||||
U.S. Treasury Bills | - | 3,014,183 | - | 3,014,183 | ||||||||||||
Purchased Call Options | - | 226,254 | - | 226,254 | ||||||||||||
Total Investments - Assets | $ | 18,521 | $ | 3,240,437 | $ | - | $ | 3,258,958 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 59,728 | $ | - | $ | 59,728 |