TrueShares Structured Outcome (November) ETF | |||||
Schedule of Investments | |||||
September 30, 2023 (Unaudited) |
Shares / Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS - 91.6% | ||||||||
Money Market Funds - 0.1% | ||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 14,668 | $ | 14,668 | |||||
Total Money Market Funds (Cost $14,668) | 14,668 | |||||||
U.S. Treasury Bills - 91.5% | ||||||||
5.27%, 11/02/2023 (c)(d) | 13,831,000 | 13,768,016 | ||||||
Total U.S. Treasury Bills (Cost $13,771,453) | 13,768,016 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,786,121) | 13,782,684 | |||||||
. | Number of | Notional | ||||||
Contracts (b) | Value | |||||||
PURCHASED OPTIONS - 8.5% | ||||||||
PURCHASED CALL OPTIONS - 8.5% | ||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||
Expiration: October 31, 2023, Exercise Price: $386.21 | 293 | 1,278,356 | $12,525,164 | |||||
TOTAL PURCHASED OPTIONS (Cost $1,429,787) | 1,278,356 | |||||||
TOTAL INVESTMENTS (Cost $15,215,908) - 100.1% | 15,061,040 | |||||||
Other Assets and Liabilities, net - (0.1)% | (10,686) | |||||||
TOTAL NET ASSETS - 100.0% | $ | 15,050,354 |
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 (November) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | Notional | |||||||||||
Contracts (a) | Value | Value | ||||||||||
WRITTEN OPTIONS - 0.1% | ||||||||||||
WRITTEN PUT OPTIONS - 0.1% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: October 31, 2023, Exercise Price: $347.59 | 398 | $ | 9,449 | $ | 17,013,704 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $433,424) | $ | 9,449 |
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 | $ | 14,668 | $ | - | $ | - | $ | 14,668 | ||||||||
U.S. Treasury Bills | - | 13,768,016 | - | 13,768,016 | ||||||||||||
Purchased Call Options | - | 1,278,356 | - | 1,278,356 | ||||||||||||
Total Investments - Assets | $ | 14,668 | $ | 15,046,372 | $ | - | $ | 15,061,040 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 9,449 | $ | - | $ | 9,449 |