TrueShares Structured Outcome (January) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 90.8% | ||||||||||||
Money Market Funds - 0.6% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 13,547 | $ | 13,547 | |||||||||
Total Money Market Funds (Cost $13,547) | 13,547 | |||||||||||
U.S Treasury Bills - 90.2% | ||||||||||||
5.42%, 12/28/2023 (c)(d) | 2,313,000 | 2,283,347 | ||||||||||
Total U.S Treasury Bills (Cost $2,288,122) | 2,283,347 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,301,669) | 2,296,894 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 9.5% | ||||||||||||
PURCHASED CALL OPTIONS - 9.5% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 29, 2023, Exercise Price: $382.43 | 47 | 241,138 | $ | 2,009,156 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $197,031) | 241,138 | |||||||||||
TOTAL INVESTMENTS (Cost $2,498,700) - 100.3% | 2,538,032 | |||||||||||
Other Assets and Liabilities, net - (0.3)% | (7,553 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,530,479 |
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 (January) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 0.3% | ||||||||||||
WRITTEN PUT OPTIONS - 0.3% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: December 29, 2023, Exercise Price: $344.19 | 67 | $ | 7,166 | $ | 2,864,116 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $113,895) | $ | 7,166 |
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 | $ | 13,547 | $ | - | $ | - | $ | 13,547 | ||||||||
U.S. Treasury Bills | - | 2,283,347 | - | 2,283,347 | ||||||||||||
Purchased Call Options | - | 241,138 | - | 241,138 | ||||||||||||
Total Investments - Assets | $ | 13,547 | $ | 2,524,485 | $ | - | $ | 2,538,032 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 7,166 | $ | - | $ | 7,166 | ||||||||