TrueShares Structured Outcome (October) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 87.3% | ||||||||||||
Money Market Funds - 12.8% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 325,996 | $ | 325,996 | |||||||||
Total Money Market Funds (Cost $325,996) | 325,996 | |||||||||||
U.S. Treasury Bills - 74.5% | ||||||||||||
4.03%, 10/05/2023 (c)(d) | 1,898,000 | 1,897,168 | ||||||||||
Total U.S. Treasury Bills (Cost $1,897,120) | 1,897,168 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,223,116) | 2,223,164 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 7.4% | ||||||||||||
PURCHASED CALL OPTIONS - 7.4% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: September 30, 2024, Exercise Price: $427.48 | 47 | 187,577 | $ | 2,009,156 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $187,626) | 187,577 | |||||||||||
TOTAL INVESTMENTS (Cost $2,410,742) - 94.7% | 2,410,741 | |||||||||||
Other Assets and Liabilities, net - 5.3% | 133,835 | |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,544,576 |
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 (October) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 3.1% | ||||||||||||
WRITTEN PUT OPTIONS - 3.1% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: September 30, 2024, Exercise Price: $384.73 | 66 | $ | 79,002 | $ | 2,821,368 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $78,932) | $ | 79,002 |
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 | $ | 325,996 | $ | - | $ | - | $ | 325,996 | ||||||||
U.S. Treasury Bills | - | 1,897,168 | - | 1,897,168 | ||||||||||||
Purchased Call Options | - | 187,577 | - | 187,577 | ||||||||||||
Total Investments - Assets | $ | 325,996 | $ | 2,084,745 | $ | - | $ | 2,410,741 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 79,002 | $ | - | $ | 79,002 | ||||||||