TrueShares Structured Outcome (September) ETF | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Shares / Principal Amount | Value | |||||||||||
SHORT-TERM INVESTMENTS - 99.3% | ||||||||||||
Money Market Funds - 0.2% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a) | 37,923 | $ | 37,923 | |||||||||
Total Money Market Funds (Cost $37,923) | 37,923 | |||||||||||
U.S. Treasury Bills - 99.1% | ||||||||||||
5.44%, 08/08/2024 (c)(d) | 18,700,000 | 17,861,489 | ||||||||||
Total U.S. Treasury Bills (Cost $17,875,899) | 17,861,489 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,913,822) | 17,899,412 | |||||||||||
Number of | ||||||||||||
Contracts (b) | Notional Value | |||||||||||
PURCHASED OPTIONS - 4.5% | ||||||||||||
PURCHASED CALL OPTIONS - 4.5% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: August 30, 2024, Exercise Price: $450.35 | 336 | 805,315 | $ | 14,363,328 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $1,332,929) | 805,315 | |||||||||||
TOTAL INVESTMENTS (Cost $19,246,751) - 103.8% | 18,704,727 | |||||||||||
Other Assets and Liabilities, net - (3.8)% | (679,622 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,025,105 |
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 (September) ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - 3.8% | ||||||||||||
WRITTEN PUT OPTIONS - 3.8% | ||||||||||||
CBOE SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: August 30, 2024, Exercise Price: $405.32 | 460 | $ | 689,779 | $ | 19,664,080 | |||||||
TOTAL WRITTEN OPTIONS (Premiums Received $522,993) | $ | 689,779 |
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 | $ | 37,923 | $ | - | $ | - | $ | 37,923 | ||||||||
U.S. Treasury Bills | - | 17,861,489 | - | 17,861,489 | ||||||||||||
Purchased Call Options | - | 805,315 | - | 805,315 | ||||||||||||
Total Investments - Assets | $ | 37,923 | $ | 18,666,804 | $ | - | $ | 18,704,727 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | - | $ | 689,779 | $ | - | $ | 689,779 | ||||||||