ZEGA Buy and Hedge ETF | |||||||||||
SCHEDULE OF INVESTMENTS at July 31, 2023 (Unaudited) | |||||||||||
Principal Amount | Value | ||||||||||
Corporate Bonds - 3.2% | |||||||||||
Auto Manufacturers - 0.5% | |||||||||||
Ford Motor Credit Co., LLC | |||||||||||
$ | 139,000 | 5.584%, 03/18/2024 | $ | 138,132 | |||||||
139,000 | 3.664%, 09/08/2024 | 134,839 | |||||||||
272,971 | |||||||||||
Banks - 0.3% | |||||||||||
Intesa Sanpaolo SpA | |||||||||||
197,000 | 5.017%, 06/26/2024 | 192,525 | |||||||||
Commercial Services - 0.5% | |||||||||||
IHS Markit Ltd. | |||||||||||
253,000 | 3.625%, 05/01/2024 | 248,882 | |||||||||
Diversified Financial Services - 0.4% | |||||||||||
Navient Corp. | |||||||||||
197,000 | 6.125%, 03/25/2024 | 196,488 | |||||||||
Investment Companies - 0.2% | |||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | |||||||||||
135,000 | 4.750%, 09/15/2024 | 130,738 | |||||||||
Media - 0.6% | |||||||||||
CSC Holdings, LLC | |||||||||||
142,000 | 5.250%, 06/01/2024 | 132,563 | |||||||||
DISH DBS Corp. | |||||||||||
227,000 | 5.875%, 11/15/2024 | 208,694 | |||||||||
341,257 | |||||||||||
Pharmaceuticals - 0.4% | |||||||||||
Perrigo Finance Unlimited Co. | |||||||||||
202,000 | 3.900%, 12/15/2024 | 194,755 | |||||||||
Telecommunications - 0.3% | |||||||||||
Telecom Italia SpA/Milano | |||||||||||
197,000 | 5.303%, 05/30/2024 | 193,305 | |||||||||
Total Corporate Bonds | |||||||||||
(Cost $1,841,600) | 1,770,921 | ||||||||||
United States Treasury Obligations - 25.2% | |||||||||||
United States Treasury Notes | |||||||||||
4,583,000 | 0.750%, 12/31/2023 (1) | 4,496,444 | |||||||||
4,957,000 | 3.000%, 06/30/2024 | 4,851,490 | |||||||||
4,737,000 | 0.750%, 11/15/2024 | 4,472,487 | |||||||||
13,820,421 | |||||||||||
Total United States Treasury Obligations | |||||||||||
(Cost $13,894,193) | 13,820,421 | ||||||||||
Contracts | Notional Amount | ||||||||||
Options Purchased - 70.6% | |||||||||||
Call Options - 69.3% | |||||||||||
SPDR® S&P® 500 ETF Trust | |||||||||||
1,209 | Expiration: 12/19/2025, Strike Price: $150 (2) | $ | 55,346,811 | 37,934,681 | |||||||
Put Options - 1.3% | |||||||||||
SPDR® S&P® 500 ETF Trust | |||||||||||
353 | Expiration: 03/15/2024, Strike Price: $370 (2) | 16,159,987 | 117,696 | ||||||||
50 | Expiration: 03/15/2024, Strike Price: $410 (2) | 2,288,950 | 33,231 | ||||||||
403 | Expiration: 06/21/2024, Strike Price: $370 (2) | 18,448,937 | 222,149 | ||||||||
403 | Expiration: 01/17/2025, Strike Price: $370 (2) | 18,448,937 | 357,754 | ||||||||
730,830 | |||||||||||
Total Options Purchased | |||||||||||
(Cost $33,636,519) | 38,665,511 | ||||||||||
Shares | |||||||||||
Short-Term Investments - 1.6% | |||||||||||
Money Market Funds - 1.6% | |||||||||||
662,769 | Dreyfus Treasury Securities Cash Management, 4.330% (3)(4) | 662,769 | |||||||||
195,186 | First American Government Obligations Fund, Class X, 5.175% (4) | 195,186 | |||||||||
857,955 | |||||||||||
Total Short-Term Investments | |||||||||||
(Cost $857,955) | 857,955 | ||||||||||
Total Investments in Securities - 100.6% | |||||||||||
(Cost $50,230,267) | 55,114,808 | ||||||||||
Liabilities in Excess of Other Assets - (0.6)% | (349,803 | ) | |||||||||
Total Net Assets - 100.0% | $ | 54,765,005 | |||||||||
Percentages are stated as a percent of net assets. | |||||||||||
(1) | A portion of this security ($897,697) was held at the broker in connection with options as of July 31, 2023. | |
(2) | FLexible EXchange® Options | |
(3) | This security was held in its entirety at the broker in connectin with options as of July 31, 2023. | |
(4) | The rate shown is the annualized seven-day effective yield as of July 31, 2023. |
ZEGA Buy and Hedge ETF | ||||||||||
SCHEDULE OF OPTIONS WRITTEN at July 31, 2023 (Unaudited) | ||||||||||
Contracts (1) | Notional Amount | Value | ||||||||
Options Written - 0.6% | ||||||||||
Call Options Written - 0.6% | ||||||||||
SPDR S&P 500 ETF Trust | ||||||||||
1,209 | Expiration: 10/20/2023, Strike Price: $480 | $ | 55,346,811 | $ | 353,028 | |||||
Total Options Written | ||||||||||
(Premiums Received $339,342) | $ | 353,028 | ||||||||
Percentages are stated as a percent of net assets. | ||||||||||
(1) 100 shares per contract. |
Summary of Fair Value Exposure at July 31, 2023 (Unaudited) | |||||
The ZEGA Buy and Hedge ETF (the “Fund”) utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: | |||||
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. • Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment spreads, credit risk, yield curves, default rates and similar data. • Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. | |||||
The following is a summary of the inputs used to value the Fund’s investments and options written as of July 31, 2023: |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Corporate Bonds (1) | $ | – | $ | 1,770,921 | $ | – | $ | 1,770,921 | |||||||
United States Treasury Obligations | – | 13,820,421 | – | 13,820,421 | |||||||||||
Options Purchased | – | 38,665,511 | – | 38,665,511 | |||||||||||
Short-Term Investments | 857,955 | – | – | 857,955 | |||||||||||
Total Investments in Securities | $ | 857,955 | $ | 54,256,853 | $ | – | $ | 55,114,808 | |||||||
Options Written | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Call Options Written | $ | 353,028 | $ | – | $ | – | $ | 353,028 | |||||||
Total Options Written | $ | 353,028 | $ | – | $ | – | $ | 353,028 | |||||||
(1) See Schedule of Investments for the industry breakout. |