Shares
Value
Exchange-Traded
Funds
–
98.7%
iShares
Core
S&P
500
ETF(a)(b)
(Cost
$103,316,281)
.........................................................
223,695
$
96,061,344
Number
of
Contracts
Notional
Amount
Purchased
Options
–
1.7%
Puts
–
Exchange-Traded
–
1.7%
S&P
500
Index,
October
Strike
Price
$3,870,
Expires
10/20/23
...........
582
$
225,234,000
212,430
S&P
500
Index,
November
Strike
Price
$3,700,
Expires
11/17/23
..........
289
106,930,000
216,750
S&P
500
Index,
December
Strike
Price
$3,810,
Expires
12/15/23
.........
535
203,835,000
1,171,650
1,600,830
Total
Purchased
Options
(Cost
$2,154,961)
.........................................................
1,600,830
Shares
Money
Market
Funds
–
0.0%†
Fidelity
Investments
Money
Market
Treasury
Only
Portfolio
-
Class
I,
5.20%(c)
(Cost
$43,785)
..............................................................
43,785
43,785
Total
Investments
–
100.4%
(Cost
$105,515,027)
.........................................................................
$
97,705,959
Liabilities
in
Excess
of
Other
Assets
–
(0.4)%
.......................................................
(422,256)
Net
Assets
–
100.0%
..........................................................................
$
97,283,703
Number
of
Contracts
Notional
Amount
Written
Options
–
(0.9)%
Puts
–
Exchange-Traded
–
(0.9)%
S&P
500
Index,
October
Strike
Price
$3,640,
Expires
10/20/23
...........
(582)
$
(211,848,000)
$
(114,945)
S&P
500
Index,
November
Strike
Price
$3,475,
Expires
11/17/23
..........
(289)
(100,427,500)
(119,935)
S&P
500
Index,
December
Strike
Price
$3,575,
Expires
12/15/23
.........
(535)
(191,262,500)
(599,200)
(834,080)
Total
Written
Options
(Premiums
Received
$1,353,655)
...............................................
$
(834,080)
†
Less
than
0.05%
(a)
A
copy
of
the
security's
annual
report
to
shareholders
may
be
obtained
without
charge
at
www.ishares.com.
(b)
Securities
with
an
aggregate
market
value
of
$55,825,900
have
been
pledged
as
collateral
for
options
as
of
September
30,
2023.
(c)
Rate
shown
reflects
the
7-day
yield
as
of
September
30,
2023.
Summary
of
Investment
Type
Industry
%
of
Net
Assets
Exchange-Traded
Funds
...........................................................................
98.7%
Purchased
Options
...............................................................................
1.7%
Money
Market
Funds
.............................................................................
0.0%†
Total
Investments
................................................................................
100.4%
Liabilities
in
Excess
of
Other
Assets
..................................................................
(0.4)%
Net
Assets
.....................................................................................
100.0%
