The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security (or a portion thereof) has been pledged as collateral for written options. |
(2) | Non-income producing security. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2024. |
Purchased Put Options (Exchange-Traded) — 0.1% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 95 | $ | 49,916,325 | $ | 5,000 | 4/1/24 | $ 1,188 |
S&P 500 Index | 94 | 49,390,890 | 4,950 | 4/3/24 | 2,350 | ||
S&P 500 Index | 94 | 49,390,890 | 5,035 | 4/5/24 | 9,165 | ||
S&P 500 Index | 95 | 49,916,325 | 4,940 | 4/8/24 | 9,025 | ||
S&P 500 Index | 94 | 49,390,890 | 5,030 | 4/10/24 | 28,435 | ||
S&P 500 Index | 95 | 49,916,325 | 4,970 | 4/12/24 | 28,737 | ||
S&P 500 Index | 94 | 49,390,890 | 5,025 | 4/15/24 | 47,000 | ||
S&P 500 Index | 94 | 49,390,890 | 5,030 | 4/17/24 | 62,510 | ||
S&P 500 Index | 93 | 48,865,455 | 5,105 | 4/19/24 | 125,085 | ||
S&P 500 Index | 94 | 49,390,890 | 5,100 | 4/22/24 | 131,600 | ||
S&P 500 Index | 94 | 49,390,890 | 5,090 | 4/24/24 | 139,590 | ||
S&P 500 Index | 93 | 48,865,455 | 5,120 | 4/26/24 | 188,415 | ||
Total | $773,100 |
Written Call Options (Exchange-Traded) — (0.5)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 95 | $ | 49,916,325 | $ | 5,250 | 4/1/24 | $ (124,925) |
S&P 500 Index | 94 | 49,390,890 | 5,225 | 4/3/24 | (357,200) | ||
S&P 500 Index | 94 | 49,390,890 | 5,320 | 4/5/24 | (52,640) | ||
S&P 500 Index | 95 | 49,916,325 | 5,240 | 4/8/24 | (389,975) | ||
S&P 500 Index | 94 | 49,390,890 | 5,300 | 4/10/24 | (184,240) | ||
S&P 500 Index | 95 | 49,916,325 | 5,255 | 4/12/24 | (435,100) | ||
S&P 500 Index | 94 | 49,390,890 | 5,300 | 4/15/24 | (252,860) | ||
S&P 500 Index | 94 | 49,390,890 | 5,300 | 4/17/24 | (294,220) | ||
S&P 500 Index | 93 | 48,865,455 | 5,360 | 4/19/24 | (152,520) | ||
S&P 500 Index | 94 | 49,390,890 | 5,340 | 4/22/24 | (223,250) | ||
S&P 500 Index | 94 | 49,390,890 | 5,330 | 4/24/24 | (290,930) | ||
S&P 500 Index | 93 | 48,865,455 | 5,375 | 4/26/24 | (210,675) | ||
Total | $(2,968,535) |
Abbreviations: | |
ADR | – American Depositary Receipt |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $9,422,220 | $34,131,806 | $(36,528,231) | $ — | $ — | $7,025,795 | $62,033 | 7,025,795 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $614,134,592* | $ — | $ — | $614,134,592 |
Short-Term Investments | 7,025,795 | — | — | 7,025,795 |
Purchased Put Options | 773,100 | — | — | 773,100 |
Total Investments | $621,933,487 | $ — | $ — | $621,933,487 |
Liability Description | ||||
Written Call Options | $ (2,968,535) | $ — | $ — | $ (2,968,535) |
Total | $ (2,968,535) | $ — | $ — | $ (2,968,535) |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |