0001752724-22-215745.txt : 20220926 0001752724-22-215745.hdr.sgml : 20220926 20220926143952 ACCESSION NUMBER: 0001752724-22-215745 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220731 FILED AS OF DATE: 20220926 DATE AS OF CHANGE: 20220926 PERIOD START: 20221031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: World Funds Trust CENTRAL INDEX KEY: 0001396092 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22172 FILM NUMBER: 221265284 BUSINESS ADDRESS: STREET 1: 8730 STONY POINT PARKWAY STREET 2: SUITE 205 CITY: RICHMOND STATE: VA ZIP: 23235 BUSINESS PHONE: 804-267-7400 MAIL ADDRESS: STREET 1: 8730 STONY POINT PARKWAY STREET 2: SUITE 205 CITY: RICHMOND STATE: VA ZIP: 23235 FORMER COMPANY: FORMER CONFORMED NAME: Abacus World Funds Trust DATE OF NAME CHANGE: 20070410 0001396092 S000055568 Cboe Vest US Large Cap 20% Buffer Strategies Fund C000174909 Class A Shares ENGAX C000174910 Class C Shares ENGCX C000174911 Investor Class Shares ENGLX C000174912 Institutional Class Shares ENGIX C000195359 Class Y Shares ENGYX NPORT-P 1 primary_doc.xml NPORT-P false 0001396092 XXXXXXXX S000055568 C000174912 C000174911 C000195359 C000174910 C000174909 World Funds Trust 811-22172 0001396092 5493007BOSPYEMKSSY03 8730 Stony Point Parkway Suite 205 Richmond 23235 800-673-0550 Cboe Vest US Large Cap 20% Buffer Strategies Fund S000055568 549300TEUS5B7G402L88 2022-10-31 2022-07-31 N 18282560.12 763773.27 17518786.85 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 187817.53000000 N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 09/21/2022 P358.3 N/A -31.00000000 NS USD -5828.00000000 -0.03326714372 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 09/21/2022 P358.3 -31.00000000 358.30000000 USD 2022-09-21 XXXX 22912.29000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 11/16/2022 P468.13 N/A 31.00000000 NS USD 172825.00000000 0.986512373714 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 11/16/2022 P468.13 31.00000000 468.13000000 USD 2022-11-16 XXXX -917.37000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 09/21/2022 C474.5 N/A -24.00000000 NS USD -287.94000000 -0.00164360696 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 09/21/2022 C474.5 -24.00000000 474.50000000 USD 2022-09-21 XXXX 14885.61000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 02/15/2023 C482.91 N/A -31.00000000 NS USD -10013.00000000 -0.05715578416 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 02/15/2023 C482.91 -31.00000000 482.91000000 USD 2023-02-15 XXXX 17971.40000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 04/19/2023 P444.7 N/A 31.00000000 NS USD 133858.00000000 0.764082588287 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 04/19/2023 P444.7 31.00000000 444.70000000 USD 2023-04-19 XXXX -11179.02000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 11/21/2024 C0.01 N/A 259.00000000 NS USD 10379684.00000000 59.24887430204 N/A DE CORP US N 2 SG Americas N/A Call Purchased SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 11/21/2024 C0.01 259.00000000 0.01000000 USD 2024-11-21 XXXX 234496.41000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 06/21/2023 P379.19 N/A 31.00000000 NS USD 64294.00000000 0.367000298311 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 06/21/2023 P379.19 31.00000000 379.19000000 USD 2023-06-21 XXXX -48331.05000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 08/17/2022 P351.34 N/A -31.00000000 NS USD -464.30000000 -0.00265029767 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 08/17/2022 P351.34 -31.00000000 351.34000000 USD 2022-08-17 XXXX 18044.10000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 09/21/2022 P447.87 N/A 31.00000000 NS USD 115475.00000000 0.659149523244 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 09/21/2022 P447.87 31.00000000 447.87000000 USD 2022-09-21 XXXX -16396.32000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 02/15/2023 P357.27 N/A -31.00000000 NS USD -30039.00000000 -0.17146735248 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 02/15/2023 P357.27 -31.00000000 357.27000000 USD 2023-02-15 XXXX 18752.02000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 10/19/2022 C479.64 N/A -24.00000000 NS USD -828.89000000 -0.00473143492 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 10/19/2022 C479.64 -24.00000000 479.64000000 USD 2022-10-19 XXXX 14776.66000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 01/18/2023 C484.87 N/A -31.00000000 NS USD -6355.00000000 -0.03627534288 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 01/18/2023 C484.87 -31.00000000 484.87000000 USD 2023-01-18 XXXX 16213.45000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 01/18/2023 P451.74 N/A 31.00000000 NS USD 137330.00000000 0.783901312207 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 01/18/2023 P451.74 31.00000000 451.74000000 USD 2023-01-18 XXXX -19994.32000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 03/15/2023 C479.01 N/A -31.00000000 NS USD -15283.00000000 -0.08723777582 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 03/15/2023 C479.01 -31.00000000 479.01000000 USD 2023-03-15 XXXX 18981.66000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 03/15/2023 P348.5 N/A -31.00000000 NS USD -29233.00000000 -0.16686657729 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 03/15/2023 P348.5 -31.00000000 348.50000000 USD 2023-03-15 XXXX 16322.39000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 07/19/2023 P394.76 N/A 31.00000000 NS USD 81127.00000000 0.463085718746 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 07/19/2023 P394.76 31.00000000 394.76000000 USD 2023-07-19 XXXX -24324.05000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 07/19/2023 P315.81 N/A -31.00000000 NS USD -29357.00000000 -0.16757438886 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 07/19/2023 P315.81 -31.00000000 315.81000000 USD 2023-07-19 XXXX 7797.09000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 05/17/2023 P391.85 N/A 31.00000000 NS USD 69595.00000000 0.397259242868 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 05/17/2023 P391.85 31.00000000 391.85000000 USD 2023-05-17 XXXX -40957.03000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 03/15/2023 P435.61 N/A 31.00000000 NS USD 112127.00000000 0.640038610892 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 03/15/2023 P435.61 31.00000000 435.61000000 USD 2023-03-15 XXXX -25033.01000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 10/19/2022 P361.92 N/A -31.00000000 NS USD -12028.00000000 -0.06865772215 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 10/19/2022 P361.92 -31.00000000 361.92000000 USD 2022-10-19 XXXX 23175.18000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 01/18/2023 P361.39 N/A -31.00000000 NS USD -28179.00000000 -0.16085017896 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 01/18/2023 P361.39 -31.00000000 361.39000000 USD 2023-01-18 XXXX 20395.02000000 N N N Default N/A Federated Treasury Obligations Fund Institutional Class 60934N500 343250.97000000 NS USD 343250.97000000 1.959330705596 Long STIV RF US N 1 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 12/21/2022 P470.59 N/A 31.00000000 NS USD 183427.00000000 1.047030262828 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 12/21/2022 P470.59 31.00000000 470.59000000 USD 2022-12-21 XXXX -5066.34000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 02/15/2023 P446.59 N/A 31.00000000 NS USD 128991.00000000 0.736300984220 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 02/15/2023 P446.59 31.00000000 446.59000000 USD 2023-02-15 XXXX -21326.32000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 12/21/2022 P376.47 N/A -31.00000000 NS USD -32767.00000000 -0.18703920699 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 12/21/2022 P376.47 -31.00000000 376.47000000 USD 2022-12-21 XXXX 23402.92000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 08/17/2022 P439.17 N/A 31.00000000 NS USD 83855.00000000 0.478657573255 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 08/17/2022 P439.17 31.00000000 439.17000000 USD 2022-08-17 XXXX -28337.32000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 10/19/2022 P452.4 N/A 31.00000000 NS USD 129704.00000000 0.740370900739 N/A DE CORP US N 2 SG Americas N/A Put Purchased SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 10/19/2022 P452.4 31.00000000 452.40000000 USD 2022-10-19 XXXX -13369.32000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 08/17/2022 C463.4 N/A -24.00000000 NS USD -28.87000000 -0.00016479451 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 08/17/2022 C463.4 -24.00000000 463.40000000 USD 2022-08-17 XXXX 19008.66000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 06/21/2023 C436.08 N/A -31.00000000 NS USD -76384.00000000 -0.43601192624 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 06/21/2023 C436.08 -31.00000000 436.08000000 USD 2023-06-21 XXXX -49313.69000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 04/19/2023 P355.77 N/A -31.00000000 NS USD -38564.00000000 -0.22012939782 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 04/19/2023 P355.77 -31.00000000 355.77000000 USD 2023-04-19 XXXX 10963.30000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 05/17/2023 C441.22 N/A -31.00000000 NS USD -62992.00000000 -0.35956827684 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 05/17/2023 C441.22 -31.00000000 441.22000000 USD 2023-05-17 XXXX -24294.98000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 06/21/2023 P303.35 N/A -31.00000000 NS USD -22723.00000000 -0.12970646994 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 06/21/2023 P303.35 -31.00000000 303.35000000 USD 2023-06-21 XXXX 16011.03000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 11/15/2023 C0.01 N/A 140.00000000 NS USD 5663488.62000000 32.32808680470 N/A DE CORP US N 2 SG Americas N/A Call Purchased SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 11/15/2023 C0.01 140.00000000 0.01000000 USD 2023-11-15 XXXX -618682.31000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 11/16/2022 C495.12 N/A -24.00000000 NS USD -874.80000000 -0.00499349645 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 11/16/2022 C495.12 -24.00000000 495.12000000 USD 2022-11-16 XXXX 10063.75000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 11/16/2022 P374.5 N/A -31.00000000 NS USD -23312.00000000 -0.13306857489 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 11/16/2022 P374.5 -31.00000000 374.50000000 USD 2022-11-16 XXXX 25129.03000000 N N N SPDR S&P 500 ETF N/A PUT SPDR S&P 500 ETF 05/17/2023 P313.48 N/A -31.00000000 NS USD -22754.00000000 -0.12988342283 N/A DE CORP US N 2 SG Americas N/A Put Written SPDR S&P 500 ETF PUT SPDR S&P 500 ETF 05/17/2023 P313.48 -31.00000000 313.48000000 USD 2023-05-17 XXXX 15246.04000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 07/19/2023 C451.96 N/A -31.00000000 NS USD -60202.00000000 -0.34364251654 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 07/19/2023 C451.96 -31.00000000 451.96000000 USD 2023-07-19 XXXX -20522.98000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 04/19/2023 C489.4 N/A -31.00000000 NS USD -14074.00000000 -0.08033661303 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 04/19/2023 C489.4 -31.00000000 489.40000000 USD 2023-04-19 XXXX 16673.70000000 N N N SPDR S&P 500 ETF N/A CALL SPDR S&P 500 ETF 12/21/2022 C500.28 N/A -24.00000000 NS USD -1416.00000000 -0.00808275146 N/A DE CORP US N 2 SG Americas N/A Call Written SPDR S&P 500 ETF CALL SPDR S&P 500 ETF 12/21/2022 C500.28 -24.00000000 500.28000000 USD 2022-12-21 XXXX 9612.55000000 N N N 2022-09-16 World Funds Trust Ann MacDonald Ann MacDonald Principal Financial Officer XXXX NPORT-EX 2 950.htm CFS_950_20220731_20220921203820691.pdf

 

CBOE VEST US LARGE CAP 20% BUFFER FUND

 

 

 

Schedule of Investments

 

 

July 31, 2022 (unaudited)

 

1.96%

MONEY MARKET FUND

 

 

Shares

 

Fair Value

 

 

 

 

 

 

 

Federated Treasury Obligations Fund -

 

 

 

 

 

 

Institutional Class 2.05%* . . . . . . . .

. . . .

343,251

$

343,251

 

99.64%

PURCHASED OPTIONS

 

 

 

 

 

 

 

 

Number

 

 

 

 

 

 

 

 

of

Notional

Exercise

Expiration

 

 

 

 

Description

Contracts

Amount

Price

Date

 

Value

91.58%

CALL OPTIONS

 

 

 

 

 

 

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

140

$ 5,767,860

$ 0.01

11/16/23

$

5,663,489

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

259

10,670,541

0.01

11/22/24

 

10,379,684

 

 

TOTAL CALL OPTIONS PURCHASED . . . . . . . . . . . . . .

 

16,043,173

 

8.06%

PUT OPTIONS

 

 

 

 

 

 

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

447

02/16/23

 

128,991

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

435.61

03/16/23

 

112,127

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

468.13

11/17/22

 

172,825

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

391.85

05/18/23

 

69,595

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

439.17

08/18/22

 

83,855

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

451.74

01/19/23

 

137,330

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

444.7

04/20/23

 

133,858

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

394.76

07/20/23

 

81,127

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

452.4

10/20/22

 

129,704

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

379.19

06/22/23

 

64,294

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

447.87

09/22/22

 

115,475

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

ETF Trust . . .

31

1,277,169

470.59

12/22/22

 

183,427

 

 

 

 

 

 

 

$

1,412,608

 

99.64%

TOTAL PURCHASED OPTIONS . . . . . . . . . . . . . . . . .

 

17,455,781

 

101.60%

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . .

 

17,799,032

 

(1.60%)

Liabilities, in excess of other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

 

(280,245)

100.00%

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . .

$

17,518,787

 

* Effective

7 day yield as of July

31, 2022

 

 

 

 

 

 

1

QUARTERLY REPORT

 

CBOE VEST US LARGE CAP 20% BUFFER FUND

 

 

 

Schedule of Investments - continued

 

July 31, 2022 (unaudited)

 

(2.99%)

OPTIONS WRITTEN

 

 

 

 

 

 

 

 

(1.42%)

CALL OPTIONS

 

 

 

 

 

 

 

 

 

 

Number

 

 

 

 

 

 

 

 

 

of

 

Notional

Exercise

Expiration

 

 

 

 

Description

Contracts

 

Amount

Price

Date

 

Value

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

$

(1,277,169)

$482.91

02/16/23

$

(10,013)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

479.01

03/16/23

 

(15,283)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

24

 

(988,776)

495.12

11/17/22

 

(875)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

441.22

05/18/23

 

(62,992)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

24

 

(988,776)

463.40

08/18/22

 

(29)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

484.87

01/19/23

 

(6,355)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

489.40

04/20/23

 

(14,074)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

451.96

07/20/23

 

(60,202)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

24

 

(988,776)

479.64

10/20/22

 

(829)

 

SPDR S&P 500 ETF

 

 

 

 

 

 

 

 

 

Trust . . . . .

31

 

(1,277,169)

436.08

06/22/23

 

(76,384)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

24

 

(988,776)

474.50

09/22/22

 

(288)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

24

 

(988,776)

500.28

12/22/22

 

(1,416)

 

TOTAL CALL OPTIONS WRITTEN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Premiums received: 292,795) . .

. . . . . .

. . . .

. . . . .

 

(248,740)

(1.57%)

PUT OPTIONS

 

 

 

 

 

 

 

 

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

$

(1,277,169)

$357.27

02/16/23

$

(30,039)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

348.50

03/16/23

 

(29,233)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

374.50

11/17/22

 

(23,312)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

313.48

05/18/23

 

(22,754)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

351.34

08/18/22

 

(464)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

361.39

01/19/23

 

(28,179)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

355.77

04/20/23

 

(38,564)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

315.81

07/20/23

 

(29,357)

2

QUARTERLY REPORT

 

CBOE VEST US LARGE CAP 20% BUFFER FUND

 

 

 

Schedule of Investments - continued

 

July 31, 2022 (unaudited)

 

 

 

Number

 

 

 

 

 

 

 

 

 

of

 

Notional

Exercise

Expiration

 

 

 

 

Description

Contracts

 

Amount

Price

Date

 

Value

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

$

(1,277,169)

$361.92

10/20/22

$

(12,028)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

303.35

06/22/23

 

(22,723)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

358.30

09/22/22

 

(5,828)

 

SPDR S&P 500

 

 

 

 

 

 

 

 

 

ETF Trust . . .

31

 

(1,277,169)

376.47

12/22/22

 

(32,767)

 

TOTAL PUT OPTIONS WIRTTEN

 

 

 

 

 

 

 

 

(Premiums received: 493,399) . .

. . . . . .

. . . .

. . . . .

$

(275,248)

(2.99%) TOTAL OPTIONS WRITTEN

 

 

 

 

 

 

 

 

(Premiums received: 786,194) . . .

. . . . .

. . . . .

. . . . .

$

(523,988)

 

 

 

 

 

 

 

 

 

 

In accordance with U.S. GAAP, “fair value” is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. Various inputs are used in determining the value of a Fund’s investments. U.S. GAAP established a three-tier hierarchy of inputs to establish a classification of fair value measurements for disclosure purposes. 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, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of July 31, 2022:

PURCHASED OPTIONS . MONEY MARKET FUND . TOTAL INVESTMENTS . . OPTIONS WRITTEN . . .

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Other

 

 

 

 

 

 

 

 

 

Significant

 

Significant

 

 

 

 

Quoted

 

 

Observable

Unobservable

 

 

 

 

Prices

 

 

Inputs

 

Inputs

 

Total

$

—

$

17,455,781

 

$

—

$

17,455,781

 

 

343,251

 

 

 

 

 

 

 

343,251

 

 

343,251

 

 

17,455,781

 

 

—

 

17,799,032

 

 

 

 

 

 

 

 

 

$

—

$

(523,988)

$

—

$

(523,988)

 

 

 

 

 

 

 

 

 

 

 

 

3

QUARTERLY REPORT

CBOE VEST US LARGE CAP 20% BUFFER FUND

Schedule of Investments - continued

July 31, 2022 (unaudited)

The Fund held no Level 3 securities at any time during the period.

There were no transfers into or out of Levels 1 and 2 during the period ended July 31, 2022.

At July 31, 2022 the cost of investments for Federal income tax purposes has been estimated since the final tax characteristics cannot be determined until fiscal year end. Cost of securities for Federal income tax purpose is $17,652,255 and the related tax-based net unrealized appreciation (depreciation) consists of:

Gross unrealized appreciation . . . .

$

590,834

 

Gross unrealized depreciation . . . .

 

(968,045)

Net unrealized appreciation . . . . .

 

 

 

$

(377,211)

 

 

 

 

4

QUARTERLY REPORT