SWAN DEFINED RISK FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2022 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 84.3% | |||||||
EQUITY - 84.3% | |||||||
1,029,751 | Communication Services Select Sector SPDR Fund(a) | $ 49,314,775 | |||||
488,791 | Consumer Discretionary Select Sector SPDR Fund(a) | 69,628,278 | |||||
604,904 | Consumer Staples Select Sector SPDR Fund(a) | 40,365,244 | |||||
379,782 | Energy Select Sector SPDR Fund(a) | 27,351,900 | |||||
2,191,869 | Financial Select Sector SPDR Fund(a) | 66,545,143 | |||||
751,207 | Health Care Select Sector SPDR Fund(a) | 90,978,680 | |||||
573,195 | Industrial Select Sector SPDR Fund(a) | 47,483,474 | |||||
432,000 | iShares Core S&P 500 ETF | 154,936,800 | |||||
224,769 | Materials Select Sector SPDR Fund(a) | 15,286,540 | |||||
436,711 | Real Estate Select Sector SPDR Fund(a) | 15,725,963 | |||||
1,335,463 | Technology Select Sector SPDR Fund(a) | 158,626,294 | |||||
275,716 | Utilities Select Sector SPDR Fund(a) | 18,062,155 | |||||
754,305,246 | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $402,665,508) |
754,305,246 | ||||||
SHORT-TERM INVESTMENTS — 0.0%(b) | |||||||
MONEY MARKET FUNDS - 0.0% (b) | |||||||
424,471 | First American Government Obligations Fund Class X, 2.77% (Cost $424,471)(d) | 424,471 | |||||
| |||||||
Contracts(d) | |||||||
INDEX OPTIONS PURCHASED - 19.3% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS PURCHASED - 0.2% | |||||||
535 | S&P 500 Index | 10/21/2022 | $ 4,070 | $ 191,830,670 | $ 75,907 | ||
1,059 | S&P 500 Index | 11/18/2022 | 4,000 | 379,717,158 | 1,648,646 | ||
TOTAL CALL OPTIONS PURCHASED (Cost - $7,716,894) |
1,724,553 | ||||||
PUT OPTIONS PURCHASED - 19.1% | |||||||
535 | S&P 500 Index | 10/21/2022 | 3,670 | 191,830,670 | 7,649,767 | ||
1,062 | S&P 500 Index | 12/16/2022 | 3,025 | 380,792,844 | 4,400,718 | ||
584 | S&P 500 Index | 12/15/2023 | 3,650 | 209,400,208 | 21,276,387 | ||
1,048 | S&P 500 Index | 12/15/2023 | 4,525 | 375,772,976 | 90,622,100 | ||
478 | S&P 500 Index | 12/15/2023 | 4,700 | 171,392,636 | 47,886,921 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $102,942,348) |
171,835,893 | ||||||
SWAN DEFINED RISK FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
September 30, 2022 | |||||||
Fair Value | |||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $110,659,242) | $ 173,560,446 | ||||||
TOTAL INVESTMENTS - 103.6% (Cost $513,749,221) | $ 928,290,163 | ||||||
CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $10,189,606) | (2,242,227) | ||||||
PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $19,750,898) | (32,699,275) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% |
1,809,383 | ||||||
NET ASSETS - 100.0% |
$ 895,158,044 | ||||||
Contracts(d) | |||||||
WRITTEN INDEX OPTIONS - (3.8)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS WRITTEN- (0.2)% | |||||||
535 | S&P 500 Index | 10/21/2022 | $ 3,870 | $ 191,830,670 | $ 599,539 | ||
1,055 | S&P 500 Index | 11/18/2022 | 4,040 | 378,282,910 | 1,237,175 | ||
1,059 | S&P 500 Index | 11/18/2022 | 4,200 | 379,717,158 | 405,513 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $10,189,606) |
2,242,227 | ||||||
PUT OPTIONS WRITTEN - (3.6)% | |||||||
535 | S&P 500 Index | 10/21/2022 | 3,870 | 191,830,670 | 15,551,890 | ||
1,055 | S&P 500 Index | 11/18/2022 | 3,260 | 378,282,910 | 5,431,519 | ||
1,062 | S&P 500 Index | 12/16/2022 | 3,400 | 380,792,844 | 11,715,866 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $19,750,898) |
32,699,275 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $29,940,504) |
$ 34,941,502 | ||||||
ETF | - Exchange-Traded Fund |
SPDR | - Standard & Poor's Depositary Receipt |
(a) | All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $277,069,077. |
(b) | Percentage rounds to less than 0.1%. |
(c) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(d) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK EMERGING MARKETS FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2022 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 87.4% | |||||||
EQUITY - 87.4% | |||||||
539,800 | iShares Core MSCI Emerging Markets ETF(a) | $ 23,200,605 | |||||
48,500 | iShares MSCI Emerging Markets ETF(a) | 1,691,680 | |||||
24,892,285 | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $28,015,502) |
24,892,285 | ||||||
SHORT-TERM INVESTMENTS — 1.2% | |||||||
MONEY MARKET FUNDS - 1.2% | |||||||
355,643 | First American Government Obligations Fund Class X, 2.77% (Cost $355,643)(b) | 355,643 | |||||
| |||||||
Contracts(c) | |||||||
EQUITY OPTIONS PURCHASED - 14.4% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS PURCHASED - 14.4% | |||||||
3,317 | iShares MSCI Emerging Markets ETF | 12/16/2022 | $ 36 | $ 11,569,696 | $ 813,691 | ||
2,461 | iShares MSCI Emerging Markets ETF | 12/15/2023 | 40 | 8,583,968 | 1,610,489 | ||
107 | iShares MSCI Emerging Markets ETF | 12/15/2023 | 42 | 373,216 | 86,195 | ||
1,210 | iShares MSCI Emerging Markets ETF | 12/15/2023 | 48 | 4,220,480 | 1,623,358 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $2,610,138) |
4,133,733 | ||||||
TOTAL EQUITY OPTIONS PURCHASED (Cost - $2,610,138) | 4,133,733 | ||||||
INDEX OPTIONS PURCHASED - 0.5% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS PURCHASED - 0.5% | |||||||
35 | S&P 500 Index | 12/16/2022 | $ 3,025 | $ 12,549,670 | $ 145,033 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $105,737) |
| ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $105,737) | 145,033 | ||||||
TOTAL INVESTMENTS - 103.5% (Cost $31,087,020) | $ 29,526,694 | ||||||
CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $94,806) | (49,678) | ||||||
PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $686,455) | (1,049,188) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% |
99,684 | ||||||
NET ASSETS - 100.0% |
$ 28,527,512 | ||||||
SWAN DEFINED RISK EMERGING MARKETS FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
September 30, 2022 | |||||||
Contracts(c) | |||||||
WRITTEN EQUITY OPTIONS - (2.5)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
CALL OPTIONS WRITTEN- (0.2)% | |||||||
1,615 | iShares MSCI Emerging Markets ETF | 12/16/2022 | $ 40 | $ 5,633,120 | $ 34,405 | ||
1,585 | iShares MSCI Emerging Markets ETF | 12/16/2022 | 42 | 5,528,480 | 15,273 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $94,806) |
49,678 | ||||||
PUT OPTIONS WRITTEN - (2.3)% | |||||||
1,583 | iShares MSCI Emerging Markets ETF | 11/18/2022 | 34 | 5,521,504 | 148,599 | ||
3,317 | iShares MSCI Emerging Markets ETF | 12/16/2022 | 30 | 11,569,696 | 181,422 | ||
1,615 | iShares MSCI Emerging Markets ETF | 12/16/2022 | 32 | 5,633,120 | 147,157 | ||
1,585 | iShares MSCI Emerging Markets ETF | 12/16/2022 | 33 | 5,528,480 | 185,894 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $397,391) |
663,072 | ||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $492,197) |
$ 712,750 | ||||||
WRITTEN INDEX OPTIONS - (1.3)% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS WRITTEN - (1.3)% | |||||||
35 | S&P 500 Index | 12/16/2022 | $ 3,400 | $ 12,549,670 | $ 386,116 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $289,064) |
| ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $289,064) |
$ 386,116 | ||||||
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $18,875,084. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK FOREIGN FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2022 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 89.5% | |||||||
EQUITY - 89.5% | |||||||
498,300 | iShares MSCI EAFE ETF(a) | $ 27,909,782 | |||||
| |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $28,477,141) |
27,909,782 | ||||||
SHORT-TERM INVESTMENTS — 0.3% | |||||||
MONEY MARKET FUNDS - 0.3% | |||||||
96,358 | First American Government Obligations Fund Class X, 2.77% (Cost $96,358)(b) | 96,358 | |||||
| |||||||
Contracts(c) | |||||||
EQUITY OPTIONS PURCHASED - 12.1% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS PURCHASED - 12.1% | |||||||
2,492 | iShares MSCI EAFE ETF | 12/16/2022 | $ 59 | $ 13,957,692 | $ 1,115,676 | ||
1,749 | iShares MSCI EAFE ETF | 12/15/2023 | 60 | 9,796,149 | 1,293,629 | ||
80 | iShares MSCI EAFE ETF | 12/15/2023 | 65 | 448,080 | 84,979 | ||
662 | iShares MSCI EAFE ETF | 12/15/2023 | 75 | 3,707,862 | 1,278,226 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $2,046,340) |
3,772,510 | ||||||
TOTAL EQUITY OPTIONS PURCHASED (Cost - $2,046,340) | 3,772,510 | ||||||
INDEX OPTIONS PURCHASED - 0.5% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS PURCHASED - 0.5% | |||||||
38 | S&P 500 Index | 12/16/2022 | $ 3,025 | $13,625,356 | $ 157,465 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $114,799) |
| ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $114,799) | 157,465 | ||||||
TOTAL INVESTMENTS - 102.4% (Cost $30,734,638) | $ 31,936,115 | ||||||
CALL OPTIONS WRITTEN - (0.2)% (Proceeds - $113,691) | (40,184) | ||||||
PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $833,332) | (1,158,365) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% |
423,750 | ||||||
NET ASSETS - 100.0% |
$ 31,161,316 | ||||||
SWAN DEFINED RISK FOREIGN FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
September 30, 2022 | |||||||
Contracts(c) | |||||||
WRITTEN EQUITY OPTIONS - (2.5)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
CALL OPTIONS WRITTEN- (0.2)% | |||||||
1,140 | iShares MSCI EAFE ETF | 12/16/2022 | $ 65 | $ 6,385,140 | $ 23,351 | ||
1,140 | iShares MSCI EAFE ETF | 12/16/2022 | 66 | 6,385,140 | 16,833 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $113,691) |
40,184 | ||||||
PUT OPTIONS WRITTEN - (2.3)% | |||||||
1,140 | iShares MSCI EAFE ETF | 11/18/2022 | 54 | 6,385,140 | 161,508 | ||
3,632 | iShares MSCI EAFE ETF | 12/16/2022 | 50 | 20,342,832 | 379,182 | ||
1,140 | iShares MSCI EAFE ETF | 12/16/2022 | 53 | 6,385,140 | 198,463 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $519,491) |
739,153 | ||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $633,182) |
779,337 | ||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (1.3)% | Expiration Date | Exercise Price | Notional Value | ||||
PUT OPTIONS WRITTEN - (1.3)% | |||||||
38 | S&P 500 Index | 12/16/2022 | $ 3,400 | $ 13,625,356 | 419,212 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $313,841) |
| ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $313,841) |
$ 419,212 | ||||||
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $18,444,093. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK GROWTH FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2022 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 83.8% | |||||||
EQUITY - 83.8% | |||||||
229,000 | iShares Core S&P 500 ETF(a) | $ 82,130,850 | |||||
| |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $75,346,816) |
82,130,850 | ||||||
SHORT-TERM INVESTMENTS — 0.8% | |||||||
MONEY MARKET FUNDS - 0.8% | |||||||
821,512 | First American Government Obligations Fund Class X, 2.77% (Cost $821,512)(b) | 821,512 | |||||
| |||||||
Contracts(c) | |||||||
INDEX OPTIONS PURCHASED - 18.5% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS PURCHASED - 2.3% | |||||||
58 | S&P 500 Index | 10/21/2022 | $ 4,070.00 | $ 20,796,596 | $ 8,229 | ||
115 | S&P 500 Index | 11/18/2022 | 4,000.00 | 41,234,630 | 179,032 | ||
60 | S&P 500 Index | 12/15/2023 | 4,050.00 | 21,513,720 | 1,384,140 | ||
56 | S&P 500 Index | 12/15/2023 | 4,750.00 | 20,079,472 | 299,552 | ||
99 | S&P 500 Index | 12/15/2023 | 4,900.00 | 35,497,638 | 376,209 | ||
14 | S&P 500 Index | 12/15/2023 | 5,000.00 | 5,019,868 | 42,401 | ||
TOTAL CALL OPTIONS PURCHASED (Cost - $7,563,052) |
2,289,563 | ||||||
PUT OPTIONS PURCHASED - 16.2% | |||||||
1,000 | Chicago Board Options Exchange Volatility Index | 11/16/2022 | 27.00 | 3,162,000 | 200,681 | ||
58 | S&P 500 Index | 10/21/2022 | 3,670.00 | 20,796,596 | 829,321 | ||
116 | S&P 500 Index | 12/16/2022 | 3,025.00 | 41,593,192 | 480,681 | ||
60 | S&P 500 Index | 12/15/2023 | 3,450.00 | 21,513,720 | 1,743,863 | ||
54 | S&P 500 Index | 12/15/2023 | 4,300.00 | 19,362,348 | 3,812,664 | ||
115 | S&P 500 Index | 12/15/2023 | 4,400.00 | 41,234,630 | 8,900,711 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $9,945,013) |
15,967,921 | ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $17,508,065) | 18,257,484 | ||||||
TOTAL INVESTMENTS - 103.1% (Cost $93,676,393) | $ 101,209,846 | ||||||
CALL OPTIONS WRITTEN - (1.2)% (Proceeds - $3,889,693) | (1,233,365) | ||||||
PUT OPTIONS WRITTEN - (3.6)% (Proceeds - $2,150,567) | (3,557,759) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7% |
1,716,584 | ||||||
NET ASSETS - 100.0% |
$ 98,135,306 | ||||||
SWAN DEFINED RISK GROWTH FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
September 30, 2022 | |||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (4.8)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
CALL OPTIONS WRITTEN- (1.2)% | |||||||
1,000 | Chicago Board Options Exchange Volatility Index | 11/16/2022 | $ 32.50 | $ 3,162,000 | $ 342,910 | ||
58 | S&P 500 Index | 10/21/2022 | 3,870.00 | 20,796,596 | 64,997 | ||
115 | S&P 500 Index | 11/18/2022 | 4,040.00 | 41,234,630 | 134,858 | ||
115 | S&P 500 Index | 11/18/2022 | 4,200.00 | 41,234,630 | 44,036 | ||
60 | S&P 500 Index | 12/15/2023 | 4,600.00 | 21,513,720 | 451,886 | ||
56 | S&P 500 Index | 12/15/2023 | 5,350.00 | 20,079,472 | 79,352 | ||
99 | S&P 500 Index | 12/15/2023 | 5,500.00 | 35,497,638 | 103,327 | ||
14 | S&P 500 Index | 12/15/2023 | 5,600.00 | 5,019,868 | 11,999 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $3,889,693) |
1,233,365 | ||||||
PUT OPTIONS WRITTEN - (3.6)% | |||||||
58 | S&P 500 Index | 10/21/2022 | 3,870.00 | 20,796,596 | 1,685,999 | ||
115 | S&P 500 Index | 11/18/2022 | 3,260.00 | 41,234,630 | 592,061 | ||
116 | S&P 500 Index | 12/16/2022 | 3,400.00 | 41,593,192 | 1,279,699 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $2,150,567) |
3,557,759 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $6,040,260) |
$ 4,791,124 | ||||||
ETF | - Exchange-Traded Fund |
(a) | All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $33,354,450. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
SWAN DEFINED RISK U.S. SMALL CAP FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2022 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 83.4% | |||||||
EQUITY - 83.4% | |||||||
204,000 | iShares Russell 2000 ETF(a) | $ 33,643,680 | |||||
| |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $30,510,289) |
33,643,680 | ||||||
SHORT-TERM INVESTMENTS — 1.0% | |||||||
MONEY MARKET FUNDS - 1.0% | |||||||
416,463 | First American Government Obligations Fund, Class X, 2.77% (Cost $416,463)(b) | 416,463 | |||||
| |||||||
Contracts(c) | |||||||
INDEX OPTIONS PURCHASED - 16.5% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS PURCHASED - 0.0%(d) | |||||||
23 | S&P 500 Index | 10/21/2022 | $ 4,070 | $ 8,246,926 | $ 3,263 | ||
TOTAL CALL OPTIONS PURCHASED (Cost - $74,728) |
| ||||||
PUT OPTIONS PURCHASED - 16.5% | |||||||
98 | Russell 2000 Index | 12/15/2023 | 1,750 | 16,314,256 | 2,106,558 | ||
36 | Russell 2000 Index | 12/15/2023 | 1,900 | 5,992,992 | 1,058,190 | ||
38 | Russell 2000 Index | 12/15/2023 | 2,000 | 6,325,936 | 1,351,155 | ||
32 | Russell 2000 Index | 12/15/2023 | 2,200 | 5,327,104 | 1,597,999 | ||
23 | S&P 500 Index | 10/21/2022 | 3,670 | 8,246,926 | 328,869 | ||
46 | S&P 500 Index | 12/16/2022 | 3,025 | 16,493,852 | 190,615 | ||
TOTAL PUT OPTIONS PURCHASED (Cost - $4,704,342) |
6,633,386 | ||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $4,779,070) | 6,636,649 | ||||||
TOTAL INVESTMENTS - 100.9% (Cost $35,705,822) | $ 40,696,792 | ||||||
CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $397,331) | (140,376) | ||||||
PUT OPTIONS WRITTEN - (3.5)% (Proceeds - $866,077) | (1,391,629) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.0% |
1,221,629 | ||||||
NET ASSETS - 100.0% |
$ 40,386,416 | ||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (3.9)% | Expiration Date | Exercise Price | Notional Value | ||||
CALL OPTIONS WRITTEN- (0.4)% | |||||||
51 | Russell 2000 Index | 11/18/2022 | $ 1,880 | $ 8,490,072 | $ 63,686 | ||
51 | Russell 2000 Index | 11/18/2022 | 1,900 | 8,490,072 | 50,915 | ||
SWAN DEFINED RISK U.S. SMALL CAP FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
September 30, 2022 | |||||||
Contracts(c) | |||||||
WRITTEN INDEX OPTIONS - (3.9)% | Expiration Date | Exercise Price | Notional Value | Fair Value | |||
CALL OPTIONS WRITTEN- (0.4)% (Continued) | |||||||
23 | S&P 500 Index | 10/21/2022 | $ 3,870 | $ 8,246,926 | $ 25,775 | ||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $397,331) |
140,376 | ||||||
PUT OPTIONS WRITTEN - (3.5)% | |||||||
102 | Russell 2000 Index | 11/18/2022 | 1,450 | 16,980,144 | 215,576 | ||
23 | S&P 500 Index | 10/21/2022 | 3,870 | 8,246,926 | 668,586 | ||
46 | S&P 500 Index | 12/16/2022 | 3,400 | 16,493,852 | 507,467 | ||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $866,077) |
1,391,629 | ||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $1,263,408) |
$ 1,532,005 | ||||||
ETF | - Exchange-Traded Fund |
(a) | All or a portion of the security is held as collateral for written options. As of September 30, 2022 the total value of securities held as collateral is $23,088,800. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
(d) | Percentage rounds to less than 0.1%. |