0001752724-23-272761.txt : 20231129 0001752724-23-272761.hdr.sgml : 20231129 20231129100613 ACCESSION NUMBER: 0001752724-23-272761 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231129 DATE AS OF CHANGE: 20231129 PERIOD START: 20240630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHERN LIGHTS FUND TRUST III CENTRAL INDEX KEY: 0001537140 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22655 FILM NUMBER: 231449016 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 631-470-2621 MAIL ADDRESS: STREET 1: 17605 WRIGHT STREET CITY: OMAHA STATE: NE ZIP: 68130 0001537140 S000051346 Swan Defined Risk Foreign Fund C000161877 Swan Defined Risk Foreign Fund Class A Shares SDJAX C000161878 Swan Defined Risk Foreign Fund Class C Shares SDJCX C000161879 Swan Defined Risk Foreign Fund Class I Shares SDJIX NPORT-P 1 primary_doc.xml NPORT-P false 0001537140 XXXXXXXX S000051346 C000161877 C000161878 C000161879 NORTHERN LIGHTS FUND TRUST III 811-22655 0001537140 549300PPUECJSQFBYV98 225 PICTORIA DRIVE SUITE 450 CINCINNATI 45246 631-470-2600 Swan Defined Risk Foreign Fund S000051346 549300J8IYC07H3Z9U52 2024-06-30 2023-09-30 N 28505763.73 295610.54 28210153.19 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 157494.04999999 N MSCI/ACWI ex USA SMALL CAP (Net) 655052-USD-N N/A N/A EFA US 12/20/24 P70 N/A 763.00000000 NC USD 371118.03000000 1.315547730281 Long DE CORP N/A N 2 STONEX MARKETS N/A Put Purchased Ishares Trust Ishares Trust MSCI EAFE ETF 763.00000000 70.00000000 USD 2024-12-20 XXXX -63403.74000000 N N N First American Funds Inc. 549300J5J5SJCZ9IA369 FRST AM-GV OB-X 31846V336 161750.90000000 PA USD 161750.90000000 0.573378311385 Long STIV RF US N 1 N N N N/A N/A EFA US 11/17/23 P66 N/A -972.00000000 NC USD -54413.59000000 -0.19288654561 Short DE CORP N/A N 2 STONEX MARKETS N/A Put Written Ishares Trust Ishares Trust MSCI EAFE ETF -972.00000000 66.00000000 USD 2023-11-17 XXXX -6814.27000000 N N N Ishares Trust 5493000860OXIC4B5K91 ISHARES MSCI EAFE ETF 464287465 389000.00000000 NS USD 26809880.00000000 95.03627938292 Long EC RF US N 1 N N N N/A N/A EFA US 12/20/24 P65 N/A 3127.00000000 NC USD 988777.69000000 3.505041902255 Long DE CORP N/A N 2 STONEX MARKETS N/A Put Purchased Ishares Trust Ishares Trust MSCI EAFE ETF 3127.00000000 65.00000000 USD 2024-12-20 XXXX -1206448.75000000 N N N N/A N/A EFA US 12/15/23 P67 N/A -972.00000000 NC USD -103080.81000000 -0.36540322665 Short DE CORP N/A N 2 STONEX MARKETS N/A Put Written Ishares Trust Ishares Trust MSCI EAFE ETF -972.00000000 67.00000000 USD 2023-12-15 XXXX -54996.46000000 N N N N/A N/A EFA US 12/15/23 C75 N/A -972.00000000 NC USD -22798.81000000 -0.08081774617 Short DE CORP N/A N 2 STONEX MARKETS N/A Call Written Ishares Trust Ishares Trust MSCI EAFE ETF -972.00000000 75.00000000 USD 2023-12-15 XXXX 15565.61000000 N N N N/A N/A EFA US 12/15/23 P65 N/A -972.00000000 NC USD -64958.39000000 -0.23026599523 Short DE CORP N/A N 2 STONEX MARKETS N/A Put Written Ishares Trust Ishares Trust MSCI EAFE ETF -972.00000000 65.00000000 USD 2023-12-15 XXXX -18818.03000000 N N N 2023-10-27 NORTHERN LIGHTS FUND TRUST III Rich Gleason Rich Gleason Treasurer XXXX NPORT-EX 2 swan_nport.htm SWAN FUNDS NPORT EX

 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.9%          
  EQUITY - 94.9%          
590,441 Communication Services Select Sector SPDR Fund(a)         $ 38,715,216
284,812 Consumer Discretionary Select Sector SPDR Fund(a)         45,849,036
407,168 Consumer Staples Select Sector SPDR Fund(a)         28,017,230
230,089 Energy Select Sector SPDR Fund(a)         20,797,745
1,670,122 Financial Select Sector SPDR Fund(a)         55,397,947
458,174 Health Care Select Sector SPDR Fund(a)         58,985,321
358,683 Industrial Select Sector SPDR Fund(a)         36,363,283
652,000 iShares Core S&P 500 ETF         279,988,359
136,779 Materials Select Sector SPDR Fund(a)         10,743,990
295,952 Real Estate Select Sector SPDR Fund(a)         10,083,085
739,356 Technology Select Sector SPDR Fund(a)         121,202,629
178,675 Utilities Select Sector SPDR Fund(a)         10,529,318
  TOTAL EXCHANGE-TRADED FUNDS (Cost $368,857,822)        

716,673,159

 

 

 

SHORT-TERM INVESTMENT — 1.0%

          
  MONEY MARKET FUND - 1.0%          
7,490,023

First American Government Obligations Fund Class X, 5.26% (Cost $7,490,023)(b)

         7,490,023

 

Contracts(c)

            
  INDEX OPTIONS PURCHASED - 8.4% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 0.0%(d)          
437 S&P 500 Index 10/06/2023 $ 4,725      $ 187,387,785   $ 144
419 S&P 500 Index 10/13/2023 4,720 179,669,295   692
  TOTAL CALL OPTIONS PURCHASED (Cost - $82,700)        

836

 

 

 

PUT OPTIONS PURCHASED - 8.4%

        
437 S&P 500 Index 10/06/2023 4,050 187,387,785   77,306
419 S&P 500 Index 10/13/2023 4,270 179,669,295   1,756,447
836 S&P 500 Index 10/20/2023 4,050 358,480,980   874,087
836 S&P 500 Index 10/20/2023 4,350 358,480,980   7,374,761
418 S&P 500 Index 10/30/2023 4,210 179,240,490   1,278,173
441 S&P 500 Index 12/20/2024 4,000 189,103,005   7,607,206
1,250 S&P 500 Index 12/20/2024 4,600 536,006,250   44,692,599
  TOTAL PUT OPTIONS PURCHASED (Cost - $53,678,063)         63,660,579
 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $53,760,763)

        

 

63,661,415

 
 

SWAN DEFINED RISK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
           

 

Fair Value

 

 

 

TOTAL INVESTMENTS - 104.3% (Cost $430,108,608)

        

 

 

$ 787,824,597     

  CALL OPTIONS WRITTEN - (0.3)% (Proceeds - $3,995,227)         (2,142,991)
  PUT OPTIONS WRITTEN - (3.3)% (Proceeds - $10,291,288)         (24,935,204)
  LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)%         (5,347,189)
  NET ASSETS - 100.0%        

$ 755,399,213     

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.6)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.3)%          
437 S&P 500 Index 10/06/2023 $ 4,275      $ 187,387,785   $ 2,089,617
419 S&P 500 Index 10/13/2023 4,495 179,669,295   53,374
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $3,995,227)        

 

2,142,991

 

 

 

PUT OPTIONS WRITTEN - (3.3)%

        
437 S&P 500 Index 10/06/2023 4,500 187,387,785   9,042,853
419 S&P 500 Index 10/13/2023 4,495 179,669,295   8,372,208
1,672 S&P 500 Index 10/20/2023 4,200 716,961,960   5,280,570
418 S&P 500 Index 10/30/2023 4,300 179,240,490   2,239,573
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $10,291,288)        

24,935,204

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $14,286,515)

        

 

 

$ 27,078,195

 

 

 

 

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, 2023 the total value of securities held as collateral is $293,840,989.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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%.
 
 

 

SWAN DEFINED RISK EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 92.4%          
  EQUITY - 92.4%          
532,500 iShares Core MSCI Emerging Markets ETF(a)         $ 25,341,675
  TOTAL EXCHANGE-TRADED FUNDS (Cost $25,618,521)          
 

 

SHORT-TERM INVESTMENT — 1.6%

          
  MONEY MARKET FUND - 1.6%          
432,485 First American Government Obligations Fund Class X, 5.26% (Cost $432,485)(b)       432,485

 

Contracts(c)

          
  EQUITY OPTIONS PURCHASED - 6.8% Expiration Date Exercise Price Notional Value    
  PUT OPTIONS PURCHASED - 6.8%          
6,430 iShares MSCI Emerging Markets ETF 12/20/2024 $ 38.00 $ 24,401,850   1,802,011
113 iShares MSCI Emerging Markets ETF 12/20/2024 40.00 428,835   42,267
  TOTAL PUT OPTIONS PURCHASED (Cost - $2,981,858)        

 

1,844,278

 

 

 

TOTAL INVESTMENTS - 100.8% (Cost $29,032,864)

        

 

 

$ 27,618,438     

  CALL OPTIONS WRITTEN - (0.3)% (Proceeds - $103,199)         (83,456)
  PUT OPTIONS WRITTEN - (0.7)% (Proceeds - $153,275)         (178,646)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%         50,160
  NET ASSETS - 100.0%        

$ 27,406,496       

 

Contracts(c)

          
  WRITTEN EQUITY OPTIONS - (1.0)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.3)%          
3,340 iShares MSCI Emerging Markets ETF 12/15/2023 $ 41.50 $ 12,675,300   $ 69,836
1,666 iShares MSCI Emerging Markets ETF 12/15/2023 43.00 6,322,470   13,620
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $103,199)        

83,456

 

 

 

PUT OPTIONS WRITTEN - (0.7)%

        
3,340 iShares MSCI Emerging Markets ETF 12/15/2023 35.00 12,675,300   101,037
1,666 iShares MSCI Emerging Markets ETF 12/15/2023 36.00 6,322,470   77,609
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $153,275)         178,646
 

 

TOTAL WRITTEN EQUITY OPTIONS (Proceeds - $256,474)

        

 

262,102

 

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, 2023 the total value of securities held as collateral is $6,662,600.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 95.0%          
  EQUITY - 95.0%          
389,000 iShares MSCI EAFE ETF(a)         $ 26,809,880      
  TOTAL EXCHANGE-TRADED FUNDS (Cost $21,532,983)        
 

 

SHORT-TERM INVESTMENT — 0.6%

          
  MONEY MARKET FUND - 0.6%          
161,751 First American Government Obligations Fund Class X, 5.26% (Cost $161,751)(b)       161,751

 

Contracts(c)

            
  EQUITY OPTIONS PURCHASED - 4.9% Expiration Date Exercise Price Notional Value    
  PUT OPTIONS PURCHASED - 4.9%          
3,127 iShares MSCI EAFE ETF 12/20/2024 $ 65      $ 21,551,284   988,778
763 iShares MSCI EAFE ETF 12/20/2024 70 5,258,596   371,118
  TOTAL PUT OPTIONS PURCHASED (Cost - $2,629,747)        

1,359,896

 

 

 

TOTAL INVESTMENTS - 100.5% (Cost $24,324,481)

        

 

 

$ 28,331,527     

  CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $38,364)         (22,799)
  PUT OPTIONS WRITTEN - (0.8)% (Proceeds - $141,823)         (222,453)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4%         123,878
  NET ASSETS - 100.0%        

 

$ 28,210,153     

 

Contracts(c)

          
  WRITTEN EQUITY OPTIONS - (0.9)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.1)%          
972 iShares MSCI EAFE ETF 12/15/2023 $ 75 $ 6,699,024   $ 22,799
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $38,364)        
 

 

PUT OPTIONS WRITTEN - (0.8)%

          
972 iShares MSCI EAFE ETF 11/17/2023 66 6,699,024   54,414
972 iShares MSCI EAFE ETF 12/15/2023 65 6,699,024   64,958
972 iShares MSCI EAFE ETF 12/15/2023 67 6,699,024   103,081
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $141,823)         222,453
 

 

TOTAL WRITTEN EQUITY OPTIONS (Proceeds - $180,187)

        

 

245,252

 

 

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, 2023 the total value of securities held as collateral is $11,647,480.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.8%          
  EQUITY - 94.8%          
71,000 iShares Core S&P 500 ETF(a)         $ 30,489,530
  TOTAL EXCHANGE-TRADED FUNDS (Cost $19,994,219)          
 

 

SHORT-TERM INVESTMENT — 0.4%

          
  MONEY MARKET FUND - 0.4%          
130,986

First American Government Obligations Fund Class X, 5.26% (Cost $130,986)(b)

         130,986

 

Contracts(c)

          
  INDEX OPTIONS PURCHASED - 8.3% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 1.2%          
18 S&P 500 Index 10/06/2023 $ 4,725      $ 7,718,490   $ 6
18 S&P 500 Index 10/13/2023 4,720 7,718,490   30
36 S&P 500 Index 12/20/2024 5,000 15,436,980   401,480
  TOTAL CALL OPTIONS PURCHASED (Cost - $687,875)        

 

401,516

 

 

 

PUT OPTIONS PURCHASED - 7.1%

        
600 Chicago Board Options Exchange Volatility Index 11/15/2023 15 1,051,200   29,748
18 S&P 500 Index 10/06/2023 4,050 7,718,490   3,184
18 S&P 500 Index 10/13/2023 4,270 7,718,490   75,456
36 S&P 500 Index 10/20/2023 4,050 15,436,980   37,640
36 S&P 500 Index 10/20/2023 4,350 15,436,980   317,573
18 S&P 500 Index 10/30/2023 4,210 7,718,490   55,041
18 S&P 500 Index 12/20/2024 3,800 7,718,490   239,655
53 S&P 500 Index 12/20/2024 4,400 22,726,665   1,497,033
  TOTAL PUT OPTIONS PURCHASED (Cost - $1,869,307)        

 

2,255,330

 

 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $2,557,182)

        

 

 

2,656,846

 

 

 

TOTAL INVESTMENTS - 103.5% (Cost $22,682,387)

        

 

 

$ 33,277,362

  CALL OPTIONS WRITTEN - (1.1)% (Proceeds - $562,132)         (338,895)
  PUT OPTIONS WRITTEN - (3.3)% (Proceeds - $436,928)         (1,055,973)
  OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%         292,136
  NET ASSETS - 100.0%        

 

$ 32,174,630

 
 

 

SWAN DEFINED RISK GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (4.4)% Expiration Date Exercise Price Notional Value Fair Value
  CALL OPTIONS WRITTEN- (1.1)%        
600 Chicago Board Options Exchange Volatility Index 11/15/2023 $ 18       $ 1,051,200 $ 126,351
18 S&P 500 Index 10/06/2023 4,275 7,718,490 86,071
18 S&P 500 Index 10/13/2023 4,495 7,718,490 2,293
36 S&P 500 Index 12/20/2024 5,400 15,436,980 124,180
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $562,132)      

338,895

 

 

 

PUT OPTIONS WRITTEN - (3.3)%

        
18 S&P 500 Index 10/06/2023 4,500 7,718,490 372,474
18 S&P 500 Index 10/13/2023 4,495 7,718,490 359,665
72 S&P 500 Index 10/20/2023 4,200 30,873,960 227,393
18 S&P 500 Index 10/30/2023 4,300 7,718,490 96,441
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $436,928)      

1,055,973

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $999,060)

      

 

 

 

$ 1,394,868

 

 

 

 

ETF - Exchange-Traded Fund
(a) All or a portion of the security is held as collateral for written options. As of September 30, 2023 the total value of securities held as collateral is $22,759,790.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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, 2023

 

Shares

          

 

Fair Value

  EXCHANGE-TRADED FUNDS — 94.3%          
  EQUITY - 94.3%          
186,000 iShares Russell 2000 ETF(a)         $ 32,873,640     
  TOTAL EXCHANGE-TRADED FUNDS (Cost $26,278,861)        
 

 

SHORT-TERM INVESTMENT — 2.1%

          
  MONEY MARKET FUND - 2.1%          
719,216 First American Government Obligations Fund Class X, 5.26% (Cost $719,216)(b)       719,216

 

Contracts(c)

            
  INDEX OPTIONS PURCHASED - 7.2% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS PURCHASED - 0.0%(d)          
19 S&P 500 Index 10/06/2023 $ 4,725      $ 8,147,295   6
19 S&P 500 Index 10/13/2023 4,720 8,147,295   31
  TOTAL CALL OPTIONS PURCHASED (Cost - $3,613)        

37

 

 

 

PUT OPTIONS PURCHASED - 7.2%

        
133 Russell 2000 Index 12/20/2024 1,750 23,741,857   1,506,537
53 Russell 2000 Index 12/20/2024 1,900 9,461,041   907,106
19 S&P 500 Index 10/06/2023 4,050 8,147,295   3,361
19 S&P 500 Index 10/13/2023 4,270 8,147,295   79,648
19 S&P 500 Index 10/30/2023 4,210 8,147,295   58,099
  TOTAL PUT OPTIONS PURCHASED (Cost - $3,619,973)         2,554,751
 

 

TOTAL INDEX OPTIONS PURCHASED (Cost - $3,623,586)

        

 

2,554,788

 

 

TOTAL INVESTMENTS - 103.6% (Cost $30,621,663)

        

 

$ 36,147,644     

  CALL OPTIONS WRITTEN - (0.5)% (Proceeds - $259,570)         (174,934)
  PUT OPTIONS WRITTEN - (2.7)% (Proceeds - $491,979)         (969,016)
  LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%         (132,454)
  NET ASSETS - 100.0%        

$ 34,871,240     

 

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.2)% Expiration Date Exercise Price Notional Value    
  CALL OPTIONS WRITTEN- (0.5)%          
46 Russell 2000 Index 11/17/2023 $ 1,905      $ 8,211,469   $ 44,634
46 Russell 2000 Index 11/17/2023 1,915 8,211,469   37,027
 
 

 

SWAN DEFINED RISK U.S. SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023

 

Contracts(c)

          
  WRITTEN INDEX OPTIONS - (3.2)% Expiration Date Exercise Price Notional Value Fair Value
  CALL OPTIONS WRITTEN- (0.5)% (Continued)        
19 S&P 500 Index 10/06/2023 $ 4,275      $ 8,147,295 $ 90,853
19 S&P 500 Index 10/13/2023 4,495 8,147,295 2,420
  TOTAL CALL OPTIONS WRITTEN (Proceeds - $259,570)      

174,934

 

 

 

PUT OPTIONS WRITTEN - (2.7)%

      
46 Russell 2000 Index 11/17/2023 1,625 8,211,469 43,747
46 Russell 2000 Index 11/17/2023 1,640 8,211,469 50,655
19 S&P 500 Index 10/06/2023 4,500 8,147,295 393,168
19 S&P 500 Index 10/13/2023 4,495 8,147,295 379,647
19 S&P 500 Index 10/30/2023 4,300 8,147,295 101,799
  TOTAL PUT OPTIONS WRITTEN (Proceeds - $491,979)      

969,016

 

 

 

TOTAL INDEX OPTIONS WRITTEN (Proceeds - $751,549)

      

 

 

$ 1,143,950

 

 

 

 

ETF - Exchange-Traded Fund
(a) All or a portion of the security is held as collateral for written options. As of September 30, 2023 the total value of securities held as collateral is $21,562,280.
(b) Rate disclosed is the seven day effective yield as of September 30, 2023.
(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%.