TrueShares Structured Outcome (August) ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
September 30, 2023 (Unaudited)
|
||||||||||||
Shares /
Principal
Amount
|
Value
|
|||||||||||
SHORT-TERM INVESTMENTS - 100.7%
|
||||||||||||
Money Market Funds - 0.5%
|
||||||||||||
First American Treasury Obligations Fund - Class X, 5.26% (a)
|
77,900
|
$
|
77,900
|
|||||||||
Total Money Market Funds (Cost $77,900)
|
77,900
|
|||||||||||
U.S. Treasury Bills - 100.2%
|
||||||||||||
5.44%, 07/11/2024 (c)(d)
|
16,130,000
|
15,470,367
|
||||||||||
Total U.S. Treasury Bills (Cost $15,483,295)
|
15,470,367
|
|||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,561,195)
|
15,548,267
|
|||||||||||
Number of
|
||||||||||||
Contracts (b)
|
Notional Value
|
|||||||||||
PURCHASED OPTIONS - 3.1%
|
||||||||||||
PURCHASED CALL OPTIONS - 3.1%
|
||||||||||||
CBOE SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 31, 2024, Exercise Price: $457.79
|
274
|
480,826
|
$
|
11,712,952
|
||||||||
TOTAL PURCHASED OPTIONS (Cost $1,067,118)
|
480,826
|
|||||||||||
TOTAL INVESTMENTS (Cost $16,628,313) - 103.8%
|
16,029,093
|
|||||||||||
Other Assets and Liabilities, net - (3.8)%
|
(580,610
|
)
|
||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
15,448,483
|
Percentages are stated as a percent of net assets.
|
CBOE
|
Chicago Board Options Exchange
|
|||||||
SPDR
|
Standard & Poor's Depositary Receipt
|
(a) The rate shown is the seven day yield at period end.
|
|||
(b) Each contract has a multiplier of 100.
|
|||
(c) The rate shown is the effective yield as of September 30, 2023.
|
|||
(d) Designated as collateral for written options.
|
TrueShares Structured Outcome (August) ETF
|
||||||||||||
Schedule of Written Options
|
||||||||||||
September 30, 2023 (Unaudited)
|
||||||||||||
Number of
|
||||||||||||
Contracts (a)
|
Value
|
Notional Value
|
||||||||||
WRITTEN OPTIONS - 4.0%
|
||||||||||||
WRITTEN PUT OPTIONS - 4.0%
|
||||||||||||
CBOE SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 31, 2024, Exercise Price: $412.01
|
391
|
$
|
615,012
|
$
|
16,714,468
|
|||||||
TOTAL WRITTEN OPTIONS (Premiums Received $450,866)
|
$
|
615,012
|
Percentages are stated as a percent of net assets.
|
CBOE
|
Chicago Board Options Exchange
|
|||||||
SPDR
|
Standard & Poor's Depositary Receipt
|
(a) Each contract has a multiplier of 100.
|
Fair Value Measurements
|
||||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels.
|
||||||||
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 and credit risk). Level 3 includes significant
|
||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the
|
||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
|
||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3.
|
||||||||
The following is a summary of the inputs used to value the Fund's investments carried at fair value as of September 30, 2023:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments - Assets:
|
||||||||||||||||
Money Market Funds
|
$
|
77,900
|
$
|
-
|
$
|
-
|
$
|
77,900
|
||||||||
U.S. Treasury Bills
|
-
|
15,470,367
|
-
|
15,470,367
|
||||||||||||
Purchased Call Options
|
-
|
480,826
|
-
|
480,826
|
||||||||||||
Total Investments - Assets
|
$
|
77,900
|
$
|
15,951,193
|
$
|
-
|
$
|
16,029,093
|
||||||||
Other Financial Instruments - Liabilities:
|
||||||||||||||||
Written Put Options
|
$
|
-
|
$
|
615,012
|
$
|
-
|
$
|
615,012
|