|
TrueShares Structured Outcome (December) ETF
|
||||||||||||
|
Schedule of Investments
|
||||||||||||
|
September 30, 2023 (Unaudited)
|
||||||||||||
|
Shares /
Principal
Amount
|
Value
|
|||||||||||
|
SHORT-TERM INVESTMENTS - 95.2%
|
||||||||||||
|
Money Market Funds - 0.2%
|
||||||||||||
|
First American Treasury Obligations Fund - Class X, 5.26% (a)
|
50,247
|
$
|
50,247
|
|||||||||
|
Total Money Market Funds (Cost $50,247)
|
50,247
|
|||||||||||
|
U.S. Treasury Bills - 95.0%
|
||||||||||||
|
5.39%, 11/30/2023 (c)(d)
|
29,445,000
|
29,188,272
|
||||||||||
|
Total U.S. Treasury Bills (Cost $29,193,286)
|
29,188,272
|
|||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $29,243,533)
|
29,238,519
|
|||||||||||
|
Number of
|
||||||||||||
|
Contracts (b)
|
Notional Value
|
|||||||||||
|
PURCHASED OPTIONS - 5.1%
|
||||||||||||
|
PURCHASED CALL OPTIONS - 5.1%
|
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust
|
||||||||||||
|
Expiration: November 30, 2023, Exercise Price: $407.68
|
567
|
1,574,667
|
$
|
24,238,116
|
||||||||
|
TOTAL PURCHASED OPTIONS (Cost $2,487,020)
|
1,574,667
|
|||||||||||
|
TOTAL INVESTMENTS (Cost $31,730,553) - 100.3%
|
30,813,186
|
|||||||||||
|
Other Assets and Liabilities, net - (0.3)%
|
(90,182
|
)
|
||||||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
30,723,004
|
||||||||||
|
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 (December) ETF
|
||||||||||||
|
Schedule of Written Options
|
||||||||||||
|
September 30, 2023 (Unaudited)
|
||||||||||||
|
Number of
|
||||||||||||
|
Contracts (a)
|
Value
|
Notional Value
|
||||||||||
|
WRITTEN OPTIONS - 0.3%
|
||||||||||||
|
WRITTEN PUT OPTIONS - 0.3%
|
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust
|
||||||||||||
|
Expiration: November 30, 2023, Exercise Price: $366.91
|
802
|
$
|
82,831
|
$
|
34,283,896
|
|||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $306,156)
|
$
|
82,831
|
||||||||||
|
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
|
$
|
50,247
|
$
|
-
|
$
|
-
|
$
|
50,247
|
||||||||
|
U.S. Treasury Bills
|
-
|
29,188,272
|
-
|
29,188,272
|
||||||||||||
|
Purchased Call Options
|
-
|
1,574,667
|
-
|
1,574,667
|
||||||||||||
|
Total Investments - Assets
|
$
|
50,247
|
$
|
30,762,939
|
$
|
-
|
$
|
30,813,186
|
||||||||
|
Other Financial Instruments - Liabilities:
|
||||||||||||||||
|
Written Put Options
|
$
|
-
|
$
|
82,831
|
$
|
-
|
$
|
82,831
|
||||||||