Overlay Shares Hedged Large Cap Equity ETF
|
||||||||||||
Schedule of Investments
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||||||||||||
as of May 31, 2024 (Unaudited)
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||||||||||||
EXCHANGE TRADED FUNDS - 97.9%
|
Shares
|
Value
|
||||||||||
Vanguard S&P 500 ETF(a)
|
44,770
|
$
|
21,696,437
|
|||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $18,048,787)
|
21,696,437
|
|||||||||||
PURCHASED OPTIONS - 1.9%(b)(c)
|
Notional Amount
|
Contracts
|
Value
|
|||||||||
Put Options - 1.9%
|
$
|
–
|
||||||||||
S&P 500 Index
|
–
|
$
|
–
|
|||||||||
Expiration: 08/16/2024; Exercise Price: $4,550.00
|
10,555,020
|
20
|
20,100
|
|||||||||
Expiration: 12/20/2024; Exercise Price: $4,900.00
|
6,860,763
|
13
|
95,355
|
|||||||||
Expiration: 01/17/2025; Exercise Price: $4,900.00
|
5,277,510
|
10
|
81,350
|
|||||||||
Expiration: 03/21/2025; Exercise Price: $4,900.00
|
5,277,510
|
10
|
103,550
|
|||||||||
Expiration: 06/20/2025; Exercise Price: $4,900.00
|
5,277,510
|
10
|
131,950
|
|||||||||
Total Put Options
|
432,305
|
|||||||||||
TOTAL PURCHASED OPTIONS (Cost $698,865)
|
432,305
|
|||||||||||
SHORT-TERM INVESTMENTS - 0.1%
|
||||||||||||
Money Market Funds - 0.1%
|
Shares
|
|||||||||||
First American Government Obligations Fund - Class X, 5.24%(d)
|
18,445
|
18,445
|
||||||||||
TOTAL SHORT-TERM INVESTMENTS
(Cost $18,445)
|
18,445
|
|||||||||||
TOTAL INVESTMENTS - 99.9% (Cost
$18,766,097)
|
$
|
22,147,187
|
||||||||||
Other Assets in Excess of Liabilities - 0.1%
|
16,480
|
|||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
22,163,667
|
||||||||||
Percentages are stated as a percent of net assets.
|
(a)
|
Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the
financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
|
(b)
|
Exchange-traded.
|
(c)
|
100 shares per contract.
|
(d)
|
The rate shown represents the 7-day effective yield as of May 31, 2024.
|
Overlay Shares Hedged Large Cap Equity ETF
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
21,696,437
|
$
|
–
|
$
|
–
|
$
|
21,696,437
|
||||||||
Purchased Options
|
–
|
432,305
|
–
|
432,305
|
||||||||||||
Money Market Funds
|
18,445
|
–
|
–
|
18,445
|
||||||||||||
Total Investments
|
$
|
21,714,882
|
$
|
432,305
|
$
|
–
|
$
|
22,147,187
|