0001145549-24-019723.txt : 20240328 0001145549-24-019723.hdr.sgml : 20240328 20240328143547 ACCESSION NUMBER: 0001145549-24-019723 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240131 FILED AS OF DATE: 20240328 DATE AS OF CHANGE: 20240328 PERIOD START: 20241031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Tidal Trust II CENTRAL INDEX KEY: 0001924868 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23793 FILM NUMBER: 24797810 BUSINESS ADDRESS: STREET 1: 234 WEST FLORIDA STREET, SUITE 203 CITY: MILWAUKEE STATE: WI ZIP: 53204 BUSINESS PHONE: (844) 986-7676 MAIL ADDRESS: STREET 1: 234 WEST FLORIDA STREET, SUITE 203 CITY: MILWAUKEE STATE: WI ZIP: 53204 FORMER COMPANY: FORMER CONFORMED NAME: Tidal ETF Trust II DATE OF NAME CHANGE: 20220421 0001924868 S000082235 YieldMax AI Option Income Strategy ETF C000245519 YieldMax AI Option Income Strategy ETF AIYY NPORT-P 1 primary_doc.xml NPORT-P false 0001924868 XXXXXXXX S000082235 C000245519 Tidal Trust II 811-23793 0001924868 549300BGXECFCIZF2P89 234 West Florida Street Suite 203 Milwaukee 53204 844-986-7700 YieldMax AI Option Income Strategy ETF S000082235 5299002WL6JVUK2YYC31 2024-10-31 2024-01-31 N 18498668.910000000000 930528.700000000000 17568140.210000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 538168.820000000000 USD N NYSE FANG+ Total Return Index NYFANGT AI 02/16/2024 25.01 P N/A AI 02/16/2024 25.01 P N/A -6280.000000000000 NC USD -876998.230000000000 -4.9919810493 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written C3.ai Inc C3.ai Inc 100.000000000000 25.010000000000 USD 2024-02-16 XXXX -8218.230000000000 N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V336 2627922.940000000000 NS USD 2627922.940000000000 14.9584583717 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FS1 6925000.000000000000 PA USD 6795704.710000000000 38.6819812955 Long DBT UST US N 2 2024-06-13 Fixed .000000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CDH1 8081000.000000000000 PA USD 7825927.680000000000 44.5461362811 Long DBT UST US N 2 2024-11-15 Fixed .750000000000 N N N N N N N/A N/A C3.ai Inc N/A -5515.000000000000 NC USD -38605.000000000000 -0.2197443755 N/A DE US N 1 NYSEAmerican N/A Call Written C3.ai Inc C3.ai Inc 100.000000000000 26.500000000000 USD 2024-02-02 XXXX 145912.500000000000 N N N N/A N/A C3.ai Inc N/A -765.000000000000 NC USD -3825.000000000000 -0.0217723672 N/A DE US N 1 NYSEAmerican N/A Call Written C3.ai Inc C3.ai Inc 100.000000000000 27.000000000000 USD 2024-02-02 XXXX 35572.500000000000 N N N N/A N/A C3.ai Inc N/A 6280.000000000000 NC USD 690800.000000000000 3.9321179803 N/A DE US N 1 NYSEAmerican N/A Call Purchased C3.ai Inc C3.ai Inc 100.000000000000 25.000000000000 USD 2024-02-16 XXXX -1169095.000000000000 N N N 2024-03-27 Tidal Trust II /s/ Aaron Perkovich Aaron Perkovich Treasurer/Principal Financial Officer XXXX NPORT-EX 2 aiyy.htm AIYY ETF - 1/31/24 PART F

YieldMax AI Option Income Strategy ETF
  
Schedule of Investments
  
as of January 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 43.5%
    
Par
    
Value
  
United States Treasury Note/Bond, 0.75%, 11/15/2024(a)
    
$
8,081,000
    
$
7,825,928
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,826,149)
      
7,825,928
  
                       
OPTIONS PURCHASED - 3.9%(b)(c)
  
Notional Amount
    
Contracts
          
Call Options - 3.9%
            
$
–
  
C3.ai, Inc., Expiration: 02/16/2024; Exercise Price: $25.00(d)(e)
    
16,007,880
      
6,460
      
710,600
  
TOTAL OPTIONS PURCHASED (Cost $1,886,716)
      
710,600
  
                         
SHORT-TERM INVESTMENTS - 68.7%
    
Shares
          
Money Market Funds - 14.6%
                  
First American Government Obligations Fund - Class X, 5.25%(f)
      
2,627,923
      
2,627,923
  
                         
U.S. Treasury Bills - 54.1%
    
Par
          
5.09%, 06/13/2024(g)
      
9,907,000
      
9,722,028
  
TOTAL SHORT-TERM INVESTMENTS (Cost $12,352,603)
      
12,349,951
  
                         
TOTAL INVESTMENTS - 116.1% (Cost $22,065,468)
    
$
20,886,479
  
Liabilities in Excess of Other Assets - (16.1)%
      
(2,911,134
)
TOTAL NET ASSETS - 100.0%
                  
$
17,975,345
  
           
Percentages are stated as a percent of net assets.
          

(a)
This security was held in its entirety at the broker in connection with options as of January 31, 2024.
(b)
Exchange-traded.
(c)
100 shares per contract.
(d)
Held in connection with written option contracts. See Schedule of Options Written for further information.
(e)
Non-income producing security.
(f)
The rate shown represents the annualized seven-day effective yield as of January 31, 2024.
(g)
The rate shown is the effective yield.
YieldMax AI Option Income Strategy ETF
  
Schedule of Options Written
  
as of January 31, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - (5.2)% (a)(b)
  
Notional Amount
    
Contracts
    
Value
  
Call Options - (0.2)%
                  
C3.ai, Inc.
    
0
      
0
      
–
  
Expiration: 02/02/2024; Exercise Price: $26.50
  
$
(13,666,170
)
    
(5,515
)
  
$
(38,605
)
Expiration: 02/02/2024; Exercise Price: $27.00
    
(1,895,670
)
    
(765
)
    
(3,825
)
Expiration: 02/09/2024; Exercise Price: $26.50
    
(446,040
)
    
(180
)
    
(5,760
)
Total Call Options
                    
(48,190
)
                         
Put Options - (5.0)%
                        
C3 ai, Inc., Expiration: 02/16/2024; Exercise Price: $25.01(c)
    
(16,007,880
)
    
(6,460
)
    
(902,135
)
TOTAL OPTIONS WRITTEN (Premiums received $1,120,145)
                  
$
(950,325
)

Percentages are stated as a percent of net assets.
   
(a)
Exchange-traded.
(b)
100 shares per contract.
(c)
FLexible EXchange® Options

Summary of Fair Value Exposure at January 31, 2024 (Unaudited)

The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment spreads, credit risk, yield curves, default rates and similar data.
• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The following is a summary of the inputs used to value the Fund's investments as of January 31, 2024:

YieldMax AI Option Income Strategy ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
  
$
–
    
$
7,825,928
    
$
–
    
$
7,825,928
  
  Options Purchased
    
710,600
      
–
      
–
      
710,600
  
  Money Market Funds
    
2,627,923
      
–
      
–
      
2,627,923
  
  U.S. Treasury Bills
    
–
      
9,722,028
      
–
      
9,722,028
  
Total Assets
  
$
3,338,523
    
$
17,547,956
    
$
–
    
$
20,886,479
  
   
Liabilities:
                        
  Options Written
    
(42,430
)
    
(907,895
)
    
–
      
(950,325
)
Total Liabilities
  
$
(42,430
)
  
$
(907,895
)
  
$
–
    
$
(950,325
)