0001145549-24-019725.txt : 20240328 0001145549-24-019725.hdr.sgml : 20240328 20240328143548 ACCESSION NUMBER: 0001145549-24-019725 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: 24797812 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 S000077653 YieldMax COIN Option Income Strategy ETF C000238141 YieldMax COIN Option Income Strategy ETF CONY NPORT-P 1 primary_doc.xml NPORT-P false 0001924868 XXXXXXXX S000077653 C000238141 Tidal Trust II 811-23793 0001924868 549300BGXECFCIZF2P89 234 West Florida Street Suite 203 Milwaukee 53204 844-986-7700 YieldMax COIN Option Income Strategy ETF S000077653 549300WF7SWAHG8PZJ42 2024-10-31 2024-01-31 N 306248696.350000000000 24162358.850000000000 282086337.500000000000 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 3317219.470000000000 USD N S&P CME Bitcoin Futures Index (USD) Total Return SPBTCFUT COIN 02/16/2024 130.01 P N/A COIN 02/16/2024 130.01 P N/A -21170.000000000000 NC USD -20280186.790000000000 -7.1893544968 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 130.010000000000 USD 2024-02-16 XXXX 4725287.870000000000 N N N COIN 03/15/2024 130.01 P N/A COIN 03/15/2024 130.01 P N/A -300.000000000000 NC USD -418910.460000000000 -0.1485043422 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 130.010000000000 USD 2024-03-15 XXXX -53210.460000000000 N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V336 10253471.890000000000 NS USD 10253471.890000000000 3.6348700830 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FS1 129628000.000000000000 PA USD 127207741.540000000000 45.0953217612 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 151969000.000000000000 PA USD 147172182.100000000000 52.1727437792 Long DBT UST US N 2 2024-11-15 Fixed .750000000000 N N N N N N N/A N/A Coinbase Global Inc N/A -400.000000000000 NC USD -84000.000000000000 -0.0297781171 N/A DE US N 1 NYSEAmerican N/A Call Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 130.000000000000 USD 2024-02-02 XXXX 20600.000000000000 N N N N/A N/A Coinbase Global Inc N/A -10760.000000000000 NC USD -2173520.000000000000 -0.7705158709 N/A DE US N 1 NYSEAmerican N/A Call Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 131.000000000000 USD 2024-02-02 XXXX 349390.870000000000 N N N N/A N/A Coinbase Global Inc N/A -10010.000000000000 NC USD -970970.000000000000 -0.3442102190 N/A DE US N 1 NYSEAmerican N/A Call Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 134.000000000000 USD 2024-02-02 XXXX 675393.020000000000 N N N N/A N/A Coinbase Global Inc N/A -300.000000000000 NC USD -4500.000000000000 -0.0015952563 N/A DE US N 1 NYSEAmerican N/A Call Written Coinbase Global Inc Coinbase Global Inc 100.000000000000 142.000000000000 USD 2024-02-02 XXXX 41850.000000000000 N N N N/A N/A Coinbase Global Inc N/A 21170.000000000000 NC USD 17571100.000000000000 6.2289794521 N/A DE US N 1 NYSEAmerican N/A Call Purchased Coinbase Global Inc Coinbase Global Inc 100.000000000000 130.000000000000 USD 2024-02-16 XXXX -7211440.340000000000 N N N N/A N/A Coinbase Global Inc N/A 300.000000000000 NC USD 393000.000000000000 0.1393190480 N/A DE US N 1 NYSEAmerican N/A Call Purchased Coinbase Global Inc Coinbase Global Inc 100.000000000000 130.000000000000 USD 2024-03-15 XXXX -117300.000000000000 N N N 2024-03-27 Tidal Trust II /s/ Aaron Perkovich Aaron Perkovich Treasurer/Principal Financial Officer XXXX NPORT-EX 2 cony.htm CONY ETF - 1/31/24 PART F

YieldMax COIN Option Income Strategy ETF
  
Schedule of Investments
  
as of January 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 51.0%
    
Par
    
Value
  
United States Treasury Note/Bond, 0.75%, 11/15/2024(a)
    
$
151,969,000
    
$
147,172,182
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,000,866)
      
147,172,182
  
                       
OPTIONS PURCHASED - 6.4%(b)(c)
  
Notional Amount
    
Contracts
          
Call Options - 6.4%
            
$
–
  
Coinbase Global, Inc.
      
–
    
$
–
  
Expiration: 02/16/2024; Exercise Price: $130.00(d)(e)
    
271,399,400
      
21,170
      
17,571,100
  
Expiration: 03/15/2024; Exercise Price: $130.00(d)(e)
    
10,063,700
      
785
      
1,028,350
  
Total Call Options
                    
18,599,450
  
TOTAL OPTIONS PURCHASED (Cost $26,040,225)
      
18,599,450
  
                         
SHORT-TERM INVESTMENTS - 52.3%
    
Shares
          
Money Market Funds - 4.6%
                  
First American Government Obligations Fund - Class X, 5.25%(f)
      
13,253,472
      
13,253,472
  
                         
U.S. Treasury Bills - 47.7%
    
Par
          
5.08%, 06/13/2024(g)
      
140,277,000
      
137,657,916
  
TOTAL SHORT-TERM INVESTMENTS (Cost $150,955,462)
      
150,911,388
  
                         
TOTAL INVESTMENTS - 109.7% (Cost $323,996,553)
    
$
316,683,020
  
Liabilities in Excess of Other Assets - (9.7)%
      
(28,109,466
)
TOTAL NET ASSETS - 100.0%
                  
$
288,573,554
  
           
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 7-day effective yield as of January 31, 2024.
(g)
The rate shown is the effective yield.
YieldMax COIN Option Income Strategy ETF
  
Schedule of Options Written
  
as of January 31, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - (8.5)% (a)(b)
  
Notional Amount
    
Contracts
    
Value
  
Call Options - (1.1)%
                  
Coinbase Global, Inc.
    
0
      
0
      
–
  
Expiration: 02/02/2024; Exercise Price: $142.00
  
$
(3,846,000
)
    
(300
)
  
$
(4,500
)
Expiration: 02/02/2024; Exercise Price: $134.00
    
(128,328,200
)
    
(10,010
)
    
(970,970
)
Expiration: 02/02/2024; Exercise Price: $130.00
    
(5,128,000
)
    
(400
)
    
(84,000
)
Expiration: 02/02/2024; Exercise Price: $131.00
    
(137,943,200
)
    
(10,760
)
    
(2,173,520
)
Expiration: 02/09/2024; Exercise Price: $143.00
    
(6,217,700
)
    
(485
)
    
(57,715
)
Total Call Options
                    
(3,290,705
)
                         
Put Options - (7.4)%
                        
Coinbase Global, Inc.
    
0
      
0
      
–
  
Expiration: 02/16/2024; Exercise Price: $130.01(c)
    
(271,399,400
)
    
(21,170
)
    
(20,280,187
)
Expiration: 03/15/2024; Exercise Price: $130.01(c)
    
(10,063,700
)
    
(785
)
    
(1,096,149
)
Total Put Options
                    
(21,376,336
)
TOTAL OPTIONS WRITTEN (Premiums received $30,407,016)
                  
$
(24,667,041
)
                         
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 COIN Option Income Strategy ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
  
$
–
    
$
147,172,182
    
$
–
    
$
147,172,182
  
  Options Purchased
    
18,599,450
      
–
      
–
      
18,599,450
  
  Money Market Funds
    
13,253,472
      
–
      
–
      
13,253,472
  
  U.S. Treasury Bills
    
–
      
137,657,916
      
–
      
137,657,916
  
Total Assets
  
$
31,852,922
    
$
284,830,098
    
$
–
    
$
316,683,020
  
   
   
Liabilities:
                        
  Options Written
    
(3,232,990
)
    
(21,434,051
)
    
–
      
(24,667,041
)
Total Liabilities
  
$
(3,232,990
)
  
$
(21,434,051
)
  
$
–
    
$
(24,667,041
)