0001145549-24-019726.txt : 20240328 0001145549-24-019726.hdr.sgml : 20240328 20240328143549 ACCESSION NUMBER: 0001145549-24-019726 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: 24797813 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 S000081458 YieldMax DIS Option Income Strategy ETF C000244360 YieldMax DIS Option Income Strategy ETF DISO NPORT-P 1 primary_doc.xml NPORT-P false 0001924868 XXXXXXXX S000081458 C000244360 Tidal Trust II 811-23793 0001924868 549300BGXECFCIZF2P89 234 West Florida Street Suite 203 Milwaukee 53204 844-986-7700 YieldMax DIS Option Income Strategy ETF S000081458 529900MGD411H6J1XR03 2024-10-31 2024-01-31 N 6979467.610000000000 135413.620000000000 6844053.990000000000 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 192213.970000000000 USD N S&P 500 Total Return Index SPTR DIS 03/15/2024 90.01 P N/A DIS 03/15/2024 90.01 P N/A -715.000000000000 NC USD -109784.820000000000 -1.6040905019 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written Walt Disney Co/The Walt Disney Co/The 100.000000000000 90.010000000000 USD 2024-03-15 XXXX 92150.180000000000 N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V336 99374.980000000000 NS USD 99374.980000000000 1.4519900069 Long STIV RF US N 1 N N N N/A N/A Walt Disney Co/The N/A -300.000000000000 NC USD -12900.000000000000 -0.1884847784 N/A DE US N 1 CHICAGO N/A Call Written Walt Disney Co/The Walt Disney Co/The 100.000000000000 97.000000000000 USD 2024-02-02 XXXX 6450.000000000000 N N N N/A N/A Walt Disney Co/The N/A -415.000000000000 NC USD -7470.000000000000 -0.1091458368 N/A DE US N 1 CHICAGO N/A Call Written Walt Disney Co/The Walt Disney Co/The 100.000000000000 98.000000000000 USD 2024-02-02 XXXX 8922.500000000000 N N N N/A N/A Walt Disney Co/The N/A 715.000000000000 NC USD 580580.000000000000 8.4829839281 N/A DE US N 1 CHICAGO N/A Call Purchased Walt Disney Co/The Walt Disney Co/The 100.000000000000 90.000000000000 USD 2024-03-15 XXXX 147290.000000000000 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FS1 3097000.000000000000 PA USD 3039176.530000000000 44.4060864283 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 3162000.000000000000 PA USD 3062193.210000000000 44.7423882756 Long DBT UST US N 2 2024-11-15 Fixed .750000000000 N N N N N N 2024-03-27 Tidal Trust II /s/ Aaron Perkovich Aaron Perkovich Treasurer/Principal Financial Officer XXXX NPORT-EX 2 diso.htm DISO ETF - 1/31/24 PART F

YieldMax DIS Option Income Strategy ETF
  
Schedule of Investments
  
as of January 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 44.7%
    
Par
    
Value
  
United States Treasury Note/Bond, 0.75%, 11/15/2024(a)
    
$
3,162,000
    
$
3,062,193
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,056,602)
      
3,062,193
  
                       
OPTIONS PURCHASED - 8.5%(b)(c)
  
Notional Amount
    
Contracts
          
Call Options - 8.5%
            
$
–
  
Walt Disney Co., Expiration: 03/15/2024; Exercise Price: $90.00(d)(e)
    
6,867,575
      
715
      
580,580
  
TOTAL OPTIONS PURCHASED (Cost $433,290)
      
580,580
  
                         
SHORT-TERM INVESTMENTS - 45.9%
    
Shares
          
Money Market Funds - 1.5%
                  
First American Government Obligations Fund - Class X, 5.25%(f)
      
99,375
      
99,375
  
                         
U.S. Treasury Bills - 44.4%
    
Par
          
5.05%, 06/13/2024(g)
      
3,097,000
      
3,039,177
  
TOTAL SHORT-TERM INVESTMENTS (Cost $3,139,852)
      
3,138,552
  
                         
TOTAL INVESTMENTS - 99.1% (Cost $6,629,744)
    
$
6,781,325
  
Other Assets in Excess of Liabilities - 0.9%
      
62,729
  
TOTAL NET ASSETS - 100.0%
                  
$
6,844,054
  
           
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 DIS Option Income Strategy ETF
  
Schedule of Options Written
  
as of January 31, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - (1.9)% (a)(b)
  
Notional Amount
    
Contracts
    
Value
  
Call Options - (0.3)%
                  
Walt Disney Co.
    
0
      
0
      
–
  
Expiration: 02/02/2024; Exercise Price: $97.00
  
$
(2,881,500
)
    
(300
)
  
$
(12,900
)
Expiration: 02/02/2024; Exercise Price: $98.00
    
(3,986,075
)
    
(415
)
    
(7,470
)
Total Call Options
                    
(20,370
)
                         
Put Options - (1.6)%
                        
Walt Disney Co., Expiration: 03/15/2024; Exercise Price: $90.01(c)
    
(6,867,575
)
    
(715
)
    
(109,785
)
TOTAL OPTIONS WRITTEN (Premiums received $237,678)
                  
$
(130,155
)

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 DIS Option Income Strategy ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
  
$
–
    
$
3,062,193
    
$
–
    
$
3,062,193
  
  Options Purchased
    
580,580
      
–
      
–
      
580,580
  
  Money Market Funds
    
99,375
      
–
      
–
      
99,375
  
  U.S. Treasury Bills
    
–
      
3,039,177
      
–
      
3,039,177
  
Total Assets
  
$
679,955
    
$
6,101,370
    
$
–
    
$
6,781,325
  
   
Liabilities:
                        
  Options Written
    
(20,370
)
    
(109,785
)
    
–
      
(130,155
)
Total Liabilities
  
$
(20,370
)
  
$
(109,785
)
  
$
–
    
$
(130,155
)