0001145549-24-019735.txt : 20240328 0001145549-24-019735.hdr.sgml : 20240328 20240328143554 ACCESSION NUMBER: 0001145549-24-019735 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: 24797822 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 S000081463 YieldMax PYPL Option Income Strategy ETF C000244365 YieldMax PYPL Option Income Strategy ETF PYPY NPORT-P 1 primary_doc.xml NPORT-P false 0001924868 XXXXXXXX S000081463 C000244365 Tidal Trust II 811-23793 0001924868 549300BGXECFCIZF2P89 234 West Florida Street Suite 203 Milwaukee 53204 844-986-7700 YieldMax PYPL Option Income Strategy ETF S000081463 529900NHR1YBDBGP0D48 2024-10-31 2024-01-31 N 8797433.410000000000 779641.610000000000 8017791.800000000000 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 225809.980000000000 USD N NASDAQ-100 Total Return Index XNDX PYPL 03/15/2024 65.01 P N/A PYPL 03/15/2024 65.01 P N/A -1295.000000000000 NC USD -738516.230000000000 -9.2109679126 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written PayPal Holdings Inc PayPal Holdings Inc 100.000000000000 65.010000000000 USD 2024-03-15 XXXX -213261.230000000000 N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V336 1057637.800000000000 NS USD 1057637.800000000000 13.1911357439 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FS1 3324000.000000000000 PA USD 3261938.260000000000 40.6837486102 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 4055000.000000000000 PA USD 3927006.160000000000 48.9786497075 Long DBT UST US N 2 2024-11-15 Fixed .750000000000 N N N N N N N/A N/A PayPal Holdings Inc N/A -1205.000000000000 NC USD -34945.000000000000 -0.4358431956 N/A DE US N 1 NYSEAmerican N/A Call Written PayPal Holdings Inc PayPal Holdings Inc 100.000000000000 63.000000000000 USD 2024-02-02 XXXX 72090.480000000000 N N N N/A N/A PayPal Holdings Inc N/A -90.000000000000 NC USD -270.000000000000 -0.0033675107 N/A DE US N 1 NYSEAmerican N/A Call Written PayPal Holdings Inc PayPal Holdings Inc 100.000000000000 67.000000000000 USD 2024-02-02 XXXX 9225.000000000000 N N N N/A N/A PayPal Holdings Inc N/A 1295.000000000000 NC USD 315980.000000000000 3.9409853471 N/A DE US N 1 NYSEAmerican N/A Call Purchased PayPal Holdings Inc PayPal Holdings Inc 100.000000000000 65.000000000000 USD 2024-03-15 XXXX -392355.000000000000 N N N 2024-03-27 Tidal Trust II /s/ Aaron Perkovich Aaron Perkovich Treasurer/Principal Financial Officer XXXX NPORT-EX 2 pypy.htm PYPY ETF - 1/31/24 PART F

YieldMax PYPL Option Income Strategy ETF
  
Schedule of Investments
  
as of January 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 51.7%
    
Par
    
Value
  
United States Treasury Note/Bond, 0.75%, 11/15/2024(a)
    
$
4,273,000
    
$
4,138,125
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,135,065)
      
4,138,125
  
                       
OPTIONS PURCHASED - 3.9%(b)(c)
  
Notional Amount
    
Contracts
          
Call Options - 3.9%
            
$
–
  
PayPal Holdings, Inc., Expiration: 03/15/2024; Exercise Price: $65.00(d)(e)
    
7,944,825
      
1,295
      
315,980
  
TOTAL OPTIONS PURCHASED (Cost $708,335)
      
315,980
  
                         
SHORT-TERM INVESTMENTS - 65.6%
    
Shares
          
Money Market Funds - 14.4%
                  
First American Government Obligations Fund - Class X, 5.25%(f)
      
1,157,638
      
1,157,638
  
                         
U.S. Treasury Bills - 51.2%
    
Par
          
5.07%, 06/13/2024(g)
      
4,185,000
      
4,106,863
  
TOTAL SHORT-TERM INVESTMENTS (Cost $5,265,919)
      
5,264,501
  
                         
TOTAL INVESTMENTS - 121.2% (Cost $10,109,319)
    
$
9,718,606
  
Liabilities in Excess of Other Assets - (21.2)%
      
(1,701,136
)
TOTAL NET ASSETS - 100.0%
                  
$
8,017,470
  
           
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 PYPL Option Income Strategy ETF
  
Schedule of Options Written
  
as of January 31, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - (9.6)% (a)(b)
  
Notional Amount
    
Contracts
    
Value
  
Call Options - (0.4)%
                  
PayPal Holdings, Inc.
    
0
      
0
      
–
  
Expiration: 02/02/2024; Exercise Price: $67.00
  
$
(552,150
)
    
(90
)
  
$
(270
)
Expiration: 02/02/2024; Exercise Price: $63.00
    
(7,392,675
)
    
(1,205
)
    
(34,945
)
Total Call Options
                    
(35,215
)
                         
Put Options - (9.2)%
                        
PayPal Holdings, Inc., Expiration: 03/15/2024; Exercise Price: $65.01(c)
    
(7,944,825
)
    
(1,295
)
    
(738,516
)
TOTAL OPTIONS WRITTEN (Premiums received $641,785)
                  
$
(773,731
)

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 PYPL Option Income Strategy ETF

  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
  
$
–
    
$
4,138,125
    
$
–
    
$
4,138,125
  
  Options Purchased
    
315,980
      
–
      
–
      
315,980
  
  Money Market Funds
    
1,157,638
      
–
      
–
      
1,157,638
  
  U.S. Treasury Bills
    
–
      
4,106,863
      
–
      
4,106,863
  
Total Assets
  
$
1,473,618
    
$
8,244,989
    
$
–
    
$
9,718,606
  
   
Liabilities:
                        
  Options Written
    
(35,215
)
    
(738,516
)
    
–
      
(773,731
)
Total Liabilities
  
$
(35,215
)
  
$
(738,516
)
  
$
–
    
$
(773,731
)