0001145549-24-019737.txt : 20240328 0001145549-24-019737.hdr.sgml : 20240328 20240328143555 ACCESSION NUMBER: 0001145549-24-019737 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: 24797823 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 S000077658 YieldMax SQ Option Income Strategy ETF C000238146 YieldMax SQ Option Income Strategy ETF SQY NPORT-P 1 primary_doc.xml NPORT-P false 0001924868 XXXXXXXX S000077658 C000238146 Tidal Trust II 811-23793 0001924868 549300BGXECFCIZF2P89 234 West Florida Street Suite 203 Milwaukee 53204 844-986-7700 YieldMax SQ Option Income Strategy ETF S000077658 549300WBCL4N7MGWDL29 2024-10-31 2024-01-31 N 41493072.480000000000 3852628.690000000000 37640443.790000000000 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 2428528.420000000000 USD N S&P CME Bitcoin Futures Index (USD) Total Return SPBTCFUT SQ 03/15/2024 67.51 P N/A SQ 03/15/2024 67.51 P N/A -5860.000000000000 NC USD -3604852.250000000000 -9.5770715938 N/A DE US N 2 Chicago Board Options Exchange N/A Put Written Block Inc Block Inc 100.000000000000 67.510000000000 USD 2024-03-15 XXXX -818422.250000000000 N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V336 765846.740000000000 NS USD 765846.740000000000 2.0346379131 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FS1 14158000.000000000000 PA USD 13893658.810000000000 36.9115170042 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 22099000.000000000000 PA USD 21401457.220000000000 56.8576112954 Long DBT UST US N 2 2024-11-15 Fixed .750000000000 N N N N N N N/A N/A Block Inc N/A -5860.000000000000 NC USD -216820.000000000000 -0.5760293402 N/A DE US N 1 NYSEAmerican N/A Call Written Block Inc Block Inc 100.000000000000 72.000000000000 USD 2024-02-09 XXXX 378490.000000000000 N N N N/A N/A Block Inc N/A 5860.000000000000 NC USD 2426040.000000000000 6.4453012657 N/A DE US N 1 NYSEAmerican N/A Call Purchased Block Inc Block Inc 100.000000000000 67.500000000000 USD 2024-03-15 XXXX -1004990.000000000000 N N N 2024-03-27 Tidal Trust II /s/ Aaron Perkovich Aaron Perkovich Treasurer/Principal Financial Officer XXXX NPORT-EX 2 sqy.htm SQY ETF - 1/31/24 PART F

YieldMax SQ Option Income Strategy ETF
  
Schedule of Investments
  
as of January 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 56.0%
    
Par
    
Value
  
United States Treasury Note/Bond, 0.75%, 11/15/2024(a)
    
$
22,099,000
    
$
21,401,457
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $21,403,429)
      
21,401,457
  
                       
OPTIONS PURCHASED - 6.4%(b)(c)
  
Notional Amount
    
Contracts
          
Call Options - 6.4%
            
$
–
  
Block, Inc., Expiration: 03/15/2024; Exercise Price: $67.50(d)(e)
    
38,095,860
      
5,860
      
2,426,040
  
TOTAL OPTIONS PURCHASED (Cost $3,431,030)
      
2,426,040
  
                         
SHORT-TERM INVESTMENTS - 53.1%
    
Shares
          
Money Market Funds - 9.2%
                  
First American Government Obligations Fund - Class X, 5.25%(f)
      
3,493,832
      
3,493,832
  
                         
U.S. Treasury Bills - 43.9%
    
Par
          
5.09%, 06/13/2024(g)
      
17,077,000
      
16,758,159
  
TOTAL SHORT-TERM INVESTMENTS (Cost $20,256,470)
      
20,251,991
  
                         
TOTAL INVESTMENTS - 115.5% (Cost $45,090,929)
    
$
44,079,488
  
Liabilities in Excess of Other Assets - (15.5)%
      
(5,930,581
)
TOTAL NET ASSETS - 100.0%
                  
$
38,148,907
  
           
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 SQ Option Income Strategy ETF
  
Schedule of Options Written
  
as of January 31, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - (10.0)% (a)(b)
  
Notional Amount
    
Contracts
    
Value
  
Call Options - (0.6)%
                  
Block, Inc., Expiration: 02/09/2024; Exercise Price: $72.00
  
$
(38,095,860
)
    
(5,860
)
  
$
(216,820
)
                         
Put Options - (9.4)%
                        
Block, Inc., Expiration: 03/15/2024; Exercise Price: $67.51(c)
    
(38,095,860
)
    
(5,860
)
    
(3,604,852
)
TOTAL OPTIONS WRITTEN (Premiums received $3,381,740)
                  
$
(3,821,672
)

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 SQ Option Income Strategy ETF
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
  
$
–
    
$
21,401,457
    
$
–
    
$
21,401,457
  
  Options Purchased
    
2,426,040
      
–
      
–
      
2,426,040
  
  Money Market Funds
    
3,493,832
      
–
      
–
      
3,493,832
  
  U.S. Treasury Bills
    
–
      
16,758,159
      
–
      
16,758,159
  
Total Assets
  
$
5,919,872
    
$
38,159,616
    
$
–
    
$
44,079,488
  
   
   
Liabilities:
                        
  Options Written
    
(216,820
)
    
(3,604,852
)
    
–
      
(3,821,672
)
Total Liabilities
  
$
(216,820
)
  
$
(3,604,852
)
  
$
–
    
$
(3,821,672
)