|
Contracts
|
|
|
|
Value*
|
|
CALL OPTIONS WRITTEN
(e)
-(1.4)%
|
|
|
|
1,365
|
|
AGCO Corp., strike price $55, expires 11/17/07
|
$
|
(655,200
|
)
|
1,108
|
|
Baxter International, Inc., strike price $60, expires 11/17/07
|
|
(155,120
|
)
|
2,170
|
|
Bristol-Myers Squibb Co., strike price $32.50, expires 12/22/07
|
|
(60,760
|
)
|
1,195
|
|
CIGNA Corp., strike price $56.62, expires 1/19/08
|
|
(191,200
|
)
|
1,135
|
|
Coca-Cola Co., strike price $62.50, expires 12/22/07
|
|
(141,875
|
)
|
715
|
|
Constellation Energy Group, Inc., strike price $95, expires 1/19/08
|
|
(357,500
|
)
|
485
|
|
Deere & Co., strike price $155, expires 12/22/07
|
|
(426,800
|
)
|
600
|
|
Diamond Offshore Drilling, Inc., strike price $120, expires 11/17/07
|
|
(75,000
|
)
|
3,300
|
|
EMC Corp., strike price $25, expires12/22/07
|
|
(495,000
|
)
|
650
|
|
Freeport-McMoran Copper & Gold, Inc., strike price $120, expires 11/17/07
|
|
(221,000
|
)
|
1,520
|
|
General Electric Co., strike price $ 42.50, expires 12/22/07
|
|
(101,840
|
)
|
1,530
|
|
Gilead Sciences, Inc., strike price $47.50, expires 12/22/07
|
|
(214,200
|
)
|
1,090
|
|
Harris Corp., strike price $65, expires 11/17/07
|
|
(61,040
|
)
|
2,480
|
|
Intel Corp., strike price $27.50, expires 1/19/08
|
|
(292,640
|
)
|
535
|
|
International Business Machines Corp., strike price $120,
expires 12/22/07
|
|
(117,700
|
)
|
275
|
|
Intuitive Surgical, Inc., strike price $340, expires 12/22/07
|
|
(500,500
|
)
|
1,580
|
|
Johnson Controls, Inc., strike price $45, expires 12/22/07
|
|
(221,200
|
)
|
2,050
|
|
Juniper Networks, Inc., strike price $40, expires 11/17/07
|
|
(20,500
|
)
|
610
|
|
L-3 Communications Holdings, Inc., strike price $110, expires 1/19/08
|
|
(292,800
|
)
|
980
|
|
McKesson Corp., strike price $62.50, expires 11/17/07
|
|
(362,600
|
)
|
760
|
|
Medco Health Solutions, Inc., strike price $95, expires 1/19/08
|
|
(364,800
|
)
|
1,220
|
|
Merck & Co., Inc., strike price $55, expires 11/17/07
|
|
(402,600
|
)
|
2,200
|
|
Microsoft Corp., strike price $37.50, expires 12/22/07
|
|
(236,500
|
)
|
1,230
|
|
Molson Coors Brewing Co., strike price $60, expires 11/17/07
|
|
(86,100
|
)
|
870
|
|
Monsanto Co., strike price $95, expires 11/17/07
|
|
(400,200
|
)
|
990
|
|
National Oilwell Varco, Inc., strike price $87.50, expires 11/17/07
|
|
(7,920
|
)
|
3,100
|
|
Oracle Corp., strike price $22.50, expires 11/17/07
|
|
(108,500
|
)
|
600
|
|
Prudential Financial, Inc., strike price $105, expires 12/22/07
|
|
(78,000
|
)
|
1,445
|
|
Qualcomm, Inc., strike price $45, expires 12/22/07
|
|
(153,170
|
)
|
695
|
|
Schlumberger Ltd., strike price $115, expires 11/17/07
|
|
(3,475
|
)
|
970
|
|
Target Corp., strike price $70, expires 1/19/08
|
|
(140,650
|
)
|
730
|
|
Terex Corp., strike price $90, expires 12/22/07
|
|
(56,210
|
)
|
995
|
|
Textron, Inc., strike price $65, expires 11/17/07
|
|
(477,600
|
)
|
890
|
|
Valero Energy Corp., strike price $75, expires 11/17/07
|
|
(57,850
|
)
|
1,415
|
|
Verizon Communications, Inc., strike price $45, expires 1/19/08
|
|
(382,050
|
)
|
|
|
|
Total Call Options Written (premium received-$5,982,180)
|
|
(7,920,100
|
)
|
|
|
|
Total Investments, net of call options written
(cost-$553,210,663)
-102.5
%
|
|
600,804,904
|
|
|
|
|
Liabilities in excess of other assets-(2.5%)
|
|
(14,675,706
|
)
|
|
|
Net Assets-100.0%
|
$
|
586,129,198
|
|