NEOS ETF Trust

Table of Contents

 

Page

Portfolio Allocations by Sector

1

Schedule of Investments

2

Kurv Yield Premium Strategy Amazon (AMZN) ETF

2

Kurv Yield Premium Strategy Apple (AAPL) ETF

3

Kurv Yield Premium Strategy Google (GOOGL) ETF

4

Kurv Yield Premium Strategy Microsoft (MSFT) ETF

5

Kurv Yield Premium Strategy Netflix (NFLX) ETF

6

Kurv Yield Premium Strategy Tesla (TSLA) ETF

7

Statements of Assets and Liabilities

8

Statements of Operations

10

Statement of Changes in Net Assets

12

Kurv Yield Premium Strategy Amazon (AMZN) ETF

12

Kurv Yield Premium Strategy Apple (AAPL) ETF

13

Kurv Yield Premium Strategy Google (GOOGL) ETF

14

Kurv Yield Premium Strategy Microsoft (MSFT) ETF

15

Kurv Yield Premium Strategy Netflix (NFLX) ETF

16

Kurv Yield Premium Strategy Tesla (TSLA) ETF

17

Financial Highlights

18

Notes to the Financial Statements

20

Shareholder Expense Examples

32

Board Approval of Investment Advisory Agreement

33

Additional Information

36

 

1

Portfolio Allocations by Sector

NEOS ETF Trust

November 30, 2023 (Unaudited)

Kurv Yield Premium Strategy Amazon (AMZN) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

92.1%

Purchased Options

9.5%

Other Assets and Liabilities 

-1.6%

Total 

100.0%

Kurv Yield Premium Strategy Apple (AAPL) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

89.4%

Purchased Options

11.5%

Other Assets and Liabilities 

-0.9%

Total 

100.0%

Kurv Yield Premium Strategy Google (GOOGL) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

94.5%

Purchased Options

5.9%

Other Assets and Liabilities 

-0.4%

Total 

100.0%

Kurv Yield Premium Strategy Microsoft (MSFT) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

89.7%

Purchased Options

11.4%

Other Assets and Liabilities 

-1.1%

Total 

100.0%

Kurv Yield Premium Strategy Netflix (NFLX) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

86.7%

Purchased Options

14.5%

Other Assets and Liabilities 

-1.2%

Total 

100.0%

Kurv Yield Premium Strategy Tesla (TSLA) ETF

Sector 

Percentage of
Total Net Assets

U.S. Treasury Obligations

88.6%

Purchased Options

13.5%

Other Assets and Liabilities 

-2.1%

Total 

100.0%

The accompanying notes are an integral part of these financial statements.

 

2

Schedule of Investments

Kurv Yield Premium Strategy Amazon (AMZN) ETF

November 30, 2023 (Unaudited)

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 92.1% (a)(b)

U.S. Treasury Bills,
5.351%, due 1/30/2024

$497,000

$492,634

TOTAL U.S. TREASURY OBLIGATIONS (Cost $492,626)

492,634

 

PURCHASED OPTIONS — 9.5% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 9.5% (b)

Amazon.com, Inc.

37

$135.00

1/19/2024

$540,533

50,426

TOTAL PURCHASED OPTIONS (Cost $28,805)

50,426

 

TOTAL INVESTMENTS — 101.6% 

(Cost $521,431)

543,060

LIABILITIES IN EXCESS OF OTHER ASSETS — (1.6)%

(8,358

)

NET ASSETS — 100.0%

$534,702

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $543,060, representing 101.6% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS 

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Amazon.com, Inc.

(37)

$155.00

1/19/2024

$(7,455

)

$(540,533

)

$(7,511

)

 

(7,511

)

PUT OPTIONS

Amazon.com, Inc.

(37)

$135.00

1/19/2024

(30,358

)

(540,533

)

(5,209

)

 

 

 

(5,209

)

TOTAL WRITTEN OPTIONS

$(37,813

)

$(1,081,066

)

$(12,720

)

Schedule of Investments

Kurv Yield Premium Strategy Apple (AAPL) ETF

November 30, 2023 (Unaudited)

The accompanying notes are an integral part of these financial statements.

 

3

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 89.4% (a)(b)

U.S. Treasury Bills,
5.364%, due 1/25/2024

$479,000

$475,137

TOTAL U.S. TREASURY OBLIGATIONS (Cost $475,125)

475,137

 

PURCHASED OPTIONS — 11.5% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 11.5% (b)

Apple, Inc.

28

$170.00

1/19/2024

$550,855

61,358

TOTAL PURCHASED OPTIONS (Cost $24,262)

61,358

 

TOTAL INVESTMENTS — 100.9% 

(Cost $499,387)

536,495

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.9)%

(5,012

)

NET ASSETS — 100.0%

$531,483

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $536,495, representing 100.9% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS 

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Apple, Inc.

(28)

$197.50

1/19/2024

$(4,998

)

$(550,855

)

$(5,040

)

 

(5,040

)

PUT OPTIONS

Apple, Inc.

(28)

$170.00

1/19/2024

(23,282

)

(550,855

)

(1,430

)

 

 

 

(1,430

)

TOTAL WRITTEN OPTIONS

$(28,280

)

$(1,101,710

)

$(6,470

)

The accompanying notes are an integral part of these financial statements.

 

4

Schedule of Investments

Kurv Yield Premium Strategy Google (GOOGL) ETF

November 30, 2023 (Unaudited)

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 94.5% (a)(b)

U.S. Treasury Bills,
5.351%, due 1/30/2024

$500,000

$495,608

TOTAL U.S. TREASURY OBLIGATIONS (Cost $495,600)

495,608

 

PURCHASED OPTIONS — 5.9% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 5.9% (b)

Alphabet, Inc.

39

$127.50

1/19/2024

$516,867

31,014

TOTAL PURCHASED OPTIONS (Cost $23,068)

31,014

 

TOTAL INVESTMENTS — 100.4%

(Cost $518,668)

526,622

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%

(2,182

)

NET ASSETS — 100.0%

$524,440

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $526,622, representing 100.4% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS 

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Alphabet, Inc.

(39)

$140.00

1/19/2024

$(6,142

)

$(516,867

)

$(6,201

)

 

(6,201

)

PUT OPTIONS

Alphabet, Inc.

(39)

$127.50

1/19/2024

(28,022

)

(516,867

)

(7,465

)

 

 

 

(7,465

)

TOTAL WRITTEN OPTIONS

$(34,164

)

$(1,033,734

)

$(13,666

)

Schedule of Investments

Kurv Yield Premium Strategy Microsoft (MSFT) ETF

November 30, 2023 (Unaudited)

The accompanying notes are an integral part of these financial statements.

 

5

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 89.7% (a)(b)

U.S. Treasury Bills,
5.351%, due 1/30/2024

$479,000

$474,792

TOTAL U.S. TREASURY OBLIGATIONS (Cost $474,785)

474,792

 

PURCHASED OPTIONS — 11.4% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 11.4% (b)

Microsoft Corp.

14

$340.00

1/19/2024

$530,474

60,182

TOTAL PURCHASED OPTIONS (Cost $23,443)

60,182

 

TOTAL INVESTMENTS — 101.1%

(Cost $498,228)

534,974

LIABILITIES IN EXCESS OF OTHER ASSETS — (1.1)%

(5,682

)

NET ASSETS — 100.0%

$529,292

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $534,974, representing 101.1% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Microsoft Corp.

(14)

$400.00

1/19/2024

$(4,809

)

$(530,474

)

$(4,830

)

 

(4,830

)

PUT OPTIONS

Microsoft Corp.

(14)

$340.00

1/19/2024

(21,749

)

(530,474

)

(1,915

)

 

 

 

(1,915

)

TOTAL WRITTEN OPTIONS

$(26,558

)

$(1,060,948

)

$(6,745

)

The accompanying notes are an integral part of these financial statements.

 

6

Schedule of Investments

Kurv Yield Premium Strategy Netflix (NFLX) ETF

November 30, 2023 (Unaudited)

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 86.7% (a)(b)

U.S. Treasury Bills,
5.364%, due 1/25/2024

$473,000

$469,186

TOTAL U.S. TREASURY OBLIGATIONS (Cost $469,174)

469,186

 

PURCHASED OPTIONS — 14.5% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 14.5% (b)

Netflix, Inc.

11

$410.00

1/19/2024

$568,764

78,794

TOTAL PURCHASED OPTIONS (Cost $30,189)

78,794

 

TOTAL INVESTMENTS — 101.2%

(Cost $499,363)

547,980

LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)%

(6,489

)

NET ASSETS — 100.0%

$541,491

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $547,980, representing 101.2% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Netflix, Inc.

(11)

$520.00

1/19/2024

$(9,157

)

$(568,764

)

$(9,174

)

 

(9,174

)

PUT OPTIONS

Netflix, Inc.

(11)

$410.00

1/19/2024

(37,340

)

(568,764

)

(4,651

)

 

 

 

(4,651

)

TOTAL WRITTEN OPTIONS

$(46,497

)

$(1,137,528

)

$(13,825

)

Schedule of Investments

Kurv Yield Premium Strategy Tesla (TSLA) ETF

November 30, 2023 (Unaudited)

The accompanying notes are an integral part of these financial statements.

 

7

Investments 

 

Par Value

 

Value

 

U.S. TREASURY OBLIGATIONS — 88.6% (a)(b)

U.S. Treasury Bills,
5.364%, due 1/25/2024

$495,000

$491,008

TOTAL U.S. TREASURY OBLIGATIONS (Cost $490,996)

491,008

 

PURCHASED OPTIONS — 13.5% (b)

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Notional Amount

CALL OPTIONS — 13.5% (b)

Tesla, Inc.

23

$215.00

1/19/2024

$576,192

74,648

TOTAL PURCHASED OPTIONS (Cost $41,595)

74,648

 

TOTAL INVESTMENTS — 102.1%

(Cost $532,591)

565,656

LIABILITIES IN EXCESS OF OTHER ASSETS — (2.1)%

(11,408

)

NET ASSETS — 100.0%

$554,248

(a)The rate shown is yield to maturity.

(b)All or a portion of these securities has been segregated as collateral for written option contracts. As of November 30, 2023, the aggregate fair market value of those assets was $565,656, representing 102.1% of net assets.

(c)Each contract equals 100 shares.

A list of the exchange traded option contracts held by the Fund at November 30, 2023, is as follows:

WRITTEN OPTIONS

 

Contracts (c)

 

Exercise Price

 

Expiration Date

 

Premium Received

 

Notional Amount

 

Value

 

CALL OPTIONS

Tesla, Inc.

(23)

$270.00

1/19/2024

$(14,546

)

$(576,192

)

$(14,582

)

 

(14,582

)

PUT OPTIONS

Tesla, Inc.

(23)

$215.00

1/19/2024

(52,452

)

(576,192

)

(13,313

)

 

 

 

(13,313

)

TOTAL WRITTEN OPTIONS

$(66,998

)

$(1,152,384

)

$(27,895

)

The accompanying notes are an integral part of these financial statements.

 

8

Statements of Assets and Liabilities

NEOS ETF Trust

November 30, 2023 (Unaudited)

Kurv
Yield Premium
Strategy Amazon
(AMZN) ETF

Kurv
Yield Premium
Strategy Apple
(AAPL) ETF

Kurv
Yield Premium
Strategy Google
(GOOGL) ETF

ASSETS:

Investments in securities, at value(1) (See Note 2)

$543,060

$536,495

$526,622

Total investments, at value(2) (See Note 2)

543,060

536,495

526,622

Cash

8,200

5,209

11,572

Receivables:

Investment securities sold

10,428

27,995

6,143

Interest

56

47

64

Total Assets

561,744

569,746

544,401

 

LIABILITIES:

Written option contracts, at value(3) (See Note 2)

12,720

6,470

13,666

Payables:

Investment securities purchased

13,894

31,337

5,870

Investment management fees

428

456

425

Total Liabilities

27,042

38,263

19,961

NET ASSETS

$534,702

$531,483

$524,440

 

NET ASSETS CONSIST OF:

Paid-in capital

$500,000

$500,000

$500,000

Distributable earnings (accumulated loss)

34,702

31,483

24,440

NET ASSETS

$534,702

$531,483

$524,440

 

Shares issued and outstanding, $0 par value, unlimited shares authorized

20,000

20,000

20,000

 

Net Asset Value, Per Share

$26.74

$26.57

$26.22

 

(1) Investments in securities, at identified cost

$521,431

$499,387

$518,668

(2) Total Investments, at identified cost

$521,431

$499,387

$518,668

 

(3) Written option contracts, at identified premium received

$37,813

$28,280

$34,164

Total Written option contracts, at identified premium received

$37,813

$28,280

$34,164

Statements of Assets and Liabilities

NEOS ETF Trust

November 30, 2023 (Unaudited)

The accompanying notes are an integral part of these financial statements.

 

9

Kurv
Yield Premium
Strategy Microsoft
(MSFT) ETF

Kurv