NPORT-EX 2 CAOS.htm NPORT-EX Document
ALPHA ARCHITECT TAIL RISK ETF
SCHEDULE OF INVESTMENTS
June 30, 2024 (Unaudited)
EXCHANGE TRADED FUNDS - 43.3%
SharesValue
Alpha Architect 1-3 Month Box ETF(a)(b)(c)
775,625 $83,624,009 
TOTAL EXCHANGE TRADED FUNDS (Cost $78,923,214)
83,624,009 
PURCHASED OPTIONS - 64.8%(d)(e)(f)
Notional AmountContracts
Call Options - 5.9%
S&P 500 Index, Expiration: 09/20/2024; Exercise Price: $4,000.00
$13,651,200 25 3,775,875 
SPDR S&P 500 ETF Trust
Expiration: 09/20/2024; Exercise Price: $10.01(g)
4,462,604 82 4,370,752 
Expiration: 09/20/2024; Exercise Price: $1.01(g)
3,265,320 60 3,251,412 
Total Call Options11,398,039 
Put Options - 77.5%— 
S&P 500 Index
Expiration: 07/05/2024; Exercise Price: $5,430.00
191,116,800 350 409,500 
Expiration: 07/19/2024; Exercise Price: $2,500.00
1,192,568,832 2,184 10,920 
Expiration: 08/16/2024; Exercise Price: $2,500.00
1,226,969,856 2,247 33,705 
Expiration: 09/20/2024; Exercise Price: $9,000.00
110,847,744 203 69,618,850 
Expiration: 09/20/2024; Exercise Price: $2,500.00
1,237,890,816 2,267 96,348 
Expiration: 09/20/2024; Exercise Price: $5,000.00
13,651,200 25 59,625 
Expiration: 10/18/2024; Exercise Price: $2,500.00
1,193,114,880 2,185 174,800 
SPDR S&P 500 ETF Trust
Expiration: 09/20/2024; Exercise Price: $10,010.01(g)
4,462,604 82 76,569,051 
Expiration: 09/20/2024; Exercise Price: $1,001.01(g)
3,265,320 60 2,671,021 
Total Put Options149,643,820 
TOTAL PURCHASED OPTIONS (Cost $162,115,980)
161,041,859 
SHORT-TERM INVESTMENTS - 0.2%
Money Market Funds - 0.2%Shares
First American Government Obligations Fund - Class X, 5.23%(h)
398,753 398,753 
TOTAL SHORT-TERM INVESTMENTS (Cost $398,753)
398,753 
TOTAL INVESTMENTS - 126.9% (Cost $241,437,947)
$245,064,621 
Liabilities in Excess of Other Assets - (26.9%)(52,022,706)
TOTAL NET ASSETS - 100.0%$193,041,915 
Percentages are stated as a percent of net assets.

(a)Non-income producing security.
(b)Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
(c)Affiliated Company.
(d)
Exchange-traded.
(e)100 shares per contract.
(f)Purchased option contracts are held in connection with corresponding written option contracts. See the Schedule of Written Options for further information.
(g)FLexible EXchange® Options.
(h)The rate shown represents the 7-day effective yield as of June 30, 2024.
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ALPHA ARCHITECT TAIL RISK ETF
SCHEDULE OF WRITTEN OPTIONS
June 30, 2024 (Unaudited)
WRITTEN OPTIONS - (26.9%)(a)(b)
Notional AmountContractsValue
Call Options - (0.7%)
S&P 500 Index, Expiration: 09/20/2024; Exercise Price: $5,000.00
$(13,651,200)(25)$(1,345,750)
SPDR S&P 500 ETF Trust
             
Expiration: 09/20/2024; Exercise Price: $1,001.01(c)
(3,265,320)(60)(8)
Expiration: 09/20/2024; Exercise Price: $10,010.01(c)
(4,462,604)(82)
(0)(d)
Total Call Options(1,345,758)
Put Options - (26.2%)
S&P 500 Index
             
Expiration: 07/05/2024; Exercise Price: $5,480.00
(191,116,800)(350)(1,055,250)
Expiration: 09/20/2024; Exercise Price: $8,000.00
(110,847,744)(203)(49,572,600)
Expiration: 09/20/2024; Exercise Price: $4,000.00
(13,651,200)(25)(9,750)
SPDR S&P 500 ETF Trust
             
Expiration: 09/20/2024; Exercise Price: $1.01(c)
(3,265,320)(60)
(0)(d)
Expiration: 09/20/2024; Exercise Price: $10.01(c)
(4,462,604)(82)(1)
Total Put Options(50,637,601)
TOTAL WRITTEN OPTIONS (Premiums received $52,622,589)
$(51,983,359)

Percentages are stated as a percent of net assets.

(a)Exchange-traded.
(b)100 shares per contract.
(c)FLexible EXchange® Options.
(d)Less than ($0.50).
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ALPHA ARCHITECT ETFs

Summary of Fair Value Disclosure as of June 30, 2024 (Unaudited)

EA Series Trust has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

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 speeds, 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 fair valuation hierarchy of the Fund’s securities as of June 30, 2024: 

DESCRIPTIONLEVEL 1LEVEL 2LEVEL 3TOTAL
Assets
Purchased Options$— $161,041,859 $— $161,041,859 
Exchange Traded Funds83,624,009 — — 83,624,009 
Money Market Funds398,753 — — 398,753 
Total Investments in Securities$84,022,762 $161,041,859 $— $245,064,621 
Liabilities:
Written Options$— $(51,983,359)$— $(51,983,359)
Total Investments in Securities$— $(51,983,359)$— $(51,983,359)
Refer to the Schedule of Investments for additional information.
 
During the fiscal period ended June 30, 2024, the Fund did not invest in any Level 3 investments and recognized no transfers to/from Level 3. Transfers between levels are recognized at the end of the reporting period.

Transactions With Affiliates

The Alpha Architect Tail Risk ETF (the “Fund”) transactions with affiliates represent holdings for which it and the underlying exchange-traded funds have the same investment adviser. The Fund had the following transactions with such affiliated funds during the fiscal period ended June 30, 2024:
Alpha Architect 1-3 Month Box ETF
Value, Beginning of Period$107,308,800 
Purchases10,042,704
Proceeds from Sales(38,092,213)
Net Realized Gains (Losses)2,326,147
Change in Unrealized Appreciation (Depreciation)2,038,571
Value, End of Period$83,624,009 
Dividend Income-
Shares, Beginning of Period1,035,000
Number of Shares Purchased95,000
Number of Shares Sold(354,375)
Shares, End of Period775,625
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