|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
Aerospace & Defense 5.9%
|
|
|
|
|
|
|
|
|
General Dynamics Corp.(a)
|
|
|
84,100
|
|
|
$
|
5,730,574
|
|
Honeywell International, Inc.(a)
|
|
|
91,500
|
|
|
|
4,858,650
|
|
Northrop Grumman Corp.(a)
|
|
|
91,900
|
|
|
|
5,560,869
|
|
Raytheon Co.(a)
|
|
|
169,300
|
|
|
|
7,572,789
|
|
Rockwell Collins, Inc.
|
|
|
24,200
|
|
|
|
1,333,178
|
|
United Technologies Corp.(a)
|
|
|
120,600
|
|
|
|
9,990,504
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,046,564
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.8%
|
|
|
|
|
|
|
|
|
United Parcel Service, Class B(a)
|
|
|
68,300
|
|
|
|
4,727,726
|
|
|
|
|
|
|
|
|
|
|
Auto Components 0.6%
|
|
|
|
|
|
|
|
|
Johnson Controls, Inc.(a)
|
|
|
88,800
|
|
|
|
3,281,160
|
|
|
|
|
|
|
|
|
|
|
Beverages 2.3%
|
|
|
|
|
|
|
|
|
The Coca-Cola Co.(a)
|
|
|
112,000
|
|
|
|
7,617,120
|
|
Diageo PlcADR(a)
|
|
|
75,000
|
|
|
|
6,093,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,710,120
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.3%
|
|
|
|
|
|
|
|
|
The Bank of New York Mellon Corp.(a)
|
|
|
60,000
|
|
|
|
1,506,600
|
|
|
|
|
|
|
|
|
|
|
Chemicals 3.6%
|
|
|
|
|
|
|
|
|
Air Products & Chemicals, Inc.
|
|
|
17,200
|
|
|
|
1,526,156
|
|
The Dow Chemical Co.(a)
|
|
|
117,400
|
|
|
|
4,093,738
|
|
E.I. du Pont de Nemours & Co.(a)
|
|
|
164,900
|
|
|
|
8,479,158
|
|
Olin Corp.(a)
|
|
|
124,500
|
|
|
|
2,603,295
|
|
Praxair, Inc.(a)
|
|
|
44,200
|
|
|
|
4,580,888
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,283,235
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 6.6%
|
|
|
|
|
|
|
|
|
Bank of Nova Scotia
|
|
|
119,000
|
|
|
|
6,748,045
|
|
M&T Bank Corp.(a)
|
|
|
17,100
|
|
|
|
1,474,704
|
|
National Bank of Canada
|
|
|
96,000
|
|
|
|
7,440,264
|
|
The Toronto-Dominion Bank(a)
|
|
|
59,200
|
|
|
|
4,728,304
|
|
U.S. Bancorp(a)
|
|
|
251,000
|
|
|
|
6,541,060
|
|
Wells Fargo & Co.(a)
|
|
|
448,800
|
|
|
|
12,539,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,471,849
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 0.7%
|
|
|
|
|
|
|
|
|
Hewlett-Packard Co.(a)
|
|
|
111,200
|
|
|
|
3,909,792
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 1.1%
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
126,000
|
|
|
|
6,305,040
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 0.4%
|
|
|
|
|
|
|
|
|
Temple-Inland, Inc.(a)
|
|
|
80,000
|
|
|
|
2,401,600
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 3.3%
|
|
|
|
|
|
|
|
|
Bank of America Corp.(a)
|
|
|
441,000
|
|
|
|
4,282,110
|
|
JPMorgan Chase & Co.(a)
|
|
|
379,000
|
|
|
|
15,330,550
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,612,660
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 5.4%
|
|
|
|
|
|
|
|
|
AT&T Inc.(a)
|
|
|
339,500
|
|
|
|
9,933,770
|
|
BCE, Inc.(a)
|
|
|
57,000
|
|
|
|
2,175,690
|
|
CenturyLink, Inc.(a)
|
|
|
236,700
|
|
|
|
8,783,937
|
|
Frontier Communications Corp.(a)
|
|
|
38,100
|
|
|
|
285,369
|
|
Verizon Communications, Inc.
|
|
|
261,900
|
|
|
|
9,242,451
|
|
Windstream Corp.(a)
|
|
|
153,500
|
|
|
|
1,874,235
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,295,452
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 3.4%
|
|
|
|
|
|
|
|
|
American Electric Power Co., Inc.(a)
|
|
|
71,000
|
|
|
|
2,617,060
|
|
Duke Energy Corp.
|
|
|
119,000
|
|
|
|
2,213,400
|
|
FirstEnergy Corp.
|
|
|
25,000
|
|
|
|
1,116,250
|
|
ITC Holdings Corp.(a)
|
|
|
19,000
|
|
|
|
1,334,940
|
|
NextEra Energy, Inc.
|
|
|
95,500
|
|
|
|
5,276,375
|
|
Northeast Utilities(a)
|
|
|
68,000
|
|
|
|
2,312,000
|
|
PPL Corp.(a)
|
|
|
56,500
|
|
|
|
1,576,350
|
|
The Southern Co.(a)
|
|
|
100,000
|
|
|
|
3,954,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,400,375
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 0.3%
|
|
|
|
|
|
|
|
|
Rockwell Automation, Inc.(a)
|
|
|
27,700
|
|
|
|
1,987,752
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.7%
|
|
|
|
|
|
|
|
|
Schlumberger Ltd.(a)
|
|
|
49,100
|
|
|
|
4,437,167
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 0.8%
|
|
|
|
|
|
|
|
|
Wal-Mart Stores, Inc.
|
|
|
86,300
|
|
|
|
4,548,873
|
|
|
|
|
|
|
|
|
|
|
Food Products 4.4%
|
|
|
|
|
|
|
|
|
General Mills, Inc.(a)
|
|
|
130,900
|
|
|
|
4,889,115
|
|
HJ Heinz Co.
|
|
|
73,500
|
|
|
|
3,869,040
|
|
Kraft Foods, Inc., Class A(a)
|
|
|
137,700
|
|
|
|
4,734,126
|
|
Mead Johnson Nutrition Co.(a)
|
|
|
79,400
|
|
|
|
5,666,778
|
|
Unilever NV
|
|
|
211,400
|
|
|
|
6,866,272
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,025,331
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.6%
|
|
|
|
|
|
|
|
|
McDonalds Corp.
|
|
|
113,100
|
|
|
|
9,780,888
|
|
|
|
|
|
|
|
|
|
|
Household Products 1.5%
|
|
|
|
|
|
|
|
|
Kimberly-Clark Corp.
|
|
|
28,700
|
|
|
|
1,875,832
|
|
The Procter & Gamble Co.(a)
|
|
|
115,300
|
|
|
|
7,089,797
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,965,629
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 2.6%
|
|
|
|
|
|
|
|
|
3M Co.
|
|
|
64,000
|
|
|
|
5,576,960
|
|
General Electric Co.(a)
|
|
|
565,800
|
|
|
|
10,133,478
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,710,438
|
|
|
|
|
|
|
|
|
|
|
Insurance 3.1%
|
|
|
|
|
|
|
|
|
Chubb Corp.
|
|
|
95,400
|
|
|
|
5,960,592
|
|
Prudential Financial, Inc.(a)
|
|
|
77,900
|
|
|
|
4,571,172
|
|
The Travelers Cos., Inc.
|
|
|
143,200
|
|
|
|
7,894,616
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,426,380
|
|
|
|
|
|
|
|
|
|
|
IT Services 2.2%
|
|
|
|
|
|
|
|
|
Automatic Data Processing, Inc.(a)
|
|
|
30,260
|
|
|
|
1,558,087
|
|
International Business Machines Corp.(a)
|
|
|
63,700
|
|
|
|
11,583,845
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,141,932
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products 0.5%
|
|
|
|
|
|
|
|
|
Mattel, Inc.
|
|
|
109,000
|
|
|
|
2,905,940
|
|
|
|
|
|
|
|
|
|
|
Machinery 4.1%
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.(a)
|
|
|
127,200
|
|
|
|
12,566,088
|
|
Deere & Co.(a)
|
|
|
149,400
|
|
|
|
11,729,394
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,295,482
|
|
|
|
|
|
|
|
|
|
|
Media 0.9%
|
|
|
|
|
|
|
|
|
Comcast Corp.(a)
|
|
|
227,400
|
|
|
|
5,307,516
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 4.2%
|
|
|
|
|
|
|
|
|
BHP Billiton Ltd. - ADR(a)
|
|
|
184,100
|
|
|
|
16,854,355
|
|
Rio Tinto Plc - ADR(a)
|
|
|
76,900
|
|
|
|
5,458,362
|
|
Southern Copper Corp.(a)
|
|
|
68,800
|
|
|
|
2,350,208
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,662,925
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 2.3%
|
|
|
|
|
|
|
|
|
Consolidated Edison, Inc.(a)
|
|
|
27,300
|
|
|
|
1,435,980
|
|
Dominion Resources, Inc.
|
|
|
108,000
|
|
|
|
5,232,600
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
Multi-Utilities (concluded)
|
|
|
|
|
|
|
|
|
Public Service Enterprise Group, Inc.
|
|
|
108,200
|
|
|
$
|
3,543,550
|
|
Sempra Energy(a)
|
|
|
36,500
|
|
|
|
1,850,185
|
|
Wisconsin Energy Corp.
|
|
|
61,800
|
|
|
|
1,894,170
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,956,485
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 13.8%
|
|
|
|
|
|
|
|
|
Chevron Corp.
|
|
|
186,800
|
|
|
|
19,430,936
|
|
ConocoPhillips
|
|
|
103,000
|
|
|
|
7,414,970
|
|
Enbridge, Inc.
|
|
|
219,300
|
|
|
|
7,200,210
|
|
EQT Corp.(a)
|
|
|
80,000
|
|
|
|
5,078,400
|
|
Exxon Mobil Corp.(a)
|
|
|
170,000
|
|
|
|
13,564,300
|
|
Kinder Morgan, Inc.(a)(b)
|
|
|
36,900
|
|
|
|
1,041,687
|
|
Marathon Oil Corp.
|
|
|
127,200
|
|
|
|
3,939,384
|
|
Marathon Petroleum Corp.(b)
|
|
|
63,600
|
|
|
|
2,785,044
|
|
Murphy Oil Corp.(a)
|
|
|
13,500
|
|
|
|
866,970
|
|
Occidental Petroleum Corp.(a)
|
|
|
67,000
|
|
|
|
6,578,060
|
|
Peabody Energy Corp.(a)
|
|
|
23,000
|
|
|
|
1,321,810
|
|
Spectra Energy Corp.(a)
|
|
|
96,300
|
|
|
|
2,602,026
|
|
Total SA - ADR
|
|
|
191,600
|
|
|
|
10,359,812
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,183,609
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 1.1%
|
|
|
|
|
|
|
|
|
MeadWestvaco Corp.
|
|
|
139,000
|
|
|
|
4,328,460
|
|
Weyerhaeuser Co.
|
|
|
116,300
|
|
|
|
2,324,837
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,653,297
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 5.7%
|
|
|
|
|
|
|
|
|
Abbott Laboratories(a)
|
|
|
92,000
|
|
|
|
4,721,440
|
|
Bristol-Myers Squibb Co.(a)
|
|
|
312,000
|
|
|
|
8,941,920
|
|
Johnson & Johnson
|
|
|
95,700
|
|
|
|
6,200,403
|
|
Merck & Co., Inc.(a)
|
|
|
173,800
|
|
|
|
5,931,794
|
|
Pfizer, Inc.(a)
|
|
|
415,400
|
|
|
|
7,992,296
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,787,853
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 1.9%
|
|
|
|
|
|
|
|
|
Canadian National Railway Co.
|
|
|
91,300
|
|
|
|
6,834,718
|
|
Union Pacific Corp.(a)
|
|
|
42,000
|
|
|
|
4,304,160
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,138,878
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 0.8%
|
|
|
|
|
|
|
|
|
Intel Corp.(a)
|
|
|
225,000
|
|
|
|
5,024,250
|
|
|
|
|
|
|
|
|
|
|
Software 0.5%
|
|
|
|
|
|
|
|
|
Microsoft Corp.(a)
|
|
|
114,200
|
|
|
|
3,129,080
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 1.9%
|
|
|
|
|
|
|
|
|
Home Depot, Inc.(a)
|
|
|
155,100
|
|
|
|
5,417,643
|
|
Limited Brands, Inc.(a)
|
|
|
154,700
|
|
|
|
5,856,942
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,274,585
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 1.1%
|
|
|
|
|
|
|
|
|
VF Corp.(a)
|
|
|
57,500
|
|
|
|
6,716,000
|
|
|
|
|
|
|
|
|
|
|
Tobacco 3.2%
|
|
|
|
|
|
|
|
|
Altria Group, Inc.(a)
|
|
|
121,000
|
|
|
|
3,182,300
|
|
Lorillard, Inc.(a)
|
|
|
44,500
|
|
|
|
4,726,790
|
|
Philip Morris International, Inc.(a)
|
|
|
152,700
|
|
|
|
10,867,659
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,776,749
|
|
|
|
|
|
|
|
|
|
|
Water Utilities 0.6%
|
|
|
|
|
|
|
|
|
American Water Works Co., Inc.
|
|
|
120,700
|
|
|
|
3,379,600
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.6%
|
|
|
|
|
|
|
|
|
Rogers Communications, Inc., Class B
|
|
|
24,300
|
|
|
|
927,797
|
|
Vodafone Group Plc - ADR(a)
|
|
|
99,100
|
|
|
|
2,784,711
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,712,508
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 94.8%
|
|
|
|
|
|
|
563,881,320
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Funds 2.6%
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust(a)
|
|
|
120,000
|
|
|
|
15,486,000
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments
(Cost $567,862,381) 97.4%
|
|
|
|
|
|
|
579,367,320
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional Class,
|
|
|
|
|
|
|
|
|
0.06%(c)(d)
|
|
|
14,824,214
|
|
|
|
14,824,214
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities
(Cost $14,824,214) 2.5%
|
|
|
|
|
|
|
14,824,214
|
|
|
|
|
|
|
|
|
|
|
Total Investments Before Outstanding Options Written
(Cost $582,686,595*) 99.9%
|
|
|
|
|
|
|
594,191,534
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
Exchange-Traded Call Options Written (0.6)%
|
|
|
|
|
|
|
|
|
Abbott Laboratories:
|
|
|
|
|
|
|
|
|
Strike Price USD 53.75, Expires 8/12/11
|
|
|
75
|
|
|
|
(326
|
)
|
Strike Price USD 52.50, Expires 8/22/11
|
|
|
432
|
|
|
|
(13,608
|
)
|
Altria Group, Inc., Strike Price USD 27, Expires 9/19/11
|
|
|
670
|
|
|
|
(22,445
|
)
|
American Electric Power Co., Inc., Strike Price USD 38, Expires 9/19/11
|
|
|
390
|
|
|
|
(9,750
|
)
|
AT&T Inc., Strike Price USD 30, Expires 9/19/11
|
|
|
1,870
|
|
|
|
(86,020
|
)
|
Automatic Data Processing, Inc., Strike Price USD 52.50, Expires 8/22/11
|
|
|
165
|
|
|
|
(9,075
|
)
|
Bank of America Corp., Strike Price USD 10, Expires 8/22/11
|
|
|
1,210
|
|
|
|
(33,880
|
)
|
The Bank of New York Mellon Corp., Strike Price USD 26, Expires 9/19/11
|
|
|
300
|
|
|
|
(19,800
|
)
|
BCE, Inc., Strike Price USD 40, Expires 9/19/11
|
|
|
313
|
|
|
|
(10,172
|
)
|
BHP Billiton Ltd. - ADR:
|
|
|
|
|
|
|
|
|
Strike Price USD 100, Expires 8/22/11
|
|
|
224
|
|
|
|
(5,712
|
)
|
Strike Price USD 95, Expires 8/22/11
|
|
|
790
|
|
|
|
(91,245
|
)
|
Bristol-Myers Squibb Co., Strike Price USD 28, Expires 8/22/11
|
|
|
1,715
|
|
|
|
(169,785
|
)
|
Caterpillar, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 111, Expires 8/22/11
|
|
|
300
|
|
|
|
(9,860
|
)
|
Strike Price USD 110, Expires 8/22/11
|
|
|
80
|
|
|
|
(3,560
|
)
|
Strike Price USD 110, Expires 9/19/11
|
|
|
320
|
|
|
|
(40,480
|
)
|
CenturyLink, Inc., Strike Price USD 41, Expires 8/22/11
|
|
|
580
|
|
|
|
(2,900
|
)
|
The Coca-Cola Co., Strike Price USD 67.50, Expires 8/22/11
|
|
|
620
|
|
|
|
(84,010
|
)
|
Comcast Corp., Strike Price USD 25, Expires 8/22/11
|
|
|
235
|
|
|
|
(4,700
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
Value
|
|
Options Written
|
|
|
|
|
|
|
|
|
Exchange-Traded Call Options Written (continued)
|
|
|
|
|
|
|
|
|
Consolidated Edison, Inc., Strike Price USD 52.75, Expires 9/12/11
|
|
|
150
|
|
|
$
|
(9,478
|
)
|
Deere & Co., Strike Price USD 82.50, Expires 8/22/11
|
|
|
820
|
|
|
|
(100,860
|
)
|
Diageo Plc - ADR:
|
|
|
|
|
|
|
|
|
Strike Price USD 85, Expires 8/22/11
|
|
|
220
|
|
|
|
(6,050
|
)
|
Strike Price USD 85, Expires 9/19/11
|
|
|
195
|
|
|
|
(16,575
|
)
|
The Dow Chemical Co., Strike Price USD 36, Expires 8/22/11
|
|
|
226
|
|
|
|
(14,464
|
)
|
E.I. du Pont de Nemours & Co., Strike Price USD 55, Expires 8/22/11
|
|
|
485
|
|
|
|
(8,972
|
)
|
EQT Corp., Strike Price USD 60, Expires 8/22/11
|
|
|
140
|
|
|
|
(59,500
|
)
|
Exxon Mobil Corp., Strike Price USD 82.50, Expires 8/22/11
|
|
|
360
|
|
|
|
(20,700
|
)
|
Frontier Communications Corp., Strike Price USD 8, Expires 8/22/11
|
|
|
184
|
|
|
|
(1,840
|
)
|
General Dynamics Corp., Strike Price USD 72.50, Expires 9/19/11
|
|
|
460
|
|
|
|
(37,950
|
)
|
General Electric Co.:
|
|
|
|
|
|
|
|
|
Strike Price USD 19, Expires 8/22/11
|
|
|
1,248
|
|
|
|
(17,472
|
)
|
Strike Price USD 20, Expires 9/19/11
|
|
|
880
|
|
|
|
(9,680
|
)
|
General Mills, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 38, Expires 8/22/11
|
|
|
186
|
|
|
|
(5,115
|
)
|
Strike Price USD 38, Expires 9/19/11
|
|
|
330
|
|
|
|
(19,965
|
)
|
Hewlett-Packard Co., Strike Price USD 36, Expires 8/22/11
|
|
|
1,112
|
|
|
|
(89,516
|
)
|
Home Depot, Inc., Strike Price USD 37, Expires 8/22/11
|
|
|
130
|
|
|
|
(3,380
|
)
|
Honeywell International, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 59, Expires 8/12/11
|
|
|
221
|
|
|
|
(609
|
)
|
Strike Price USD 57.50, Expires 8/22/11
|
|
|
285
|
|
|
|
(5,272
|
)
|
Intel Corp., Strike Price USD 22, Expires 8/22/11
|
|
|
1,230
|
|
|
|
(83,025
|
)
|
International Business Machines Corp., Strike
|
|
|
|
|
|
|
|
|
Price USD 175, Expires 8/22/11
|
|
|
350
|
|
|
|
(269,500
|
)
|
ITC Holdings Corp., Strike Price USD 71.50, Expires 8/31/11
|
|
|
105
|
|
|
|
(10,238
|
)
|
Johnson Controls, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 41, Expires 8/22/11
|
|
|
110
|
|
|
|
(1,100
|
)
|
Strike Price USD 42, Expires 8/22/11
|
|
|
381
|
|
|
|
(3,810
|
)
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
|
|
|
Strike Price USD 42, Expires 8/22/11
|
|
|
1,460
|
|
|
|
(90,520
|
)
|
Strike Price USD 43, Expires 9/19/11
|
|
|
700
|
|
|
|
(54,600
|
)
|
Kinder Morgan, Inc., Strike Price USD 28.75, Expires 8/31/11
|
|
|
200
|
|
|
|
(13,147
|
)
|
Kraft Foods, Inc., Class A, Strike Price USD 36, Expires 8/22/11
|
|
|
500
|
|
|
|
(5,500
|
)
|
Limited Brands, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 41, Expires 8/22/11
|
|
|
315
|
|
|
|
(11,025
|
)
|
Strike Price USD 40, Expires 8/22/11
|
|
|
540
|
|
|
|
(32,400
|
)
|
Lorillard, Inc., Strike Price USD 110, Expires 8/22/11
|
|
|
250
|
|
|
|
(38,750
|
)
|
M&T Bank Corp., Strike Price USD 85, Expires 8/22/11
|
|
|
94
|
|
|
|
(25,145
|
)
|
Mead Johnson Nutrition Co., Strike Price USD 70, Expires 8/22/11
|
|
|
440
|
|
|
|
(104,720
|
)
|
Merck & Co., Inc., Strike Price USD 37, Expires 8/22/11
|
|
|
440
|
|
|
|
(1,540
|
)
|
Microsoft Corp., Strike Price USD 27, Expires 9/19/11
|
|
|
500
|
|
|
|
(56,750
|
)
|
Murphy Oil Corp.:
|
|
|
|
|
|
|
|
|
Strike Price USD 65, Expires 8/22/11
|
|
|
40
|
|
|
|
(6,800
|
)
|
Strike Price USD 67.50, Expires 8/22/11
|
|
|
40
|
|
|
|
(3,600
|
)
|
Northeast Utilities, Strike Price USD 35.50, Expires 9/19/11
|
|
|
375
|
|
|
|
(9,242
|
)
|
Northrop Grumman Corp., Strike Price USD 67.50, Expires 8/22/11
|
|
|
500
|
|
|
|
(5,000
|
)
|
Occidental Petroleum Corp., Strike Price USD 105, Expires 8/22/11
|
|
|
325
|
|
|
|
(26,488
|
)
|
Olin Corp., Strike Price USD 22.50, Expires 8/22/11
|
|
|
685
|
|
|
|
(10,275
|
)
|
Peabody Energy Corp., Strike Price USD 62.50, Expires 9/19/11
|
|
|
125
|
|
|
|
(15,312
|
)
|
Pfizer, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 21, Expires 8/22/11
|
|
|
1,360
|
|
|
|
(6,120
|
)
|
Strike Price USD 20, Expires 8/22/11
|
|
|
100
|
|
|
|
(1,650
|
)
|
Philip Morris International, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 70, Expires 8/22/11
|
|
|
270
|
|
|
|
(58,725
|
)
|
Strike Price USD 67.50, Expires 8/22/11
|
|
|
570
|
|
|
|
(233,700
|
)
|
PPL Corp.:
|
|
|
|
|
|
|
|
|
Strike Price USD 27.85, Expires 8/22/11
|
|
|
155
|
|
|
|
(6,643
|
)
|
Strike Price USD 27.85, Expires 9/06/11
|
|
|
155
|
|
|
|
(7,594
|
)
|
Praxair, Inc.:
|
|
|
|
|
|
|
|
|
Strike Price USD 115, Expires 8/22/11
|
|
|
162
|
|
|
|
(1,620
|
)
|
Strike Price USD 110, Expires 9/19/11
|
|
|
80
|
|
|
|
(6,000
|
)
|
The Procter & Gamble Co., Strike Price USD 65, Expires 8/22/11
|
|
|
635
|
|
|
|
(7,620
|
)
|
Prudential Financial, Inc., Strike Price USD 62.50, Expires 8/22/11
|
|
|
430
|
|
|
|
(30,960
|
)
|
Raytheon Co., Strike Price USD 49, Expires 8/22/11
|
|
|
125
|
|
|
|
(625
|
)
|
Rio Tinto Plc - ADR, Strike Price USD 72.50, Expires 8/22/11
|
|
|
422
|
|
|
|
(50,640
|
)
|
Rockwell Automation, Inc., Strike Price USD 85, Expires 8/22/11
|
|
|
152
|
|
|
|
(1,520
|
)
|
Schlumberger Ltd., Strike Price USD 85, Expires 8/22/11
|
|
|
270
|
|
|
|
(175,500
|
)
|
Sempra Energy, Strike Price USD 52.50, Expires 9/19/11
|
|
|
200
|
|
|
|
(11,500
|
)
|
The Southern Co., Strike Price USD 40, Expires 8/22/11
|
|
|
550
|
|
|
|
(16,775
|
)
|
Southern Copper Corp., Strike Price USD 37, Expires 9/19/11
|
|
|
380
|
|
|
|
(24,700
|
)
|
SPDR S&P 500 ETF Trust:
|
|
|
|
|
|
|
|
|
Strike Price USD 134, Expires 8/22/11
|
|
|
300
|
|
|
|
(28,200
|
)
|
Strike Price USD 135, Expires 8/22/11
|
|
|
300
|
|
|
|
(19,650
|
)
|
Spectra Energy Corp., Strike Price USD 27.50, Expires 8/22/11
|
|
|
530
|
|
|
|
(15,068
|
)
|
Temple-Inland, Inc., Strike Price USD 31, Expires 8/22/11
|
|
|
440
|
|
|
|
(11,000
|
)
|
The Toronto-Dominion Bank:
|
|
|
|
|
|
|
|
|
Strike Price USD 85, Expires 8/22/11
|
|
|
235
|
|
|
|
(6,462
|
)
|
Strike Price USD 82.50, Expires 8/22/11
|
|
|
90
|
|
|
|
(7,425
|
)
|
U.S. Bancorp:
|
|
|
|
|
|
|
|
|
Strike Price USD 25, Expires 8/22/11
|
|
|
650
|
|
|
|
(92,950
|
)
|
Strike Price USD 24.95, Expires 9/09/11
|
|
|
730
|
|
|
|
(117,872
|
)
|
Union Pacific Corp.:
|
|
|
|
|
|
|
|
|
Strike Price USD 100, Expires 8/22/11
|
|
|
51
|
|
|
|
(21,930
|
)
|
Strike Price USD 105, Expires 8/22/11
|
|
|
180
|
|
|
|
(29,610
|
)
|
United Parcel Service, Class B:
|
|
|
|
|
|
|
|
|
Strike Price USD 72.50, Expires 8/22/11
|
|
|
310
|
|
|
|
(8,835
|
)
|
Strike Price USD 75, Expires 8/22/11
|
|
|
60
|
|
|
|
(570
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
Value
|
|
Options Written
|
|
|
|
|
|
|
|
|
Exchange-Traded Call Options Written (concluded)
|
|
|
|
|
|
|
|
|
United Technologies Corp., Strike Price USD 92.50, Expires 8/22/11
|
|
|
660
|
|
|
$
|
(4,290
|
)
|
VF Corp., Strike Price USD 110, Expires 8/22/11
|
|
|
300
|
|
|
|
(237,000
|
)
|
Vodafone Group Plc - ADR, Strike Price USD 27, Expires 8/22/11
|
|
|
545
|
|
|
|
(73,575
|
)
|
Wells Fargo & Co.:
|
|
|
|
|
|
|
|
|
Strike Price USD 27, Expires 8/22/11
|
|
|
825
|
|
|
|
(117,562
|
)
|
Strike Price USD 28, Expires 8/22/11
|
|
|
825
|
|
|
|
(69,300
|
)
|
Strike Price USD 30, Expires 9/19/11
|
|
|
820
|
|
|
|
(38,540
|
)
|
Windstream Corp., Strike Price USD 12.75, Expires 8/31/11
|
|
|
260
|
|
|
|
(1,691
|
)
|
|
|
|
|
|
|
|
|
|
Total Exchange-Traded Call Options Written
|
|
|
|
|
|
|
(3,466,635
|
)
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Options Written (0.2)%
|
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American Express Co., Strike Price USD 51.50, Expires 9/14/11, Broker Morgan Stanley & Co., Inc.
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72,000
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(88,560
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)
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American Water Works Co., Inc., Strike Price USD 29.35, Expires 8/09/11, Broker Goldman Sachs & Co.
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66,500
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(1,342
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)
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Bank of Nova Scotia, Strike Price CAD 59, Expires 8/22/11, Broker T.D. Securities
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650
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(4,082
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)
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CenturyLink, Inc., Strike Price USD 39.62, Expires 9/08/11, Broker UBS Securities LLC
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72,000
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(16,774
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)
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Chevron Corp., Strike Price USD 106.76, Expires 9/13/11, Broker Morgan Stanley & Co., Inc.
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103,000
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(218,956
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)
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Comcast Corp., Strike Price USD 22.87, Expires 8/04/11, Broker Morgan Stanley & Co., Inc.
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101,500
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(55,028
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)
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Dominion Resources, Inc, Strike Price USD 48.50, Expires 8/31/11, Broker Deutsche Bank Securities Corp.
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60,000
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(50,092
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)
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Duke Energy Corp., Strike Price USD 19, Expires 8/31/11, Broker Citigroup Global Markets, Inc.
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66,000
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(7,045
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)
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E.I. du Pont de Nemours & Co., Strike Price USD 55.02, Expires 9/06/11, Broker Goldman Sachs & Co.
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30,600
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(13,746
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)
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Enbridge, Inc., Strike Price CAD 31.50, Expires 9/19/11, Broker T.D. Securities
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1,205
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(80,085
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)
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EQT Corp., Strike Price USD 50.99, Expires 8/08/11, Broker Citigroup Global Markets, Inc.
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30,000
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(374,610
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)
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Exxon Mobil Corp.:
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Strike Price USD 79.80, Expires 8/02/11, Broker Morgan Stanley & Co., Inc.
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18,500
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(11,129
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)
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Strike Price USD 83.37, Expires 9/09/11, Broker Morgan Stanley & Co., Inc.
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36,500
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(29,916
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)
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FirstEnergy Corp., Strike Price USD 43.30, Expires 8/31/11, Broker Deutsche Bank Securities Corp.
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14,000
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(23,850
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)
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General Electric Co.:
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Strike Price USD 18.90, Expires 8/30/11, Broker Citigroup Global Markets, Inc.
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49,000
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(10,314
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)
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Strike Price USD 19.06, Expires 9/08/11, Broker UBS Securities LLC
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49,000
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(10,137
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)
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General Mills, Inc., Strike Price USD 37.85, Expires 8/31/11, Broker Goldman Sachs & Co.
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20,600
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(8,946
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)
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HJ Heinz Co., Strike Price USD 53.62, Expires 8/12/11, Broker Goldman Sachs & Co.
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40,000
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(5,891
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)
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Johnson & Johnson, Strike Price USD 67.54, Expires 8/25/11, Broker Morgan Stanley & Co., Inc.
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52,500
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(9,487
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)
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Kraft Foods, Inc., Class A, Strike Price USD 34.30, Expires 8/10/11, Broker UBS Securities LLC
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26,000
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(11,085
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)
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Marathon Oil Corp., Strike Price USD 52.65, Expires 8/09/11, Broker Morgan Stanley & Co., Inc.
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69,000
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(89,157
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)
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Mattel, Inc., Strike Price USD 27.50, Expires 9/12/11, Broker Deutsche Bank Securities Corp.
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60,000
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(22,860
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)
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McDonalds Corp., Strike Price USD 86, Expires 8/29/11, Broker Goldman Sachs & Co.
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62,000
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(111,102
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)
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MeadWestvaco Corp., Strike Price USD 33.25, Expires 9/16/11, Broker Citigroup Global Markets, Inc.
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76,500
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(30,348
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)
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Merck & Co., Inc., Strike Price USD 36.75, Expires 8/05/11, Broker Morgan Stanley & Co., Inc.
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52,000
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(86
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)
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National Bank of Canada, Strike Price CAD 80, Expires 8/22/11, Broker T.D. Securities
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528
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(3,039
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)
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NextEra Energy, Inc., Strike Price USD 57.40, Expires 8/31/11, Broker Societe General Securities Corp.
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55,000
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(18,457
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)
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Occidental Petroleum Corp., Strike Price USD 107.19, Expires 9/06/11, Broker Goldman Sachs & Co.
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4,500
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(4,425
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)
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Public Service Enterprise Group, Inc., Strike Price USD 32, Expires 9/12/11, Broker UBS Securities LLC
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59,000
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(83,727
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)
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Raytheon Co., Strike Price USD 45.89, Expires 8/29/11, Broker Citigroup Global Markets, Inc.
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80,500
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(47,229
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)
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Rockwell Collins, Inc., Strike Price USD 59, Expires 8/31/11, Broker Deutsche Bank Securities Corp.
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13,300
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(2,886
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)
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Rogers Communications, Inc., Class B, Strike Price CAD 38, Expires 8/22/11, Broker T.D. Securities
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133
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(1,322
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)
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The Travelers Cos., Inc.:
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Strike Price USD 59.19, Expires 8/29/11, Broker Goldman Sachs & Co.
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64,000
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(10,764
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)
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Strike Price USD 57.98, Expires 9/09/11, Broker Credit Suisse First Boston
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15,000
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(5,491
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)
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Unilever NV, Strike Price USD 32.95, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.
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116,000
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(41,152
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)
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Weyerhaeuser Co., Strike Price USD 22.41, Expires 8/29/11, Broker Deutsche Bank Securities Corp.
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64,000
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(7,208
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)
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Windstream Corp., Strike Price USD 12.60, Expires 8/31/11, Broker Deutsche Bank Securities Corp.
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57,000
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(5,416
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)
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Wisconsin Energy Corp., Strike Price USD 31.35, Expires 9/12/11, Broker JPMorgan Chase Securities
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34,000
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(6,510
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)
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Total Over-the-Counter Call Options Written
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(1,522,254
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)
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Total Options Written (Premiums Received $6,160,584) (0.8)%
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(4,988,889
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)
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