Defiance Nasdaq 100 Enh Opt &0DTEIncETF SEC Filings

Form NPORT-P (April 30 2025) for Tidal Trust II – YieldMax SP 500 0DTE Covered Call Strategy ETF details the fund’s balance sheet, recent performance and derivatives activity.

Balance-sheet snapshot: total assets were $11.93 million against liabilities of $0.43 million, leaving net assets of $11.50 million. The filing shows no borrowings, no preferred stock outstanding and zero exposure to delayed-delivery payables or controlled foreign corporations, indicating a largely un-levered structure.

Performance: the ETF posted three consecutive negative monthly total returns:

• Month 1 (most recent): -1.00%
• Month 2: -5.16%
• Month 3: -5.83%

Derivatives impact: the fund’s strategy centers on equity option contracts. Over the three-month look-back:

• Realized option P&L: +$24.3k, +$20.4k, then - $574.4k
• Unrealized option P&L: -$131.4k, -$524.8k, -$48.7k

Risk metrics & leverage: Item B.3 (credit-spread, duration, and value-at-risk metrics) was left blank, implying debt securities do not exceed 25% of NAV. The fund reported no bank debt and no securities lending collateral in non-cash form.

Administrative detail: reporting period ends July 31, with data current to April 30 2025. The filing is marked “LIVE” and not a final Form N-PORT submission. Series identifier S000090040; LEI 2549006NPHE610NPM920.

Overall, the report highlights a small, options-focused ETF that experienced material realized and unrealized losses during the quarter, driving successive negative monthly returns while maintaining a clean balance sheet without leverage.

Form NPORT-P highlights for Tidal Trust II – YieldMax SNOW Option Income Strategy ETF (Series ID S000082242) covering the period ended 30-Apr-2025:

• Balance sheet: Total assets of $48.57 million, liabilities of $1.26 million, producing net assets of $47.30 million.
• Risk profile: Interest-rate DV01 exposure is minimal (3-month DV01 ≈ $689; 1-year DV01 ≈ $455). Credit-spread DV01 is also small (investment-grade 3-month ≈ $714).
• Returns (last three months): +1.85% (Month 1), −13.90% (Month 2), +4.15% (Month 3) – indicating elevated month-to-month volatility.
• Derivatives activity: Equity option strategy drove swings: Month 3 realized loss of $15.29 million offset by $17.02 million unrealized gain; prior months showed realized gains of $2.90 million and $1.89 million respectively.
• Liquidity & leverage: No borrowings or delayed-delivery payables reported; cash equivalents amount not specified. No preferred shares outstanding.
• Securities lending: Counterparty non-cash collateral disclosure included but selection box not clarified.

The filing is routine and does not announce corporate actions or strategic changes; it primarily provides transparency on asset mix, risk metrics and recent performance.

Tidal Trust II — YieldMax PYPL Option Income Strategy ETF filed a Form NPORT-P for the period ended 30 April 2025.

The fund reported total assets of $50.32 million against liabilities of $0.42 million, producing net assets of $49.90 million. Cash and cash equivalents were $0.20 million, and the filing shows no borrowings, preferred stock, or controlled foreign corporation positions.

Recent performance was weak: the last three monthly total returns were -16.23 %, -5.44 % and +0.70 %. Equity option activity drove volatility, with realized losses of $6.11 million (Month 1) and $13.09 million (Month 3) and offsetting unrealized swings.

Risk metrics indicate modest interest-rate exposure concentrated in short maturities; a 1 bp move in 3-month rates alters portfolio value by $675 (DV01) and by $67.5 k for a 100 bp shift (DV100). Credit-spread sensitivity is similarly small, and the fund engaged in limited securities-lending activity with no non-cash collateral reported.

Form N-PORT-P snapshot for Tidal Trust II – YieldMax R2000 0DTE Covered Call Strategy ETF (Series ID S000090039) as of 30 April 2025.

Size & Capital Structure: The fund reports total assets of US$3.20 million, liabilities of US$1.05 million and net assets of US$2.15 million, implying a liability-to-asset ratio of roughly 33 %. No short- or long-term borrowings, preferred stock or delayed-delivery payables are outstanding, indicating an un-levered balance sheet. Cash and cash equivalents outside the portfolio amount to US$47.7 k.

Performance: Monthly total returns show -3.36 % (Month 2) and -6.40 % (Month 3); Month 1 data are not yet available, suggesting the ETF is in early launch phase. Derivative activity—principally equity options consistent with the fund’s 0-day-to-expiration covered-call strategy—drove results: Month 2 realised gains of US$30.2 k were more than offset by unrealised losses of US$114.6 k, while Month 3 recorded a sizeable realised loss of US$320.6 k but an unrealised gain of US$2.4 k. Non-derivative movements were immaterial (<US$30).

Risk & Exposure: Item B.3 credit spread, duration and other risk metrics were blank, indicating fixed-income exposure below the 25 % reporting threshold. Securities-lending disclosures list the Yes/No toggle but no quantitative data, implying no active lending or non-cash collateral at period-end.

Key takeaways for investors:

• Net assets remain modest at US$2.15 m, typical for a newly launched thematic ETF but limiting economies of scale.
• Returns over the last two reported months are negative, reflecting both market conditions and option-writing outcomes.
• Absence of leverage and negligible borrowings reduce counter-party and financing risk.
• Large realised option loss in Month 3 (≈15 % of net assets) highlights strategy volatility and the importance of close monitoring.

Tidal Trust II – YieldMax Semiconductor Portfolio Option Income ETF filed its monthly Form N-PORT (as of 30 Apr 2025, fiscal year-end 31 Jul 2025). The report shows a small, unlevered portfolio with total assets of $3.73 million, liabilities of $106.8 thousand, and net assets of $3.62 million. Cash and cash equivalents not otherwise disclosed total $6.4 thousand, indicating the fund is substantially invested.

The fund recorded a -1.95 % total return for April (Month 3 of the period), its only reported monthly figure in the filing. Options activity was the dominant driver of performance: equity-option derivatives generated a $38.5 k realized gain offset by a $30.3 k unrealized loss, resulting in a net positive impact of roughly $8.2 k. Non-derivative investments showed a comparatively small -$2.7 k realized loss and a $3.2 k unrealized gain, nearly netting to zero. No borrowings, preferred stock, or delayed-delivery payables were reported, underscoring the absence of leverage and counterparty funding risk.

Key operational data remain sparse: the filing does not disclose securities-lending collateral details, flow information on share sales/redemptions, nor credit spread risk metrics due to inapplicability. With net assets under $4 million and limited historical return data, the information is unlikely to materially influence QQQY’s valuation but provides investors a snapshot of balance-sheet health, early performance, and risk posture.

Tidal Trust II – YieldMax NFLX Option Income Strategy ETF (symbol QQQY) filed its April 30, 2025 Form N-PORT. The fund reported total assets of $134.64 million and net assets of $132.66 million, implying modest leverage with liabilities of only $1.97 million (≈1.5 % of assets).

Recent performance has been volatile: monthly total returns were -0.11 %, -3.50 %, and +16.28 % over the past three months. Options on equities drive results, generating realized gains of $12.96 million in Month 1 and a realized loss of $15.49 million in Month 3, offset by large swings in unrealized appreciation. Interest-rate DV01 exposure is low relative to assets (3-month DV01 $1.64 k), indicating limited fixed-income sensitivity. Cash and equivalents totaled $0.16 million. No borrowings, preferred stock, or controlled foreign corporations are reported, and securities-lending collateral is exclusively cash.

Form NPORT-P filed for Tidal Trust II – YieldMax Nasdaq 100 0DTE Covered Call Strategy ETF (metadata symbol: QQQY) provides a snapshot of the fund’s financial position and recent performance as of 30 April 2025.

Balance-sheet highlights: total assets of $5.97 million versus liabilities of just $4.8 thousand leave net assets at $5.96 million. Cash & cash equivalents account for $71.9 thousand. The filing shows no borrowings, preferred stock, or payables on delayed-delivery commitments, signalling a clean capital structure with minimal leverage exposure.

Performance and flows: the ETF reported three consecutive negative monthly total returns: -2.98 % (Month 1), -6.60 % (Month 2) and -7.05 % (Month 3). Derivative activity—primarily equity options—drove volatility: Month 1 produced a realized gain of $30.1 k but an unrealized loss of $163.1 k; Month 2 recorded a realized loss of $31.3 k and unrealized loss of $338.8 k; Month 3 showed a sizable realized loss of $573.3 k partially offset by an unrealized gain of $124.5 k. Non-derivative investments contributed immaterial gains or losses.

Risk metrics & financing: the fund did not disclose credit-spread, interest-rate or other portfolio-level risk statistics, suggesting debt securities exposure was below the 25 % reporting threshold. Securities-lending activity was noted, but no detail on borrowers or collateral was provided. The absence of bank lines, swaps, or other leverage instruments limits financing risk.

Key takeaways for investors: the ETF remains small with less than $6 million in assets and faces near-term headwinds from option strategy losses that have driven three straight negative monthly returns. However, the low liability profile and ample cash cushion help preserve liquidity.

Tidal Trust II – YieldMax MSFT Option Income Strategy ETF (symbol: QQQY) filed its monthly Form N-PORT for the period ended 30 April 2025.

• Net assets: $107.79 million, derived from total assets of $110.20 million and liabilities of $2.42 million.
• Liquidity & leverage: Cash and cash equivalents were modest at $47.97 thousand. The fund reported no borrowings, preferred stock, or delayed-delivery payables, indicating minimal balance-sheet leverage.
• Performance: Monthly total returns were -2.99 % (Feb), -3.26 % (Mar) and +4.53 % (Apr), showing a rebound after two months of declines.
• Derivatives activity (options on equities): Realized and unrealized results were highly volatile. For April (Month 3) the fund booked a realized loss of $13.49 million but an unrealized gain of $17.80 million, highlighting significant mark-to-market swings inherent in the option-income strategy.
• Risk metrics: Interest-rate DV01 exposure is negligible relative to assets (3-month DV01 ≈ $2.17 thousand), reflecting the equity-option focus. Credit-spread sensitivity is similarly low.
• Securities lending: Counterparties did not provide non-cash collateral, suggesting limited lending activity.

Overall, the filing confirms a modest-sized, un-levered ETF with option-driven income that experienced marked performance volatility over the latest quarter.