MSTY ETF does not own MSTR: what the holdings show

The line in the prospectus

The MSTY ETF is sold as a way to collect income from MSTR. Its own page says the fund is designed to generate weekly income by selling call spreads on Strategy Inc [2]. So a reasonable person assumes the fund holds MSTR shares and sells calls against them. That is what a covered call is.

The prospectus says otherwise, in plain words. In a synthetic covered call strategy, the investor, meaning the fund, does not own the underlying security [1]. Instead it seeks to synthetically replicate 100% of the price movements of the underlying security through other instruments [1]. A traditional covered call, where the fund sells a call on a security it owns, is allowed too, but only to a lesser extent [1].

I read the holdings the way I read any receipt. Does the fund hold what the name implies, and if not, what does it hold?

What the holdings show

The fund page lists its top ten holdings as of September 2, 2026 [2]. The largest line is Cash & Other at 19.98% of net assets [2]. The second is a long call option on MSTR expiring in October 2026 with a $95 strike, 40,115 contracts, a market value of $130,774,900.00, and 14.28% of net assets [2].

After that come Treasuries. A bill maturing October 15, 2026 at 14.15%, a bill maturing February 18, 2027 at 14.06%, and a Treasury note maturing May 15, 2027 at 11.59% [2]. Then a second long MSTR call, expiring in September 2026 with a $100 strike, 32,250 contracts, at 9.10% [2]. Two more bills, a government money market fund, and a small September call with a $137 strike round out the ten [2].

No MSTR share line appears in the top ten. The fund’s exposure to the stock, as the page shows it, is two long call positions and a lot of Treasury paper. That is exactly what the prospectus described.

How the exposure is built

The prospectus lays out three elements. Direct or synthetic long exposure to the underlying security. Covered call writing against the synthetic long portion. And US Treasuries, used as collateral for the options, which generate income [1].

The synthetic long is the piece that stands in for the shares. The fund buys MSTR call options and sells MSTR put options at the same time, to try to replicate the stock’s price moves [1]. Those contracts generally run one month to six months, struck at about the share price at the time [1]. Together they give the fund exposure equal to approximately 100% of the underlying security for the life of the options [1].

The long calls in the holdings table are that leg. The sold puts are the other half of the same trade. The prospectus allows direct holding too: the fund may directly hold equity securities of the underlying security [1]. On the date the page shows, no such line reached the top ten.

Where the payment comes from

The income leg is the sold call. The written calls generally expire in one month or less, struck about 0% to 15% above the then-current share price [1]. The premium from those calls is what the fund harvests. It is sold against the synthetic long, not against shares.

So the weekly payment has two sources on the fund’s own description. Option premium from the calls it sells, and interest from the Treasuries it holds as collateral. The Treasuries in the holdings table are not idle cash. They are the collateral the options sit on, and the prospectus says they generate income [1].

What the payment is not is a dividend passed through from MSTR. There are no shares to receive one, and the page itself carries a disclaimer that Strategy Inc. does not select or approve the fund’s holdings and did not participate in the strategy’s design [2]. The fund is a set of contracts that reference the stock, held by a fund that the stock’s issuer has nothing to do with.

What that means for a holder

The synthetic structure does what the prospectus says. If the underlying security falls 5%, the fund should be expected to fall approximately 5% before fees, beyond the option premiums received [1]. Full downside, in other words. On the upside, the sold calls cap the gain past the strike, and the page says the strategy captures only a portion of its potential gains if MSTR rises [2].

Most of what comes out of that structure is not income in the tax sense: the distribution on August 26, 2026 was listed at 98.54% estimated return of capital [2]. The prospectus states the consequence. When the fund makes a distribution, its NAV will typically drop by the amount of the distribution on the ex-dividend date [1]. Repeated distributions may significantly erode NAV over time [1].

The MSTY distributions guide walks the weekly estimate, the audited tax character, and what NAV per share did in a fiscal year. The NAV erosion page covers the mechanism in that prospectus sentence. The ETF income calculator runs a position through the arithmetic.

The receipt

The MSTY ETF does not own MSTR. Its prospectus says so, and its holdings table as of September 2, 2026 shows long calls, Treasuries, and cash, with no share line in the top ten [2]. The exposure is synthetic: bought calls and sold puts that track the stock, with sold calls on top for premium and Treasury collateral underneath for interest [1].

That is not a hidden fact. It is in the prospectus’s strategy section and in the first column of the holdings table. The weekly payment comes from option premium and Treasury interest, paid out of a structure with full downside and capped upside, and most of the recent payment was estimated return of capital. Knowing what the fund holds is the first step to knowing what the payment is.