GRAYSCALE FUNDS TRUST NOTES TO FINANCIAL STATEMENTS June 30, 2025 (Unaudited) (Continued)
When the Fund purchases an option, the premium paid by it is recorded as an asset of the Fund. When the Fund writes an option, an amount equal to the net premium (the premium less the commission) received by the Fund is included in the liability section of the Fund’s statement of assets and liabilities as a deferred credit. The amount of this asset or deferred credit will be subsequently marked-to-market to reflect the current value of the option purchased or written. The current value of the traded option is the last sale price or, in the absence of a sale, the current bid price. If an option purchased by the Fund expires unexercised, the Fund realizes a loss equal to the premium paid. The Bitcoin Covered Call ETF and Bitcoin Premium Income ETF invest in traditional exchange-traded options contracts. The following tables represent a summary of the value of derivative instruments as of June 30, 2025 and the effect of derivative instruments on the Statement of Assets and Liabilities as of June 30, 2025: Bitcoin Covered Call ETF Statement of Assets and Liabilities - Values of Derivative Instruments as of June 30, 2025
Asset Derivatives
Liability Derivatives
Derivatives not Accounted for as Hedging Instruments
Location
Value
Location
Value
Interest Rate Contracts - Options . . . . . . . Written option contracts, at value $114,760 The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2025 is as follows: Investments, at value $1,389,200
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not Accounted for as Hedging Instruments
Derivatives
Interest Rate Contracts - Options . . . . . . .
Interest Rate Contracts - Options
$37,303 ($38,937) The average monthly values of purchased and written options during the period ended June 30, 2025 in the Bitcoin Covered Call ETF were $1,291,945 and $(214,928), respectively. Bitcoin Premium Income ETF Statement of Assets and Liabilities - Values of Derivative Instruments as of June 30, 2025
Asset Derivatives
Liability Derivatives
Derivatives not Accounted for as Hedging Instruments
Location
Value
Location
Value
Interest Rate Contracts - Options . . . . . . . Written option contracts, at value $8,855 The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2025 is as follows: Investments, at value $612,260
Change in Unrealized Appreciation on Derivatives Recognized in Income
Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not Accounted for as Hedging Instruments
Derivatives
Interest Rate Contracts - Options . . . . . . .
Interest Rate Contracts - Options
$1,686 $8,398 The average monthly values of purchased and written options during the period ended June 30, 2025 in the Bitcoin Premium Income ETF were $808,383 and $(36,855), respectively.
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