Security

Shares

Value

Aerospace & Defense — 1.5%

General Dynamics Corp.

54,228

$

4,143,019

Honeywell International, Inc.

153,464

7,068,552

Northrop Grumman Corp.

87,518

6,495,586

$

17,707,157

Air Freight & Logistics — 0.6%

FedEx Corp.

66,217

$

7,113,692

$

7,113,692

Auto Components — 0.4%

Johnson Controls, Inc.

54,584

$

5,164,738

$

5,164,738

Beverages — 1.2%

Brown-Forman Corp., Class B

10,403

$

682,021

Coca-Cola Co.

117,208

5,625,984

PepsiCo, Inc.

119,822

7,615,886

$

13,923,891

Biotechnology — 4.4%

Amgen, Inc. (1)

355,963

$

19,891,212

Biogen Idec, Inc. (1)

156,386

6,940,411

BioMarin Pharmaceutical, Inc. (1)

33,661

580,989

CV Therapeutics, Inc. (1)

87,952

692,182

Enzon Pharmaceuticals, Inc. (1)

85,000

692,750

Genzyme Corp. (1)

101,950

6,119,039

Gilead Sciences, Inc. (1)

213,291

16,316,762

LifeCell Corp. (1)

27,297

681,606

Martek Biosciences Corp. (1)

20,000

412,400

Regeneron Pharmaceuticals, Inc. (1)

50,714

1,096,437

$

53,423,788

Building Products — 0.1%

Masco Corp.

40,000

$

1,096,000

$

1,096,000

Capital Markets — 2.4%

Amvescap PLC

80,706

$

1,783,603

Bank of New York Co., Inc.

228,487

9,265,148

Charles Schwab Corp.

97,584

1,784,811

Federated Investors, Inc., Class B

17,577

645,427

Franklin Resources, Inc.

73,904

8,929,820

Goldman Sachs Group, Inc.

26,059

5,384,571

T. Rowe Price Group, Inc.

21,876

1,032,328

$

28,825,708

Chemicals — 1.5%

Dow Chemical Co.

137,985

$

6,327,992

Du Pont E.I. de Nemours Co.

14,281

705,910

Eastman Chemical Co.

33,114

2,097,110

Monsanto Co.

155,450

8,543,532

Rohm & Haas Co.

14,250

737,010

$

18,411,554

Commercial Banks — 2.2%

Comerica, Inc.

9,100

$

537,992

Compass Bancshares, Inc.

11,751

808,469

First Horizon National Corp.

32,450

1,347,649

Huntington Bancshares, Inc.

21,800

476,330

Marshall & Ilsley Corp.

42,370

1,962,155

National City Corp.

208,604

7,770,499

Popular, Inc.

44,871

743,064

Regions Financial Corp.

76,138

2,693,001

Synovus Financial Corp.

18,347

593,342

Wells Fargo & Co.

288,882

9,946,207

$

26,878,708

Commercial Services & Supplies — 1.2%

ACCO Brands Corp. (1)

11,126

$

268,025

Avery Dennison Corp.

9,865

633,925

Cintas Corp.

213,538

7,708,722

Donnelley (R.R) & Sons Co.

85,009

3,110,479

Equifax, Inc.

17,858

650,924

Half (Robert) International, Inc.

15,046

556,853

Pitney Bowes, Inc.

21,262

965,082

$

13,894,010

Communications Equipment — 6.5%

Ciena Corp. (1)

21,580

$

603,161

Cisco Systems, Inc. (1)

1,049,300

26,788,629

Corning, Inc. (1)

173,033

3,934,770

Motorola, Inc.

249,211

4,403,558

Nokia Oyj ADR

14,245

326,495

QUALCOMM, Inc.

861,389

36,746,855

Research in Motion, Ltd. (1)

38,728

5,285,985

$

78,089,453

Computer Peripherals — 6.2%

Apple Computer, Inc. (1)

429,908

$

39,942,752

Brocade Communications Systems, Inc. (1)

98,179

934,664

Dell, Inc. (1)

376,767

8,744,762

Hewlett-Packard Co.

90,000

3,612,600

International Business Machines Corp.

84,281

7,944,327

Network Appliance, Inc. (1)

196,068

$

7,160,403

Palm, Inc. (1)

183,682

3,330,155

Seagate Technology

110,461

2,573,741

$

74,243,404

Construction & Engineering — 0.1%

Fluor Corp.

9,092

$

815,734

$

815,734

Consumer Finance — 0.4%

Capital One Financial Corp.

60,518

$

4,566,688

$

4,566,688

Containers & Packaging — 0.2%

Bemis Co., Inc.

19,722

$

658,518

Temple-Inland, Inc.

33,131

1,979,246

$

2,637,764

Distributors — 0.1%

Genuine Parts Co.

12,694

$

622,006

$

622,006

Diversified Consumer Services — 0.2%

H&R Block, Inc.

109,446

$

2,302,744

$

2,302,744

Diversified Financial Services — 3.9%

Bank of America Corp.

328,964

$

16,783,743

Chicago Mercantile Exchange Holdings, Inc.

2,000

1,064,920

CIT Group Inc.

12,621

667,903

Citigroup, Inc.

377,766

19,394,506

JPMorgan Chase & Co.

141,291

6,835,659

Moody’s Corp.

26,753

1,660,291

$

46,407,022

Diversified Telecommunication Services — 2.1%

AT&T Corp.

233,372

$

9,201,858

Citizens Communications Co.

425,089

6,355,081

Verizon Communications, Inc.

251,832

9,549,469

$

25,106,408

Electric Utilities — 0.7%

Duke Energy Corp.

294,363

$

5,972,625

PPL Corp.

59,438

2,431,014

$

8,403,639

Electrical Equipment — 0.5%

Cooper Industries, Ltd., Class A

30,288

$

1,362,657

Emerson Electric Co.

119,418

5,145,722

$

6,508,379

Electronic Equipment & Instruments — 0.2%

Agilent Technologies, Inc. (1)

80,301

$

2,705,341

$

2,705,341

Energy Equipment & Services — 1.0%

Diamond Offshore Drilling, Inc.

41,269

$

3,340,726

Halliburton Co.

247,660

7,860,728

Transocean, Inc. (1)

11,652

951,968

$

12,153,422

Food & Staples Retailing — 2.8%

CVS Corp.

378,657

$

12,927,350

Safeway, Inc.

182,171

6,674,745

SUPERVALU, Inc.

15,863

619,767

Wal-Mart Stores, Inc.

281,358

13,209,758

$

33,431,620

Food Products — 0.7%

Campbell Soup Co.

16,880

$

657,476

ConAgra Foods, Inc.

156,193

3,890,768

H.J. Heinz Co.

18,409

867,432

Hershey Co.

10,759

588,087

McCormick & Co., Inc.

15,743

606,420

Sara Lee Corp.

140,854

2,383,250

$

8,993,433

Gas Utilities — 0.1%

Nicor, Inc.

28,999

$

1,404,132

$

1,404,132

Health Care Equipment & Supplies — 1.5%

Baxter International, Inc.

53,182

$

2,801,096

Becton, Dickinson and Co.

9,808

754,137

C.R. Bard, Inc.

8,005

636,478

Cooper Cos., Inc.

2,438

118,536

Hospira, Inc. (1)

13,496

551,986

Intuitive Surgical, Inc. (1)

13,918

1,692,011

Medtronic, Inc.

115,235

5,653,429

Stryker Corp.

66,366

4,401,393

Zimmer Holdings, Inc. (1)

11,520

983,923

$

17,592,989

Health Care Providers & Services — 1.4%

Genesis HealthCare Corp. (1)

30,003

$

1,893,489

Humana, Inc. (1)

24,940

1,447,019

Manor Care, Inc.

34,326

1,865,961

McKesson Corp.

125,762

7,362,108

Omnicare, Inc.

14,000

556,780

Quest Diagnostics, Inc.

72,955

3,638,266

$

16,763,623

Hotels, Restaurants & Leisure — 1.8%

Carnival Corp.

19,600

$

918,456

Harrah’s Entertainment, Inc.

84,311

7,120,064

International Game Technology

18,708

755,429

McDonald’s Corp.

13,554

610,608

Starbucks Corp. (1)

308,379

9,670,765

Starwood Hotels & Resorts Worldwide, Inc.

32,575

2,112,489

Tim Hortons, Inc.

15,241

463,631

Wendy’s International Inc.

11,254

352,250

$

22,003,692

Household Durables — 1.0%

D.R. Horton, Inc.

62,229

$

1,369,038

Fortune Brands, Inc.

40,476

3,190,318

Garmin, Ltd.

90,000

4,873,500

Stanley Works

56,752

3,141,791

$

12,574,647

Household Products — 1.1%

Colgate-Palmolive Co.

7,774

$

519,226

Procter & Gamble Co.

200,625

12,671,475

$

13,190,701

Independent Power Producers & Energy Traders — 0.4%

TXU Corp.

79,912

$

5,122,359

$

5,122,359

Industrial Conglomerates — 2.6%

General Electric Co.

761,087

$

26,912,036

Textron Inc.

7,000

628,600

Tyco International, Ltd.

128,365

4,049,916

$

31,590,552

Insurance — 3.2%

ACE, Ltd.

68,766

$

3,923,788

American International Group, Inc.

156,261

10,503,864

AON Corp.

21,504

816,292

Arthur J. Gallagher & Co.

115,781

3,280,076

Cincinnati Financial Corp.

13,382

567,397

Lincoln National Corp.

20,282

1,374,917

Marsh & McLennan Cos., Inc.

110,850

3,246,797

Progressive Corp.

14,112

307,924

Prudential Financial, Inc.

44,972

4,059,173

RenaissanceRe Holdings, Ltd.

33,585

1,683,952

SAFECO Corp.

12,497

830,176

Travelers Cos., Inc.

139,548

7,224,400

W. R. Berkley Corp.

19,029

630,241

XL Capital Ltd., Class A

1,697

118,722

$

38,567,719

Internet & Catalog Retail — 0.7%

IAC/InterActiveCorp (1)

227,517

$

8,579,666

$

8,579,666

Internet Software & Services — 4.9%

eBay, Inc. (1)

414,488

$

13,740,277

Google, Inc., Class A (1)

70,553

32,324,563

Yahoo!, Inc. (1)

426,913

13,358,108

$

59,422,948

IT Services — 1.8%

Automatic Data Processing, Inc.

41,954

$

2,030,574

CheckFree Corp. (1)

91,365

3,388,728

Infosys Technologies, Ltd. ADR

73,468

3,691,767

MoneyGram International, Inc.

77,078

2,139,685

Paychex, Inc.

218,890

8,289,364

Satyam Computer Services, Ltd. ADR

106,132

2,409,196

$

21,949,314

Leisure Equipment & Products — 0.1%

Eastman Kodak Co.

19,707

$

444,590

Mattel, Inc.

29,756

820,373

$

1,264,963

Life Sciences Tools & Services — 0.2%

Millipore Corp. (1)

9,704

$

703,249

PerkinElmer, Inc.

28,152

681,841

Waters Corp. (1)

13,273

769,834

$

2,154,924

Machinery — 1.8%

Caterpillar, Inc.

110,370

$

7,398,101

Danaher Corp.

39,155

2,797,625

Deere & Co.

56,159

6,101,114

Eaton Corp.

58,699

4,904,888

$

21,201,728

Media — 5.1%

CBS Corp., Class B

66,548

$

2,035,703

Comcast Corp., Class A (1)

690,296

17,913,181

Dow Jones & Co., Inc.

21,109

727,627

Idearc, Inc.

12,591

441,944

Meredith Corp.

10,785

618,951

Omnicom Group, Inc.

40,734

4,170,347

Sirius Satellite Radio, Inc. (1)

728,642

2,331,654

Time Warner, Inc.

461,816

9,107,012

TiVo, Inc. (1)

326,806

2,075,218

Viacom, Inc., Class B (1)

62,696

2,577,433

Virgin Media, Inc.

244,993

$

6,186,073

Walt Disney Co.

368,043

12,671,721

$

60,856,864

Metals & Mining — 1.1%

Companhia Vale do Rio Doce ADR

30,000

$

1,109,700

Freeport-McMoRan Copper & Gold, Inc., Class B

116,752

7,727,815

Nucor Corp.

71,463

4,654,385

$

13,491,900

Multiline Retail — 1.5%

Dollar General Corp.

35,000

$

740,250

Federated Department Stores, Inc.

55,726

2,510,456

J.C. Penney Company, Inc.

18,426

1,513,880

Nordstrom, Inc.

87,000

4,605,780

Sears Holdings Corp. (1)

49,925

8,994,488

$

18,364,854

Multi-Utilities — 1.6%

Ameren Corp.

117,357

$

5,903,057

KeySpan Corp.

19,542

804,153

NiSource, Inc.

233,391

5,704,076

PG&E Corp.

6,785

327,512

Public Service Enterprise Group, Inc.

77,955

6,473,383

$

19,212,181

Office Electronics — 0.1%

Xerox Corp. (1)

98,889

$

1,670,235

$

1,670,235

Oil, Gas & Consumable Fuels — 4.8%

Chevron Corp.

71,781

$

5,308,923

ConocoPhillips

180,588

12,343,190

EOG Resources, Inc.

34,122

2,434,264

Exxon Mobil Corp.

364,919

27,533,139

Petrohawk Energy Corp. (1)

198,904

2,619,566

Sunoco Inc.

8,264

582,116

Valero Energy Corp.

11,660

751,953

Williams Cos., Inc.

218,252

6,211,452

$

57,784,603

Paper and Forest Products — 0.1%

MeadWestvaco Corp.

45,728

$

1,410,252

$

1,410,252

Pharmaceuticals — 4.7%

Abbott Laboratories

122,167

$

6,816,919

Allergan, Inc.

6,128

679,105

Bristol-Myers Squibb Co.

331,596

9,205,105

Eli Lilly & Co.

92,218

4,953,029

Endo Pharmaceuticals Holdings, Inc. (1)

31,975

$

940,065

Johnson & Johnson Co.

143,589

8,652,673

Merck & Co., Inc.

26,049

1,150,584

Mylan Laboratories, Inc.

27,473

580,779

Pfizer, Inc.

528,005

13,337,406

Valeant Pharmaceuticals International

64,803

1,120,444

Wyeth

178,308

8,920,749

$

56,356,858

Real Estate Investment Trusts (REITs) — 0.3%

Host Hotels & Resorts, Inc.

19,942

$

524,674

Plum Creek Timber Co., Inc.

14,401

567,687

Simon Property Group, Inc.

19,298

2,146,903

$

3,239,264

Road & Rail — 0.2%

CSX Corp.

24,910

$

997,646

Norfolk Southern Corp.

17,741

897,695

Ryder System, Inc.

10,708

528,333

$

2,423,674

Semiconductors & Semiconductor Equipment — 6.0%

Analog Devices, Inc.

144,139

$

4,971,354

Applied Materials, Inc.

669,505

12,265,332

ASML Holding N.V. (1)

49,041

1,213,765

Atheros Communications, Inc. (1)

76,210

1,823,705

Intel Corp.

787,756

15,069,772

Intersil Corp., Class A

53,271

1,411,149

LSI Logic Corp. (1)

140,907

1,471,069

Marvell Technology Group, Ltd. (1)

314,946

5,294,242

Maxim Integrated Products, Inc.

262,593

7,720,234

MEMC Electronic Materials, Inc. (1)

79,127

4,793,514

Micron Technology, Inc. (1)

125,916

1,521,065

National Semiconductor Corp.

106,880

2,580,083

NVIDIA Corp. (1)

205,118

5,903,296

PMC-Sierra, Inc. (1)

132,829

931,131

STMicroelectronics N.V.

85,975

1,650,720

Teradyne, Inc. (1)

127,301

2,105,559

Tessera Technologies, Inc. (1)

26,142

1,038,883

Verigy, Ltd. (1)

9,831

230,734

$

71,995,607

Software — 7.4%

Adobe Systems, Inc. (1)

255,331

$

10,647,303

BMC Software, Inc. (1)

15,015

462,312

Business Objects SA ADR (1)

42,163

1,525,879

Compuware Corp. (1)

87,217

827,689

Electronic Arts, Inc. (1)

68,702

3,459,833

i2 Technologies, Inc. (1)

88,398

$

2,121,552

Microsoft Corp.

1,623,438

45,245,217

NAVTEQ Corp. (1)

54,574

1,882,803

Oracle Corp. (1)

1,243,465

22,544,020

Wind River Systems, Inc. (1)

63,851

634,679

$

89,351,287

Specialty Retail — 2.1%

Bed Bath and Beyond, Inc. (1)

184,051

$

7,393,329

Best Buy Co., Inc.

87,871

4,281,075

Gap, Inc.

174,362

3,000,770

Lowe’s Companies, Inc.

169,876

5,349,395

Men’s Wearhouse, Inc.

32,380

1,523,479

Stein Mart, Inc.

23,963

391,076

Tiffany & Co.

16,186

736,139

TJX Companies, Inc.

84,338

2,273,753

$

24,949,016

Textiles, Apparel & Luxury Goods — 0.4%

Coach, Inc. (1)

22,579

$

1,130,079

Hanesbrands, Inc. (1)

17,606

517,440

NIKE, Inc., Class B

28,394

3,017,146

$

4,664,665

Tobacco — 1.2%

Altria Group, Inc.

102,975

$

9,042,235

Reynolds American, Inc.

71,312

4,450,582

UST, Inc.

23,549

1,365,371

$

14,858,188

Wireless Telecommunication Services — 0.8%

Alltel Corp.

87,000

$

5,394,000

NII Holdings, Inc. (1)

57,839

4,290,497

$

9,684,497

Total Common Stocks
(identified cost $1,058,374,676)

$ 

1,217,124,205

Total Investments — 101.1%
(identified cost $1,058,374,676)

$ 

1,217,124,205

Number of

Premium

Type of Contract

Contracts

Received

Value

Nasdaq 100 Index, Expires 4/21/07, Strike 1,770