UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

811-22380

(Exact Name of Registrant as Specified in Charter)

(Address of Principal Executive Offices)

Maureen A. Gemma
(Name and Address of Agent for Services)

(617) 482-8260

December 31

September 30, 2011

 

 

Item 1. Schedule of Investments

Eaton Vance
Tax-Advantaged Bond and Option Strategies Fund
September 30, 2011

 

PORTFOLIO OF INVESTMENTS (Unaudited)

 

Tax-Exempt Municipal Securities — 77.2%

 

 

1

 

Call Options Purchased — 0.1%

 

 

Put Options Purchased — 0.9%

 

 

2

 

Short-Term Investments — 30.2%

 

Tax-Exempt Municipal Securities — 4.0%

 

 

U.S. Treasury Obligations — 5.2%

 

 

Other Securities — 21.0%

 

 

Call Options Written — (0.4)%

 

 

3

 

Put Options Written — (2.0)%

 

 

 

The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2011, as determined on a federal income tax basis, were as follows:

 

Aggregate cost		$	202,357,471
Gross unrealized appreciation		$	6,581,658
Gross unrealized depreciation			(1,480,507	)
Net unrealized appreciation		$	5,101,151

 

4

Written call and put options activity for the fiscal year to date ended September 30, 2011 was as follows:

 

		Number of				Premiums
		Contracts				Received
Outstanding, beginning of period			6,402			$	3,679,826
Options written			60,182				44,617,228
Options terminated in closing purchase transactions			(11,912	)			(7,646,693	)
Options expired			(47,886	)			(33,071,684	)
Outstanding, end of period			6,786			$	7,578,677

 

At September 30, 2011, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

 

The Fund is subject to equity price risk in the normal course of pursuing its investments objectives. The Fund enters into a series of S&P 500 written call and put option spread transactions to enhance return while limiting any potential loss. A written call option spread on a stock index consists of selling call options on the index and buying an equal number of call options on the same index and with the same expiration, but with a higher exercise price. A written put option spread on a stock index consists of selling put options on an index and buying an equal number of put options on the same index and with the same expiration, but with a lower exercise price. Any net premiums received are reduced by the premiums paid on the purchased options. The risk of loss if written options expire in the money is limited to the difference in exercise price of the written and purchased option positions. The Fund’s use of option spreads rather than stand alone options, staggering roll dates across the option position portfolio, and utilizing exchange-traded options guaranteed by the Options Clearing Corporation, a market clearinghouse, serve to mitigate risk in its option strategy.

 

At September 30, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is equity price risk was $1,946,153 and $4,739,412, respectively.

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

At September 30, 2011, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description		Level 1				Level 2				Level 3				Total
Tax-Exempt Municipal Securities		$	—			$	147,735,929			$	—			$	147,735,929
Call Options Purchased			55,770				82,358				—				138,128
Put Options Purchased			152,295				1,655,730				—				1,808,025
Short-Term Investments —
Tax-Exempt Municipal Securities			—				7,658,325				—				7,658,325
U.S. Treasury Obligations			—				9,997,404				—				9,997,404
Other Securities			—				40,120,811				—				40,120,811
Total Investments		$	208,065			$	207,250,557			$	—			$	207,458,622
Liability Description
Call Options Written		$	(281,710	)		$	(553,116	)		$	—			$	(834,826	)
Put Options Written			—				(3,904,586	)			—				(3,904,586	)
Total		$	(281,710	)		$	(4,457,702	)		$	—			$	(4,739,412	)

 

5

The Fund held no investments or other financial instruments as of December 31, 2010 whose fair value was determined using Level 3 inputs. At September 30, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

 

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

6

Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Date: November 23, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Date: November 23, 2011

Date: November 23, 2011