Security

Shares

Value

Aerospace & Defense — 2.5%

Boeing Co.

27,232

$

2,147,243

Honeywell International, Inc.

64,761

2,648,725

Northrop Grumman Corp.

26,780

1,822,915

Rockwell Collins, Inc.

7,248

397,480

United Technologies Corp.

82,514

5,227,262

$

12,243,625

Air Freight & Logistics — 0.5%

United Parcel Service, Inc., Class B

36,301

2,611,494

$

2,611,494

Airlines — 0.4%

Southwest Airlines Co.

122,034

2,033,086

$

2,033,086

Auto Components — 0.4%

BorgWarner, Inc.

16,316

932,786

Johnson Controls, Inc.

13,713

983,771

$

1,916,557

Beverages — 3.1%

Anheuser-Busch Companies, Inc.

79,253

3,765,310

Coca-Cola Co.

130,353

5,824,172

PepsiCo, Inc.

82,053

5,354,779

$

14,944,261

Biotechnology — 1.3%

Amgen, Inc. (1)

64,255

4,596,160

Biogen Idec, Inc. (1)

35,276

1,576,132

CV Therapeutics, Inc. (1)

10,306

114,809

$

6,287,101

Capital Markets — 4.2%

Amvescap PLC

54,842

1,202,137

Bank of New York Co., Inc.

99,510

3,508,723

Credit Suisse Group

21,404

1,240,362

Federated Investors, Inc.

32,602

1,102,274

Franklin Resources, Inc.

31,557

3,337,153

Goldman Sachs Group, Inc.

1,605

271,518

Lehman Brothers Holdings, Inc.

52,278

3,861,253

Merrill Lynch & Co., Inc.

31,837

2,490,290

Morgan Stanley

49,306

3,594,900

$

20,608,610

Chemicals — 1.2%

Ashland, Inc.

6,811

$

434,406

E.I. du Pont de Nemours and Co.

77,067

3,301,550

Eastman Chemical Co.

31,031

1,676,295

Rohm and Haas Co.

7,911

374,586

$

5,786,837

Commercial Banks — 3.4%

Comerica, Inc.

6,819

388,138

Compass Bancshares, Inc.

5,081

289,515

First Horizon National Corp.

5,141

195,409

Huntington Bancshares, Inc.

9,423

225,492

Marshall & Ilsley Corp.

8,458

407,506

National City Corp.

89,918

3,290,999

North Fork Bancorp, Inc.

76,283

2,184,745

Popular, Inc.

40,676

790,741

Wachovia Corp.

105,100

5,864,580

Wells Fargo & Co.

82,804

2,995,849

$

16,632,974

Commercial Services & Supplies — 1.4%

Acco Brands Corp. (1)

4,260

94,828

Avery Dennison Corp.

13,376

804,834

Cintas Corp.

28,120

1,148,140

R.R. Donnelley & Sons Co.

57,895

1,908,219

Waste Management, Inc.

82,541

3,027,604

$

6,983,625

Communications Equipment — 4.1%

Cisco Systems, Inc. (1)

343,090

7,891,070

Corning, Inc. (1)

112,580

2,748,078

Harris Corp.

30,013

1,335,278

Motorola, Inc.

116,382

2,909,550

Nokia Oyj

48,082

946,735

QUALCOMM, Inc.

90,295

3,282,223

Research in Motion, Ltd. (1)

7,438

763,585

Tellabs ,Inc. (1)

17,778

194,847

$

20,071,366

Computer Peripherals — 3.0%

Hewlett-Packard Co.

84,861

3,113,550

International Business Machines Corp.

92,742

7,599,280

Network Appliance, Inc. (1)

30,962

1,145,904

Palm, Inc. (1)

18,656

271,631

Seagate Technology (1)

66,365

1,532,368

Synaptics, Inc. (1)

45,657

1,112,661

$

14,775,394

Construction & Engineering — 0.1%

Fluor Corp.

8,580

$

659,716

$

659,716

Construction Materials — 0.1%

Vulcan Materials Co.

4,180

327,085

$

327,085

Consumer Finance — 0.6%

American Express Co.

47,841

2,682,923

$

2,682,923

Containers & Packaging — 0.2%

Bemis Co., Inc.

8,256

271,292

Temple-Inland, Inc.

20,807

834,361

$

1,105,653

Distributors — 0.1%

Genuine Parts Co.

7,145

308,164

$

308,164

Diversified Consumer Services — 0.3%

H&R Block, Inc.

58,152

1,264,224

$

1,264,224

Diversified Financial Services — 6.7%

Bank of America Corp.

239,960

12,854,657

Citigroup, Inc.

254,762

12,654,029

JPMorgan Chase & Co.

144,915

6,805,208

$

32,313,894

Diversified Telecommunication Services — 3.3%

AT&T, Inc.

179,156

5,833,319

BellSouth Corp.

8,629

368,890

Citizens Communications Co.

161,433

2,266,519

Verizon Communications, Inc.

183,898

6,828,133

Windstream Corp.

51,066

673,561

$

15,970,422

Electric Utilities — 0.9%

PPL Corp.

46,448

1,528,139

Progress Energy, Inc.

67,182

3,048,719

$

4,576,858

Electrical Equipment — 0.7%

Emerson Electric Co.

38,120

3,196,743

$

3,196,743

Energy Equipment & Services — 1.6%

BJ Services Co.

14,015

422,272

Diamond Offshore Drilling, Inc.

17,338

1,254,751

Halliburton Co.

105,772

$

3,009,213

Noble Corp.

34,571

2,218,767

Schlumberger, Ltd.

13,209

819,354

$

7,724,357

Food & Staples Retailing — 2.1%

CVS Corp.

68,200

2,190,584

SUPERVALU, Inc.

6,564

194,623

Wal-Mart Stores, Inc.

153,270

7,559,276

$

9,944,483

Food Products — 0.3%

ConAgra Foods, Inc.

27,892

682,796

Kellogg Co.

10,675

528,626

$

1,211,422

Gas Utilities — 0.2%

Nicor, Inc.

16,441

703,017

Peoples Energy Corp.

5,183

210,689

$

913,706

Health Care Equipment & Supplies — 1.2%

Baxter International, Inc.

61,429

2,792,562

Medtronic ,Inc.

65,992

3,064,668

$

5,857,230

Health Care Providers & Services — 2.8%

AmerisourceBergen Corp.

8,636

390,347

Genesis HealthCare Corp. (1)

9,286

442,292

Humana, Inc. (1)

14,697

971,325

Laboratory Corporation of America Holdings (1)

22,885

1,500,569

Manor Care, Inc.

20,903

1,092,809

McKesson Corp.

53,241

2,806,866

Omnicare, Inc.

21,501

926,478

Quest Diagnostics, Inc.

9,219

563,834

UnitedHealth Group, Inc.

61,522

3,026,882

WellPoint, Inc. (1)

25,106

1,934,417

$

13,655,819

Hotels, Restaurants & Leisure — 1.6%

Carnival Corp.

38,610

1,815,828

Darden Restaurants, Inc.

32,472

1,379,086

Harrah’s Entertainment, Inc.

25,739

1,709,842

International Game Technology

16,121

669,022

Starwood Hotels & Resorts Worldwide, Inc.

20,021

1,145,001

Yum! Brands, Inc.

19,547

1,017,421

$

7,736,200

Household Durables — 0.6%

Fortune Brands, Inc.

18,128

$

1,361,594

Garmin, Ltd.

15,596

760,773

Whirlpool Corp.

6,813

573,041

$

2,695,408

Household Products — 2.0%

Procter & Gamble Co.

158,855

9,845,833

$

9,845,833

Independent Power Producers & Energy Traders — 0.4%

TXU Corp.

28,608

1,788,572

$

1,788,572

Industrial Conglomerates — 3.6%

General Electric Co.

494,970

17,472,441

$

17,472,441

Insurance — 5.4%

ACE, Ltd.

2,587

141,587

Allstate Corp.

66,029

4,141,999

American International Group, Inc.

108,336

7,178,343

AON Corp.

12,982

439,700

Lincoln National Corp.

7,151

443,934

Marsh & McLennan Cos., Inc.

101,972

2,870,512

MetLife, Inc.

68,155

3,863,025

PartnerRe, Ltd.

23,326

1,576,138

Prudential Financial, Inc.

51,953

3,961,416

St. Paul Travelers Cos., Inc.

37,065

1,737,978

$

26,354,632

Internet Software & Services — 1.2%

Google, Inc., Class A (1)

11,743

4,719,512

VeriSign, Inc. (1)

60,533

1,222,767

$

5,942,279

IT Services — 1.3%

Automatic Data Processing, Inc.

37,355

1,768,386

CheckFree Corp. (1)

23,654

977,383

Cognizant Technology Solutions Corp., Class A (1)

11,841

876,944

Euronet Worldwide, Inc. (1)

7,444

182,750

MoneyGram International, Inc.

22,219

645,684

Paychex, Inc.

46,213

1,702,949

Unisys Corp. (1)

33,075

187,205

$

6,341,301

Life Sciences Tools & Services — 0.4%

Applera Corp.-Applied Biosystems Group

23,709

785,005

Fisher Scientific International, Inc. (1)

12,780

999,907

$

1,784,912

Machinery — 1.7%

Deere & Co.

37,296

$

3,129,507

Eaton Corp.

37,227

2,563,079

Navistar International Corp. (1)

22,506

581,105

Parker Hannifin Corp.

18,645

1,449,276

Trinity Industries, Inc.

14,353

461,736

$

8,184,703

Media — 3.2%

CBS Corp., Class B

24,994

704,081

Comcast Corp., Class A (1)

50,092

1,845,890

Cox Radio, Inc., Class A (1)

8,581

131,718

Dow Jones & Co., Inc.

64,330

2,157,628

Interpublic Group of Companies, Inc. (1)

62,468

618,433

Meredith Corp.

4,689

231,308

Time Warner, Inc.

256,667

4,679,039

Walt Disney Co.

163,975

5,068,467

$

15,436,564

Metals & Mining — 1.2%

Alcan, Inc.

19,051

759,563

Alcoa, Inc.

36,102

1,012,300

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

35,486

1,889,984

Nucor Corp.

46,242

2,288,517

$

5,950,364

Multiline Retail — 1.5%

Big Lots, Inc. (1)

46,681

924,751

Dollar General Corp.

92,485

1,260,571

Federated Department Stores, Inc.

26,215

1,132,750

Nordstrom, Inc.

53,995

2,283,989

Saks, Inc.

30,588

528,561

Sears Holdings Corp. (1)

7,626

1,205,594

$

7,336,216

Multi-Utilities — 2.2%

Ameren Corp.

53,360

2,816,874

CenterPoint Energy, Inc.

17,504

250,657

Consolidated Edison, Inc.

18,179

839,870

DTE Energy Co.

4,649

192,980

NiSource, Inc.

111,431

2,422,510

NorthWestern Corp.

25,000

874,500

Public Service Enterprise Group, Inc.

48,830

2,987,908

TECO Energy, Inc.

13,039

204,060

Xcel Energy, Inc.

12,009

247,986

$

10,837,345

Oil, Gas & Consumable Fuels — 8.1%

Chevron Corp.

130,448

$

8,460,857

ConocoPhillips

97,298

5,792,150

El Paso Corp.

26,406

360,178

EOG Resources, Inc.

32,118

2,089,276

Exxon Mobil Corp.

273,409

18,345,744

Parallel Petroleum Corp. (1)

15,000

300,900

Peabody Energy Corp.

8,828

324,694

Valero Energy Corp.

30,355

1,562,372

Williams Cos., Inc.

96,877

2,312,454

$

39,548,625

Paper and Forest Products — 0.2%

MeadWestvaco Corp.

33,483

887,634

$

887,634

Personal Products — 0.1%

Alberto-Culver Co.

4,761

240,859

Estee Lauder Cos., Inc., Class A

8,436

340,224

$

581,083

Pharmaceuticals — 6.8%

Abbott Laboratories

83,874

4,072,921

Bristol-Myers Squibb Co.

176,539

4,399,352

Eli Lilly & Co.

55,212

3,147,084

Johnson & Johnson Co.

123,184

7,999,569

Merck & Co., Inc.

82,376

3,451,554

Pfizer, Inc.

206,384

5,853,050

Wyeth

82,703

4,204,621

$

33,128,151

Real Estate Investment Trusts (REITs) — 0.9%

Host Hotels & Resorts, Inc.

10,658

244,388

Plum Creek Timber Co., Inc.

15,428

525,169

Simon Property Group, Inc.

37,495

3,397,797

$

4,167,354

Road & Rail — 0.1%

Norfolk Southern Corp.

5,596

246,504

Union Pacific Corp.

3,044

267,872

$

514,376

Semiconductors & Semiconductor Equipment — 2.6%

Advanced Micro Devices, Inc. (1)

26,547

659,693

Analog Devices, Inc.

44,223

1,299,714

Applied Materials, Inc.

128,413

2,276,763

Broadcom Corp., Class A (1)

31,044

941,875

Intel Corp.

113,496

2,334,613

Intersil Corp., Class A

51,768

1,270,904

KLA-Tencor Corp.

32,861

$

1,461,329

Novellus Systems, Inc. (1)

41,395

1,144,986

PMC-Sierra, Inc. (1)

68,167

404,912

Teradyne, Inc. (1)

77,277

1,016,965

$

12,811,754

Software — 3.4%

Adobe Systems, Inc. (1)

32,525

1,218,061

Microsoft Corp.

450,576

12,314,242

Oracle Corp. (1)

162,224

2,877,854

Quest Software, Inc. (1)

17,700

252,756

$

16,662,913

Specialty Retail — 1.7%

Best Buy Co., Inc.

15,110

809,292

Home Depot, Inc.

123,241

4,469,951

Men’s Wearhouse, Inc.

19,093

710,451

Office Depot, Inc. (1)

12,839

509,708

Sherwin-Williams Co.

22,742

1,268,549

Tiffany & Co.

14,641

486,081

$

8,254,032

Textiles, Apparel & Luxury Goods — 0.8%

NIKE, Inc., Class B

36,327

3,182,972

Polo Ralph Lauren Corp.

9,575

619,407

$

3,802,379

Thrifts & Mortgage Finance — 0.9%

Commercial Capital Bancorp

12,562

200,238

Countrywide Financial Corp.

42,615

1,493,230

MGIC Investment Corp.

30,567

1,833,103

PFF Bancorp, Inc.

7,488

277,356

Sovereign Bancorp, Inc.

5,380

115,724

Washington Mutual, Inc.

5,727

248,953

$

4,168,604

Tobacco — 2.3%

Altria Group, Inc.

97,480

7,462,094

Reynolds American, Inc.

27,124

1,680,874

UST, Inc.

32,881

1,802,865

$

10,945,833

Wireless Telecommunication Services — 0.7%

Alltel Corp.

49,391

$

2,741,201

NII Holdings, Inc., Class B (1)

10,118

628,935

$

3,370,136

Total Common Stocks
(identified cost $428,948,752)

$

493,157,273

Total Investments — 101.6%
(identified cost $428,948,752)

$

493,157,273

Number of

Premium

Contracts

Received

Value

S & P 500 Index, Expires 10/21/06, Strike 1,315.00

640

$

1,086,720

$

(2,118,400

)

S & P 500 Index, Expires 10/21/06, Strike 1,320.00

1,162

1,963,956

(2,997,960

)

S & P 500 Index, Expires 10/21/06, Strike 1,325.00

1,835

2,724,078

(4,055,350

)

Total Call Options Written
(premiums received $5,774,754)

$

(9,171,710

)

Other Assets, Less Liabilities — 0.3%

$

1,329,976

Net Assets — 100.0%

$

485,315,539

(1)

Non-income producing security.

Number of
Contracts

Premiums
Received

Outstanding, beginning of period

3,813

$

6,086,874

Options written

33,250

50,662,036

Options terminated in closing purchase transactions

(33,426

)

(50,974,156

)

Outstanding, end of period

3,637

$

5,774,754

By:

/s/ Duncan W. Richardson

Duncan W. Richardson

President and Principal Executive Officer

Date:

November 22, 2006

By:

/s/ Duncan W. Richardson

Duncan W. Richardson

President and Principal Executive Officer

Date:

November 22, 2006

By:

/s/ Barbara E. Campbell

Barbara E. Campbell

Treasurer and Principal Financial Officer

Date:

November 22, 2006