Edgar Filing: Eaton Vance Tax-Advantaged Bond & Option Strategies Fund

Eaton Vance Tax-Advantaged Bond and Option Strategies Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22380

Investment Company Act File Number

Eaton Vance Tax-Advantaged Bond and Option Strategies Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

December 31

Date of Fiscal Year End

September 30, 2015

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Tax-Advantaged Bond and Option Strategies Fund

September 30, 2015

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Municipal Securities — 89.9%


Security	Principal Amount (000’s omitted)		Value
Bond Bank — 2.5%
Vermont Municipal Bond Bank, 4.00%, 12/1/17⁽¹⁾	$	2,515	$	2,699,475
Vermont Municipal Bond Bank, 5.00%, 12/1/19		705		814,444

			$	3,513,919

Education — 3.3%
Massachusetts Development Finance Agency, (Harvard University), 5.00%, 10/15/20	$	2,000	$	2,361,500
University of Virginia, 5.00%, 8/1/21		2,000		2,401,300

			$	4,762,800

Electric Utilities — 4.3%
California Department of Water Resources, Power Supply Revenue, 5.00%, 5/1/22	$	5,000	$	6,063,350

			$	6,063,350

Escrowed/Prerefunded — 4.0%
Maryland, Prerefunded to 8/1/19, 5.00%, 8/1/20	$	5,000	$	5,734,800

			$	5,734,800

General Obligations — 47.8%
Arkansas, 5.00%, 6/15/21	$	5,000	$	5,953,650
Beaufort County, SC, School District, 5.00%, 3/1/19⁽¹⁾		5,370		6,098,870
Birdville, TX, Independent School District, (PSF Guaranteed), 0.00%, 2/15/19		635		610,883
California, 5.00%, 8/1/21		2,500		2,986,550
Florida Board of Education, Full Faith and Credit, Capital Outlay, 5.00%, 6/1/17		2,010		2,160,810
Florida Board of Education, Full Faith and Credit, Capital Outlay, 5.00%, 6/1/22		3,050		3,544,832
Georgia, 5.00%, 7/1/17		600		647,058
Georgia, 5.00%, 7/1/19		3,070		3,526,049
Hopkinton, MA, 4.00%, 7/15/16		240		246,698
Liberty Hill, TX, Independent School District, (PSF Guaranteed), 0.00%, 8/1/21		315		284,615
Maryland, 5.00%, 3/1/22		2,000		2,414,020
Massachusetts, 5.50%, 10/1/15		400		400,060
New Hampshire, 5.00%, 12/1/23		3,050		3,764,401
Northwest Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/18		1,445		1,414,352
Northwest Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/19		1,160		1,115,943
Pennsylvania Economic Development Financing Authority, (Unemployment Compensation Revenue), 5.00%, 7/1/18		5,000		5,579,300
Pennsylvania Economic Development Financing Authority, (Unemployment Compensation Revenue), 5.00%, 1/1/20		875		1,000,108
Richardson, TX, 5.00%, 2/15/18		2,890		3,180,734
SCAGO Educational Facilities Corp. for Pickens School District, SC, 5.00%, 12/1/22		2,150		2,550,717
St. Tammany Parish Wide School District No. 12, LA, 4.00%, 3/1/21		1,070		1,201,161
Texas Public Finance Authority, 5.00%, 10/1/20		2,500		2,936,675
Utah, Series 2011A, 5.00%, 7/1/19		3,300		3,791,535
Washington, 5.00%, 8/1/21		5,000		5,955,100
Washington Suburban Sanitary District, MD, (Montgomery and Prince George’s Counties), 5.00%, 6/1/20		2,500		2,929,175
Wisconsin, 5.00%, 5/1/20		2,255		2,636,997
Wisconsin, 5.00%, 5/1/21		1,000		1,189,270

			$	68,119,563


Security	Principal Amount (000’s omitted)		Value
Hospital — 5.8%
Allen County, OH, Hospital Facilities, (Catholic Health Partners), 5.00%, 9/1/20⁽¹⁾	$	6,500	$	7,493,590
Middlesex County, NJ, 2.00%, 6/1/21		755		766,657

			$	8,260,247

Lease Revenue/Certificates of Participation — 6.8%
Arizona School Facilities Board, 5.00%, 9/1/20	$	2,900	$	3,377,514
California Public Works Board, 5.00%, 9/1/20		4,470		5,242,371
Orange County, FL, School Board, 5.00%, 8/1/16		500		519,470
Orange County, FL, School Board, 5.00%, 8/1/19		500		573,140

			$	9,712,495

Transportation — 8.9%
Massachusetts Bay Transportation Authority, Sales Tax Revenue, 5.25%, 7/1/21	$	1,350	$	1,634,256
New York State Thruway Authority, 5.00%, 4/1/18⁽¹⁾		10,000		11,066,400

			$	12,700,656

Water and Sewer — 6.5%
Charlotte, NC, Water and Sewer Revenue, 5.00%, 7/1/22	$	1,810	$	2,195,331
Honolulu City and County, HI, Wastewater System Revenue, 5.00%, 7/1/22		2,985		3,366,543
Massachusetts Water Pollution Abatement Trust, 4.00%, 8/1/17		1,860		1,978,110
Seattle, WA, Solid Waste Revenue, 5.00%, 8/1/21		1,415		1,680,086

			$	9,220,070


Total Tax-Exempt Municipal Securities — 89.9% (identified cost $123,971,114)			$	128,087,900


Taxable Municipal Securities — 8.6%

Security	Principal Amount (000’s omitted)		Value
Education — 5.4%
University of California, 3.154%, 5/15/21	$	2,395	$	2,570,793
University of North Carolina at Chapel Hill, 0.759%, 12/1/16		1,255		1,258,150
University of North Carolina at Chapel Hill, 1.317%, 12/1/17		625		632,469
University of North Carolina at Chapel Hill, 1.798%, 12/1/18		1,540		1,578,069
University of North Carolina at Chapel Hill, 2.098%, 12/1/19		1,135		1,165,554
University of North Carolina at Chapel Hill, 2.355%, 12/1/20		500		515,590

			$	7,720,625

General Obligations — 3.2%
Los Angeles, CA, Community College District, 1.758%, 8/1/18	$	1,940	$	1,975,793
Olentangy, OH, Local School District, Series A, 5.00%, 12/1/18		1,000		1,116,970
Olentangy, OH, Local School District, Series A, 5.00%, 12/1/19		1,200		1,367,364

			$	4,460,127


Total Taxable Municipal Securities — 8.6% (identified cost $11,903,060)			$	12,180,752



Call Options Purchased — 0.0%⁽²⁾

Description	Number of Contracts		Strike Price		Expiration Date		Value
S&P 500 Index		122	$	2,095		10/2/15	$	305
S&P 500 Index		121		2,120		10/9/15		302
S&P 500 Index		119		2,125		10/16/15		892
S&P 500 Index		120		2,105		10/23/15		24,000
S&P 500 Index FLEX		121		2,115		10/5/15		4
S&P 500 Index FLEX		121		2,135		10/7/15		19
S&P 500 Index FLEX		122		2,115		10/12/15		572
S&P 500 Index FLEX		120		2,145		10/14/15		372
S&P 500 Index FLEX		121		2,125		10/19/15		2,382
S&P 500 Index FLEX		121		2,105		10/21/15		5,661
S&P 500 Index FLEX		123		2,085		10/26/15		16,807
S&P 500 Index FLEX		123		2,085		10/28/15		11,523


Total Call Options Purchased (identified cost $94,197)							$	62,839


Put Options Purchased — 0.2%

Description	Number of Contracts		Strike Price		Expiration Date		Value
S&P 500 Index		122	$	1,670		10/2/15	$	1,220
S&P 500 Index		121		1,705		10/9/15		10,285
S&P 500 Index		119		1,750		10/16/15		42,840
S&P 500 Index		120		1,720		10/23/15		58,200
S&P 500 Index FLEX		121		1,700		10/5/15		421
S&P 500 Index FLEX		121		1,730		10/7/15		4,484
S&P 500 Index FLEX		122		1,705		10/12/15		11,138
S&P 500 Index FLEX		120		1,755		10/14/15		36,032
S&P 500 Index FLEX		121		1,735		10/19/15		48,604
S&P 500 Index FLEX		121		1,715		10/21/15		45,953
S&P 500 Index FLEX		123		1,665		10/26/15		41,287
S&P 500 Index FLEX		123		1,675		10/28/15		54,101


Total Put Options Purchased (identified cost $717,207)							$	354,565


Short-Term Investments — 0.6%

Description					Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.23%⁽³⁾					$	820	$	819,804


Total Short-Term Investments — 0.6% (identified cost $819,804)							$	819,804


Total Investments — 99.3% (identified cost $137,505,382)							$	141,505,860



Call Options Written — (0.4)%

Description	Number of Contracts		Strike Price		Expiration Date		Value
S&P 500 Index		122	$	2,000		10/2/15	$	(915	)
S&P 500 Index		121		2,025		10/9/15		(6,958	)
S&P 500 Index		119		2,030		10/16/15		(30,345	)
S&P 500 Index		120		2,010		10/23/15		(62,400	)
S&P 500 Index FLEX		121		2,020		10/5/15		(2,033	)
S&P 500 Index FLEX		121		2,040		10/7/15		(2,224	)
S&P 500 Index FLEX		122		2,020		10/12/15		(20,251	)
S&P 500 Index FLEX		120		2,050		10/14/15		(9,649	)
S&P 500 Index FLEX		121		2,030		10/19/15		(35,497	)
S&P 500 Index FLEX		121		2,010		10/21/15		(71,638	)
S&P 500 Index FLEX		123		1,990		10/26/15		(150,989	)
S&P 500 Index FLEX		123		1,990		10/28/15		(136,468	)


Total Call Options Written — (0.4)% (premiums received $1,615,983)							$	(529,367	)


Put Options Written — (0.8)%

Description	Number of Contracts		Strike Price		Expiration Date		Value
S&P 500 Index		122	$	1,765		10/2/15	$	(4,880	)
S&P 500 Index		121		1,800		10/9/15		(45,980	)
S&P 500 Index		119		1,845		10/16/15		(168,980	)
S&P 500 Index		120		1,815		10/23/15		(172,800	)
S&P 500 Index FLEX		121		1,795		10/5/15		(9,075	)
S&P 500 Index FLEX		121		1,825		10/7/15		(42,110	)
S&P 500 Index FLEX		122		1,800		10/12/15		(58,261	)
S&P 500 Index FLEX		120		1,850		10/14/15		(151,672	)
S&P 500 Index FLEX		121		1,830		10/19/15		(160,294	)
S&P 500 Index FLEX		121		1,810		10/21/15		(141,713	)
S&P 500 Index FLEX		123		1,760		10/26/15		(111,741	)
S&P 500 Index FLEX		123		1,770		10/28/15		(143,709	)


Total Put Options Written — (0.8)% (premiums received $1,682,353)							$	(1,211,215	)


Other Assets, Less Liabilities — 1.9%							$	2,717,440


Net Assets — 100.0%							$	142,482,718

The percentage shown for each investment category in the Portfolio of Investments is based on net assets.



FLEX	-	FLexible EXchange traded option, representing a customized option contract with negotiated contract terms.

PSF	-	Permanent School Fund

At September 30, 2015, the concentration of the Fund’s investments in the various states, determined as a percentage of net assets, is as follows:


California	13.2	%
Others, representing less than 10% individually	85.3	%

(1)	Security (or a portion thereof) has been pledged as collateral for written option contracts.

(2)	Amount is less than 0.05%.

(3)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2015. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2015 was $8,204.

The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2015, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	136,971,187

Gross unrealized appreciation	$	4,979,285
Gross unrealized depreciation		(444,612	)

Net unrealized appreciation	$	4,534,673

Written options activity for the fiscal year to date ended September 30, 2015 was as follows:


	Number of Contracts			Premiums Received
Outstanding, beginning of period		2,790		$	2,314,180
Options written		27,772			24,167,588
Options terminated in closing purchase transactions		(2,285	)		(1,927,308	)
Options expired		(25,369	)		(21,256,124	)

Outstanding, end of period		2,908		$	3,298,336

At September 30, 2015, 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 investment objective. 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.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk at September 30, 2015 was as follows:


	Fair Value
Derivative	Asset Derivative		Liability Derivative
Purchased options	$	417,404	$	—
Written options		—		(1,740,582	)

Total	$	417,404	$	(1,740,582	)

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.

•

Level 1 — quoted prices in active markets for identical investments

•

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

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, 2015, 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	$	—		$	128,087,900		$	—	$	128,087,900
Taxable Municipal Securities		—			12,180,752			—		12,180,752
Call Options Purchased		25,499			37,340			—		62,839
Put Options Purchased		112,545			242,020			—		354,565
Short-Term Investments		—			819,804			—		819,804
Total Investments	$	138,044		$	141,367,816		$	—	$	141,505,860

Liability Description
Call Options Written	$	(100,618	)	$	(428,749	)	$	—	$	(529,367	)
Put Options Written		(392,640	)		(818,575	)		—		(1,211,215	)
Total	$	(493,258	)	$	(1,247,324	)	$	—	$	(1,740,582	)

The Fund held no investments or other financial instruments as of December 31, 2014 whose fair value was determined using Level 3 inputs. At September 30, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

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.

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.

Eaton Vance Tax-Advantaged Bond and Option Strategies Fund



By:		/s/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		November 23, 2015

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.



By:		/s/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		November 23, 2015



By:		/s/ James F. Kirchner
		James F. Kirchner
		Treasurer

Date:		November 23, 2015