Options Written

Contracts

Value

Over-the-Counter Call Options Written—(concluded)

Ship Finance International Ltd., Strike
Price USD 20.25, Expires 11/12/10,
Broker JPMorgan Chase Securities

65,000

$

(50,090

)

Silver Wheaton Corp., Strike Price USD
20.02, Expires 11/05/10, Broker
Deutsche Bank Securities

50,000

(58,952

)

SM Energy Co., Strike Price USD 46.68,
Expires 11/02/10, Broker UBS
Securities LLC

10,000

(15,765

)

Southwestern Energy Co., Strike Price
USD 39.08, Expires 11/05/10, Broker
Morgan Stanley & Co., Inc.

75,000

(132,632

)

Southwestern Energy Co., Strike Price
USD 40.30, Expires 11/02/10, Broker
Morgan Stanley & Co., Inc.

35,000

(47,530

)

Southwestern Energy Co., Strike Price
USD 42.13, Expires 11/02/10, Broker
Morgan Stanley & Co., Inc.

25,000

(21,882

)

Technip SA, Strike Price EUR 49.95,
Expires 9/01/10, Broker UBS Securities
LLC

63,500

(293,221

)

Whiting Petroleum Corp., Strike Price
USD 93.42, Expires 8/05/10, Broker
UBS Securities LLC

134,500

(10,118

)

Whiting Petroleum Corp., Strike Price
USD 93.46, Expires 11/02/10, Broker
Deutsche Bank Securities

10,000

(41,902

)

Whiting Petroleum Corp., Strike Price
USD 96.58, Expires 11/02/10, Broker
Morgan Stanley & Co., Inc.

10,000

(32,364

)

Total Over-the-Counter Call Options Written

(4,456,253

)

Total Options Written
(Premiums Received $9,550,396)—(1.2)%

(8,637,848

)

Total Investments Net of Outstanding Options Written—99.7%

719,329,087

Other Assets Less Liabilities—0.3%

2,407,805

Net Assets—100.0%

$

721,736,892

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2010, as computed for federal income tax purposes, were as follows:

Aggregate cost

$

690,003,036

Gross unrealized appreciation

$

87,147,750

Gross unrealized depreciation

(49,183,851

)

Net unrealized appreciation

$

37,963,899

(a)

Non-income producing security.

(b)

Restricted security as to resale acquired 12/20/07. As of report date the Trust held 0.6% of its net assets, with a current market value of $4,525,773 and an original cost of $3,500,003 in these securities.

(c)

Security, or a portion thereof, pledged as collateral for outstanding options written.

(d)

Security, or a portion of security, is on loan.

(e)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate

Shares/
Beneficial
Interest
Held at
October
31, 2009

Net Activity

Shares/
Beneficial
Interest
Held at
July 31,
2010

Income

BlackRock Liquidity Funds, TempFund, Institutional Class

18,701,414

5,232,298

23,933,712

$

17,656

BlackRock Liquidity Series, LLC Money Market Series

5,894,700

(5,476,400

)

418,300

$

15,060

(f)

Represents current yield as of report date.

(g)

Security purchased with the cash collateral from securities loans.

•

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows:

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

•

Level 3 — unobservable inputs based on the best information available In the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the inputs used as of July 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

Valuation Inputs

Level 1

Level 2

Level 3

Total

Assets:

Investments in Securities:

Common Stocks¹

$

689,515,699

$

14,099,224

—

$

703,614,923

Short-Term Securities

23,933,712

418,300

—

24,352,012

Total

$

713,449,411

$

14,517,524

—

$

727,966,935

¹

See above Schedule of Investments for values in each industry excluding Level 2, Energy Equipment & Services, within the table.