PAGE 1 000 B000000 05/31/2011 000 C000000 0001380936 000 D000000 N 000 E000000 NF 000 F000000 Y 000 G000000 N 000 H000000 N 000 I000000 6.1 000 J000000 A 001 A000000 GUGGENHEIM STRATEGIC OPP FUND 001 B000000 811-21982 001 C000000 6305053700 002 A000000 2455 CORPORATE WEST DRIVE 002 B000000 LISLE 002 C000000 IL 002 D010000 60532 003 000000 N 004 000000 N 005 000000 N 006 000000 N 007 A000000 N 007 B000000 0 007 C010100 1 007 C010200 2 007 C010300 3 007 C010400 4 007 C010500 5 007 C010600 6 007 C010700 7 007 C010800 8 007 C010900 9 007 C011000 10 008 A000001 GUGGENHEIM FUNDS INVESTMENT ADVISORS, LLC 008 B000001 A 008 C000001 801-000000 008 D010001 LISLE 008 D020001 IL 008 D030001 60532 008 A000002 GUGGENHEIM PARTNERS ASSET MANAGEMENT, INC. 008 B000002 S 008 C000002 801-000000 008 D010002 SANTA MONICA 008 D020002 CA 008 D030002 90401 010 A000001 GUGGENHEIM FUNDS INVESTMENT ADVISORS, LLC 010 B000001 84-0000000 010 C010001 LISLE 010 C020001 IL 010 C030001 60532 011 A000001 WACHOVIA CAPITAL MARKETS LLC 011 B000001 8-00000000 PAGE 2 011 C010001 CHARLOTTE 011 C020001 NC 011 C030001 28288 011 A000002 RAYMOND JAMES & ASSOCIATES, INC. 011 B000002 8-00000000 011 C010002 ST. PETERSBURG 011 C020002 FL 011 C030002 33716 012 A000001 THE BANK OF NEW YORK MELLON 012 B000001 84-0000000 012 C010001 NEW YORK 012 C020001 NY 012 C030001 10286 013 A000001 ERNST & YOUNG LLP 013 B010001 CHICAGO 013 B020001 IL 013 B030001 60606 015 A000001 THE BANK OF NEW YORK MELLON 015 B000001 C 015 C010001 NEW YORK 015 C020001 NY 015 C030001 10286 015 E010001 X 018 000000 Y 019 A000000 N 019 B000000 0 020 A000001 BARCLAYS 020 B000001 13-3551367 020 C000001 72 020 A000002 JEFFERIES & COMPANY INC. 020 B000002 95-2622900 020 C000002 19 020 A000003 MORGAN STANLEY & CO. INC. 020 B000003 13-2655998 020 C000003 16 020 A000004 BNP PARIBAS 020 B000004 UNKNOWN 020 C000004 8 020 A000005 BANK OF AMERICA INTERNATIONAL, LDN 020 B000005 UNKNOWN 020 C000005 5 020 A000006 JP MORGAN INVT MGMT 020 B000006 13-3200244 020 C000006 3 020 A000007 BANAMEX S.A. 020 B000007 UNKNOWN 020 C000007 2 020 A000008 FG INVERSIONES BURSATILES 020 B000008 UNKNOWN 020 C000008 2 020 A000009 MERRILL LYNCH & CO. PAGE 3 020 B000009 13-2740599 020 C000009 1 020 C000010 0 021 000000 128 022 A000001 BARCLAYS 022 B000001 13-3551367 022 C000001 21501 022 D000001 46869 022 A000002 JEFFERIES & COMPANY INC. 022 B000002 95-2622900 022 C000002 4699 022 D000002 53343 022 A000003 MORGAN STANLEY & CO. INC. 022 B000003 UNKNOWN 022 C000003 4343 022 D000003 50297 022 A000004 GOLDMAN SACHS & CO. 022 B000004 13-5108880 022 C000004 6116 022 D000004 13445 022 A000005 GREENWICH CAPITAL - REPURCHASE AGREEMENT 022 B000005 UNKNOWN 022 C000005 247 022 D000005 19092 022 A000006 CREDIT SUISSE FIRST BOSTON CORP 022 B000006 13-5659485 022 C000006 6444 022 D000006 11778 022 A000007 BANK OF AMERICA INTERNATIONAL, LDN 022 B000007 UNKNOWN 022 C000007 3164 022 D000007 13287 022 A000008 BANAMEX S.A. 022 B000008 UNKNOWN 022 C000008 4828 022 D000008 10496 022 A000009 DIRECT 022 B000009 UNKNOWN 022 C000009 9302 022 D000009 4480 022 A000010 CITIGROUP GLOBAL MARKETS 022 B000010 UNKNOWN 022 C000010 3932 022 D000010 5443 023 C000000 64576 023 D000000 228530 024 000000 Y 025 A000001 BARCLAYS BANK PLC 025 B000001 13-4075851 025 C000001 D 025 D000001 1107 PAGE 4 025 A000002 BB&T CAPITAL TRUST VI 025 B000002 N/A 025 C000002 E 025 D000002 1063 025 A000003 BNP PARIBAS 025 B000003 N/A 025 C000003 D 025 D000003 1188 025 A000004 DEUTSCHE BANK CONTINGENT CAPITAL TRUST II 025 B000004 N/A 025 C000004 E 025 D000004 1250 025 A000005 ROYAL BANK OF SCOTLAND GROUP PLC 025 B000005 N/A 025 C000005 D 025 D000005 1159 025 A000006 WELLS FARGO CAPITAL XIII 025 B000006 N/A 025 C000006 D 025 D000006 1028 025 D000007 0 025 D000008 0 026 A000000 N 026 B000000 Y 026 C000000 N 026 D000000 Y 026 E000000 N 026 F000000 N 026 G010000 N 026 G020000 N 026 H000000 N 027 000000 N 028 A010000 0 028 A020000 0 028 A030000 0 028 A040000 0 028 B010000 0 028 B020000 0 028 B030000 0 028 B040000 0 028 C010000 0 028 C020000 0 028 C030000 0 028 C040000 0 028 D010000 0 028 D020000 0 028 D030000 0 028 D040000 0 028 E010000 0 028 E020000 0 028 E030000 0 PAGE 5 028 E040000 0 028 F010000 0 028 F020000 0 028 F030000 0 028 F040000 0 028 G010000 0 028 G020000 0 028 G030000 0 028 G040000 0 028 H000000 0 030 A000000 0 030 B000000 0.00 030 C000000 0.00 031 A000000 0 031 B000000 0 032 000000 0 033 000000 0 035 000000 0 036 B000000 0 038 000000 0 042 A000000 0 042 B000000 0 042 C000000 0 042 D000000 0 042 E000000 0 042 F000000 0 042 G000000 0 042 H000000 0 043 000000 0 044 000000 0 045 000000 Y 046 000000 N 047 000000 Y 048 000000 1.000 048 A010000 0 048 A020000 0.000 048 B010000 0 048 B020000 0.000 048 C010000 0 048 C020000 0.000 048 D010000 0 048 D020000 0.000 048 E010000 0 048 E020000 0.000 048 F010000 0 048 F020000 0.000 048 G010000 0 048 G020000 0.000 048 H010000 0 048 H020000 0.000 048 I010000 0 PAGE 6 048 I020000 0.000 048 J010000 0 048 J020000 0.000 048 K010000 0 048 K020000 0.000 049 000000 N 050 000000 N 051 000000 N 052 000000 N 053 A000000 N 054 A000000 Y 054 B000000 Y 054 C000000 N 054 D000000 N 054 E000000 N 054 F000000 N 054 G000000 N 054 H000000 Y 054 I000000 N 054 J000000 Y 054 K000000 N 054 L000000 N 054 M000000 Y 054 N000000 N 054 O000000 N 055 A000000 N 055 B000000 N 056 000000 N 057 000000 N 058 A000000 N 059 000000 Y 060 A000000 Y 060 B000000 Y 061 000000 0 062 A000000 Y 062 B000000 0.0 062 C000000 0.0 062 D000000 0.0 062 E000000 0.5 062 F000000 0.0 062 G000000 0.0 062 H000000 0.0 062 I000000 0.0 062 J000000 0.0 062 K000000 0.0 062 L000000 2.1 062 M000000 0.0 062 N000000 0.0 062 O000000 0.0 062 P000000 40.2 062 Q000000 79.7 PAGE 7 062 R000000 18.6 063 A000000 0 063 B000000 13.6 064 A000000 N 064 B000000 N 066 A000000 N 067 000000 N 068 A000000 N 068 B000000 N 069 000000 N 070 A010000 Y 070 A020000 Y 070 B010000 Y 070 B020000 Y 070 C010000 Y 070 C020000 N 070 D010000 Y 070 D020000 Y 070 E010000 Y 070 E020000 N 070 F010000 Y 070 F020000 N 070 G010000 Y 070 G020000 N 070 H010000 Y 070 H020000 N 070 I010000 N 070 I020000 N 070 J010000 Y 070 J020000 Y 070 K010000 Y 070 K020000 Y 070 L010000 Y 070 L020000 Y 070 M010000 Y 070 M020000 N 070 N010000 Y 070 N020000 N 070 O010000 Y 070 O020000 Y 070 P010000 Y 070 P020000 N 070 Q010000 N 070 Q020000 N 070 R010000 Y 070 R020000 N 071 A000000 167087 071 B000000 150749 071 C000000 233782 071 D000000 64 072 A000000 12 PAGE 8 072 B000000 22126 072 C000000 568 072 D000000 0 072 E000000 0 072 F000000 2462 072 G000000 64 072 H000000 0 072 I000000 20 072 J000000 60 072 K000000 0 072 L000000 89 072 M000000 107 072 N000000 22 072 O000000 0 072 P000000 1479 072 Q000000 121 072 R000000 46 072 S000000 147 072 T000000 0 072 U000000 0 072 V000000 0 072 W000000 119 072 X000000 4736 072 Y000000 0 072 Z000000 17958 072AA000000 9226 072BB000000 0 072CC010000 13767 072CC020000 0 072DD010000 17371 072DD020000 0 072EE000000 0 073 A010000 1.8750 073 A020000 0.0000 073 B000000 0.0000 073 C000000 0.0000 074 A000000 2052 074 B000000 0 074 C000000 894 074 D000000 224576 074 E000000 5157 074 F000000 0 074 G000000 0 074 H000000 0 074 I000000 33703 074 J000000 2751 074 K000000 0 074 L000000 2197 074 M000000 1119 074 N000000 272449 074 O000000 3371 PAGE 9 074 P000000 232 074 Q000000 33052 074 R010000 47618 074 R020000 0 074 R030000 409 074 R040000 434 074 S000000 0 074 T000000 187333 074 U010000 9318 074 U020000 0 074 V010000 20.11 074 V020000 0.00 074 W000000 0.0000 074 X000000 8829 074 Y000000 158691 075 A000000 0 075 B000000 176116 076 000000 22.32 077 A000000 Y 077 B000000 Y 077 C000000 Y 077 D000000 N 077 E000000 N 077 F000000 N 077 G000000 N 077 H000000 N 077 I000000 N 077 J000000 N 077 K000000 N 077 L000000 N 077 M000000 N 077 N000000 N 077 O000000 N 077 P000000 N 077 Q010000 Y 077 Q020000 N 077 Q030000 N 078 000000 N 080 A000000 ICI MUTUAL INSURANCE CO. 080 C000000 6475 081 A000000 Y 081 B000000 7 082 A000000 N 082 B000000 0 083 A000000 N 083 B000000 0 084 A000000 N 084 B000000 0 085 A000000 Y 085 B000000 N 086 A010000 107 PAGE 10 086 A020000 2186 086 B010000 0 086 B020000 0 086 C010000 0 086 C020000 0 086 D010000 0 086 D020000 0 086 E010000 0 086 E020000 0 086 F010000 0 086 F020000 0 087 A010000 COMMON STOCK 087 A020000 18385X104 087 A030000 GOF 088 A000000 N 088 B000000 N 088 C000000 N 088 D000000 N SIGNATURE JOHN SULLIVAN TITLE CFO, CAO & TREASURER