What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-05-15 compared with 2022-11-08 · 494 added, 363 removed, 708 unchanged (55% of the section changed)

Financial Statements.

of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and

Statements of Cash Flows:

Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:

-1x Short VIX Futures ETF

2 unchanged sentences

Statements of Assets and Liabilities

September 30, 2022 (Unaudited)

VIX Futures ETF

March 31, 2023 (Unaudited) and December 31, 2022

-1x Short VIX

Investments in securities, at value *

Interest receivable

Prepaid expenses and other assets

Receivable for shares sold

3 unchanged sentences

Due from Other

$ 109,069,878

$ 125,900,153

Variation margin payable

Due to Custodian

Management fees payable

Fund shares redeemed

Payable to Sponsor

Administrative, accounting and custodian fees payable

1 unchanged sentence

Licensing and registration fees payable

$ 107,037,859

$ 125,488,766

NET ASSETS CONSIST OF:

2 unchanged sentences

( 127,531,121 )

( 77,693,706 )

$ 107,037,859

$ 125,488,766

Net Asset Value (unlimited shares authorized):

Class I (unlimited shares authorized):

Shares Outstanding†

$ 107,037,859

$ 125,488,766

Shares Outstanding^

4,290,000 (1)

Net Asset Value, Offering and Redemption Price per Share

Market Value per Share (Note 2)

* Investments in securities, at cost

† No Par Value

(1) Adjusted to reflect 1:5 reverse stock split on January 25,

Statements of Operations

For the Quarter Ended September 30, 2022 (Unaudited)

VIX Futures ETF

the Three Months Ended March 31, 2023 and March 31, 2022 (Unaudited)

-1x Short VIX

Quarter Ended

INVESTMENT INCOME

7 unchanged sentences

Net Investment loss

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

Net realized gain (loss) on:

8 unchanged sentences

$ ( 49,837,415 )

Statements of Changes in Net Assets

$ ( 141,148 )

The Fund commenced operations on March 28, 2022.

Statement of Changes in Net Assets

For the Three Months Ended March 31, 2023 and March

31, 2022 (Unaudited).

-1x Short VIX

Quarter Ended

September 30,

Quarter Ended

INCREASE (DECREASE) IN NET ASSETS:

12 unchanged sentences

( 72,110,675 )

Net increase in net assets from capital share

Total increase in net assets

Net increase in net assets from capital share transactions

Total increase (decrease) in net assets

( 18,450,907 )

Beginning of Period

End of Period

$ 107,037,859

The Fund commenced operations on March 28, 2022.

Statements of Cash Flows

September 30,

For the Three Months Ended

March 31, 2023 and March 31, 2022 (Unaudited).

-1x Short VIX

2x Long VIX Futures ETF

-1x Short VIX

CASH FLOW FROM OPERATING ACTIVITIES

1 unchanged sentence

$ ( 49,837,415 )

$ ( 141,148 )

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities

5 unchanged sentences

( 32,650,815 )

Decrease (Increase) in Variation margin receivable

( 1,437,401 )

( 2,385,068 )

Decrease (Increase) in Variation margin receivable

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Decrease (Increase) in Prepaid expenses and other assets

Decrease (Increase) in Due from Other

( 4,743,330 )

Increase (Decrease) in Variation margin payable

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

Increase (Decrease) in Payable to Sponsor

2 unchanged sentences

Increase (Decrease) in Licensing and registration fees payable

Net cash provided by (used in) operating activities

Net cash used in operating activities

( 23,397,350 )

( 14,272,930 )

( 1,501,656 )

( 1,501,116 )

CASH FLOW FROM FINANCING ACTIVITIES

3 unchanged sentences

( 72,110,675 )

Net cash provided by (used in) financing activities

( 1,394,049 )

NET DECREASE IN CASH

( 3,539,530 )

Net cash provided by financing activities

NET INCREASE (DECREASE) IN CASH

Beginning of Period

End of Period

-1x Short VIX Futures ETF

Schedule of Investments (Unaudited)

September 30, 2022

The Fund commenced operations on March 28, 2022

Short VIX Futures ETF

Schedule of Investments

March 31, 2023 (Unaudited)

SHORT TERM INVESTMENT -7.29%

6 unchanged sentences

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at September 30, 2022.

(a) Represents annualized seven-day yield at March 31, 2023

(b) $80,331,244 of cash is pledged as collateral for futures contracts.

-1x Short VIX

Short Futures Contracts

March 31, 2023 (Unaudited)

Appreciation/

(Depreciation)

CBOE VIX Futures

Expiring April 2023 (Underlying Face Amount at Market Value $42,040,880)

CBOE VIX Futures

Expiring May 2023 (Underlying Face Amount at Market Value $32,612,250)

See accompanying notes to financial statements

-1x Short VIX Futures ETF

Short Futures Contracts (Unaudited)

September 30, 2022

Schedule of Investments

December 31, 2022

Cash - 1.1% (a)

Other assets in excess of liabilities - 98.9% (a)

TOTAL NET ASSETS - 100%

(a) $48,144,554 of cash os pledged as collateral for futures contracts

-1x Short VIX Futures ETF

Short Futures Contracts

December 31, 2022

Appreciation/

1 unchanged sentence

CBOE VIX Futures

Expiring January 2023 (Underlying Face Amount at Market Value $26,634,000)

CBOE VIX Futures

Expiring February 2023 (Underlying Face Amount at Market Value $19,754,280)

See accompanying notes to financial statements

2x Long VIX Futures ETF

Schedule of Investments

March 31, 2023 (Unaudited)

SHORT TERM INVESTMENT -14.89%

Money Market Fund - 14.89%

First American Government Obligations Fund, 4.65 % (a)

TOTAL SHORT TERM INVESTMENT (Cost $ 15,934,105 )

TOTAL INVESTMENTS (Cost $15,934,105) - 14.89 %

Other Assets in Excess of Liabilities - 85.11 % (b)

TOTAL NET ASSETS - 100 .0%

$ 107,037,859

Expiring October 2022 (Underlying Face Amount at Market Value $33,566,600)

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at March 31, 2023

(b) $75,240,328 of cash is pledged as collateral for futures contracts.

2x Long VIX Futures ETF

Long Futures Contracts

March 31, 2023 (Unaudited)

Appreciation/

(Depreciation)

CBOE VIX Futures

Expiring November 2022 (Underlying Face Amount at Market Value $22,053,090)

$ ( 12,077,511 )

Expiring April 2023 (Underlying Face Amount at Market Value $120,611,120)

CBOE VIX Futures

( 3,338,864 )

Expiring May 2023 (Underlying Face Amount at Market Value $93,591,630)

$ ( 15,416,375 )

See accompanying notes to financial statements

2x Long VIX Futures ETF

Schedule of Investments (Unaudited)

September 30, 2022

Schedule of Investments

December 31, 2022

SHORT TERM INVESTMENT - 6.57%

5 unchanged sentences

TOTAL NET ASSETS - 100.0 %

$ 125,488,766

Percentages are stated as a percent of net assets.

Represents annualized

seven-day yield at September 30, 2022.

$59,371,717 of cash is pledged as collateral for futures contracts.

(a) Represents annualized seven-day yield at December 31, 2022

(b) $114,821,271.5 of cash is pledged as collateral for futures

2x Long VIX Futures ETF

Long Futures Contracts (Unaudited)

September 30, 2022

Appreciation/

Long Futures Contracts

December 31, 2022

Unrealized Appreciation/

(Depreciation)

CBOE VIX Futures

Expiring October 2022 (Underlying Face Amount at Market Value $113,228,400)

$ ( 8,416,975 )

Expiring January 2023 (Underlying Face Amount at Market Value $144,078,360)

CBOE VIX Futures

Expiring November 2022 (Underlying Face Amount at Market Value $74,355,720)

Expiring February 2023 (Underlying Face Amount at Market Value $107,002,350)

$ ( 9,203,522 )

See accompanying notes to financial statements

TO FINANCIAL STATEMENTS

1 – ORGANIZATION

Trust (the “Trust”) is a Delaware statutory trust formed on October 24, 2019 and is currently organized into separate series

(each, a “Fund” and collectively, the “Funds”).

As of September 30, 2022, the following two series of the Trust

have commenced investment operations:

NOTES TO FINANCIAL

March 31, 2023

NOTE 1 – ORGANIZATION

VS Trust (the “Trust”)

is a Delaware statutory trust formed on October 24, 2019 and is currently organized into separate series (each, a “Fund” and

collectively, the “Funds”).

As of March 31, 2023, the following two series of the Trust have commenced investment operations:

-1x Short VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”).

Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional

undivided beneficial interest in and ownership of only that Fund.

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe

Funds’ inception of operation was March 28, 2022.

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other

than matters relating to its organization and the registration of each series under the Securities Act of 1933.

Fund’s investment exposure to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each

Fund to regulation under the Commodity Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission

(“CFTC”) rules.

The Sponsor is registered as a Commodity Pool Operator (“CPO”) and the Fund will be operated

in accordance with applicable CFTC rules.

Registration as a CPO imposes additional compliance obligations on the Sponsor and the Funds

related to additional laws, regulations and enforcement policies, which could increase compliance costs and may affect the operations

and financial performance of the Funds.

Shares LLC (the “Sponsor”) is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity

pool operator.

The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable

regulations of the CFTC and are operated by the Sponsor, which is registered as a commodity pool operator with the CFTC.

is not an investment company registered under the Investment Company Act of 1940.

2 – SIGNIFICANT ACCOUNTING POLICIES

Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification

(“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment

company accounting and reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable,

in preparation of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United

States of America (“GAAP”).

accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions

for Form 10-Q and the rules and regulations of the U.S.

Each of the Funds listed above issues

common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership

of only that Fund.

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe BZX”).

The Funds’ inception

of operation was March 28, 2022.

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other than matters relating

to its organization and the registration of each series under the Securities Act of 1933.

Each Fund’s investment exposure to VIX

futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity Exchange Act of 1934

(“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules.

The Sponsor is registered as a Commodity Pool

Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC rules.

Registration as a CPO imposes additional

compliance obligations on the Sponsor and the Funds related to additional laws, regulations and enforcement policies, which could increase

compliance costs and may affect the operations and financial performance of the Funds.

Volatility Shares LLC (the “Sponsor”)

is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity pool operator.

The Funds are commodity

pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the CFTC and are operated

by the Sponsor, which is registered as a commodity pool operator with the CFTC.

The Trust is not an investment company registered

under the Investment Company Act of 1940.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment

company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”)

Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and

reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation

of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United States of America

The accompanying unaudited

financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and

the rules and regulations of the U.S.

Securities and Exchange Commission (“SEC”).

In the opinion of management,

all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period

financial statements have been made.

In the opinion of management, all material

adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial

statements have been made.

Interim period results are not necessarily indicative of results for a full-year period.

growth company

Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain

an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its

initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $ 1.07 billion (subject to

adjustment for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than

$ 1.0 billion in non-convertible debt securities and (4) as of the end of any fiscal year in which the market value of

common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter of that fiscal year.

as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting

requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited

to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced

disclosure obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions

from the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden

parachute payments not previously approved.

The Trust will take advantage of these reporting exemptions until it is no longer an “emerging

growth company.

of Estimates & Indemnifications

preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported

amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the

reported amounts of revenues and expenses during the reporting period.

Emerging growth company

The Trust is an “emerging growth company,”

as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging growth company until the earlier of

(1) the beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning

of the first fiscal year after annual gross revenue is $ 1.07 billion (subject to adjustment for inflation) or more, (3) the

date on which the Fund has, during the previous three-year period, issued more than $ 1.0 billion in non-convertible debt

securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded

$ 700 million as of the end of the second quarter of that fiscal year.

For as long as the Trust remains an “emerging

growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public

companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor

attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation

and financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory

vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved.

The Trust will

take advantage of these reporting exemptions until it is no longer an “emerging growth company.”

Use of Estimates & Indemnifications

The preparation of financial

statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and

liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues

and expenses during the reporting period.

Actual results could differ from those estimates.

the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum exposure under these arrangements cannot be known;

In the normal course of

business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.

maximum exposure under these arrangements cannot be known;

however, the Trust expects any risk of loss to be remote.

of Presentation

to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for

each Fund individually.

The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect

to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any

Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or

distributed to the Trust for the purchase of Shares in that Fund.

of Cash Flows

cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated September

30, 2022, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements

but does not include short-term investments.

Net Asset Value for Fiscal Period

cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for

the three months ended September 30, 2022 were typically as follows.

Basis of Presentation

Pursuant to rules and

regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually.

The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall

be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund.

the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for

the purchase of Shares in that Fund.

Statements of Cash Flows

The cash amount shown

in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2023, and represents

cash, but does not include

short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and

the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months

ended March 31, 2023 were typically as follows.

All times are Eastern Standard Time:

Create/Redeem

NAV Calculation

Cut-off*(EST)

Calculation Date

-1x Short VIX Futures ETF and

September 30, 2022

March 31, 2023

2x Long VIX Futures ETF

September 30, 2022

the Funds’ shares may continue to trade on secondary markets subsequent to the calculation

of the final NAV, these times represent the final opportunity to transact in creation or

redemption units for the three months ended September 30, 2022.

value per Share is determined at the close of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated.

financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets.

the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’

final creation/redemption NAV for the three months ended September 30, 2022.

investments are valued at amortized cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short-term

investments are valued at their market price using information provided by a third-party pricing service or market quotations.

of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

(e.g., futures contracts, options, swap agreements) are generally valued using independent sources and/or agreements with counterparties

or other procedures as determined by the Sponsor.

Futures contracts are generally valued at the last settled price on the applicable

exchange on which that future trades.

For financial reporting purposes, all futures contracts are generally valued at the last settled

Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.

Swap agreement valuations are typically

categorized as Level II in the fair value hierarchy.

The Sponsor may in its sole discretion choose to determine a fair value price as

the basis for determining the market value of such position.

Such fair value prices would generally be determined based on available

inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor

deems fair and equitable so long as such principles are consistent with industry standards.

The Sponsor may fair value an asset of a

Fund pursuant to the policies the Sponsor has adopted.

Depending on the source and relevant significance of valuation inputs, these instruments

may be classified as Level II or Level III in the fair value hierarchy.

value pricing may require subjective determinations about the value of an investment.

While the Funds’ policies are intended to

result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund

cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that

a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or

distressed sale).

The prices used by such Fund may differ from the value that would be realized if the investments were sold and the

differences could be material to the financial statements.

Value of Financial Instruments

Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure

The disclosure requirements establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions

developed based on market data obtained from sources independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions

about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs).

The three levels defined by the disclosure requirements hierarchy are as follows:

I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability

to access at the measurement date.

II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or

Level II assets include the following:

quoted prices for similar assets or liabilities in active markets, 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

asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means

(market-corroborated inputs).

III – Unobservable pricing input at the measurement date for the asset or liability.

Unobservable inputs shall be used to measure

fair value to the extent that observable inputs are not available.

some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy.

The level in the fair

value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant

to the fair value measurement in its entirety.

value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly

decreased, as well as when circumstances indicate that a transaction is not orderly.

following table summarizes the valuation of investments at September 30, 2022 using the fair value hierarchy:

Level I - Quoted Prices

Level II - Other Significant

Observable Inputs

Money Market Fund

Futures Contracts*

March 31, 2023

the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent

the final opportunity to transact in creation or redemption units for the three months ended March 31, 2023.

Market value per Share

is determined at the close of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting

purposes, the Funds value transactions based upon the final closing price in their primary markets.

Accordingly, the investment valuations

in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV

for the three months ended March 31, 2023.

Investment Valuation

Short-term investments

are valued at amortized cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short-term investments

are valued at their market price using information provided by a third-party pricing service or market quotations.

In each of these situations,

valuations are typically categorized as Level I in the fair value hierarchy.

VIX futures contracts are valued using the Time Weighted Average Price (TWAP) of the futures during the last 15 minutes of NYSE’s

regular trading session, rather than solely from the VIX futures’ settlement price.

The value of a Fund’s non-exchange-traded

Financial Instruments typically is determined by applying the then-current disseminated levels for the Index to the terms of the Fund’s

non-exchange-traded Financial Instruments.

In certain circumstances (e.g., if the Sponsor believes market quotations do not accurately reflect the fair value of a Fund’s investment,

or a trading halt closes an exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price

as the basis for determining the market value of such investment for such day.

Such fair value prices would generally be determined based

on available inputs about the current value of the underlying VIX futures contract and would be based on principles that the Sponsor deems

fair and equitable.

The Funds may use a variety of money market instruments.

Money market instruments generally will be valued using market prices or at amortized

Fair value pricing may

require subjective determinations about the value of an investment.

While the Funds’ policies are intended to result in a calculation

of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair

values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for

an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material

to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their

investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

The disclosure requirements

establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions developed based on market data obtained

from sources independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions about market participant assumptions

developed based on the best information available under the circumstances (unobservable inputs).

The three levels defined by the disclosure

requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted)

in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than

quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly.

Level II assets include

the following:

quoted prices for similar assets or liabilities in active markets, 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 asset or liability, and inputs that are derived

principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing

input at the measurement date for the asset or liability.

Unobservable inputs shall be used to measure fair value to the extent that observable

inputs are not available.

In some instances, the inputs used to measure

fair value might fall in different levels of the fair value hierarchy.

The level in the fair value hierarchy within which the fair value

measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its

Fair value measurements also require additional

disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances

indicate that a transaction is not orderly.

The following table summarizes the valuation

of investments at March 31, 2023 and December 31, 2022 using the fair value hierarchy:

March 31, 2023 (Unaudited)

December 31, 2022

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

( 15,416,375 )

( 9,203,522 )

2x Long VIX Futures ETF

$ ( 8,086,495 )

$ ( 8,047,416 )

cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of

Only current day’s variation margin is reported within the Statements

of Financial Condition in receivable/payable on open futures.

inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Transactions and Related Income

transactions are recorded on the trade date.

cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s variation

margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

The inputs or methodology used for valuing

investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

Investment transactions

are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to market daily.

Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized

appreciation (depreciation) between periods are reflected in the Statements of Operations.

income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as

Interest Income in the Statement of Operations.

Commissions and Futures Account Fees

Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”)

fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities

for each Fund’s investment in U.S.

appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation

(depreciation) between periods are reflected in the Statements of Operations.

Interest income is recognized

on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the

Statement of Operations.

Brokerage Commissions and Futures Account

Each Fund pays its respective

brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage

fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in

Commodity Futures Trading Commission (“CFTC”) regulated investments.

of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities

or similar high credit quality short-term fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are

recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized

when the transaction is closed).

The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Funds that exceed

variable create/redeem fees collected by more than 0.04 % and 0.09 %, for SVIX and UVIX, respectively, of each Fund’s average net assets annually.

Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S.

The effects of trading spreads, financing costs/fees

associated with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities or similar high credit quality short-term

fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the

first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed).

Sponsor is currently paying brokerage commissions on VIX futures contracts for the Funds that exceed variable create/redeem fees collected

by more than 0.04 % and 0.09 &, for SVIX and UVIX, respectively, of each Fund's average net assets annually.

Federal Income Tax

Each Fund is registered

as a series of a Delaware statutory trust and is treated as a partnership for U.S.

federal income tax purposes.

no Fund expects to incur U.S.

Accordingly, no Fund expects

to incur U.S.

federal income tax liability;

rather, each beneficial owner of a Fund’s Shares is required to take

into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year

ending with or within the beneficial owner’s taxable year.

of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since

then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income

tax positions taken or expected to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is

reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing

basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary

based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

3 – INVESTMENTS

Funds may purchase U.S.

Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities

with original maturities of one year or less.

A portion of these investments may be posted as collateral in connection with swap agreements,

futures, and/or forward contracts.

for Derivative Instruments

seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing.

Using this approach,

the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes

in combination, should produce returns consistent with a Fund’s objective.

open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized

a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during

While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve

the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective

Fund at the date of this report is generally representative of open positions throughout the reporting period.

is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures

related to each instrument type.

Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or

shorting), an underlying benchmark.

A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery

of a specified quantity and type of asset at a specified time and place.

The contractual obligations of a buyer or seller may generally

be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase

of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration

entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required

by the exchange on which the transaction is affected.

The initial margin is segregated as cash and/or securities balances with brokers

for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into

futures contracts maintain collateral at the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund

generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize

a gain or loss upon closing of a futures transaction.

rather, each beneficial owner of a Fund’s Shares is required to take into account its

allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within

the beneficial owner’s taxable year.

Management of the Funds

has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable)

and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken

or expected to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is reasonably possible that

the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing basis, management monitors

its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including,

but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase

Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities

of one year or less.

A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward

Accounting for Derivative Instruments

In seeking to achieve

each Fund’s investment objective, the Sponsor uses a mathematical approach to investing.

Using this approach, the Sponsor determines

the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should

produce returns consistent with a Fund’s objective.

All open derivative positions

at period end are reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized a varying level of derivative

instruments in conjunction with investment securities in seeking to meet their investment objectives during the period.

While the volume

of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure

to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of

this report is generally representative of open positions throughout the reporting period.

Following is a description

of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to

each instrument type.

Futures Contracts

The Funds may enter into

futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying

A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity

and type of asset at a specified time and place.

The contractual obligations of a buyer or seller may generally be satisfied by taking

or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures

contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures

contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which

the transaction is affected.

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as

disclosed in the Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into futures contracts maintain

collateral at the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund generally agrees to receive

from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments

are known as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize a gain or loss upon

closing of a futures transaction.

Futures contracts involve,

41 unchanged sentences

to determine the realized gain (loss).

When a Fund purchases an

option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market

When a Fund purchases

an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market

to reflect the current value of the option.

56 unchanged sentences

on the notional amount the Funds may pay.

The net amount of the excess,

if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and

an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the

counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s entitlements

over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having

an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third

party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading

spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements”

The net amount of the

excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis

and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit

of the counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s

entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities

having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a

third party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or

trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements”

and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap

56 unchanged sentences

Fair Value of Derivative

Instruments as of September 30, 2022

Not Accounted

for as Hedging Instruments

Instruments as of March 31, 2023 (Unaudited)

Asset Derivatives

Liability Derivatives

Derivatives Not

Accounted for as

Hedging Instruments

Statements of

Financial Condition

Statements of

Financial Condition

VIX Futures Contracts

Receivables on open futures contracts, unrealized appreciation

on swap agreements

Payable on open futures contracts, unrealized depreciation

on swap agreements

-1x Short VIX

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

(15,416,375 )

$ (15,416,375 )

* Includes cumulative appreciation (depreciation) of futures

contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of

Financial Condition as variation margin receivable/payable.

Fair Values of Derivative Instruments as of December 31, 2022

Asset Derivatives

Liability Derivatives

Derivatives Not

Accounted for as

Hedging Instruments

Statements of

Financial Condition

Statements of

Financial Condition

VIX Futures Contracts

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

$ (9,203,522 )

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of Financial

Condition in receivable/payable on open futures.

* Includes cumulative appreciation (depreciation) of futures

contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of

Financial Condition as variation margin receivable/payable.

The Effect of Derivative

Instruments on the Statement of Operations

For the three months

ended September 30, 2022

Derivatives Not Accounted

for as Hedging Instruments

Location of Gain

(Loss) on Derivatives

Recognized in Income

Recognized in

(Depreciation)

Recognized in

For the three

months ended March 31, 2023 and March 31, 2022 (Unaudited)

Derivatives Not Accounted for as Hedging Instruments

Location of Gain (Loss) on Derivatives Recognized in Income

Realized Gain (Loss) on

Derivatives Recognized in Income 3/31/2023

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income 3/31/2023

Gain (Loss) on Derivatives Recognized in Income 3/31/2022

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income 3/31/2022

VIX Futures Contracts

5 unchanged sentences

( 6,212,853 )

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of Financial

Condition in receivable/payable on open futures.

The Effect of Derivative

Instruments on the Statement of Operations

For the three months

ended September 30, 2022

$ ( 37,942,701 )

Offsetting Assets and Liabilities

11 unchanged sentences

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2022.

Fair Values of Derivative Instruments as of September 30, 2022

Gross Amounts

of Recognized

Assets presented

under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2023 and December 31, 2022.

Fair Values of Derivative Instruments as of March 31, 2023 (Unaudited)

Statements of

Gross Amounts

Offset in the

Statements of

Net Amounts of Assets presented

Statements of

Gross Amounts

of Recognized

of Liabilities

Statements of

Gross Amounts

Offset in the

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Fair Values of Derivative Instruments as of December 31, 2022

Statements of

Net Amounts of

Statements of

of Liabilities

Statements of

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Asset (Liability) amounts shown in the table

below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2022.

These amounts may be collateralized

by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts

are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount” represent the

uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences related to

market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting

for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022

(Liabilities)

Asset (Liability)

amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2023

and December 31, 2022.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds

or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for

collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2023 (Unaudited)

Assets / (Liabilities)

presented in the

Statements of Financial

Instruments for the

Benefit of (the

Counterparties

Cash Collateral

for the Benefit of

(the Funds) / the

Counterparties

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

( 1,240,927 )

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022

Assets / (Liabilities)

presented in the

Statements of

(the Funds) /

Instruments for the

Benefit of (the

Counterparties

Cash Collateral

for the Benefit

of (the Funds) /

for the Benefit of

(the Funds) / the

Counterparties

5 unchanged sentences

Management Fee

SVIX pays the Sponsor a management fee (the “Management Fee”),

monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets.

UVIX pays the Sponsor a Management Fee,

monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

“Average daily net assets”

is calculated by dividing the month-end net assets of each Fund by the number of calendar days in such month.

SVIX pays the Sponsor

a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net

UVIX pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

“Average daily net assets” is calculated by dividing the month-end net assets of each Fund by the number of calendar days

in such month.

No other Management Fee is paid by the Funds.

1 unchanged sentence

paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays

Pursuant to the Sponsor Agreement between Sponsor and the Trust, on

behalf of the Funds, the Sponsor oversees and pays Milliman FRM (“Commodity Sub-Adviser”) for its services as Commodity Sub-Adviser.

The Commodity Sub-Adviser is paid by the Sponsor an annual sub-advisory fee of 0.25 % based on each Fund’s average daily net assets

(total assets of the Fund, minus the sum of its accrued liabilities).

The commodity sub-advisory fee is waived for the first 6 months

of each Fund’s operations or until a Fund reaches $ 35 million in average daily net assets.

The Funds do not directly pay the

Commodity Sub-Adviser.

Pursuant to the

Sponsor Agreement between Sponsor and the Trust, on behalf of the Funds, the Sponsor oversees and pays Penserra Capital Management

LLC (“Commodity Sub-Adviser”) for its services as Commodity Sub-Adviser.

The Commodity Sub-Adviser is paid by the

Sponsor an annual sub-advisory fee of 0.20 % based on each Fund’s average daily net assets (total assets of the Fund, minus the

sum of its accrued liabilities).

The Funds do not directly pay the Commodity Sub-Adviser.

Non-Recurring Fees and Expenses

66 unchanged sentences

Transaction fees for the three months ended

September 30, 2022 were as follows:

Three Months Ended

September 30,

March 31, 2023 and 2022 were as follows:

-1x Short VIX Futures ETF

1 unchanged sentence

NOTE 7 - FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding throughout

the three months ended September 30, 2022

Financial Highlights

-1x Short VIX

Selected data is for a Share outstanding throughout the Three Months

Ended March 31, 2023 and March 31, 2022.

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

September 30, 2022

Quarter Ended

Net Asset Value, Beginning of Period

3 unchanged sentences

Net Asset Value, End of Period

Market Value Per Share, at September 30, 2022 (3)

Market Value Per Share, at March 31, 2023 and March 31, 2022

Total Return at Net Asset Value (4)

3 unchanged sentences

Net Investment Loss

(1) Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(4) Percentages are not annualized for the period ended September 30, 2022.

(1) Net investment loss per share

represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share

transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at

the close of the applicable primary listing exchange, which may be later than when the Funds' net asset value is calculated.

(4) Percentages are not annualized

for the period ended March 31, 2023 and March 31, 2022.

(5) Percentages are annualized.

(6) The expense ratio would be 2.23% and 2.27% respectively, if brokerage commissions and futures and futures account fees were excluded.

(6) The expense ratio would be 2.30 %

and 2.19 % respectively, if brokerage commissions and futures and futures account fees were excluded.

(7) For 2x Long VIX Futures ETF, financial

highlights have been adjusted to reflect a 1:5 reverse stock split occurring on January 25, 2023, as if it occurred at the commentment

of operations.

NOTE 8 – RISK

273 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements