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Item 1. Financial Statements

2023-08-14 compared with 2023-05-15 · 965 added, 772 removed, 430 unchanged (80% of the section changed)

5 unchanged sentences

Statements of Assets and Liabilities

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

June 30, 2023 (Unaudited) and December 31, 2022

-1x Short VIX

2x Long VIX Futures ETF

-1x Short VIX

2x Long VIX Futures ETF

Investments in securities, at value*

7 unchanged sentences

$ 125,900,153

Variation margin payable

5 unchanged sentences

Licensing and registration fees payable

$ 107,037,859

Total Liabilities

$ 125,488,766

1 unchanged sentence

Paid-in capital

Total distributable earnings (accumulated deficit)

$ 360,476,596

$ 203,182,472

Total distributable earnings (accumulated deficit)

( 275,137,794 )

( 77,693,706 )

$ 125,488,766

Net Asset Value (unlimited shares authorized):

1 unchanged sentence

$ 125,488,766

Shares Outstanding^

4,290,000 (1)

Net Asset Value, Offering and Redemption Price per Share

1 unchanged sentence

* Investments in securities, at cost

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

Statements of Operations

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

-1x Short VIX

Quarter Ended

For the Three Months Ended June 30, 2023 and June

30, 2022 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

INVESTMENT INCOME

11 unchanged sentences

( 142,872,642 )

( 4,573,051 )

Net change in unrealized appreciation (depreciation) of:

3 unchanged sentences

( 147,247,303 )

( 3,737,244 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

1 unchanged sentence

$ ( 3,980,023 )

The Fund commenced operations on March 28, 2022.

Statement of Changes in Net Assets

For the Three Months Ended March 31, 2023 and March

Statements of Operations

For the Six Months Ended June 30, 2023 and June

30, 2022 (Unaudited)

1 unchanged sentence

-1x Short VIX

INVESTMENT INCOME

Interest income

Management fees

Administrative, accounting and custodian fees

Professional fees

Licensing and registration fees

Broker interest expense

Total Expenses

Net Investment loss

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

Net realized gain (loss) on:

Short Term Investments

( 186,102,397 )

( 4,577,129 )

Net change in unrealized appreciation (depreciation) of:

Short Term Investments

( 10,587,514 )

Net realized and unrealized gain (loss) on investments and futures contracts

( 196,689,911 )

( 3,876,598 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 197,444,087 )

$ ( 4,121,170 )

Statement of Changes in Net Assets

For the Three Months Ended June 30, 2023 and June

30, 2022 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

2 unchanged sentences

Quarter Ended

June 30, 2023

June 30, 2022

INCREASE (DECREASE) IN NET ASSETS:

2 unchanged sentences

$ ( 359,369 )

$ ( 242,779 )

$ ( 180,611 )

Net realized gain (loss) on investments and futures contracts

( 142,872,642 )

( 4,573,051 )

Net change in unrealized appreciation (depreciation) of investments and futures contracts

2 unchanged sentences

( 147,606,672 )

( 3,980,023 )

CAPITAL SHARE TRANSACTIONS

2 unchanged sentences

( 48,655,759 )

Net increase in net assets from capital share transactions

( 80,976,664 )

( 51,662,990 )

Net increase (decrease) in net assets from capital share transactions

( 38,399,448 )

Total increase (decrease) in net assets

( 2,339,049 )

( 21,699,057 )

Beginning of Period

End of Period

Statement of Changes in Net Assets

For the Six Months Ended June 30, 2023 and June

30, 2022 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

June 30, 2023

June 30, 2022

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

$ ( 538,029 )

The Fund commenced operations on March 28, 2022.

$ ( 754,176 )

$ ( 244,572 )

$ ( 182,387 )

Net realized gain (loss) on investments and futures contracts

( 186,102,397 )

( 4,577,129 )

Net change in unrealized appreciation (depreciation) of investments and futures

( 10,587,514 )

Net increase (decrease) in net assets resulting from operations

( 197,444,087 )

( 4,121,170 )

CAPITAL SHARE TRANSACTIONS

Shares redeemed

( 139,852,598 )

( 120,766,434 )

( 80,976,664 )

( 51,662,990 )

Net increase (decrease) in net assets from capital share transactions

( 21,352,139 )

Total increase (decrease) in net assets

( 40,149,964 )

Beginning of Period

End of Period

Statements of Cash Flows

For the Three Months Ended

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

For the Three Months Ended June 30, 2023 and June

30, 2022 (Unaudited)

-1x Short VIX

2x Long VIX Futures ETF

-1x Short VIX

Quarter Ended

CASH FLOW FROM OPERATING ACTIVITIES

2 unchanged sentences

$ ( 242,779 )

$ ( 180,611 )

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

2 unchanged sentences

( 170,380,218 )

( 86,248,199 )

( 60,472,471 )

Proceeds from sales or maturities of investments held

1 unchanged sentence

( 9,303,378 )

Decrease (Increase) in Variation margin receivable

Decrease (Increase) in interest receivable

( 4,573,051 )

Decrease (Increase) in other receivables

( 37,960,927 )

( 39,378,470 )

Decrease (Increase) in Prepaid expenses and other assets

Decrease (Increase) in Due from Other

Increase (Decrease) in Due to Custodian

( 3,086,000 )

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

Increase (Decrease) in Payable to Sponsor

Increase (Decrease) in Administrative, accounting and custodian fees payable

Increase (Decrease) in Professional fees payable

Increase (Decrease) in Licensing and registration fees payable

Net cash provided by (used in) operating activities

( 145,802,567 )

( 41,088,075 )

( 49,092,257 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Cost of shares redeemed

( 79,997,771 )

( 46,790,707 )

Net cash provided by (used in) financing activities

( 49,757,561 )

NET INCREASE (DECREASE) IN CASH

Beginning of Period

End of Period

Statements of Cash Flows

For the Six Months Ended June 30, 2023

and June 30, 2022 (Unaudited)

-1x Short VIX

Six Months Ended

June 30, 2023

June 30, 2022

CASH FLOW FROM OPERATING ACTIVITIES

Net increase (decrease) in net assets resulting from operations

$ ( 197,444,087 )

$ ( 4,121,170 )

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

Purchase of investments

( 227,091,533 )

( 309,353,524 )

( 87,243,243 )

( 60,968,753 )

Proceeds from sales or maturities of investments held

Decrease (Increase) in Deposits at broker for futures contracts

( 20,559,259 )

( 39,872,983 )

( 40,554,763 )

Decrease (Increase) in Variation margin receivable

( 1,242,108 )

( 1,433,096 )

Decrease (Increase) in interest receivable

9 unchanged sentences

Increase (Decrease) in Licensing and registration fees payable

Net cash used in operating activities

( 23,397,350 )

Net cash provided by (used in) operating activities

( 160,075,496 )

6 unchanged sentences

( 118,901,382 )

Net cash provided by financing activities

( 76,871,017 )

( 51,662,990 )

Net cash provided by (used in) financing activities

( 26,864,811 )

NET INCREASE (DECREASE) IN CASH

1 unchanged sentence

End of Period

The Fund commenced operations on March 28, 2022

Short VIX Futures ETF

-1x Short VIX Futures ETF

Schedule of Investments

March 31, 2023 (Unaudited)

SHORT TERM INVESTMENT -7.29%

Money Market Fund - 7.29%

First American Government Obligations Fund, 4.65 % (a)

TOTAL SHORT TERM INVESTMENT (Cost $ 5,440,556 )

June 30, 2023 (Unaudited)

TOTAL INVESTMENTS (Cost $0) 0.0%

Other Assets in Excess of Liabilities - 92.71 % (b)

Other Assets in Excess of Liabilities - 100 .0% (a)

TOTAL NET ASSETS - 100 .0%

Percentages are stated as a percent of net assets.

(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

(a) $68,703,813 of cash is pledged as collateral for futures

-1x Short VIX Futures ETF

Short Futures Contracts

March 31, 2023 (Unaudited)

Appreciation/

(Depreciation)

June 30, 2023 (Unaudited)

Unrealized Appreciation/ (Depreciation)

CBOE VIX Futures

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

Expiring July 2023 (Underlying Face Amount at Market Value $38,772,300)

CBOE VIX Futures

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

Expiring August 2023 (Underlying Face Amount at Market Value $30,805,880)

See accompanying notes to financial statements

5 unchanged sentences

TOTAL NET ASSETS - 100 %

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

(a) $48,144,554

of cash os pledged as collateral for futures contracts

-1x Short VIX Futures ETF

1 unchanged sentence

December 31, 2022

Appreciation/

Unrealized Appreciation/

(Depreciation)

6 unchanged sentences

Schedule of Investments

March 31, 2023 (Unaudited)

June 30, 2023 (Unaudited)

SHORT TERM INVESTMENT - 11.2%

5 unchanged sentences

TOTAL NET ASSETS - 100.0 %

$ 107,037,859

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.

(a) Represents annualized seven-day yield at June 30, 2023 (Unaudited)

(b) $83,302,779 of cash is pledged as collateral for futures

2x Long VIX Futures ETF

Long Futures Contracts

March 31, 2023 (Unaudited)

Appreciation/

(Depreciation)

June 30, 2023 (Unaudited)

Unrealized Appreciation/ (Depreciation)

CBOE VIX Futures

$ ( 16,558,756 )

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

Expiring July 2023 (Underlying Face Amount at Market Value $95,149,320)

CBOE VIX Futures

( 3,232,280 )

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

Expiring August 2023 (Underlying Face Amount at Market Value $75,632,280)

$ ( 19,791,036 )

13 unchanged sentences

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

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

(b) $114,821,272 of cash is pledged as collateral for futures contracts.

2x Long VIX Futures ETF

9 unchanged sentences

$ ( 9,203,522 )

See accompanying notes to financial statements

NOTES TO FINANCIAL

March 31, 2023

See accompanying notes to

financial statements

NOTES TO FINANCIAL STATEMENTS

June 30, 2023

NOTE 1 – ORGANIZATION

2 unchanged sentences

collectively, the “Funds”).

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

As of June 30, 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”).

3 unchanged sentences

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.

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.

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”)

4 unchanged sentences

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.

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.

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

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

These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

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.

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.”

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.

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.

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.

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.

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;

however, the Trust expects any risk

of loss to be remote.

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.

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

3 unchanged sentences

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.

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

30, 2023 and December 31, 2022, 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.

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 June

30, 2023 were typically as follows.

All times are Eastern Standard Time:

2 unchanged sentences

-1x Short VIX Futures ETF and

March 31, 2023

June 30, 2023

2x Long VIX Futures ETF

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.

June 30, 2023

* Although 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 June

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 June 30, 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.

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.

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 cost.

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).

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

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

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);

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:

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

at the measurement date.

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

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 entirety.

Fair value measurements also require additional

1 unchanged sentence

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)

The following table summarizes the valuation of investments

at June 30, 2023 (unaudited) and December 31, 2022 using the fair value hierarchy:

June 30, 2023 (Unaudited)

December 31, 2022

5 unchanged sentences

$ ( 13,272,457 )

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.

$ ( 3,754,909 )

$ ( 8,047,416 )

* 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 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.

Investment transactions are recorded on the trade

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

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.

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.

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.

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 Fees

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 U.S.

Futures Trading Commission (“CFTC”) regulated investments.

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).

The Sponsor is

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

than 0.03 % and 0.00 %, 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.

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.

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.

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.

Accordingly, no Fund expects to incur U.S.

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.

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

The 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.

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.

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,

to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility

risk) and exposure to loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure

each Fund has in the particular classes of instruments.

Additional risks associated with the use of futures contracts are imperfect correlation

between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility

of an illiquid market for a futures contract.

With futures contracts, there is minimal but some counterparty risk to the Funds since futures

contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself.

exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day.

daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended

for specified times during the trading day.

Futures contracts prices could move to the limit for several consecutive trading days with

little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund

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 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 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

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, to varying degrees,

elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to

loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure each Fund has

in the particular classes of instruments.

Additional risks associated with the use of futures contracts are imperfect correlation between

movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid

market for a futures contract.

With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts

are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself.

Many futures exchanges

and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day.

Once the daily limit

has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for

specified times during the trading day.

Futures contracts prices could move to the limit for several consecutive trading days with little

or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund

will be required to make daily cash payments of variation margin.

2 unchanged sentences

Option Contracts

An option is a contract

that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific

(or strike) price within a specified period of time, regardless of the market price of that instrument.

An option is a contract that gives the buyer the

right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price

within a specified period of time, regardless of the market price of that instrument.

There are two types of options:

calls and puts.

A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any

A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the

life of the option.

A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any

time during the life of the option.

A put option conveys to the option buyer the right to sell a particular futures contract at a stated

price at any time during the life of the option.

Options written by a Fund may be wholly or partially covered (meaning that the Fund holds

an offsetting position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s entire investment

(i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the

option expires.

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin,

and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price

which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call

or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option

Premiums received from writing options which expire are treated as realized gains.

Premiums received from writing options which

are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap or security transaction

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

to reflect the current value of the option.

Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting

position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the

premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires.

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk

of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon

exercise of the option, be significantly different from the market value.

When a Fund writes a call or put, an amount equal

to the premium received is recorded and subsequently marked to market to reflect the current value of the option written.

Premiums received

from writing options which expire are treated as realized gains.

Premiums received from writing options which are exercised or closed

are added to the proceeds or offset against amounts paid on the underlying futures, swap or security transaction to determine the realized

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.

Premiums paid for purchasing options which expire are treated as realized losses.

associated with purchasing put and call options is limited to the premium paid.

Premiums paid for purchasing options which are exercised

or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized

gain (loss) when the underlying transaction is executed.

Certain options transactions

may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or

The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of

a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility

of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the

options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may

contribute to tracking error.

The risk associated with purchasing

put and call options is limited to the premium paid.

Premiums paid for purchasing options which are exercised or closed are added to the

amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying

transaction is executed.

Certain options transactions may subject the writer

(seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered.

a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying

benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying

benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the options should not be expected

to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error.

Options may be less liquid than certain other securities.

A Fund’s ability to trade options will be

dependent on the willingness of counterparties to trade such options with the Fund.

In a less liquid market for options, a Fund may have

difficulty closing out certain option positions at desired times and prices.

A Fund may experience substantial downside from specific

option positions and certain option positions may expire worthless.

Over-the-counter options generally are not assignable except by agreement

between the parties concerned, and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for

options is relatively illiquid, particularly for relatively small transactions.

The use of options transactions exposes a Fund to liquidity

risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss.

The Funds may buy and sell

options on futures contracts, which may present even greater volatility and risk of loss.

A Fund’s ability to trade options will be dependent on the willingness

of counterparties to trade such options with the Fund.

In a less liquid market for options, a Fund may have difficulty closing out certain

option positions at desired times and prices.

A Fund may experience substantial downside from specific option positions and certain option

positions may expire worthless.

Over-the-counter options generally are not assignable except by agreement between the parties concerned,

and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for options is relatively illiquid,

particularly for relatively small transactions.

The use of options transactions exposes a Fund to liquidity risk and counterparty credit

risk, and in certain circumstances may expose the Fund to unlimited risk of loss.

The Funds may buy and sell options on futures contracts,

which may present even greater volatility and risk of loss.

Swap Agreements

The Funds may enter into

swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying

Index or to create an economic hedge against a position.

Swap agreements are two-party contracts that have traditionally been entered

into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day

to more than one year.

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides

for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated

market and/or to clear such transactions through a CFTC-regulated central clearing organization.

In a standard swap transaction, two parties

agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed

or floating rate of return in respect of a predetermined notional amount.

Transaction or commission costs are reflected in the benchmark

level at which the transaction is entered into.

The gross returns to be exchanged are calculated with respect to a notional amount and

the benchmark returns to which the swap is linked.

The Funds may enter into swap agreements for purposes

of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index or to create an

economic hedge against a position.

Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional

investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year.

Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC

derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions

through a CFTC-regulated central clearing organization.

In a standard swap transaction, two parties agree to exchange the returns earned

or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect

of a predetermined notional amount.

Transaction or commission costs are reflected in the benchmark level at which the transaction is entered

The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is

Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements

entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single

Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net

amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”).

In a typical swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level of the benchmark

increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted

for any transaction costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement entered into by SVIX,

the Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be

entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads

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.

Generally, swap agreements entered into by the

Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment.

Consequently,

each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or

received under the agreement based on the relative values of such obligations (or rights) (the “net amount”).

swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level of the benchmark increases and

would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction

costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement entered into by SVIX, the Fund would be

required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement

payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount

the Funds may pay.

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

agreements are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain

various conditions, events of default, termination events, covenants and representations.

The triggering of certain events or the default

on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in

an amount equal to the net positions owed to the party under the agreement.

This could cause a Fund to have to enter into a new transaction

with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through

any number of different investments or investment techniques.

Swap agreements involve,

to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts

reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of

the underlying reference Index and the inability of counterparties to perform.

Each Fund bears the risk of loss of the amount expected

to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically

enter into swap agreements only with major global financial institutions.

The creditworthiness of each of the firms that is a party to

a swap agreement is monitored by the Sponsor.

The Sponsor may use various techniques to minimize credit risk including early termination

and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral

to be posted by the counterparty in an amount approximately equal to that owed to the Funds.

Outstanding swap agreements contractually

terminate within one month but may be terminated without penalty by either party at any time.

Upon termination, the Fund is obligated

to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable,

collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial

Condition or Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions is held for the

benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the

The collateral held in this account is restricted as to its use.

In the event of a default by the counterparty, the Funds will

seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds

may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding.

The Funds may obtain

only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject

to credit risk with respect to the amount they expect to receive from counterparties.

However, the Funds have sought to mitigate these

risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit

of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum

In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty,

generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and

the delivery of such collateral.

To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as

described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.

The counterparty/credit

risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted

for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as

each party to a trade looks only to the clearing organization for performance of financial obligations.

In addition, cleared derivative

transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Fair Value of Derivative

Instruments as of March 31, 2023 (Unaudited)

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 agreements are generally valued

at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events

of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms of the

agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net

positions owed to the party under the agreement.

This could cause a Fund to have to enter into a new transaction with the same counterparty,

enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments

or investment techniques.

Swap agreements involve, to varying degrees, elements

of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent of the total

investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

Additional risks associated with the

use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index

and the inability of counterparties to perform.

Each Fund bears the risk of loss of the amount expected to be received under a swap agreement

in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically enter into swap agreements only with

major global financial institutions.

The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the

The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties,

limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an

amount approximately equal to that owed to the Funds.

Outstanding swap agreements contractually terminate within one month but may be

terminated without penalty by either party at any time.

Upon termination, the Fund is obligated to pay or receive the “unrealized

appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements

by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated

tri-party account at the Custodian to protect the counterparty against non-payment by the Funds.

The collateral held in this account is

restricted as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated

account and may incur certain costs in exercising its right with respect to the collateral.

If a counterparty becomes bankrupt or otherwise

fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery

in a bankruptcy or other reorganizational proceeding.

The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect

to the amount they expect to receive from counterparties.

However, the Funds have sought to mitigate these risks in connection with OTC

swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market

daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds.

In the event of

a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the

day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such

To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including

the possible delays in recovering amounts as a result of bankruptcy proceedings.

The counterparty/credit risk for cleared derivative

transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty

to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade

looks only to the clearing organization for performance of financial obligations.

In addition, cleared derivative transactions benefit

from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Fair Values of Derivative Instruments as of June 30, 2023 (Unaudited)

Asset Derivatives

4 unchanged sentences

Statements of

Financial Condition

Condition Location

Statements of

Financial Condition

Condition Location

VIX Futures Contracts

1 unchanged sentence

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.

* 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.

Fair Values of Derivative Instruments as of December 31, 2022

5 unchanged sentences

Statements of

Financial Condition

Condition Location

Statements of

Financial Condition

Condition Location

VIX Futures Contracts

1 unchanged sentence

2x Long VIX Futures ETF

* 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 June 30, 2023 (Unaudited) and June 30, 2022 (Unaudited)

Derivatives Not

Accounted for as Hedging Instruments

Location of Gain (Loss) on Derivatives Recognized in Income

Realized Gain

Derivatives Recognized

(Depreciation)

on Derivatives

Realized Gain

(Depreciation)

on Derivatives

VIX Futures Contracts

Net realized gain (loss) on futures contracts/changes in unrealized appreciation (depreciation) on futures contracts

-1x Short VIX Futures ETF

$ ( 811,301 )

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

Derivatives Not Accounted for as Hedging Instruments

$ ( 4,573,051 )

2x Long VIX Futures ETF

( 142,872,642 )

( 4,374,661 )

$ ( 105,708,191 )

$ ( 5,185,962 )

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 Six Months Ended June 30, 2023 (Unaudited) and June 30, 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

Realized Gain

(Depreciation)

on Derivatives

Recognized in

Realized Gain

(Depreciation)

on Derivatives

VIX Futures Contracts

Net realized gain (loss) on futures contracts and/or swap agreements/changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements

Net realized gain (loss) on futures contracts/changes in unrealized appreciation (depreciation) on futures contracts

-1x Short VIX Futures ETF

4 unchanged sentences

$ ( 143,650,892 )

$ ( 5,225,041 )

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.

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements

or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination.

party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party.

The master netting

agreements or similar arrangements do not apply to amounts owed to/from different counterparties.

As described above, the Funds utilize

derivative instruments to achieve their investment objective during the year.

The amounts shown in the Statements of Financial Condition

do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds

do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.

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 March 31, 2023 and December 31, 2022.

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

Statements of

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed

between each Fund and the counterparty to be netted upon an early termination.

The party that has the larger payable pays the excess of

the larger amount over the smaller amount to the other party.

The master netting agreements or similar arrangements do not apply to amounts

owed to/from different counterparties.

As described above, the Funds utilize derivative instruments to achieve their investment objective

during the year.

The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable

master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative

liabilities that are subject to netting arrangements in the Statements of Financial Condition.

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 June 30, 2023 and December 31, 2022.

Fair Values of Derivative Instruments as of June 30, 2023 (Unaudited)

of Liabilities

Statements of

-1x Short VIX Futures ETF

1 unchanged sentence

Fair Values of Derivative Instruments as of December 31, 2022

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 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.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at

June 30, 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

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 June 30, 2023 (Unaudited)

(Liabilities)

for the Benefit

of (the Funds) / the

Counterparties

Cash Collateral

for the Benefit of

Collateral for

the Benefit of

(the Funds) / the

5 unchanged sentences

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

Assets / (Liabilities)

presented in the

Statements of

Instruments for the

Benefit of (the

(Liabilities)

for the Benefit

Counterparties

Cash Collateral

for the Benefit of

Collateral for

the Benefit of

(the Funds) / the

6 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

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.

The Management Fee is

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 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 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

“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 Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided

to the Fund that the Sponsor pays directly.

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

Each Fund pays all its non-recurring and unusual

fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses that are unexpected

or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not

currently anticipated obligations of the Funds.

Each Fund pays all its non-recurring

and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses

that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material

expenses which are not currently anticipated obligations of the Funds.

The Administrator, Transfer Agent and Custodian

Bancorp Fund Services, LLC, doing business as U.S.

Global Fund Services (“Fund Services”), an indirect subsidiary of U.S.

Bancorp, serves as the Fund’s fund accountant,

administrator and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing

Bancorp Fund Services, LLC,

doing business as U.S.

Bank Global Fund Services (“Fund Services”), an indirect subsidiary of U.S.

Bancorp, serves as

the Fund’s fund accountant, administrator and transfer agent pursuant to certain fund accounting servicing, fund

administration servicing and transfer agent servicing agreements.

Bank National Association, a subsidiary of U.S.

Bancorp and parent company of Fund Services, intends to serve

as the Fund’s custodian pursuant to a custody agreement.

parent company of Fund Services, intends to serve as the Fund’s custodian pursuant to a custody agreement.

The Marketing Agent

Foreside Fund Services, LLC (the “Marketing Agent”) serves

as the Marketing Agent of the Funds.

Foreside Fund Services, LLC (the

“Marketing Agent”) serves as the Marketing Agent of the Funds.

Its principal duties are:

(i) to work with the Transfer Agent to review and approve orders placed

by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations of Creation Unit creation

and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications links with

the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable SEC and

FINRA advertising rules.

The Marketing Agent retains all marketing materials separately for

the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine 04101.

As compensation for the services it provides, the Marketing Agent receives

a fee from the Funds.

(i) to work with the Transfer Agent

to review and approve orders placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations

of Creation Unit creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications

links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable

SEC and FINRA advertising rules.

The Marketing Agent retains all marketing

materials separately for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine 04101.

As compensation for the services it provides, the Marketing

Agent receives a fee from the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds

over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge its Management

Fee in the first year of operations of a Fund in an amount equal to the offering costs.

Normal and expected expenses incurred in connection

with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION

OF CREATION UNITS

Each Fund issues and redeems shares from time

to time, but only in one or more Creation Units.

Offering costs will be amortized

by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge

its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs.

Normal and expected expenses incurred

in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares

from time to time, but only in one or more Creation Units.

A Creation Unit is a block of at least 10,000 Shares of a Fund.

Creation Units may be

created or redeemed only by Authorized Participants.

Except when aggregated in Creation Units,

the Shares are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares directly

from or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker.

Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed

on purchases and redemptions is not relevant to retail investors.

Creation Units

may be created or redeemed only by Authorized Participants.

Except when aggregated in Creation

Units, the Shares are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares

directly from or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of

Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees

imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption

The manner by which Creation Units are purchased

or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook.

a purchase order, an Authorized Participant agrees to:

The manner by which Creation Units are purchased or redeemed is governed by the

terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook.

By placing a purchase order, an Authorized

Participant agrees to:

(1) deposit cash with the Custodian;

and (2) if permitted by the Sponsor in its

sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund

whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near

the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fee up to

0.20 % of the value of each order they place with each order to create or redeem a Creation Unit in order to compensate the Administrator,

the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units

and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted by

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the

secondary market.

Transaction fees for the three months ended

March 31, 2023 and 2022 were as follows:

and (2) if permitted by the Sponsor in its sole discretion, enter into or

arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant

would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such

contracts on the purchase order date.

Authorized Participants may pay a fee up to 0.20 % of the value of each order they place with each

order to create or redeem a Creation Unit in order to compensate the Administrator, the Custodian and the Transfer Agent of each Fund

and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing

derivative positions, unless the transaction fee is waived or otherwise adjusted by the Sponsor.

The Sponsor provides such Authorized

Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee.

Authorized Participants may sell the

Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three months ended June 30, 2023

and June 30, 2022 were as follows.

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Transaction fees for the Six months ended June 30, 2023 and

June 30, 2022 were as follows.

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

NOTE 7 - FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding throughout the Three Months

Ended March 31, 2023 and March 31, 2022.

Ended June 30, 2023 (Unaudited) and June 30, 2022 (Unaudited)

-1x Short VIX Futures ETF

11 unchanged sentences

Net Asset Value, End of Period

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

Market Value Per Share, at June 30, 2023 and June 30, 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 March 31, 2023 and March 31, 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 June 30,

2023 and June 30, 2022

(5) Percentages are annualized.

(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.

(6) The expense ratio would be 2.17 % and 2.09 % respectively, for

the three months ended June 30, 2023, and 2.00 % and 2.81 % for the three months ended June 30, 2022 if brokerage commissions and futures

and futures account fees were excluded.

Selected data is for a Share outstanding throughout the Six Months

Ended June 30, 2023 (Unaudited) and June 30, 2022 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

Net Asset Value, Beginning of Period

Net investment loss (1)

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

Net Increase (Decrease) in Net Asset Value Resulting from Operations

Net Asset Value, End of Period

Market Value Per Share, at June 30, 2023 and June 30, 2022

Total Return at Net Asset Value (4)

Total Return at Market Value (4)

Ratios to Average Net Assets:

Expense ratio (6)

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 June 30,

2023 and June 30, 2022

(5) Percentages are annualized.

(6) The expense ratio would be 2.23% and 2.13% respectively, for

the six months ended June 30, 2023, and 2.01% and 2.84% for the six months ended June 30, 2022 if brokerage commissions and futures and

futures account fees were excluded.

(7) For 2x Long VIX Futures ETF, fianancial highlights have been

adjusted to reflect a 1:5 reverse stock split occurring on January 25, 2023, as if it occurred at the commencment of operations.

NOTE 8 – RISK

Correlation and Compounding Risk

The Funds do not seek to achieve their stated

investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually

will differ in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for

A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time

even if the performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing,

the benchmark’s volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and

losses and income to the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce

the principal amount invested from which the subsequent period’s returns are calculated.

The effects of compounding will likely

cause the performance of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will

impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the benchmark

during the holding period of an investment in the Fund.

Longer holding periods, higher benchmark volatility, inverse exposure and greater

leverage each affect the impact of compounding on a Fund’s returns.

Daily compounding of a Fund’s investment returns can dramatically

and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important to a Fund’s

return for a period as the return of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce

daily returns that are more volatile than that of its benchmark.

For example, the daily return of UVIX should be approximately two times

as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.

The daily return of SVIX is

designed to return the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark.

The Funds are not appropriate for all investors and present significant risks not applicable to other types of funds.

Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage.

An investor should only

consider an investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results.

Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment

objectives, there is no guarantee they will do so.

The Funds do not seek to achieve their stated investment objective over a period

of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Fund for a period longer

than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even

direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for the period.

A Fund will lose money if

its benchmark performance is flat over time, and it is possible for a Fund to lose money over time even if the performance of its benchmark

increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing, the benchmark’s volatility,

compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and losses and income to the principal

amount invested over time.

Gains or losses experienced over a given period will increase or reduce the principal amount invested from

which the subsequent period’s returns are calculated.

The effects of compounding will likely cause the performance of a Fund to

differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding becomes

more pronounced as benchmark volatility and holding period increase.

The impact of compounding will impact each shareholder differently

depending on the period of time an investment in a Fund is held and the volatility of the benchmark during the holding period of an investment

Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding

on a Fund’s returns.

Daily compounding of a Fund’s investment returns can dramatically and adversely affect its longer-term

performance during periods of high volatility.

Volatility may be at least as important to a Fund’s return for a period as the return

of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce daily returns that are more volatile than that of

its benchmark.

For example, the daily return of UVIX should be approximately two times as volatile on a daily basis as is the return of

a fund with an objective of matching the same benchmark.

The daily return of SVIX is designed to return the inverse (-1x) of the return

that would be expected of a fund with an objective of matching the same benchmark.

The Funds are not appropriate for all investors and

present significant risks not applicable to other types of funds.

The Funds use leverage and are riskier than similarly benchmarked exchange-traded

funds that do not use leverage.

An investor should only consider an investment in a Fund if he or she understands the consequences of

seeking daily leveraged or daily inverse investment results.

Shareholders who invest in the Funds should actively manage and monitor their

investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so.

Factors that may affect a Fund’s ability to meet its investment objective include:

(1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective;

an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(1) the Sponsor’s ability to purchase and

sell Financial Instruments in a manner that correlates to a Fund’s objective;

(2) an imperfect correlation between the performance

of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(3) bid-ask spreads on such Financial Instruments;

(4) fees, expenses, transaction costs, financing costs associated with the use of Financial

Instruments and commission costs;

(5) holding or trading instruments in a market that has become illiquid or disrupted;

Share prices being rounded to the nearest cent and/or valuation methodology;

(7) changes to a benchmark Index that are not disseminated

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory

or tax law requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability

of the Fund to execute intended portfolio transactions;

(4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs;

or trading instruments in a market that has become illiquid or disrupted;

(6) a Fund’s Share prices being rounded to the nearest

cent and/or valuation methodology;

(7) changes to a benchmark Index that are not disseminated in advance;

(8) the need to conform a Fund’s

portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements;

(9) early and unanticipated

closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions;

(10) accounting standards;

and (11) differences caused by a Fund obtaining exposure

to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark

or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Fund’s

ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree

of correlation.

Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective.

achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep exposure

consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark may prevent such Funds from achieving

a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts of assets into or out of the Funds, regulatory

restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite

The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day.

being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark

at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are

volatile near the close of the trading day.

Each Fund seeks to rebalance its portfolio

on a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions

and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance their portfolios as frequently, each

Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to

the underlying benchmarks.

and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components

of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included

in a benchmark.

A number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and

there can be no guarantee that a Fund will achieve a high degree of correlation.

Failure to achieve a high degree of correlation may prevent

a Fund from achieving its investment objective.

In order to achieve a high degree of correlation with their underlying benchmarks, the

Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives.

Being materially under- or

over-exposed to the benchmark may prevent such Funds from achieving a high degree of correlation with such benchmark.

Market disruptions

or closure, large amounts of assets into or out of the Funds, regulatory restrictions, extreme market volatility, and other factors will

adversely affect such Funds’ ability to adjust exposure to requisite levels.

The target amount of portfolio exposure is impacted

dynamically by the benchmarks’ movements during each day.

Other things being equal, more significant movement in the value of its

benchmark up or down will require more significant adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds

will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially

under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

Each Fund seeks to

rebalance its portfolio on a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending

upon market conditions and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance their portfolios

as frequently, each Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate

exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap

agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means

to achieve their respective investment objectives.

Each Fund may use derivatives such

as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein

as a means to achieve their respective investment objectives.

The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets

and have only recently become subject to comprehensive regulation in the United States.

Cash-settled forwards are generally regulated

as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other

than currencies) or subject to the federal securities laws (in the case of securities).

Derivatives are generally traded

in OTC markets and have only recently become subject to comprehensive regulation in the United States.

Cash- settled forwards are generally

regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities

other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title

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and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to

all of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection of CFTC

regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements

or forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain circumstances,

including in the event of trading abuses or financial failure by participants.

As noted, the CFTC rules may not

apply to all of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection

of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s

swap agreements or forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain

circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk

of the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation

in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives, the Funds will be subject to the credit

risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject to

increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of

that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due

to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in

a Fund may decline.

The Funds have sought to mitigate these risks

by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily,

subject to certain minimum thresholds.

However, there are no limitations on the percentage of assets each Fund may invest in swap agreements

or forward contracts with a particular counterparty.

To the extent any such collateral is insufficient or there are delays in accessing

the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as

a result of bankruptcy proceedings.

The Funds will be subject to the

credit risk of the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will have credit risk to the clearing

corporation in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives, the Funds will be subject to

the credit risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is

subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into

as part of that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations

due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment

in a Fund may decline.

The Funds have sought to mitigate

these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked

to market daily, subject to certain minimum thresholds.

However, there are no limitations on the percentage of assets each Fund may invest

in swap agreements or forward contracts with a particular counterparty.

To the extent any such collateral is insufficient or there are

delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering

amounts as a result of bankruptcy proceedings.

The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized

by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and

conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such

as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various conditions,

events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms

of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to

the net positions owed to the party under the agreement.

OTC derivatives of the type that

may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have

uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit

support, such as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various

conditions, events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain

terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal

to the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday

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intraday move by the end of the day.

In addition, cleared derivatives benefit from

daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent the

Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are

required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

Cleared swap customer

collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions

In addition, cleared derivatives

benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts,

which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions

but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default.

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the Funds to suffer a loss.

The Sponsor regularly reviews the performance

of its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers

the addition of new counterparties and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio

holdings as of the prior Business Day.

The Sponsor regularly reviews the performance of its counterparties

for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers the addition of new counterparties

and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio holdings as of the prior Business

Each Fund’s portfolio holdings identifies its counterparties, as applicable.

This portfolio

holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

Each counterparty and/or any of its affiliates

may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

This portfolio holdings information may be accessed

through the web on the Sponsor’s website at www.volatilityshares.com.

Each counterparty and/or any of its affiliates may be an

Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives

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Leverage Risk

The Funds may utilize leverage in seeking

to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment

objectives than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged positions increases the risk of total

loss of an investor’s investment, even over periods as short as a single day.

For example, because UVIX includes a two times

(2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss

or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an

investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of

the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund or upward single-day

or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than zero at all times.

may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse

to their respective daily investment objectives than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged

positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

For example, because UVIX includes

a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the

total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund

in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or

a portion of the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund

or upward single-day or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than

zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated

at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at

a reasonable cost.

Financial Instruments cannot always

be liquidated at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively small volume of

buy and sell orders in a market.

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract

counterparty at a reasonable cost.

Market illiquidity may cause losses for the Funds.

The large size of the positions which the Funds may acquire increases

the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial

Instruments related to one benchmark, which in many cases is highly concentrated.

The large size of the positions which the Funds

may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred

while trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically

invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation”

The Funds typically hold futures contracts.

The Funds typically hold futures

As the futures contracts near expiration, they are generally replaced by contracts that have a later expiration.

Thus, for example, a

contract purchased and held in November 2019 may specify a January 2020 expiration.

As that contract nears expiration, it may be replaced

by selling the January 2020 contract and purchasing the contract expiring in March 2020.

example, a contract purchased and held in November 2019 may specify a January 2020 expiration.

As that contract nears expiration, it may

be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020.

This process is referred to as “rolling.”

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exist in these markets at all times.

Since the introduction of VIX futures contracts,

there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time.

This can result

in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely affect

the value of a Fund and, accordingly, decrease the return of a Fund.

Since the introduction of VIX

futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in

This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable

Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely

affect the value of a Fund and, accordingly, decrease the return of a Fund.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as

earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including

pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets

and have recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster and

health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays,

Natural or environmental disasters,

such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease,

including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and

markets and have recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster

and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays,

shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding

16 unchanged sentences

on a Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations

Could Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain

the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic

activity in some instances has essentially ceased.

Financial markets across the globe are experiencing severe distress at least equal

to what was experienced during the global financial crisis in 2008.

Risk that Current Assumptions and Expectations Could

Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus

(COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow

and contain the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies

as economic activity in some instances has essentially ceased.

Financial markets across the globe are experiencing severe distress at

least equal to what was experienced during the global financial crisis in 2008.

In March 2020, U.S.

equity markets entered a bear market in the fastest

such move in the history of U.S.

equity markets entered a bear market

in the fastest such move in the history of U.S.

financial markets.

Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced

shocks to supply and demand, impacting the price and volatility of oil.

The global economic shocks being experienced as of the date hereof

may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant

Contemporaneous with the onset of the COVID-19 pandemic in the US,

oil experienced shocks to supply and demand, impacting the price and volatility of oil.

The global economic shocks being experienced as

of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting

in significant losses.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of

subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were

Management has evaluated the possibility

of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements

Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’

1 unchanged sentence

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