VS Trust 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Equity Market Volatility Sensitivity Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each Fund is exposed to equity market volatility risk through its holdings of Financial Instruments. The tables below provide information about each Fund’s Financial Instruments. As of June 30, 2024 (Unaudited) and December 31, 2023, each of the Fund’s positions were as follows: -1x Short VIX Futures ETF As of June 30, 2024, SVIX was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of June 30, 2024 (Unaudited) and December 31, 2023, which were sensitive to equity market volatility risk. Futures Positions as of June 30, 2024 (Unaudited) Contract Long or Short Expiration Date Contracts Sold Valuation Price Contract Multiplier Notional Amount at Value CBOE Volatility Index Short 7/17/2024 (7,528 ) $ 13.94 1,000 $ (104,940,320 ) CBOE Volatility Index Short 8/21/2024 (5,475 ) 14.90 1,000 (81,577,500 ) Futures Positions as of December 31, 2023 Contract Long or Short Expiration Date Contracts Sold Valuation Price Contract Multiplier Notional Amount at Value CBOE Volatility Index Short 1/17/2024 (5,055 ) $ 14.04 1,000 $ (70,972,200 ) CBOE Volatility Index Short 2/14/2024 (3,538 ) 15.29 1,000 (54,096,020 ) - 7 - The short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have -$1.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 2x Lon g VIX Futures ETF As of June 30, 2024, UVIX was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and December 31, 2023, which were sensitive to equity market volatility risk. Futures Positions as of June 30, 2024 (Unaudited) Contract Long or Short Expiration Date Contracts Sold Valuation Price Contract Multiplier Notional Amount at Value CBOE Volatility Index Long 7/17/2024 6,654 $ 13.94 1,000 $ 92,756,760 CBOE Volatility Index Long 8/21/2024 4,839 14.90 1,000 72,101,100 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Sold Valuation Price Contract Multiplier Notional Amount at Value CBOE Volatility Index Long 1/17/2024 5,633 $ 14.04 1,000 $ 79,087,320 CBOE Volatility Index Long 2/14/2024 3,943 15.29 1,000 60,288,470 The futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K.