VS Trust 10-Q

Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: -1x Short VIX Futures ETF F-5 2x Long VIX Futures ETF F-9 Notes to Financial Statements F-13 - 1 - VS Trust Statements of Assets and Liabilities March 31, 2025 (Unaudited) and December 31, 2024 -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF March 31, 2025 March 31, 2025 December 31, December 31, (Unaudited) (Unaudited) 2024 2024 ASSETS Cash $ - $ - $ - $ 1,189,437 Investments in securities, at value * 111,792,800 67,740,523 114,106,682 52,819,184 Interest receivable 627,407 376,070 595,610 383,703 Prepaid expenses and other assets 23,434 65,408 13,472 52,844 Receivable for shares sold 20,319,300 - - - Deposits at Broker for Futures and Options Contracts 154,592,364 124,451,291 206,471,251 130,007,592 Variation margin receivable 1,471,674 - - 4,152,478 Other receivable 6,096 4,894 4,952 - Total Assets $ 288,833,075 $ 192,638,186 $ 321,191,967 $ 188,605,238 LIABILITIES Payables Variation margin payable $ - $ 2,191,128 3,655,035 $ - Fund shares redeemed - 16,314,232 16,505,580 - Management fees payable 374,256 187,213 350,201 318,004 Administrative, accounting and custodian fees payable 107,712 22,490 69,969 16,395 Professional fees payable 249,993 366,015 313,037 444,580 Licensing and registration fees payable 214,514 145,822 174,322 115,000 Total Liabilities 946,475 19,226,900 21,068,144 893,979 NET ASSETS $ 287,886,600 $ 173,411,286 $ 300,123,823 $ 187,711,259 NET ASSETS CONSIST OF: Paid-in capital $ 193,245,168 $ 478,761,369 $ 173,281,568 $ 574,080,151 Total distributable earnings (accumulated deficit) 94,641,432 ( 305,350,083 ) 126,842,255 ( 386,368,892 ) Net Assets $ 287,886,600 $ 173,411,286 $ 300,123,823 $ 187,711,259 Net Asset Value (unlimited shares authorized): Class I (unlimited shares authorized): Net Assets $ 287,886,600 $ 173,411,286 $ 300,123,823 $ 187,711,259 Shares Outstanding^ 14,170,000 4,677,473 (1) 11,820,000 5,531,498 (1) Net Asset Value, Offering and Redemption Price per Share $ 20.32 $ 37.07 (1) $ 25.39 $ 33.93 (1) Market Value per Share (Note 2) $ 20.34 $ 37.24 (1) $ 25.37 $ 34.00 (1) *Investments in securities, at cost 111,569,643 67,740,523 113,974,059 52,819,184 ^ No Par Value (1) Adjusted to reflect a 1:10 reverse stock split on January 15, 2025, as if it occured at the commencement of operations. See accompanying notes to the financial statements. F- 1 VS Trust Statements of Operations For the Three Months Ended March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited) -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF Quarter Ended Quarter Ended Quarter Ended Quarter Ended March 31, 2025 March 31, 2025 March 31, 2024 March 31, 2024 (Unaudited) (Unaudited) (Unaudited) (Unaudited) INVESTMENT INCOME Income: Dividends - - - - Interest income 1,405,026 1,193,644 $ 383,780 $ 216,466 Other Income - ( 117 ) - - Total Income 1,405,026 1,193,527 383,780 216,466 Expenses: Management fees 857,936 760,621 432,414 286,632 Administrative, accounting and custodian fees 72,632 41,812 31,784 32,984 Professional fees 72,762 92,991 73,854 95,753 Licensing and registration fees 47,651 42,351 7,886 4,840 Other 1,482 1,485 973 973 Total Expenses 1,052,463 939,260 546,911 421,182 Net Investment income/loss 352,563 254,267 ( 163,131 ) ( 204,716 ) REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on: Options ( 1,518,833 ) - ( 3,534,146 ) - Futures ( 26,461,856 ) 78,077,648 23,041,068 ( 30,744,766 ) Net change in unrealized appreciation (depreciation) of: Options 90,533 - 788,986 - Futures ( 4,663,230 ) 2,686,893 ( 4,355,644 ) 886,443 Net realized and unrealized gain (loss) on investments and futures contracts ( 32,553,386 ) 80,764,541 15,940,264 ( 29,858,323 ) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ ( 32,200,823 ) $ 81,018,808 $ 15,777,133 $ ( 30,063,039 ) See accompanying notes to the financial statements. F- 2 VS Trust Statement of Changes in Net Assets For the Three Months Ended March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited) -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF Quarter Ended Quarter Ended Quarter Ended Quarter Ended March 31, 2025 March 31, 2025 March 31, 2024 March 31, 2024 (Unaudited) (Unaudited) (Unaudited) (Unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS Net investment income (loss) $ 352,563 $ 254,267 $ ( 163,131 ) $ ( 204,716 ) Net realized gain (loss) on investments and futures contracts ( 27,980,689 ) 78,077,648 19,506,922 ( 30,744,766 ) Net change in unrealized appreciation (depreciation) of investments and futures contracts ( 4,572,697 ) 2,686,893 ( 3,566,658 ) 886,443 Net increase (decrease) in net assets resulting from operations ( 32,200,823 ) 81,018,808 15,777,133 ( 30,063,039 ) CAPITAL SHARE TRANSACTIONS Shares sold 390,239,425 518,833,233 47,147,706 59,004,987 Shares redeemed ( 370,275,825 ) ( 614,152,015 ) ( 96,596,423 ) ( 20,637,060 ) Net increase (decrease) in net assets from capital share transactions 19,963,600 ( 95,318,781 ) ( 49,448,717 ) 38,367,927 Total increase (decrease) in net assets ( 12,237,223 ) ( 14,299,973 ) ( 33,671,584 ) 8,304,888 NET ASSETS Beginning of Period 300,123,823 187,711,259 125,057,419 69,664,996 End of Period $ 287,886,600 $ 173,411,286 $ 91,385,835 $ 77,969,884 See accompanying notes to the financial statements. F- 3 VS Trust Statements of Cash Flows For the Three Months Ended March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited) -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF Quarter Ended Quarter Ended Quarter Ended Quarter Ended March 31, 2025 March 31, 2025 March 31, 2024 March 31, 2024 (Unaudited) (Unaudited) (Unaudited) (Unaudited) CASH FLOW FROM OPERATING ACTIVITIES Net increase (decrease) in net assets resulting from operations $ ( 32,200,823 ) $ 81,018,808 $ 15,777,133 $ ( 30,063,039 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Purchase of investments ( 309,357,715 ) ( 346,744,537 ) ( 156,934,689 ) ( 81,845,257 ) Proceeds from sales or maturities of investments held 310,243,297 331,823,198 144,087,483 71,715,096 Net realized gain/loss on investments in options 1,518,833 - 3,534,146 - Net change in unrealized appreciation/depreciation on investments in options ( 90,533 ) - ( 788,986 ) - Decrease (Increase) in Deposits at broker for futures and options contracts 51,878,887 5,556,301 50,354,663 7,231,984 Decrease (Increase) in Variation margin receivable ( 1,471,674 ) 4,152,478 - ( 2,099,404 ) Decrease (Increase) in interest receivable ( 31,797 ) 7,633 ( 18,086 ) ( 33,649 ) Decrease (Increase) in other receivables ( 1,144 ) ( 4,894 ) 2,839 - Decrease (Increase) in Prepaid expenses and other assets ( 9,962 ) ( 12,564 ) ( 7,492 ) ( 4,306 ) Increase (Decrease) in Variation margin payable ( 3,655,035 ) 2,191,128 1,214,354 - Increase (Decrease) in Payable to Sponsor 24,055 ( 130,791 ) ( 26,442 ) ( 4,005 ) Increase (Decrease) in Administrative, accounting and custodian fees payable 37,743 6,095 ( 6,030 ) 1,209 Increase (Decrease) in Professional fees payable ( 63,044 ) ( 78,565 ) 38,889 61,813 Increase (Decrease) in Licensing and registration fees payable 40,192 30,822 2,026 5,030 Net cash provided by (used in) operating activities 16,861,280 77,815,112 57,229,808 ( 35,034,528 ) CASH FLOW FROM FINANCING ACTIVITIES Proceeds from shares sold, net of cost from shares purchased 369,920,125 518,833,233 47,147,706 59,004,987 Cost of shares redeemed ( 386,781,405 ) ( 597,837,782 ) ( 106,043,823 ) ( 20,637,060 ) Net cash provided by (used in) financing activities ( 16,861,280 ) ( 79,004,549 ) ( 58,896,117 ) 38,367,927 NET INCREASE (DECREASE) IN CASH - ( 1,189,437 ) ( 1,666,309 ) 3,333,399 Beginning of Period - 1,189,437 5,032,298 - End of Period $ - $ - $ 3,366,089 $ 3,333,399 See accompanying notes to the financial statements. F- 4 -1x Short VIX Futures ETF Schedule of Investments March 31, 2025 (Unaudited) Notional Amount Contracts Value PURCHASED OPTIONS - 0.3% Call Options - 0.3% CBOE Volatility Index, Expiration: 05/21/2025 ; Exercise Price: $ 35.00 (a)(b) $ 24,285,200 10,900 872,000 TOTAL PURCHASED OPTIONS (Cost $ 648,843 ) 872,000 Shares SHORT-TERM INVESTMENTS - 38.5% Money Market Funds - 38.5% First American Government Obligations Fund - Class X, 4.27 % (c)(d) 110,920,800 110,920,800 TOTAL SHORT-TERM INVESTMENTS (Cost $ 110,920,800 ) 110,920,800 TOTAL INVESTMENTS - 38.8 % (Cost $ 111,569,643 ) 111,792,800 Other Assets in Excess of Liabilities - 61.2 % (e) 176,093,800 TOTAL NET ASSETS - 100.0 % $ 287,886,600 Percentages are stated as a percent of net assets. (a) Exchange-traded. (b) 100 shares per contract. (c) The rate shown represents the 7-day annualized effective yield as of March 31, 2025. (d) Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. (e) Includes cash of $154,592,364 that is pledged as collateral for options and futures contracts. See accompanying notes to the financial statements. F- 5 -1x Short VIX Futures ETF Schedule of Futures Contracts March 31, 2025 (Unaudited) Description Contracts Sold Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE Volatility Index ( 7,307 ) 04/16/2025 $ 151,912,530 $ ( 3,760,957 ) CBOE Volatility Index ( 6,642 ) 05/21/2025 135,961,740 ( 6,249,182 ) Net Unrealized Appreciation (Depreciation) $ ( 10,010,139 ) Summary of Fair Value Disclosure as of March 31, 2025 (Unaudited) -1x Short VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The following is a summary of the fair valuation hierarchy of the Fund’s securities as of March 31, 2025: Level 1 Level 2 Level 3 Total Assets: Investments: Purchased Options $ 872,000 $ – $ – $ 872,000 Money Market Funds 110,920,800 – – 110,920,800 Total Investments $ 111,792,800 $ – $ – $ 111,792,800 Liabilities: Other Financial Instruments: Futures Contracts* – ( 10,010,139 ) – ( 10,010,139 ) Total Other Financial Instruments $ – $ ( 10,010,139 ) $ – $ ( 10,010,139 ) * The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of March 31, 2025. Refer to the Schedule of Investments for further disaggregation of investment categories. See accompanying notes to the financial statements. F- 6 -1x Short VIX Futures ETF Schedule of Investments December 31, 2024 Notional Amount Contracts Value PURCHASED OPTIONS - 0.5% Call Options - 0.5% CBOE Volatility Index, Expiration: 02/19/2025 ; Exercise Price: $ 28.00 (a)(b) $ 24,290,000 14,000 $ 1,484,000 TOTAL PURCHASED OPTIONS (Cost $ 1,351,377 ) 1,484,000 Shares SHORT-TERM INVESTMENTS - 37.5% Money Market Funds - 37.5% First American Government Obligations Fund - Class X, 4.41 % (c)(d) 112,622,682 112,622,682 TOTAL SHORT-TERM INVESTMENTS (Cost $ 112,622,682 ) 112,622,682 TOTAL INVESTMENTS - 38.0 % (Cost $ 113,974,059 ) 114,106,682 Other Assets in Excess of Liabilities - 62.0 % (e) 186,017,141 TOTAL NET ASSETS - 100.0 % $ 300,123,823 Percentages are stated as a percent of net assets. (a) Exchange-traded. (b) 100 shares per contract. (c) The rate shown represents the 7-day annualized effective yield as of December 31, 2024. (d) Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. (e) Includes cash of $206,471,251 that is pledged as collateral for options and futures contracts. See accompanying notes to the financial statements. F- 7 -1x Short VIX Futures ETF Schedule of Futures Contracts December 31, 2024 Description Contracts Sold Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE VIX FUTURE Feb25 ( 6,959 ) 02/19/2025 $ 124,496,510 $ ( 919,561 ) CBOE VIX FUTURE Jan25 ( 10,051 ) 01/22/2025 175,691,480 ( 4,427,348 ) Net Unrealized Appreciation (Depreciation) $ ( 5,346,909 ) Summary of Fair Value Disclosure as of December 31, 2024 -1x Short VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The following is a summary of the fair valuation hierarchy of the Fund’s securities as of December 31, 2024: Level 1 Level 2 Level 3 Total Assets: Investments: Purchased Options $ 1,484,000 $ – $ – $ 1,484,000 Money Market Funds 112,622,682 – – 112,622,682 Total Investments $ 114,106,682 $ – $ – $ 114,106,682 Liabilities: Other Financial Instruments: Futures Contracts* – ( 5,346,909 ) – ( 5,346,909 ) Total Other Financial Instruments $ – $ ( 5,346,909 ) $ – $ ( 5,346,909 ) * The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of December 31, 2024. Refer to the Schedule of Investments for further disaggregation of investment categories. See accompanying notes to the financial statements. F- 8 2x Long VIX Futures ETF Schedule of Investments March 31, 2025 (Unaudited) Shares Value SHORT-TERM INVESTMENTS - 39.1% Money Market Funds - 39.1% First American Government Obligations Fund - Class X, 4.27 % (a)(b) 67,740,523 $ 67,740,523 TOTAL SHORT-TERM INVESTMENTS ( Cost $ 67,740,523 ) 67,740,523 TOTAL INVESTMENTS - 39.1 % ( Cost $ 67,740,523 ) 67,740,523 Other Assets in Excess of Liabilities - 60.9 % 105,670,763 TOTAL NET ASSETS - 100.0 % $ 173,411,286 Percentages are stated as a percent of net assets. (a) The rate shown represents the 7-day annualized effective yield as of March 31, 2025. (b) Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. (c) Includes cash of $124,451,291 that is pledged as collateral for futures contracts. See accompanying notes to the financial statements. F- 9 2x Long VIX Futures ETF Schedule of Futures Contracts March 31, 2025 (Unaudited) Description Contracts Purchased Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE Volatility Index 8,804 04/16/2025 $ 183,035,160 $ 2,307,094 CBOE Volatility Index 8,003 05/21/2025 163,821,410 8,647,505 Net Unrealized Appreciation (Depreciation) $ 10,954,599 Summary of Fair Value Disclosure as of March 31, 2025 (Unaudited) 2x Long VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The following is a summary of the fair valuation hierarchy of the Fund’s securities as of March 31, 2025: Level 1 Level 2 Level 3 Total Investments: Money Market Funds $ 67,740,523 $ – $ – $ 67,740,523 Total Investments $ 67,740,523 $ – $ – $ 67,740,523 Other Financial Instruments: Futures Contracts* – 10,954,599 – 10,954,599 Total Other Financial Instruments $ – $ 10,954,599 $ – $ 10,954,599 * The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of March 31, 2025. Refer to the Schedule of Investments for further disaggregation of investment categories. See accompanying notes to the financial statements. F- 10 2x Long VIX Futures ETF Schedule of Investments December 31, 2024 Shares Value SHORT-TERM INVESTMENTS - 28.1% Money Market Funds - 28.1% First American Government Obligations Fund - Class X, 4.41 % (a)(b) 52,819,184 $ 52,819,184 TOTAL SHORT-TERM INVESTMENTS ( Cost $ 52,819,184 ) 52,819,184 TOTAL INVESTMENTS - 28.1 % ( Cost $ 52,819,184 ) 52,819,184 Other Assets in Excess of Liabilities - 71.9 % (c) 134,892,075 TOTAL NET ASSETS - 100.0 % $ 187,711,259 Percentages are stated as a percent of net assets. (a) The rate shown represents the 7-day annualized effective yield as of December 31, 2024. (b) Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. (c) Includes cash of $130,007,592 that is pledged as collateral for futures contracts. See accompanying notes to the financial statements. F- 11 2x Long VIX Futures ETF Schedule of Futures Contracts December 31, 2024 Description Contracts Purchased Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE VIX FUTURE Feb25 8,706 02/19/2025 $ 155,750,340 $ ( 984,305 ) CBOE VIX FUTURE Jan25 12,575 01/22/2025 219,811,000 9,252,011 Net Unrealized Appreciation (Depreciation) $ 8,267,706 Summary of Fair Value Disclosure as of December 31, 2024 2x Long VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The following is a summary of the fair valuation hierarchy of the Fund’s securities as of December 31, 2024: Level 1 Level 2 Level 3 Total Assets: Investments: Money Market Funds $ 52,819,184 $ – $ – $ 52,819,184 Total Investments $ 52,819,184 $ – $ – $ 52,819,184 Other Financial Instruments: Futures Contracts* – 9,252,011 – 9,252,011 Total Other Financial Instruments $ – $ 9,252,011 $ – $ 9,252,011 Liabilities: Other Financial Instruments: Futures Contracts* – ( 984,305 ) – ( 984,305 ) Total Other Financial Instruments $ – $ ( 984,305 ) $ – $ ( 984,305 ) * The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of December 31, 2024. Refer to the Schedule of Investments for further disaggregation of investment categories. See accompanying notes to the financial statements. F- 12 VS Trust NOTES TO FINANCIAL STATEMENTS March 31, 2025 (unaudited) NOTE 1 – ORGANIZATION VS Trust (the “Trust”) is a Delaware statutory trust formed on October 24, 2019, and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2025, the following two series of the Trust have commenced investment operations: -1x Short VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe BZX”). The Funds’ inception of operation was March 28, 2022. Neither the Trust nor the Funds had any operations prior to March 28, 2022, other than matters relating to its organization and the registration of each series under the Securities Act of 1933. Each Fund’s investment exposure to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules. The Sponsor is registered as a Commodity Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC rules. Registration as a CPO imposes additional compliance obligations on the Sponsor and the Funds related to additional laws, regulations, and enforcement policies, which could increase compliance costs and may affect the operations and financial performance of the Funds. Volatility Shares LLC (the “Sponsor”) is the sponsor of the Trust and the Funds. The Sponsor also will serve as the Trust’s commodity pool operator. The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the CFTC and are operated by the Sponsor, which is registered as a commodity pool operator with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“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. Interim period results are not necessarily indicative of results for a full-year period. F- 13 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 $ 1.235 billion (subject to adjustment for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $ 1.0 billion in non-convertible debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter of that fiscal year. For as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging growth company.” Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In 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. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. 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, 2025, and December 31, 2024, 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, 2025, were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* (EST) NAV Calculation Time (EST) NAV Calculation Date -1x Short VIX Futures ETF and 2:00 p.m. 4:00 p.m. March 31, 2025 2x Long VIX Futures ETF 2:00 p.m. 4:00 p.m. March 31, 2025 * 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 March 31, 2025. F- 14 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, 2025. 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 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 statements. Options are valued using the last traded price as of the close of regular trading hours on the CBOE Options Exchange. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. 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. 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). F- 15 Federal Income Tax Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. 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. NOTE 3 – INVESTMENTS Short-Term Investments 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. 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 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. F- 16 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. 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. If 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. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. 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. 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 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 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 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. Premiums paid for purchasing options which expire are treated as realized losses. 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. 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. 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. F- 17 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. 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 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”). 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. 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 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. F- 18 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 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. Statements of Assets and Liabilities Fair values of derivative instruments as of March 31, 2025 (Unaudited) and December 31, 2024: Statements of Assets and Fair Value Statements of Assets and Fair Value Liabilities As of March 31, 2025 (Unaudited) Liabilities As of December 31, 2024 -1x Short VIX Futures ETF Location Assets Liabilities Location Assets Liabilities Purchased Option Contracts: Index Investments, at value $ 872,000 $ - Investments, at value $ 1,484,000 $ - Short Futures Contracts: Index Unrealized Appreciation* - ( 10,010,139 ) Unrealized Appreciation* - ( 5,346,909 ) Total fair values of derivative instruments $ 872,000 $ ( 10,010,139 ) $ 1,484,000 $ ( 5,346,909 ) 2x Long VIX Futures ETF Assets Liabilities Assets Liabilities Long Futures Contracts: Index Unrealized Appreciation* $ 10,954,599 $ - Unrealized Appreciation* $ 9,252,011 $ ( 984,305 ) Total fair values of derivative instruments $ 10,954,599 $ - $ 9,252,011 $ ( 984,305 ) * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Futures Contracts. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. F- 19 Statements of Operations The effect of derivative instruments on the Statement of Operations for the three months ended March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited): Net Realized Gain (Loss) on Derivatives Net Realized Gain (Loss) on Derivatives For the three months ended March 31, 2025 (Unaudited) For the three months ended March 31, 2024 (Unaudited) Purchased Short Purchased Short -1x Short VIX Futures ETF Option Futures Option Futures Derivatives Contracts* Contracts Total Contracts* Contracts Total Index Contracts $ ( 1,518,833 ) $ ( 26,461,856 ) $ ( 27,980,689 ) $ ( 3,534,146 ) $ 23,041,068 $ 19,506,922 Total $ ( 1,518,833 ) $ ( 26,461,856 ) $ ( 27,980,689 ) $ ( 3,534,146 ) $ 23,041,068 $ 19,506,922 Purchased Long Purchased Long 2x Long VIX Futures ETF Option Futures Option Futures Derivatives Contracts* Contracts Total Contracts* Contracts Total Index Contracts $ - $ 78,077,648 $ 78,077,648 $ - $ ( 30,744,766 ) $ ( 30,744,766 ) Total $ - $ 78,077,648 $ 78,077,648 $ - $ ( 30,744,766 ) $ ( 30,744,766 ) Net Change in Unrealized Appreciation (Depreciation) on Derivatives Net Change in Unrealized Appreciation (Depreciation) on Derivatives For the three months ended March 31, 2025 (Unaudited) For the three months ended March 31, 2024 (Unaudited) Purchased Short Purchased Short -1x Short VIX Futures ETF Option Futures Option Futures Derivatives Contracts** Contracts Total Contracts** Contracts Total Index Contracts $ 90,533 $ ( 4,663,230 ) $ ( 4,572,697 ) $ 788,986 $ ( 4,355,644 ) $ ( 3,566,658 ) Total $ 90,533 $ ( 4,663,230 ) $ ( 4,572,697 ) $ 788,986 $ ( 4,355,644 ) $ ( 3,566,658 ) Purchased Long Purchased Long 2x Long VIX Futures ETF Option Futures Option Futures Derivatives Contracts** Contracts Total Contracts** Contracts Total Index Contracts $ - $ 2,686,893 $ 2,686,893 $ - $ 886,443 $ 886,443 Total $ - $ 2,686,893 $ 2,686,893 $ - $ 886,443 $ 886,443 The following table indicates the average volume when in use for the quarter ended March 31, 2025 (Unaudited): -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of long futures contracts $ - $ 361,208,955 Average notional value of short futures contracts ( 294,031,130 ) - The following table indicates the average volume when in use for the quarter ended March 31, 2024 (Unaudited): -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of long futures contracts $ - 147,687,020 Average notional value of short futures contracts $ ( 108,259,145 ) - The following table indicates the average volume when in use for the quarter ended March 31, 2025 (Unaudited): -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of purchased options contracts $ 22,060,300 $ - The following table indicates the average volume when in use for the quarter ended March 31, 2024 (Unaudited): -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of purchased options contracts $ 32,218,375 $ - F- 20 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. 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 March 31, 2025 and December 31, 2024. Fair Values of Derivative Instruments as of March 31, 2025 (Unaudited) Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition -1x Short VIX Futures ETF $ 1,471,674 $ - $ 1,471,674 $ - $ - $ - 2x Long VIX Futures ETF - - - 2,191,128 - 2,191,128 Fair Values of Derivative Instruments as of December 31, 2024 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition -1x Short VIX Futures ETF $ - $ - $ - $ 3,655,035 $ - $ 3,655,035 2x Long VIX Futures ETF 4,152,478 - 4,152,478 - - - Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2025 and December 31, 2024. 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”. F- 21 Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2025 (Unaudited) Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount -1x Short VIX Futures ETF $ 1,471,674 $ - $ - $ 1,471,674 2x Long VIX Futures ETF ( 2,191,128 ) - - ( 2,191,128 ) Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2024 (Unaudited) Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount -1x Short VIX Futures ETF $ ( 3,655,035 ) $ - $ - $ ( 3,655,035 ) 2x Long VIX Futures ETF 4,152,478 - - 4,152,478 NOTE 4 – AGREEMENTS SVIX pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets. UVIX pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets. “Average daily net assets” is calculated by dividing the month-end net assets of each Fund by the number of calendar days in such month. 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 directly. Prior to September 16, 2024, Penserra Capital Management LLC (“Penserra”) served as the Funds’ commodity sub-adviser. During the period in which Penserra served as the commodity sub-adviser, the Sponsor oversaw and paid Penserra an annual sub-advisory fee of 0.20 % for its services as commodity sub-adviser, based on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities) The Funds did not directly pay Penserra. 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. The Administrator, Transfer Agent and Custodian U.S. 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. U.S. 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. F- 22 The Marketing Agent 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. 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. 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. Transaction Fees on Creation and Redemption Transactions 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 0.03 % 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 March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited) were as follows: Fund Three Months Ended March 31, 2025 (Unaudited) Three Months Ended March 31, 2024 (Unaudited) -1x Short VIX Futures ETF $ 228,086 $ 43,110 2x Long VIX Futures ETF 339,793 23,886 $ 567,880 $ 66,996 F- 23 NOTE 7 – FINANCIAL HIGHLIGHTS Selected data is for a Share outstanding throughout the three months ended March 31, 2025 (Unaudited) and March 31, 2024 (Unaudited): VS Trust Financial Highlights -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF Quarter Ended Quarter Ended Quarter Ended Quarter Ended March 31, 2025 March 31, 2025 (7) March 31, 2024 March 31, 2024 (7) (Unaudited) (Unaudited) (Unaudited) (Unaudited) Net Asset Value, Beginning of Period $ 25.39 $ 33.93 $ 37.78 $ 137.27 Net investment income (loss) (1) 0.03 0.04 ( 0.05 ) ( 0.32 ) Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2) ( 5.10 ) 3.10 4.78 ( 50.17 ) Net Increase (Decrease) in Net Asset Value Resulting from Operations ( 5.07 ) 3.14 4.73 ( 50.49 ) Net Asset Value, End of Period $ 20.32 $ 37.07 $ 42.51 $ 86.78 Market Value Per Share, at March 31, 2025 and March 31, 2024 $ 20.34 $ 37.24 $ 42.36 $ 87.45 Total Return at Net Asset Value (4) - 19.97 % 9.25 % 12.52 % - 36.78 % Total Return at Market Value (4) - 19.83 % 9.51 % 12.27 % - 36.31 % Ratios to Average Net Assets: (5) Expense ratio (6) 1.66 % 2.04 % 1.71 % 2.42 % Net Investment Income (Loss) 0.55 % 0.55 % - 0.51 % - 1.18 % (1) Net investment income (loss) per share represents net investment income (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, 2025 and March 31, 2024 (5) Percentages are annualized. (6) The expense ratio would be 1.66 % and 2.04 % respectively, for the three months ended March 31, 2025, and 1.71 % and 2.42 % for the three months ended March 31, 2024 if brokerage commissions and futures and futures account fees were excluded. (7) Adjusted to reflect a 1:10 reverse stock split on January 15, 2025, as if it occured at the commencement of operations. See accompanying notes to financial statements. F- 24 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 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 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. 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; (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; (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. 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. F- 25 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. 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). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades 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. 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 typically enter into transactions only with major global financial institutions. F- 26 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 move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its 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 but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing 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. 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. The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund. 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. F- 27 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 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 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” Risk The Funds typically hold futures contracts. 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. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not 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. 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, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact 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. In March 2020, 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 losses. NOTE 9 – SUBSEQUENT EVENTS In preparing these financial statements, management has evaluated Fund related events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no other events or translations that occurred during the year that materially impacted the amounts or disclosures in the Funds’ financial statements. F- 28