What changed in this filing

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Item 2. Management’s Discussion and Analysis

2025-08-13 compared with 2025-05-15 · 47 added, 38 removed, 339 unchanged (20% of the section changed)

99 unchanged sentences

period to period as the market values of the underlying swaps, futures contracts and forward contracts change.

Interest Income for the three months ended March

31, 2025 (Unaudited) and March 31, 2024 (Unaudited) were as follows:

Interest Income for the three months ended June 30, 2025

(Unaudited) and June 30, 2024 (Unaudited) were as follows:

Interest Income

2025 (Unaudited)

2024 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Interest Income for the six months ended June 30, 2025 (Unaudited),

and June 30, 2024 (Unaudited) were as follows.

2025 (Unaudited)

2024 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Futures Contracts

93 unchanged sentences

as applicable, reasonably believes to originate from a person authorized to act on behalf of the Fund.

To the extent that the Fund trades in futures contracts

exchanges, the assets deposited by the Fund with the FCMs (or another eligible financial institution, as applicable) as margin

must be segregated pursuant to the regulations of the CFTC.

Such segregated funds may be invested only in a limited range of instruments

— principally U.S.

To the extent that the Fund

trades in futures contracts on U.S.

exchanges, the assets deposited by the Fund with the FCMs (or another eligible financial institution,

as applicable) as margin must be segregated pursuant to the regulations of the CFTC.

Such segregated funds may be invested only in a limited

range of instruments — principally U.S.

government obligations to margin futures and forward contract positions.

36 unchanged sentences

The notional amount of the swap reflects the extent of a Fund’s total investment exposure under

In the case of futures contracts-based indexes,

such as those used by a Fund, the reference interest rate typically is zero, although a financing spread or fee is generally still applied.

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 the notional amount and the benchmark returns to which the swap is linked.

Swaps are usually

closed out on a net basis, i.e.

, the two payment streams are netted out in a cash settlement on the payment date specified in the

agreement, with the parties receiving or paying, as the case may be, only the net amount of the two payments.

Thus, while the notional

amount reflects a Fund’s total investment exposure under the swap ( i.e.

, the entire face amount or principal of a swap),

the net amount is the Fund’s current obligations (or rights) under the swap.

That is the amount to be paid or received under the

agreement based on the relative values of the positions held by each party to the agreement on any given termination date.

In the case of futures contracts-based indexes, such as those used

by a Fund, the reference interest rate typically is zero, although a financing spread or fee is generally still applied.

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 the notional amount and the benchmark returns to which the swap is linked.

Swaps are usually closed out

on a net basis, i.e.

, the two payment streams are netted out in a cash settlement on the payment date specified in the agreement,

with the parties receiving or paying, as the case may be, only the net amount of the two payments.

Thus, while the notional amount reflects

a Fund’s total investment exposure under the swap ( i.e.

, the entire face amount or principal of a swap), the net amount

is the Fund’s current obligations (or rights) under the swap.

That is the amount to be paid or received under the agreement based

on the relative values of the positions held by each party to the agreement on any given termination date.

Swaps may also expose a Fund to liquidity risk.

34 unchanged sentences

counterparty is owed money in the uncleared swap transaction, such counterparty will seek withdrawal of this collateral from the segregated

Collateral posted by the counterparty to a Fund

is typically held for the benefit of the Fund in a segregated tri-party account at a third-party custodian.

In the event of a default

by the counterparty where the Fund is owed money in the uncleared swap transaction, the Fund will seek withdrawal of this collateral from

the segregated account.

Collateral posted by the counterparty

to a Fund is typically held for the benefit of the Fund in a segregated tri-party account at a third-party custodian.

In the event of

a default by the counterparty where the Fund is owed money in the uncleared swap transaction, the Fund will seek withdrawal of this collateral

from the segregated account.

The Fund may incur certain costs exercising its right with respect to the collateral.

3 unchanged sentences

Off-Balance Sheet Arrangements and Contractual Obligations

As of March 31, 2025, the Funds have not used,

nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan

As of June 30, 2025, the Funds have not used, nor

do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan

guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business,

18 unchanged sentences

value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments,

with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’

financial statements.

The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer

a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value

investments based upon the closing price in their primary markets.

Accordingly, the investment valuations in these financial statements

may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2025.

The use of fair value to measure

Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s

and the Funds’ financial statements.

The fair value of a Financial Instrument is the amount that would be received to sell an asset

or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes,

the Funds value investments based upon the closing price in their primary markets.

Accordingly, the investment valuations in these financial

statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June

Short-term investments are valued at amortized

41 unchanged sentences

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis