What changed in this filing

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Item 2. Management’s Discussion and Analysis

2026-05-12 compared with 2025-11-13 · 121 added, 129 removed, 257 unchanged (49% of the section changed)

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with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q.

The discussion and

analysis that follows may contain statements that relate to future events or future performance.

The discussion

and analysis that follows may contain statements that relate to future events or future performance.

In some cases, such forward- looking

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“intend,” “project,” “seek” or the negative of these terms or other comparable terminology.

the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking

of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking

Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator

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The Funds are commodity pools,

as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission

(the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC.

The Trust is not an investment

company registered under the Investment Company Act of 1940, as amended.

as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading

Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC.

not an investment company registered under the Investment Company Act of 1940, as amended.

SVIX seeks daily investment results, before fees

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for any other period.

UVIX seeks daily investment results, before fees and expenses, that correspond to twice the performance of the Long

VIX Futures Index (the “Long Index”).

A “single day” is measured from the time a Fund calculates its net asset

value (“NAV”) to the time of the Fund’s next NAV calculation.

UVIX seeks daily investment results, before fees and expenses, that correspond to twice the performance of the

Long VIX Futures Index (the “Long Index”).

A “single day” is measured from the time a Fund calculates its net

asset value (“NAV”) to the time of the Fund’s next NAV calculation.

The NAV calculation time for a Fund typically is

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The Funds also have the ability

to engage in options transactions, swaps, forward contracts and other instruments in order to achieve their investment objective, in the

manner and to the extent described herein.

to engage in options transactions, swaps, forward contracts and other instruments in order to achieve their investment objective, in

the manner and to the extent described herein.

SVIX is not benchmarked to the inverse of, and

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The Sponsor maintains a website at www.volatilityshares.com, through

which monthly account statements and the Trust’s Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those

reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”),

can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the

which monthly account statements and the Trust’s Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to

those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934

Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished

Securities and Exchange Commission (the “SEC”).

Additional information regarding the Trust may also be found on the SEC’s

EDGAR database at www.sec.gov.

Additional information regarding the Trust may also be found

on the SEC’s EDGAR database at www.sec.gov.

Liquidity and Capital Resources

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

Interest Income for the three months ended September 30,

2025 (Unaudited) and September 30, 2024 (Unaudited) were as follows:

Interest Income for the three months ended March

31, 2026 (Unaudited) and March 31, 2025 (Unaudited) were as follows:

Interest Income

Three Months Ended September 30, 2025 (Unaudited)

Three Months Ended September 30, 2024 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Interest Income for the nine months ended September

30, 2025 (Unaudited), and September 30, 2024 (Unaudited) were as follows.

Nine Months Ended September 30, 2025 (Unaudited)

Nine Months Ended September 30, 2024 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Futures Contracts

A futures contract is a standardized contract traded

on, or subject to the rules of, an exchange that calls for the future delivery of a specified quantity and type of a particular underlying

asset at a specified time and place or alternatively may call for cash settlement.

Futures contracts are traded on a wide variety of underlying

assets, including bonds, interest rates, agricultural products, stock indexes, currencies, energy, metals, economic indicators and statistical

The notional size and calendar term futures contracts on a particular underlying asset are identical and are not subject to

any negotiation, other than with respect to price and the number of contracts traded between the buyer and seller.

A Fund generally deposits

cash and/or securities with an FCM for its open positions in futures contracts, which may, in turn, transfer such deposits to the clearinghouse

to protect the clearing house against non-payment by the Fund.

The clearing house becomes substituted for each counterparty to a futures

contract, and, in effect, guarantees performance.

In addition, the FCM may require a Fund to deposit collateral in excess of the clearing

house’s margin requirements for the FCM’s own protection.

A futures contract is a standardized contract

traded on, or subject to the rules of, an exchange that calls for the future delivery of a specified quantity and type of a particular

underlying asset at a specified time and place or alternatively may call for cash settlement.

Futures contracts are traded on a wide

variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes, currencies, energy, metals, economic

indicators and statistical measures.

The notional size and calendar term futures contracts on a particular underlying asset are identical

and are not subject to any negotiation, other than with respect to price and the number of contracts traded between the buyer and seller.

A Fund generally deposits cash and/or securities with an FCM for its open positions in futures contracts, which may, in turn, transfer

such deposits to the clearinghouse to protect the clearing house against non-payment by the Fund.

The clearing house becomes substituted

for each counterparty to a futures contract, and, in effect, guarantees performance.

In addition, the FCM may require a Fund to deposit

collateral in excess of the clearing house’s margin requirements for the FCM’s own protection.

Certain futures contracts, including stock index

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Futures contracts involve, to varying degrees,

elements of market risk and exposure to loss in excess of the amounts of variation margin, which are the amounts of cash that a Fund agrees

to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract.

Additional risks associated with the

use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the level of the underlying

benchmark and the possibility of an illiquid market for a futures contract.

With futures contracts, there is minimal but some counterparty

risk to a Fund since futures contracts are exchange traded and the exchange’s clearing house, as counterparty to all exchange-traded

futures contracts, effectively guarantees futures contracts against default.

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

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 may be required to make daily cash payments

of variation margin.

elements of market risk and exposure to loss in excess of the amounts of variation margin, which are the amounts of cash that a Fund

agrees to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract.

Additional risks associated

with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the level of

the underlying benchmark and the possibility of an illiquid market for a futures contract.

With futures contracts, there is minimal but

some counterparty risk to a Fund since futures contracts are exchange traded and the exchange’s clearing house, as counterparty

to all exchange-traded futures contracts, effectively guarantees futures contracts against default.

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.

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

to make daily cash payments of variation margin.

Futures Account Agreements

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Each FCM has its own agreement and other documentation used for establishing customer relationships.

As such, the terms of

the Futures Account Agreement and other documentation that a Fund has with a particular FCM may differ in material respects from that

As such, the terms

of the Futures Account Agreement and other documentation that a Fund has with a particular FCM may differ in material respects from that

with another FCM.

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the FCM to enter into new transactions or maintain existing transactions with a Fund.

In general, each FCM is permitted to terminate its

agreement with a Fund at any time in its sole discretion.

In general, each FCM is permitted to terminate

its agreement with a Fund at any time in its sole discretion.

In addition, an FCM generally will have the discretion to set margin requirements

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margin requirements of the FCM).

In the event that market movements favorable to a Fund result in the Fund having posted more margin than

is required, the Fund typically would have a right to return of margin from the FCM.

In the event that market movements favorable to a Fund result in the Fund having posted more margin

than is required, the Fund typically would have a right to return of margin from the FCM.

However, the timing of such return may be uncertain.

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where margin is not immediately returned by an FCM.

In the event that a Fund fails to comply with its

obligations under a Futures Account Agreement (including, for example, failing to deliver the margin required by an FCM on a timely basis),

the Futures Account Agreement typically will provide the FCM with broad discretion to take remedial action against the Fund.

things, the FCM typically will have the right, upon the occurrence of such a failure by a Fund, to terminate any or all futures contracts

in the Fund’s account with that FCM, to sell the collateral posted as margin by the Fund, to close out any open positions of the

Fund in whole or in part, and to cancel any or all pending transactions with the Fund.

Futures Account Agreements typically provide that

the Fund will remain liable for paying to the relevant FCM, on demand, the amount of any deficiency in a Fund’s account with that

In the event that a Fund fails to comply with

its obligations under a Futures Account Agreement (including, for example, failing to deliver the margin required by an FCM on a timely

basis), the Futures Account Agreement typically will provide the FCM with broad discretion to take remedial action against the Fund.

Among other things, the FCM typically will have the right, upon the occurrence of such a failure by a Fund, to terminate any or all futures

contracts in the Fund’s account with that FCM, to sell the collateral posted as margin by the Fund, to close out any open positions

of the Fund in whole or in part, and to cancel any or all pending transactions with the Fund.

Futures Account Agreements typically provide

that the Fund will remain liable for paying to the relevant FCM, on demand, the amount of any deficiency in a Fund’s account with

The Futures Account Agreement between the Fund

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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.

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.

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Put and call options are traded on national securities exchanges and in the OTC market.

Options traded on

national securities exchanges are within the jurisdiction of the SEC or other appropriate national securities regulator, as are securities

Options traded

on national securities exchanges are within the jurisdiction of the SEC or other appropriate national securities regulator, as are securities

traded on such exchanges.

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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.

, 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

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amount” to counterparties in swaps.

Such collateral serves as protection for the counterparty in the event of a failure by the Fund

and is in addition to any mark-to-market collateral that ( i.e.

, the Fund may post initial margin to the counterparty even where

the counterparty would owe money to the Fund if the swap were to be terminated).

The amount of initial margin posted by the Fund may vary

depending on the risk profile of the swap.

The collateral, whether for mark-to-market or for initial margin, generally consists of cash

and/or securities.

Collateral posted by a Fund to a counterparty in

connection with uncleared derivatives transactions is generally held for the benefit of the counterparty in a segregated tri-party account

at a third-party custodian to protect the counterparty against non-payment by the Fund.

In the event of a default by a Fund where the

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.

Such collateral serves as protection for the counterparty in the event of a failure by the

Fund and is in addition to any mark-to-market collateral that ( i.e.

, the Fund may post initial margin to the counterparty even

where the counterparty would owe money to the Fund if the swap were to be terminated).

The amount of initial margin posted by the Fund

may vary depending on the risk profile of the swap.

The collateral, whether for mark-to-market or for initial margin, generally consists

of cash and/or securities.

Collateral posted by a Fund to a counterparty

in connection with uncleared derivatives transactions is generally held for the benefit of the counterparty in a segregated tri-party

account at a third-party custodian to protect the counterparty against non-payment by the Fund.

In the event of a default by a Fund where

the counterparty is owed money in the uncleared swap transaction, such counterparty 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.

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.

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Off-Balance Sheet Arrangements and Contractual Obligations

As of September 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,

which may include indemnification provisions related to certain risks service providers undertake in performing services which are in

the best interests of the Funds.

While each Fund’s exposure under such indemnification provisions cannot be estimated, these general

business indemnifications are not expected to have a material impact on a Fund’s financial position.

As of March 31, 2026, 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, which may include indemnification provisions related to certain risks service providers undertake in performing services which

are in the best interests of the Funds.

While each Fund’s exposure under such indemnification provisions cannot be estimated, these

general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are

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accounting rules and guidance, as well as the use of estimates.

The Trust’s and the Funds’ application of these policies involves

judgments and actual results may differ from the estimates used.

The Trust’s and the Funds’ application of these policies

involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial

The Funds hold a significant portion of their assets in futures, all of which are recorded on a trade date basis and at fair

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

The Funds hold a significant portion of their assets in futures, all of which are recorded on a trade date basis and at

fair 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.

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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 September

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

Short-term investments are valued at amortized

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the basis for determining the market value of such position.

Such fair value prices would be generally determined based on available inputs

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

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

The Sponsor may fair value an asset of a Fund

pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Depending on the source and relevant

significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Such fair value prices would be generally determined based on available

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

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

The Sponsor may fair value an asset

of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Depending on the source

and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations

about the value of an investment.

While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly

reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting

at their direction would accurately reflect the price that the 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 a 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.

While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that

fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons

acting at their direction would accurately reflect the price that the 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 a 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.

The Funds disclose the fair value of their investments

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Each Fund pays its respective brokerage commissions,

including applicable exchange fees, NFA fees, give up fees, pit futures account 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 regulated investments.

including applicable exchange fees, NFA fees, give up fees, pit futures account 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 regulated

Brokerage commissions on futures contracts are recognized on a half-turn basis.

The Sponsor is currently paying brokerage commissions

in VIX futures contracts exceed variable create/redeem fees collected by more than 0.02% of the Fund’s average net assets annually.

The Sponsor is currently paying brokerage

commissions in VIX futures contracts exceed variable create/redeem fees collected by more than 0.02% of the Fund’s average net

assets annually.

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