VS Trust 10-K

Item 9A. Controls and Procedures. Disclosure Controls and Procedures Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and the principal executive officer and principal financial officer have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2024, to provide reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure. Management’s Annual Report on Internal Control Over Financial Reporting The Trust’s management is responsible for establishing and maintaining adequate internal control over financial reporting of the Trust and the Funds, as defined in Rules 13a-15(f) and 15d-15(f) under the 1934 Act. The Trust’s and the Funds’ internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. Internal control over financial reporting includes those policies and procedures that: (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust and the Funds; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Trust’s and the Funds’ receipts and expenditures are being made only in accordance with appropriate authorizations of management of the Trust on behalf of the Trust and the Funds; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust’s or the Funds’ assets that could have a material effect on the Trust’s or the Funds’ financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. 28 Management, including the principal executive officer and principal financial officer of the Trust, assessed the effectiveness of the Trust’s and the Funds’ internal control over financial reporting as of December 31, 2024. Their assessment included an evaluation of the design of the Trust’s and the Funds’ internal control over financial reporting and testing of the operational effectiveness of their internal control over financial reporting. In making its assessment, the Trust’s management has utilized the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control – Integrated Framework (2013) . Based on their assessment and those criteria, management, including the principal executive officer and principal financial officer of the Trust, concluded that the Trust’s and the Funds’ internal control over financial reporting was effective as of December 31, 2024. Changes in Internal Control over Financial Reporting There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the year ended December 31, 2024 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting. Certifications The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Annual Report on Form 10-K, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund. Item 9B. Other Information. Not applicable . Item 9C. Disclosure Regarding Jurisdictions that Prevent Inspections. Not applicable. 29 Part III. Item 10. Directors, Executive Officers and Corporate Governance. The Sponsor Volatility Shares LLC, is the Sponsor of the Trust and the Funds. As noted above, the Sponsor has exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. As of December 31, 2024, the Sponsor serves as the Trust’s commodity pool operator. Specifically, with respect to the Trust, the Sponsor: ● Manages and directs the Funds’ portfolio of Financial Instruments and other assets, including cash and cash equivalents; ● selects the Funds’ service providers; ● negotiates various agreements and fees; ● performs such other services as the Sponsor believes that the Trust may require from time to time; ● selects the FCM and Financial Instrument counterparties, if any; and ● Oversees the Commodity Sub-Adviser’s management of the Funds’ portfolio of Financial Instruments and other assets, including cash equivalents. The Shares are not deposits or other obligations of the Sponsor, the Trustee or any of their respective subsidiaries or affiliates or any other bank, are not guaranteed by the Sponsor, the Trustee or any of their respective subsidiaries or affiliates or any other bank and are not insured by the Federal Deposit Insurance Corporation (the “FDIC”) or any other governmental agency. An investment in the Shares of the Fund offered hereby is speculative and involves a high degree of risk. The principal office of the Sponsor is located at 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408. The telephone number of the Sponsor and the Trust is (866) 261-0273. 30 Background and Principals As of December 31, 2024, Volatility Shares LLC, the Sponsor, is a limited liability company formed in Delaware on July 25, 2019. The Sponsor was formed for the purpose of sponsoring volatility-linked exchange-traded funds, of which the Funds are the first. Prior to its engagement as Sponsor of the Funds, the Sponsor had no operating history. The Sponsor currently serves as the commodity pool operator of the Trust and the Funds. The Sponsor is registered as a commodity pool operator with the CFTC and is a member in good standing of the NFA. The Sponsor’s membership with the NFA was originally approved on October 14, 2019. Its membership with the NFA is currently effective. The Sponsor’s registration as a commodity pool operator was originally approved on October 14, 2019. Its registration as a commodity pool operator is currently effective. As a registered commodity pool operator, with respect to the Trust, the Sponsor must comply with various regulatory requirements under the CEA, and the rules and regulations of the CFTC and the NFA, including investor protection requirements, antifraud prohibitions, disclosure requirements, and reporting and recordkeeping requirements. The NFA approved the Sponsor as a Swaps Firm on October 14, 2019. The Sponsor is also subject to periodic examinations by the CFTC and NFA staff. Its principal place of business is 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408. The telephone number of the Sponsor and the Trust is (866) 261-0273. The registration of the Sponsor with the CFTC and its membership in the NFA must not be taken as an indication that either the CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds. Executive Officers of the Trust and Principals and Significant Employees of the Sponsor Name Position Justin Young* Principal of the Sponsor (since 10/4/2019) Associated Person of the Sponsor (since 12/12/2019) Principal Executive Officer (since 4/8/2021) Principal Financial Officer (since 4/8/2021) Principal Accounting Officer of the Trust (since 4/8/2021) Stuart Barton* Principal of the Sponsor (since 10/2/2019) Associated Person of the Sponsor (since 10/14/2019) Chief Investment Officer (since 4/8/21) Chang Kim* Principal of the Sponsor (since 1/26/2022) Chief Compliance Officer (since 1/26/2022) Charles Lowery* Principal of the Sponsor (since 7/6/2023) Head of Product Management (since 7/6/2023) Manzone LLC Principal of the Sponsor (since 2/11/2021) * Denotes principal of the Sponsor who participates in making trading decisions for the Funds. The following is a biographical summary of the business experience of the executive officers of the Trust and the principals and significant employees of the Sponsor. Of the Principals listed below, only Justin Young, Stuart Barton, Chang Kim, and Charles Lowery participate in making trading or operational decisions for the Funds or supervise persons engaged in making trading or operational decisions for the Funds. Justin Young holds a BA in American Studies from Georgetown University. From April 2017 to December 2023, he served as Managing Partner of Invest In Vol LLC (overseeing operations at an investment adviser); from August 2015 to April 2017, he was Vice President of Rex Shares LLC (overseeing product development at an ETF sponsor); from April 2011 to August 2015 he was Head of Capital Markets for Global X Management Company LLC (overseeing capital markets operations for an ETF sponsor); and from July 2009 to April 2011 he was an Associate of NYSE Euronext (working on a number of listing matters for a national securities exchange). Stuart Barton holds a PhD in Economic History from the University of Cambridge, an MBA from the University of Surrey, and a B.Sc in engineering from the University of Cape Town. From March 2017 to December 2023, he served as Managing Partner of Invest In Vol LLC (overseeing operations at an investment adviser); from September 2016 to March 2017 he was Chief Investment Officer of Rex Shares (overseeing investments at an ETF sponsor); from September 2014 to September 2017 he was Managing Partner at Corpus Capital Partners LLC (overseeing operations at a commodity pool operator); from October 2010 to September 2014 he was a Ph.D. Candidate (completed Ph.D.) at the University of Cambridge, UK; from January 2008 to October 2010 he was unemployed and engaged in travel; from June 2007 to January 2008 he was Senior Equity Derivatives Trader at HSBC’s Hong Kong office (traded derivatives at an investment bank); from September 2004 to June 2007 he was Senior Equity Derivatives Trader at Barclays Capital PLC in New York (traded derivatives at a broker-dealer); and from August 2001 to September 2004 he was Equity Derivatives Trader at Barclays Capital PLC in London. Chang Kim holds a BA in Film Studies from Yale University. From January 2021 to December 2021, he served as the CEO of The Library Shop, Inc. (overseeing operations at an e-commerce business); from September 2009 to December 2020, he served as a Portfolio Manager and the COO at Global X Management Company LLC (overseeing operations at an ETF sponsor). Charles Lowery holds a BS in Business Administration from Georgetown University. From March 2017 to April 2023, he was Director of ETF Portfolio Management at Milliman Financial Risk Management LLC (overseeing portfolio management and operations at an ETF sponsor); and from October 2006 to July 2016, he was a portfolio manager at ProShare Advisors LLC (managing trading and portfolio management for ETFs). Manzone LLC became a Principal of the Sponsor on February 11, 2021. Manzone LLC has a passive ownership interest in the Sponsor and exercises no management authority over the Funds. 31 Duties of the Sponsor and Indemnification The general fiduciary duties which would otherwise be imposed on the Sponsor (which would make its operation of the Trust as described herein impracticable due to the strict prohibition imposed by such duties on, for example, conflicts of interest on behalf of a fiduciary in its dealings with its beneficiaries), are replaced by the terms of the Trust Agreement (to which terms all shareholders, by subscribing to the Shares, are deemed to consent). The Trust Agreement provides that the Sponsor and its affiliates shall have no liability to the Trust or to any shareholder for any loss suffered by the Trust arising out of any action or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders, partners, members, managers or employees (the “Sponsor Related Parties”), if the Sponsor Related Parties, in good faith, determined that such course of conduct was in the best interests of the Funds and such course of conduct did not constitute gross negligence or willful misconduct by the Sponsor Related Parties. The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the best interests of the Funds. Under Delaware law, a beneficial owner of a statutory trust (such as a shareholder of the Funds) may, under certain circumstances, institute legal action on behalf of himself and all other similarly situated beneficial owners (a “class action”) to recover damages for violations of fiduciary duties, or on behalf of a statutory trust (a “derivative action”) to recover damages from a third party where there has been a failure or refusal to institute proceedings to recover such damages. In addition, beneficial owners may have the right, subject to certain legal requirements, to bring class actions in federal court to enforce their rights under the federal securities laws and the rules and regulations promulgated thereunder by the SEC. Beneficial owners who have suffered losses in connection with the purchase or sale of their beneficial interests may be able to recover such losses from the Sponsor where the losses result from a violation by the Sponsor of the anti-fraud provisions of the federal securities laws. Under certain circumstances, shareholders also have the right to institute a reparations proceeding before the CFTC against the Sponsor (a registered commodity pool operator), an FCM, as well as those of their respective employees who are required to be registered under the CEA, and the rules and regulations promulgated thereunder. Private rights of action are conferred by the CEA. Investors in futures and in commodity pools may, therefore, invoke the protections provided thereunder. The foregoing summary describing in general terms the remedies available to shareholders under federal law is based on statutes, rules and decisions as of the date of this Prospectus. As this is a rapidly developing and changing area of the law, shareholders who believe that they may have a legal cause of action against any of the foregoing parties should consult their own counsel as to their evaluation of the status of the applicable law at such time. Code of Ethics The Trust has adopted a code of ethics (“Code of Ethics”) that applies to its Principal Executive Officer and Principal Financial Officer. A copy of the Code of Ethics can be obtained, without charge, upon written request to the Sponsor at the following address: VolatilityShares LLC, Attn: Chief Compliance Officer, 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408. 32 The Commodity Sub-Adviser Penserra Capital (the “Commodity Sub-Adviser”), with its principal office at 4 Orinda Way, suite 100-a, Orinda, CA. 94563, serves as the Funds’ Commodity Sub-Adviser pursuant to a commodity sub-advisory agreement (the “Commodity Sub-Advisory Agreement”). Prior to November 1, 2022, Milliman FRM served as the Funds’ commodity sub-adviser. The Commodity Sub-Adviser formed in July 2009. It provides investment advisory services, specializing in ETF sub-advisory serves. The Commodity Sub-Adviser became an NFA member on September 20, 2022 and a registered commodity trading adviser on September 20, 2022. Previously, it was an NFA member from March 29, 2017 through May 19, 2018, when its membership was withdrawn, and was a commodity trading advisor from April 13, 2017 through May 19, 2018, when its registration was withdrawn. The Commodity Sub-Adviser also provides services as an investment adviser or sub-adviser or CTA, to mutual funds, exchange-traded funds (“ETFs”), unit investment trusts (“UITs”), funds offered through bank collective investment trusts (“CITs”), and other exchange-traded products (“ETPs”). The strategy exercised for each product is designed to meet a particular investment goal. In the case of sub-advisory services, the primary adviser to the fund is usually responsible for the selection of underlying investments for the fund, and the Commodity Sub-Adviser manages strategies for the various funds’ assets based on the investment goals and objectives as outlined in each of the funds’ offering documents. As of December 31, 2024, the Commodity Sub-Adviser no longer manages the Funds’ assets. The Commodity Sub-Adviser was paid by the Sponsor an annual sub-advisory fee of 0.20% based on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities). The Funds did not directly pay the Commodity Sub-Adviser. As of September 16, 2024 (the “ Effective Date” ), the Sponsor began providing day-to-day portfolio management services to the Funds. Consistent therewith, the Sponsor has terminated Penserra Capital Management LLC as commodity sub-adviser to the Funds and the Commodity Sub-Advisory Agreement by and between the Sponsor and Penserra Capital Management LLC, also as of the Effective Date. The following is a biographical summary of the business experience of the principals of the Commodity Sub-Adviser. Each of the principals listed below participate in making trading or operational decisions for the Funds or supervise persons engaged in making trading or operational decisions for the Funds. Anthony Castelli joined the Commodity Sub-Adviser in August 2011 and has served as Chief Compliance Officer since August 2011. In that role, he oversees compliance and risk operations for Commodity Sub-Adviser. Mr. Kelkar was approved as a principal on September 9, 2022. Dustin Allen Lewellyn joined the Commodity Sub-Adviser in September 2014 as a Managing Director. In that role he oversees equity and commodity interest trading. Mr. Lewellyn was approved as a principal on September 9, 2022. George Madrigal joined the Commodity Sub-Adviser in August 2009 as President and Chief Operating Officer. In that role, he manages and oversees the operations of the Commodity Sub-Adviser. He also has served as President of Penserra Securities LLC since December 2007. Mr. Madrigal was approved as a principal on September 9, 2022. Lee Wilson Geiger joined the Commodity Sub-Adviser in September 2014 as a Managing Director. In that role, he oversees equity and commodity interest trading. Mr. Lewellyn was approved as a principal on August 29, 2022, became registered as an associated person on September 20, 2022, and was approved as an NFA associate member on September 20, 2022. 33 Item 11. Executive Compensation. The Funds have no employees or directors and are managed by the Sponsor. None of the officers of the Trust, or the members or officers of the Sponsor receive compensation from the Funds. 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. For the years ended December 31, 2024 and December 31, 2023, the following represents Management Fees earned by the Sponsor: Amount Year Ended December 31, Fund 2024 2023 -1x Short VIX Futures ETF $ 3,149,545 $ 1,180,598 2x Long VIX Futures ETF 1,833,654 1,618,811 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. Not applicable. Item 13. Certain Relationships and Related Transactions, and Director Independence. Not applicable. Item 14. Principal Accounting Fees and Services. (1) to (4). Fees for services performed by Tait, Weller & Baker, LLP (“Tait Weller”) and PricewaterhouseCoopers LLP (PwC) for the years ended December 31, 2024 and December 31, 2023 were as follows: Year Ended December 31, 2024 Year Ended December 31, 2023 -1x Short VIX Futures ETF Audit Fees $ 18,037 $ 18,002 Tax Fees 197,759 111,420 $ 215,796 $ 129,422 2x Long VIX Futures ETF Audit Fees $ 18,037 $ 18,002 Tax Fees 405,492 109,825 $ 423,529 $ 127,827 Combined Trust: $ 639,325 $ 257,249 Audit fees for the year ended December 31, 2024 and December 31, 2023 consist of fees paid to Tait Weller for the audit of the Funds’ December 31, 2024 and December 31, 2023 annual financial statements included in the Annual Report on Form 10-K for the years ended December 31, 2024 and December 31, 2023, for the review of the financial statements included in each Form 10-Q, and for the audits of financial statements included with registration statements. Tax fees include certain tax compliance and reporting services provided by PricewaterhouseCoopers (“PwC”) to the Trust, including processing beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent delivery of related information to the IRS. Services also include assistance with tax reporting and related information using a web-based tax package product developed by PwC and a toll-free tax package support help line. (5) The Sponsor approved all of the services provided by Tait Weller and PwC described above. The Sponsor pre-approves all audit and allowed non- audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. 34 Part IV. Item 15. Exhibits and Financial Statement Schedules. Financial Statement Schedules See the Index to Financial Statements for a list of the financial statements being filed as part of this Annual Report on Form 10-K. Schedules may have been omitted since they are either not required, not applicable, or the information has otherwise been included. Exhibit No. Description of Document 3.1* Restated Certificate of Trust 4.1** Trust Agreement 4.2** Form of Authorized Participant Agreement 4.3**** Description of Shares 10.1** Form of Sponsor Agreement 10.2** Form of Transfer Agency Services Agreement 10.3** Form of Custodian Agreement 10.4** Form of Marketing Agent Agreement 10.5** Form of Futures Account Agreement 10.6** Form of Administration Servicing Agreement 10.7** Form of Sub-Administration Servicing Agreement 10.8** Form of Fund Accounting Servicing Agreement 10.9*** Commodity Sub-Advisory Agreement 31.1**** Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended 31.2**** Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended 32.1**** Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 32.2**** Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 97.1**** Policy Relating to Recovery of Erroneously Awarded Compensation 101.INS**** Inline XBRL Instance Document. 101.SCH**** Inline XBRL Taxonomy Extension Calculation Linkbase Document. 101.CAL**** Inline XBRL Taxonomy Extension Calculation Linkbase Document. 101.DEF**** Inline XBRL Taxonomy Extension Definition Linkbase Document. 101.LAB**** Inline XBRL Taxonomy Extension Label Linkbase Document. 101.PRE**** Inline XBRL Taxonomy Extension Presentation Linkbase Document. 104 **** Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). * Incorporated by reference to the Trust’s Registration Statement, filed on January 6, 2022. ** Incorporated by reference to the Trust’s Registration Statement, filed on August 26, 2020 *** Incorporated by reference to the Trust’s Registration Statement, filed on September, 26, 2022. **** Included herewith. Item 16. Form 10-K Summary. Not applicable. 35 Signatures Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this Annual Report to be signed on its behalf by the undersigned, thereunto duly authorized. VS TRUST /s/ Justin Young By: Justin Young Principal Executive Officer Date: March 28, 2025 /s/ Justin Young By: Justin Young Principal Financial and Accounting Officer Date: March 28, 2025 36 VS TRUST Financial Statements as of December 31, 2024 and December 31, 2023 Index Documents Page Report of Independent Registered Public Accounting Firm (PCAOB number: 238 ) F-2 Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows: F-3 - F-6 -1x Short VIX Futures ETF F-7 2x Long VIX Futures ETF F-11 Combined VS Trust F-15 Notes to Financial Statements F-23 F- 1 taitweller.com REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To Management of the Trust’s Sponsor of VS Trust Opinion on the Financial Statements We have audited the accompanying combined statements of assets and liabilities of VS Trust as of December 31, 2024 and 2023, and the related combined statements of operations, changes in net assets, and cash flows for the years ended December 31, 2024 and 2023, and the related notes (collectively referred to as the “combined financial statements”). In our opinion, the combined financial statements present fairly, in all material respects, the combined financial position of the Trust as of December 31, 2024 and 2023, and the results of their combined operations, combined changes in net assets, and combined cash flows for the periods stated above, in conformity with accounting principles generally accepted in the United States of America We have also audited the accompanying statements of assets and liabilities of -1x Short VIX Futures ETF and 2x Long VIX Futures ETF (the “Funds”), each a series of VS Trust, including the schedules of investments as of December 31, 2024 and 2023, and the related statements of operations, changes in net assets, cash flows and the financial highlights for the years ended December 31, 2024 and 2023, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of December 31, 2024 and 2023, and the results of their operations, changes in net assets, cash flows and financial highlights for the periods stated above, in conformity with accounting principles generally accepted in the United States of America Basis for Opinion These combined financial statements and financial statements are the responsibility of the management of the Trust’s sponsor. Our responsibility is to express an opinion on the Trust’s combined financial statements and the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust and the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of the Trust and the Funds since 2022. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the combined financial statements and financial statements are free of material misstatement, whether due to error or fraud. The Trust and the Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s and Funds’ internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the combined financial statements and financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the combined financial statements and financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the combined financial statements and financial statements. Our procedures included confirmation of securities owned as of December 31, 2024 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion. TAIT, WELLER & BAKER LLP Philadelphia, Pennsylvania March 28, 2025 F- 2 VS Trust Statements of Assets and Liabilities -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF December 31, 2024 December 31, 2024 December 31, 2023 December 31, 2023 ASSETS Cash $ - $ 1,189,437 $ 5,032,398 $ - Investments in securities, at value * 114,106,682 52,819,184 14,917,099 8,009,153 Interest receivable 595,610 383,703 117,866 58,172 Prepaid expenses and other assets 13,472 52,844 16,781 31,493 Deposits at Broker for Futures and Options Contracts 206,471,251 130,007,592 115,003,174 61,750,311 Variation margin receivable - 4,152,478 - 148,593 Other receivable 4,952 - 2,839 - Total Assets 321,191,967 188,605,238 135,090,157 69,997,722 LIABILITIES Payables Variation margin payable 3,655,035 - 204,703 - Fund shares redeemed 16,505,580 - 9,447,400 - Management fees payable 350,201 318,004 147,790 106,270 Administrative, accounting and custodian fees payable 69,969 16,395 28,065 25,429 Professional fees payable 313,037 444,580 154,412 133,724 Licensing and registration fees payable 174,322 115,000 50,368 67,303 Total Liabilities 21,068,144 893,979 10,032,738 332,726 NET ASSETS $ 300,123,823 $ 187,711,259 $ 125,057,419 $ 69,664,996 NET ASSETS CONSIST OF: Paid-in capital $ 173,281,568 $ 574,080,151 $ 4,558,124 $ 424,281,739 Total distributable earnings (accumulated deficit) 126,842,255 ( 386,368,892 ) 120,499,295 ( 354,616,743 ) Net Assets $ 300,123,823 $ 187,711,259 $ 125,057,419 $ 69,664,996 Net Asset Value (unlimited shares authorized): Class I (unlimited shares authorized): Net Assets $ 300,123,823 $ 187,711,259 $ 125,057,419 $ 69,664,996 Shares Outstanding^ 11,820,000 5,531,498 (1) 3,310,000 507,498 (2) Net Asset Value, Offering and Redemption Price per Share $ 25.39 $ 33.93 (1) $ 37.78 $ 137.27 (2) Market Value per Share $ 25.37 $ 34.00 (1) $ 37.73 $ 137.30 (2) * Investments in securities, at cost $ 113,974,059 $ 52,819,184 $ 15,728,432 $ 8,009,153 ^ No Par Value (1) Adjusted to reflect a 1:10 reverse stock split occurring on January 15, 2025, as if it occurred at the commencement of operations. (2) Adjusted to reflect a 1:5 reverse stock split on January 25, 2023, a 1:10 reverse stock split on October 11, 2023, and a 1:10 reverse stock split on January 15, 2025, as if they occurred at the commencement of operations. See accompanying notes to the financial statements. F- 3 VS Trust Statements of Operations -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF For the year ended For the year ended For the year ended For the year ended December 31, 2024 December 31, 2024 December 31, 2023 December 31, 2023 INVESTMENT INCOME Income: Dividends $ 623 $ 462 $ - $ - Interest income 4,872,443 2,045,886 521,465 967,916 Total Income 4,873,066 2,046,348 521,465 967,916 Expenses: Management fees 3,149,545 1,833,654 1,180,598 1,618,811 Administrative, accounting and custodian fees 228,761 148,419 111,470 117,864 Professional fees 357,241 552,720 323,667 323,138 Licensing and registration fees 152,993 84,511 73,386 78,715 Broker interest expense 47,307 - 33,299 3,834 Total Expenses 3,935,847 2,619,304 1,722,420 2,142,362 Net Investment income (loss) 937,219 ( 572,956 ) ( 1,200,955 ) ( 1,174,446 ) REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on: Futures 24,472,687 ( 47,624,517 ) 99,437,238 ( 276,774,495 ) Options ( 8,015,082 ) - ( 742,711 ) - Net change in unrealized appreciation (depreciation) of: Futures ( 11,995,820 ) 16,445,324 6,824,578 1,025,904 Options 943,956 - ( 811,333 ) - Net realized and unrealized gain (loss) on investments and futures contracts 5,405,741 ( 31,179,193 ) 104,707,772 ( 275,748,591 ) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,342,960 $ ( 31,752,149 ) $ 103,506,817 $ ( 276,923,037 ) See accompanying notes to financial statements. F- 4 VS Trust Statement of Changes in Net Assets -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF For the year ended For the year ended For the year ended For the year ended December 31, 2024 December 31, 2024 December 31, 2023 December 31, 2023 INCREASE (DECREASE) IN NET ASSETS: OPERATIONS Net investment income (loss) $ 937,219 $ ( 572,956 ) $ ( 1,200,955 ) $ ( 1,174,446 ) Net realized gain (loss) on investments and futures contracts 16,457,605 ( 47,624,517 ) 98,694,527 ( 276,774,495 ) Net change in unrealized appreciation (depreciation) of investments and futures contracts ( 11,051,864 ) 16,445,324 6,013,245 1,025,904 Net increase (decrease) in net assets resulting from operations 6,342,960 ( 31,752,149 ) 103,506,817 ( 276,923,037 ) CAPITAL SHARE TRANSACTIONS Shares sold 828,649,566 742,224,982 282,198,849 469,583,438 Shares redeemed ( 659,926,122 ) ( 592,426,570 ) ( 307,026,850 ) ( 248,484,171 ) Net increase (decrease) in net assets from capital share transactions 168,723,444 149,798,412 ( 24,828,001 ) 221,099,267 Total increase (decrease) in net assets 175,066,404 118,046,263 78,678,816 ( 55,823,770 ) NET ASSETS Beginning of Period 125,057,419 69,664,996 46,378,603 125,488,766 End of Period $ 300,123,823 $ 187,711,259 $ 125,057,419 $ 69,664,996 See accompanying notes to the financial statements. F- 5 VS Trust Statements of Cash Flows -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF Year Ended Year Ended Year Ended Year Ended December 31, 2024 December 31, 2024 December 31, 2023 December 31, 2023 CASH FLOW FROM OPERATING ACTIVITIES Net increase (decrease) in net assets resulting from operations $ 6,342,960 $ ( 31,752,149 ) $ 103,506,817 $ ( 276,923,037 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Purchase of investments ( 1,049,664,730 ) ( 675,548,842 ) ( 536,234,321 ) ( 556,160,309 ) Proceeds from sales or maturities of investments held 943,404,021 630,738,811 519,763,178 556,401,441 Net realized gain/loss on investments in options 8,015,082 - 742,711 - Net change in unrealized appreciation/depreciation on investments in options ( 943,956 ) - 811,333 - Decrease (Increase) in Deposits at broker for futures and option contracts ( 91,468,077 ) ( 68,257,281 ) ( 66,858,620 ) 53,070,961 Decrease (Increase) in Variation margin receivable - ( 4,003,885 ) - 682,247 Decrease (Increase) in Prepaid expenses and other assets 3,309 ( 21,351 ) ( 6,486 ) ( 15,827 ) Decrease (Increase) in interest receivable ( 477,744 ) ( 325,531 ) ( 104,957 ) ( 7,689 ) Decrease (Increase) in other receivable ( 2,113 ) - ( 2,268 ) 579 Increase (Decrease) in Variation margin payable 3,450,332 - 17,673 - Increase (Decrease) in Payable to Sponsor 202,411 211,734 93,416 ( 70,568 ) Increase (Decrease) in Administrative, accounting and custodian fees payable 41,904 ( 9,034 ) 12,196 5,472 Increase (Decrease) in Professional fees payable 158,625 310,856 29,138 ( 69,687 ) Increase (Decrease) in Licensing and registration fees payable 123,954 47,697 41,607 56,122 Net cash provided by (used in) operating activities ( 180,814,022 ) ( 148,608,975 ) 21,811,417 ( 223,030,295 ) CASH FLOW FROM FINANCING ACTIVITIES Proceeds from shares sold, net of receivable for shares sold 828,649,566 742,224,982 282,198,849 471,514,466 Cost of shares redeemed, net of payable for shares redeemed ( 652,867,942 ) ( 592,426,570 ) ( 299,482,468 ) ( 248,484,171 ) Net cash provided by (used in) financing activities 175,781,624 149,798,412 ( 17,283,619 ) 223,030,295 NET INCREASE (DECREASE) IN CASH ( 5,032,398 ) 1,189,437 4,527,798 - Beginning of Period 5,032,398 - 504,600 - End of Period $ - $ 1,189,437 $ 5,032,398 $ - 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 Value 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. 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. F- 8 -1x Short VIX Futures ETF Schedule of Investments December 31, 2023 Notional Amount Contracts Value PURCHASED OPTIONS - 0.29% Call Options - 0.29% CBOE VIX, Expiration: 01/17/2024 ; Exercise Price: $ 26 .00 $ 29,880,000 24,000 $ 360,000 TOTAL PURCHASED OPTIONS (Cost $ 1,171,333 ) 360,000 Shares Value SHORT-TERM INVESTMENTS – 11.64% Money Market Funds – 11.64% First American Government Obligations Fund - Class X, 5.28 % (a) 14,557,099 14,557,099 TOTAL SHORT-TERM INVESTMENTS (Cost $ 14,557,099 ) 14,557,099 TOTAL INVESTMENTS - 11.93 % (Cost $ 15,728,432 ) 14,917,099 Other Assets in Excess of Liabilities - 88.07 % (b) 110,140,320 TOTAL NET ASSETS - 100.0% $ 125,057,419 Percentages are stated as a percent of net assets. (a) Represents annualized seven-day yield at December 31, 2023. (b) $115,003,174 of cash is pledged as collateral for options and futures contracts. F- 9 -1x Short VIX Futures ETF Schedule of Futures Contracts December 31, 2023 Description Contracts Sold Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE VIX FUTURE Jan24 ( 5,055 ) 01/17/2024 $ 70,972,200 $ 5,749,910 CBOE VIX FUTURE Feb24 ( 10,051 ) 02/14/2024 54,096,020 2,230,774 Net Unrealized Appreciation (Depreciation) $ 7,980,694 Summary of Fair Value Disclosure as of December 31, 2023 -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, 2023: Level 1 Level 2 Level 3 Total Assets: Investments: Purchased Options $ 360,000 $ – $ – $ 360,000 Money Market Funds 14,557,099 – – 14,557,099 Total Investments $ 14,917,099 $ – $ – $ 14,917,099 Other Financial Instruments: Futures Contracts* – 7,980,694 – 7,980,694 Total Other Financial Instruments $ – $ 7,980,694 $ – $ 7,980,694 * The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of December 31, 2023. Refer to the Schedule of Investments for further disaggregation of investment categories. See accompanying notes to 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. 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. F- 12 2x Long VIX Futures ETF Schedule of Investments December 31, 2023 Shares Value SHORT-TERM INVESTMENTS – 11.50% Money Market Funds – 11.50% First American Government Obligations Fund - Class X, 5.28 % (a) 8,009,153 $ 8,009,153 TOTAL SHORT-TERM INVESTMENTS (Cost $ 8,009,153 ) 8,009,153 TOTAL INVESTMENTS – 11.50 % (Cost $ 8,009,153 ) 8,009,153 Other Assets in Excess of Liabilities – 88.50 % (b) 61,655,843 TOTAL NET ASSETS - 100.0 % $ 69,664,996 Percentages are stated as a percent of net assets. (a) Represents annualized seven-day yield at December 31, 2023. (b) $61,750,311 of cash is pledged as collateral for futures contracts. F- 13 2x Long VIX Futures ETF Schedule of Futures Contracts December 31, 2023 Description Contracts Purchased Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation) CBOE VIX FUTURE Jan24 5,633 01/17/2024 $ 79,087,320 $ ( 5,616,125 ) CBOE VIX FUTURE Feb24 3,943 02/14/2024 60,288,470 ( 2,561,493 ) Net Unrealized Appreciation (Depreciation) $ ( 8,177,618 ) Summary of Fair Value Disclosure as of December 31, 2023 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, 2023: Level 1 Level 2 Level 3 Total Assets: Investments: Money Market Funds $ 8,009,153 $ – $ – $ 8,009,153 Total Investments $ 8,009,153 $ – $ – $ 8,009,153 Liabilities: Other Financial Instruments: Futures Contracts* – ( 8,177,618 ) – ( 8,177,618 ) Total Other Financial Instruments $ – $ ( 8,177,618 ) $ – $ ( 8,177,618 ) * The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of December 31, 2023. Refer to the Schedule of Investments for further disaggregation of investment categories. F- 14 VS Trust Combined Statement of Assets and Liabilities December 31, 2024 ASSETS Cash $ 1,189,437 Investments in securities, at value * 166,925,866 Interest receivable 979,313 Prepaid expenses and other assets 66,316 Receivable for shares sold 336,478,843 Variation margin receivable 4,152,478 Other receivable 4,952 Total Assets 509,797,205 LIABILITIES Payables Variation margin payable 3,655,035 Fund shares redeemed 16,505,580 Management fees payable 668,205 Administrative, accounting and custodian fees payable 86,364 Professional fees payable 757,617 Licensing and registration fees payable 289,322 Total Liabilities 21,962,123 NET ASSETS $ 487,835,082 NET ASSETS CONSIST OF: Paid-in capital $ 747,361,719 Total distributable earnings (accumulated deficit) ( 259,526,637 ) Net Assets $ 487,835,082 NET ASSET VALUE: Class I (unlimited shares authorized): Net Assets $ 487,835,082 Shares Outstanding^ 17,351,498 * Investments in securities, at cost $ 166,793,243 ^ No Par Value See accompanying notes to the financial statements. F- 15 VS Trust C ombined Statement of Assets and Liabilities (1) December 31, 2023 ASSETS Cash $ 5,032,398 Investments in securities, at value * 22,926,252 Interest receivable 176,038 Prepaid expenses and other assets 48,274 Deposits at Broker for Futures and Options Contracts 176,753,485 Variation margin receivable 148,593 Other receivable 2,839 Total Assets $ 205,087,879 LIABILITIES Payables Variation margin payable $ 204,703 Fund shares redeemed 9,447,400 Management fees payable 254,060 Administrative, accounting and custodian fees payable 53,494 Professional fees payable 288,136 Licensing and registration fees payable 117,671 Total Liabilities 10,365,464 NET ASSETS $ 194,722,415 NET ASSETS CONSIST OF: Paid-in capital $ 428,839,863 Total distributable earnings (accumulated deficit) ( 234,117,448 ) Net Assets $ 194,722,415 NET ASSET VALUE: Class I (unlimited shares authorized): Net Assets $ 194,722,415 Shares Outstanding^ 3,817,498 * Investments in securities, at cost $ 23,737,585 ^ No Par Value (1) The Fund commenced operations on March 28, 2022. See accompanying notes to the financial statements. F- 16 VS Trust Combined Statement of Operations For The Year Ended December 31, 2024 INVESTMENT INCOME Income: Dividends $ 1,085 Interest income 6,918,329 Total Income 6,919,414 Expenses: Management fees 4,983,199 Administrative, accounting and custodian fees 377,180 Professional fees 909,961 Licensing and registration fees 237,504 Broker interest expense 47,307 Total Expenses 6,555,151 Net Investment loss 364,263 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on: Futures ( 23,151,830 ) Options ( 8,015,082 ) Net change in unrealized appreciation (depreciation) of: Futures 4,449,504 Options 943,956 Net realized and unrealized gain (loss) on investments and futures contracts ( 25,773,452 ) NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ ( 25,409,189 ) See accompanying notes to financial statements. F- 17 VS Trust Combined Statement of Operations For The Year Ended December 31, 2023 INVESTMENT INCOME Income: Interest income $ 1,489,381 Total Income 1,489,381 Expenses: Management fees 2,799,409 Administrative, accounting and custodian fees 229,334 Professional fees 646,805 Licensing and registration fees 152,101 Broker interest expense 37,133 Total Expenses 3,864,782 Net Investment loss ( 2,375,401 ) REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on: Options ( 742,711 ) Futures ( 177,337,257 ) Net change in unrealized appreciation (depreciation) of: Options ( 811,333 ) Futures 7,850,482 Net realized and unrealized gain (loss) on investments and futures contracts ( 171,040,819 ) NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ ( 173,416,220 ) See accompanying notes to financial statements. F- 18 VS Trust Combined Statement of Changes in Net Assets For The Year Ended December 31, 2024 INCREASE (DECREASE) IN NET ASSETS: OPERATIONS Net investment loss $ 364,263 Net realized gain (loss) on investments and futures contracts ( 31,166,912 ) Net change in unrealized appreciation (depreciation) of investments and futures contracts 5,393,460 Net decrease in net assets resulting from operations ( 25,409,189 ) CAPITAL SHARE TRANSACTIONS Shares sold 1,570,874,548 Shares redeemed ( 1,252,352,692 ) Net increase in net assets from capital share transactions 318,521,856 Total increase in net assets $ 293,112,667 NET ASSETS Beginning of Year $ 194,722,415 End of Year $ 487,835,082 See accompanying notes to the financial statements. F- 19 VS Trust Combined Statement of Changes in Net Assets For The Year Ended December 31, 2023 INCREASE (DECREASE) IN NET ASSETS: OPERATIONS Net investment loss $ ( 2,375,401 ) Net realized gain (loss) on investments and futures contracts ( 178,079,968 ) Net change in unrealized appreciation (depreciation) of investments and futures contracts 7,039,149 Net decrease in net assets resulting from operations ( 173,416,220 ) CAPITAL SHARE TRANSACTIONS Shares sold 751,782,287 Shares redeemed ( 555,511,021 ) Net increase in net assets from capital share transactions 196,271,266 Total increase in net assets 22,855,046 NET ASSETS Beginning of Year 171,867,369 End of Year $ 194,722,415 See accompanying notes to the financial statements. F- 20 VS Trust Combined Statements of Cash Flows For The Year Ended December 31, 2024 CASH FLOW FROM OPERATING ACTIVITIES Net increase (decrease) in net assets resulting from operations $ ( 25,409,189 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Purchase of investments ( 1,725,213,572 ) Proceeds from sales or maturities of investments held 1,574,142,832 Net realized gain/loss on investments held 8,015,082 Net change in unrealized appreciation/depreciation on investments in options ( 943,956 ) Decrease (Increase) in Deposits at broker for futures and option contracts ( 159,725,358 ) Decrease (Increase) in Variation margin receivable ( 4,003,885 ) Decrease (Increase) in Prepaid expenses and other assets ( 18,042 ) Decrease (Increase) in interest receivable ( 803,275 ) Decrease (Increase) in other receivables ( 2,113 ) Increase (Decrease) in Variation margin payable 3,450,332 Increase (Decrease) in Payable to Sponsor 414,145 Increase (Decrease) in Administrative, accounting and custodian fees payable 32,870 Increase (Decrease) in Professional fees payable 469,481 Increase (Decrease) in Licensing and registration fees payable 171,651 Net cash provided by (used in) operating activities ( 329,422,997 ) CASH FLOW FROM FINANCING ACTIVITIES Proceeds from shares sold, net of cost from shares purchased 1,570,874,548 Cost of shares redeemed ( 1,245,294,512 ) Net cash provided by (used in) financing activities 325,580,036 NET INCREASE IN CASH ( 3,842,961 ) Beginning of Year $ 5,032,398 End of Year $ 1,189,437 See accompanying notes to the financial statements. F- 21 VS Trust Combined Statements of Cash Flows For The Year Ended December 31, 2023 CASH FLOW FROM OPERATING ACTIVITIES Net increase (decrease) in net assets resulting from operations $ ( 173,416,220 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Purchase of investments ( 1,092,394,630 ) Proceeds from sales or maturities of investments held 1,076,164,619 Net realized gain/loss on investments held 742,711 Net change in unrealized appreciation/depreciation on investments in options 811,333 Decrease (Increase) in Deposits at broker for futures and option contracts ( 13,787,659 ) Decrease (Increase) in Variation margin receivable 682,247 Decrease (Increase) in Prepaid expenses and other assets ( 22,313 ) Decrease (Increase) in interest receivable ( 112,646 ) Decrease (Increase) in other receivables ( 1,689 ) Increase (Decrease) in Variation margin payable 17,673 Increase (Decrease) in Payable to Sponsor 22,848 Increase (Decrease) in Administrative, accounting and custodian fees payable 17,668 Increase (Decrease) in Professional fees payable ( 40,549 ) Increase (Decrease) in Licensing and registration fees payable 97,729 Net cash provided by (used in) operating activities ( 201,218,878 ) CASH FLOW FROM FINANCING ACTIVITIES Proceeds from shares sold, net of cost from shares purchased 753,713,315 Cost of shares redeemed ( 547,966,639 ) Net cash provided by (used in) financing activities 205,746,676 NET INCREASE IN CASH 4,527,798 Beginning of Year $ 504,600 End of Year $ 5,032,398 See accompanying notes to the financial statements. F- 22 VS Trust Notes to Financial Statements December 31, 2024 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 December 31, 2024, 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. On January 11, 2023, the Trust’s Sponsor announced a one-for-five reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on January 24, 2023. On January 25, 2023, shareholders will be deemed to hold one Fund share for every five Fund shares previously held as of the close of business on January 24, 2023. The reverse share split did not change the total value of the shareholders’ investments in the Fund. This reverse share split is reflected in the financial statements. On September 22, 2023, the Trust’s Sponsor announced a one-for-ten reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on October 10, 2023. On October 11, 2023, shareholders will be deemed to hold one Fund share for every ten Fund shares previously held as of the close of business on October 10, 2023. The reverse share split did not change the total value of the shareholders’ investments in the Fund. This reverse share split is reflected in the financial statements. On December 31, 2024, the Trust’s Sponsor announced a one-for-ten reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on January 14, 2025. On January 15, 2025, shareholders will be deemed to hold one Fund share for every ten Fund shares previously held as of the close of business on January 14, 2025. The reverse share split did not change the total value of the shareholders’ investments in the Fund. This reverse share split is reflected in the financial statements. 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-K 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- 23 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. Statements of Cash Flows The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated December 31, 2024 and December 31, 2023, 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 December 31, 2024 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. December 31, 2024 2x Long VIX Futures ETF 2:00 p.m. 4:00 p.m. December 31, 2024 * 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 December 31, 2023. Market value per Share is determined at the close of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated. For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended December 31, 2023. F- 24 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. 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. F- 25 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). 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. 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. F- 26 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. F- 27 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. The following table indicates the average volume when in use for the year ended December 31, 2024: -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of purchased options contracts: $ 40,945,769 $ - The following table indicates the average volume when in use for the year ended December 31, 2023: -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of purchased options contracts $ 33,997,000 $ - There were no transactions in purchased option contracts during the period ended December 31, 2022. F- 28 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- 29 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 December 31, 2024: Statements of Assets and Liabilities Fair Value -1x Short VIX Futures ETF Location Assets Liabilities Purchased Option Contracts: Index Investments, at value $ 1,484,000 $ - Short Futures Contracts: Index Unrealized Depreciation* - ( 5,346,909 ) Total fair values of derivative instruments $ 1,484,000 $ ( 5,346,909 ) 2x Long VIX Futures ETF Assets Liabilities Long Futures Contracts: Index Unrealized Appreciation/(Depreciation)* $ 9,252,011 $ ( 984,305 ) Total fair values of derivative instruments $ 9,252,011 $ ( 984,305 ) * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Future Contracts. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. F- 30 Statements of Operations The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2024: Net Realized Gain (Loss) on Derivatives -1x Short VIX Futures ETF Purchased Short Option Futures Derivatives Contracts* Contracts Total Index Contracts $ ( 8,015,082 ) $ 24,472,687 $ 16,457,605 Total $ ( 8,015,082 ) $ 24,472,687 $ 16,457,605 2x Long VIX Futures ETF Purchased Long Option Futures Derivatives Contracts* Contracts Total Index Contracts $ - $ ( 47,624,517 ) $ ( 47,624,517 ) Total $ - $ ( 47,624,517 ) $ ( 47,624,517 ) Net Change in Unrealized Appreciation (Depreciation) on Derivatives -1x Short VIX Futures ETF Purchased Short Option Futures Derivatives Contracts** Contracts Total Index Contracts $ 943,956 $ ( 11,995,820 ) ( 11,051,864 ) Total $ 943,956 $ ( 11,995,820 ) ( 11,051,864 ) 2x Long VIX Futures ETF Purchased Long Option Futures Derivatives Contracts** Contracts Total Index Contracts $ - $ 16,445,324 $ 16,445,324 Total $ - $ 16,445,324 $ 16,445,324 * The amounts disclosed are included in the realized gain (loss) on investments. ** The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments. F- 31 Statements of Assets and Liabilities Fair values of derivative instruments as of December 31, 2023: Statements of Assets Fair Value -1x Short VIX Futures ETF and Liabilities Location Assets Liabilities Purchased Option Contracts: Index Investments, at value $ 360,000 $ - Short Futures Contracts: Index Unrealized Appreciation* 7,980,684 - Total fair values of derivative instruments $ 8,340,684 $ - 2x Long VIX Futures ETF Assets Liabilities Long Futures Contracts: Index Unrealized Depreciation* $ - $ ( 8,177,618 ) Total fair values of derivative instruments $ - $ ( 8,177,618 ) * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. Statements of Operations The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2023: Net Realized Gain (Loss) on Derivatives -1x Short VIX Futures ETF Purchased Short Option Futures Derivatives Contracts* Contracts Total Index Contracts $ ( 742,711 ) $ 99,437,238 $ 98,694,527 Total $ ( 742,711 ) $ 99,437,238 $ 98,694,527 2x Long VIX Futures ETF Purchased Long Option Futures Derivatives Contracts* Contracts Total Index Contracts $ - $ ( 276,774,495 ) $ ( 276,774,495 ) Total $ - $ ( 276,774,495 ) $ ( 276,774,495 ) Net Change in Unrealized Appreciation (Depreciation) on Derivatives -1x Short VIX Futures ETF Purchased Short Option Futures Derivatives Contracts** Contracts Total Index Contracts $ ( 811,333 ) 6,824,578 $ 6,013,245 Total $ ( 811,333 ) 6,824,578 $ 6,013,245 2x Long VIX Futures ETF Purchased Long Option Futures Derivatives Contracts** Contracts Total Index Contracts $ - $ 1,025,904 $ 1,025,904 Total $ - $ 1,025,904 $ 1,025,904 * The amounts disclosed are included in the realized gain (loss) on investments. ** The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments. F- 32 The following table indicates the average volume when in use for the year ended December 31, 2024: -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of long futures contracts: $ - $ 233,976,048 Average notional value of short futures contracts: ( 204,171,960 ) - The following table indicates the average volume when in use for the year ended December 31, 2023: -1x Short VIX Futures ETF 2x Long VIX Futures ETF Average notional value of long futures contracts $ - $ 190,330,622 Average notional value of short futures contracts ( 85,223,472 ) - 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 December 31, 2024 and December 31, 2023. 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 - - - Fair Values of Derivative Instruments as of December 31, 2023 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 $ - $ - $ - $ 204,703 $ - $ 204,703 2x Long VIX Futures ETF 148,593 - 148,593 - - - Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023 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- 33 Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2024 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 Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023 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 $ ( 204,703 ) $ - $ - $ ( 204,703 ) 2x Long VIX Futures ETF 148,593 - - 148,593 NOTE 4 – AGREEMENTS Management Fee SVIX pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net 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- 34 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 year ended December 31, 2024 and the period ended December 31, 2023: Fund Year Ended December 31, 2024 Period Ended December 31, 2023 -1x Short VIX Futures ETF $ 446,439 $ 176,715 2x Long VIX Futures ETF 400,240 215,355 $ 846,679 $ 392,070 F- 35 NOTE 7 – FINANCIAL HIGHLIGHTS Selected data is for a Share outstanding throughout the Year Ended December 31, 2024 (Unaudited) and December 31, 2023 (Unaudited) -1x Short VIX Futures ETF 2x Long VIX Futures ETF -1x Short VIX Futures ETF 2x Long VIX Futures ETF For the Year Ended For the Year Ended For the Year Ended For the Year Ended December 31, 2024 December 31, 2024 (6) December 31, 2023 December 31, 2023 (7) Net Asset Value, Beginning of Period $ 37.78 $ 137.27 $ 14.63 $ 2,925.15 Net investment income (loss) (1) 0.13 ( 0.03 ) ( 0.34 ) ( 6.05 ) Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2) ( 12.52 ) ( 103.31 ) 23.49 ( 2,781.83 ) Net Increase (Decrease) in Net Asset Value Resulting from Operations ( 12.39 ) ( 103.34 ) 23.15 ( 2,787.88 ) Net Asset Value, End of Period $ 25.39 $ 33.93 $ 37.78 $ 137.27 Market Value Per Share, at December 31, 2024 and December 31, 2023 (3) $ 25.37 $ 34.00 $ 37.73 $ 137.30 Total Return at Net Asset Value - 32.80 % - 75.28 % 158.24 % - 95.31 % Total Return at Market Value - 32.76 % - 75.24 % 157.37 % - 95.28 % Ratios to Average Net Assets: (4) Expense ratio (5) 1.69 % 2.36 % 1.97 % 2.18 % Net Investment Loss 0.40 % - 0.52 % - 1.37 % - 1.20 % (1) Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period. (2) Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements. (3) Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. (4) Percentages are not annualized for the periods ended December 31, 2024 and December 31, 2023. (5) The expense ratio would be 1.67 % and 2.36 % respectively, for the year ended December 31, 2024 and 1.93 % and 2.18 % for the year ended December 31, 2023 if brokerage commissions and futures and futures account fees were excluded. (6) Adjusted to reflect a 1:10 reverse stock split occurring on January 15, 2025, as if it occurred at the commencement of operations. (7) Adjusted to reflect a 1:5 reverse stock split on January 25, 2023, a 1:10 reverse stock split on October 11, 2023, and a 1:10 reverse stock split on January 15, 2025, as if they occurred at the commencement of operations. See accompanying notes to financial statements. F- 36 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. F- 37 A number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. Each Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks. Counterparty Risk Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. 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- 38 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. 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. F- 39 “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-40