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Item 1. Business

2024-03-29 compared with 2023-03-28 · 798 added, 782 removed, 218 unchanged (88% of the section changed)

(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 September 30, 2022, the following two series of the Trust have

commenced investment operations:

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, 2023, the following two series of the Trust have commenced investment

-1x Short VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”).

of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided

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”).

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 date of organization and the registration of each series under the Securities Act of 1933.

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”)

The Sponsor is registered as a Commodity Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable

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.

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.

is not an investment company registered under the Investment Company Act of 1940.

Penserra Capital (the “Commodity Sub-Adviser”)

serves as the Funds’ sub-adviser (the “Commodity Sub-Adviser”) and provides sub-advisory services to each Fund 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.

SVIX seeks daily investment results, before fees

and expenses, that correspond to the performance of the Short VIX Futures Index (the “Short Index”) for a single day, not

for any other period.

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

VIX Futures Index (the “Long Index”).

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

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

The NAV calculation time for a Fund typically is 4:00

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe

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 date

of 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.

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.

Penserra Capital Management, LLC

(the “Commodity Sub-Adviser”) serves as the Funds’ sub-adviser (the “Commodity Sub-Adviser”) and provides

sub-advisory services to each Fund 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.

SVIX seeks daily investment results,

before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the “Short Index”) for a single

day, not for any other period.

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

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

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

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

The NAV calculation time for a Fund typically

(Eastern Time).

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one day, particularly in volatile markets.

The Funds seek to achieve their investment objective

through the appropriate amount of exposure to the VIX futures contracts included in their respective index.

The Funds also have the ability

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

manner and to the extent described herein.

SVIX is not benchmarked to the inverse of, and

UVIX is not benchmarked to twice, the widely referenced VIX.

The Short Index and the inverse of the VIX are separate measurements and

can be expected to perform very differently.

The Long Index and twice the VIX also are separate measurements and can be expected to perform

very differently.

As such, SVIX can be expected to perform very differently from the inverse (-1x) of the performance of the VIX over

any period, and UVIX can be expected to perform very differently from twice (2x) of the performance of the VIX over any period.

continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a “Creation Unit”) at current per

Share market prices.

Only Authorized Participants (as defined herein) may purchase and redeem Shares from a Fund and then only in Creation

The Funds seek to achieve their investment

objective through the appropriate amount of exposure to the VIX futures contracts included in their respective index.

The Funds also have

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

in the manner and to the extent described herein.

SVIX is not benchmarked to the

inverse of, and UVIX is not benchmarked to twice, the widely referenced VIX.

The Short Index and the inverse of the VIX are separate measurements

and can be expected to perform very differently.

The Long Index and twice the VIX also are separate measurements and can be expected to

perform very differently.

As such, SVIX can be expected to perform very differently from the inverse (-1x) of the performance of the VIX

over any period, and UVIX can be expected to perform very differently from twice (2x) of the performance of the VIX over any period.

Funds continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a “Creation Unit”) at current

per Share market prices.

Only Authorized Participants (as defined herein) may purchase and redeem Shares from a Fund and then only in

Creation Units.

An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility

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An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based brokerage

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

through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current

Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities

Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after

such material is electronically file with, or furnished to, the U.S.

The Sponsor maintains a website

at www.volatilityshares.com, through which monthly account statements and the Trust’s Annual Report on Form 10- K, Quarterly Reports

on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the

Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable

after such material is electronically file with, or furnished to, the U.S.

Securities and Exchange Commission (the “SEC”).

information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Investment Objectives and Principal Investment Strategies

Investment Objectives

SVIX seeks daily investment results, before fees

and expenses, that correspond to the performance of the Short Index for a single day.

The Fund does not seek to achieve its stated

objective over a period greater than a single day.

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

its NAV to the time of the Fund’s next NAV calculation.

The Index measures the daily inverse performance

of a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each day to maintain a

consistent time to maturity of the futures contracts.

daily investment results, before fees and expenses, that correspond to the performance of the Short Index for a single day.

does not seek to achieve its stated objective over a period greater than a single day.

A “single day” is measured from

the time the Fund calculates its NAV to the time of the Fund’s next NAV calculation.

The Index measures the daily inverse

performance of a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each day to maintain

a consistent time to maturity of the futures contracts.

The Index is calculated daily at 4:00 p.m.

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(Eastern time).

price averaging process — known as the Time Weighted Average Price (or TWAP).

Through this price averaging

process — known as the Time Weighted Average Price (or TWAP).

The Short Index inception date was November 22, 2019.

Its ticker symbol is:

If SVIX is successful in meeting its objective,

its value on a given day, before fees and expenses, should gain approximately as much on a percentage basis as the level of the Short

Conversely, its value on a given day, before fees and expenses, should lose approximately as much on a percentage basis as

the level of the Short Index.

Although the Fund seeks to track the performance of the Short Index each day, the Fund may not perfectly

track the Short Index’s performance over the same period, which is known as tracking error.

UVIX seeks daily investment results, before fees

and expenses, that correspond to twice (2x) the performance of the Long Index for a single day.

The Fund does not seek to achieve

its stated objective over a period greater than a single day.

A “single day” is measured from the time the Fund

calculates its NAV to the time of the Fund’s next NAV calculation.

The Long Index measures the daily performance of

a portfolio of long positions in first and second month VIX futures contracts.

This theoretical portfolio is rolled each day

to maintain a consistent time to maturity of the futures contracts.

Its ticker symbol

If SVIX is successful in meeting

its objective, its value on a given day, before fees and expenses, should gain approximately as much on a percentage basis as the level

of the Short Index.

Conversely, its value on a given day, before fees and expenses, should lose approximately as much on a percentage

basis as the level of the Short Index.

Although the Fund seeks to track the performance of the Short Index each day, the Fund may not

perfectly track the Short Index’s performance over the same period, which is known as tracking error.

daily investment results, before fees and expenses, that correspond to twice (2x) the performance of the Long Index for a single day.

The Fund does not seek to achieve its stated objective over a period greater than a single day.

A “single day” is measured

from the time the Fund calculates its NAV to the time of the Fund’s next NAV calculation.

The Long Index measures the daily

performance of a portfolio of long positions in first and second month VIX futures contracts.

This theoretical portfolio is rolled each

day to maintain a consistent time to maturity of the futures contracts.

The Index is calculated daily at 4:00 p.m.

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(Eastern time) and 4:00 p.m.

(Eastern time).

Through this price averaging process — known as the Time Weighted Average Price (or TWAP).

The Long Index inception

date is October 8, 2021.

The Long Index inception date is October

Its ticker symbol is:

If the Fund is successful in meeting its objective, its value on a given day,

before fees and expenses, should gain or lose approximately as much on a percentage basis as twice (2x) the level of the Index.

the Fund seeks to track twice (2x) the performance of the Index each day, the Fund may not perfectly achieve its objective over the

same period, which is known as tracking error.

If the Fund is successful in meeting its objective, its value on a given day, before fees and

expenses, should gain or lose approximately as much on a percentage basis as twice (2x) the level of the Index.

Although the Fund seeks

to track twice (2x) the performance of the Index each day, the Fund may not perfectly achieve its objective over the same period, which

is known as tracking error.

For more information, see Correlation Risk on page 10.

The Fund is not designed to meet its investment

objective over periods longer than one day.

Notwithstanding, the table below shows a performance example of the how compounding impacts

a 2x daily rebalanced investment referencing an index over periods longer than one day.

The Fund is not designed to meet

its investment objective over periods longer than one day.

Notwithstanding, the table below shows a performance example of the how compounding

impacts a 2x daily rebalanced investment referencing an index over periods longer than one day.

Areas shaded lighter represent those scenarios

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Principal Investment Strategies

In seeking to achieve each Fund’s investment

objective, the Commodity Sub-Adviser uses a mathematical approach to investing.

Using this approach, the Commodity Sub-Adviser determines

the type, quantity and mix of investment positions that it believes, in combination, should produce daily returns consistent with each

Fund’s objective.

Each Fund intends to meet its investment objective

by investing all or substantially all of its assets in positions in first and second month VIX futures contracts, though it may invest

in any one of, or combinations of, Financial Instruments (e.g., futures contracts, options contracts and swap transactions), such that

a Fund typically has exposure intended to approximate the Index at the time of its NAV calculation.

Under normal market conditions, SVIX’s

portfolio will comprise short positions, and UVIX’s portfolio will comprise long positions, on first- and second-month VIX

futures contracts.

In seeking to achieve each Fund’s

investment objective, the Commodity Sub-Adviser uses a mathematical approach to investing.

Using this approach, the Commodity Sub-Adviser

determines the type, quantity and mix of investment positions that it believes, in combination, should produce daily returns consistent

with each Fund’s objective.

Each Fund intends to meet its investment

objective by investing all or substantially all of its assets in positions in first and second month VIX futures contracts, though it

may invest in any one of, or combinations of, Financial Instruments (e.g., futures contracts, options contracts and swap transactions),

such that a Fund typically has exposure intended to approximate the Index at the time of its NAV calculation.

Under normal market conditions,

SVIX’s portfolio will comprise short positions, and UVIX’s portfolio will comprise long positions, on first- and second-month

VIX futures contracts.

The number and type of these contracts will naturally change day-to-day as each Fund takes a daily rolling position

in such contracts.

In the event that accountability rules, price limits,

position limits, margin limits or other exposure limits are reached with respect to VIX futures contracts, the Sponsor may cause

a Fund to obtain exposure to the Index through the use of options contracts or swap transactions referencing the VIX futures contracts.

In the event that accountability

rules, price limits, position limits, margin limits or other exposure limits are reached with respect to VIX futures contracts, the Sponsor

may cause a Fund to obtain exposure to the Index through the use of options contracts or swap transactions referencing the VIX futures

Each Fund may also invest in swaps if the market for a specific futures contract experiences emergencies ( e.g.

, natural disaster,

terrorist attack or an act of God) or disruptions ( e.g.

, a trading halt or a flash crash) or in situations where the Sponsor deems

it impractical or inadvisable to buy or sell futures contracts (such as during periods of market volatility or illiquidity).

Each Fund also may hold cash or cash equivalents

Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money

market funds) as collateral for Financial Instruments and pending investment in Financial Instruments.

Neither Fund is actively managed by traditional

methods ( e.g., by effecting changes in the composition of a portfolio on the basis of judgments relating to economic, financial

and market conditions with a view toward obtaining positive results under all market conditions).

Each Fund seeks to remain fully invested

at all times in Financial Instruments and money market instruments that, in combination, provide exposure to the Index consistent with

its investment objective without regard to market conditions, trends or direction.

Each Fund seeks to position its portfolio so that

its exposure to its Benchmark is consistent with its investment objective.

The time and manner in which the Fund rebalances its portfolio

is defined by the Index methodology but may vary from day to day depending upon market conditions and other circumstances, deemed at

the discretion of the Commodity Sub-Adviser, beneficial at tracking the Benchmark, or beneficial to the Fund holders.

The amount of exposure a Fund has to a specific

combination of Financial Instruments may differ and may be changed without shareholder approval at any given time.

Currently, SVIX seeks

to be, under normal market conditions and absent any unforeseen circumstances, fully exposed to short positions in short-term VIX

futures contracts, and UVIX seeks to be, under normal market conditions and absent any unforeseen circumstances, fully exposed to long

positions in short-term VIX futures contracts.

disaster, terrorist attack or an act of God) or disruptions ( e.g.

, a trading halt or a flash crash) or in situations where the

Sponsor deems it impractical or inadvisable to buy or sell futures contracts (such as during periods of market volatility or illiquidity).

Each Fund also may hold cash or cash

equivalents such as U.S.

Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares

of money market funds) as collateral for Financial Instruments and pending investment in Financial Instruments.

Neither Fund is actively managed

by traditional methods ( e.g., by effecting changes in the composition of a portfolio on the basis of judgments relating to economic,

financial and market conditions with a view toward obtaining positive results under all market conditions).

Each Fund seeks to remain

fully invested at all times in Financial Instruments and money market instruments that, in combination, provide exposure to the Index

consistent with its investment objective without regard to market conditions, trends or direction.

Each Fund seeks to position its

portfolio so that its exposure to its Benchmark is consistent with its investment objective.

The time and manner in which the Fund rebalances

its portfolio is defined by the Index methodology but may vary from day to day depending upon market conditions and other circumstances,

deemed at the discretion of the Commodity Sub-Adviser, beneficial at tracking the Benchmark, or beneficial to the Fund holders.

The amount of exposure a Fund has

to a specific combination of Financial Instruments may differ and may be changed without shareholder approval at any given time.

SVIX seeks to be, under normal market conditions and absent any unforeseen circumstances, fully exposed to short positions in short-term

VIX futures contracts, and UVIX seeks to be, under normal market conditions and absent any unforeseen circumstances, fully exposed to

long positions in short-term VIX futures contracts.

To the extent that any options or swap transaction entered into by a Fund are believed

by the Fund to be “securities” under the Investment Company Act of 1940, the Fund will limit its investments in

such transactions so that such investments, in combination, will not exceed 40 percent of the Fund’s assets (other than cash and

government securities) and thereby avoid potentially being deemed an unregistered investment company.”

The amount of a Fund’s exposure should be

expected to change from time to time at the discretion of the Sponsor based on market conditions and other factors.

In addition, the Sponsor has the power to change

the Fund’s investment objective, Benchmark or investment strategy at any time, without shareholder approval, subject to applicable

regulatory requirements.

Mitigating Price Impacts to VIX Futures

Contract Prices at Times of Fund Rebalancing

The Sponsor will seek to minimize the market impact

of rebalances across all exchange traded products based on VIX Futures Contracts that it sponsors (the “VIX ETPs”) on

the price of VIX futures contracts by limiting VIX ETP participation, on any given day, in VIX futures contracts to

no more than ten percent (10%) of the contracts traded on Cboe Futures Exchange, Inc.

(“CFE”) during any “Rebalance

Period,” defined as any fifteen minute period of continuous market trading.

In the event that any VIX ETP (including each Fund)

expects to hit the ten percent threshold during the primary Rebalance Period from 3:45 p.m.

(Eastern time), the VIX

ETPs would extend participation during periods of market illiquidity, the Sponsor, on any given day, may vary the manner and period

over which all funds it sponsors are rebalanced, and as such, the manner and period over which a Fund is rebalanced.

by the Fund to be “securities” under the Investment Company Act of 1940, the Fund will limit its investments in such transactions

so that such investments, in combination, will not exceed 40 percent of the Fund’s assets (other than cash and government securities)

and thereby avoid potentially being deemed an unregistered investment company.”

The amount of a Fund’s exposure

should be expected to change from time to time at the discretion of the Sponsor based on market conditions and other factors.

In addition, the Sponsor has the power

to change the Fund’s investment objective, Benchmark or investment strategy at any time, without shareholder approval, subject to

applicable regulatory requirements.

Mitigating Price Impacts to VIX Futures Contract

Prices at Times of Fund Rebalancing

The Sponsor will seek to minimize

the market impact of rebalances across all exchange traded products based on VIX Futures Contracts that it sponsors (the “VIX ETPs”)

on the price of VIX futures contracts by limiting VIX ETP participation, on any given day, in VIX futures contracts to no more than ten

percent (10%) of the contracts traded on Cboe Futures Exchange, Inc.

(“CFE”) during any “Rebalance Period,” defined

as any fifteen minute period of continuous market trading.

In the event that any VIX ETP (including each Fund) expects to hit the ten

percent threshold during the primary Rebalance Period from 3:45 p.m.

(Eastern time), the VIX ETPs would extend participation

during periods of market illiquidity, the Sponsor, on any given day, may vary the manner and period over which all funds it sponsors are

rebalanced, and as such, the manner and period over which a Fund is rebalanced.

The Short Index

The Short Index measures the daily inverse performance

of a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each day to maintain a

consistent time to maturity of the futures contracts.

The Short Index is calculated daily at 4:00 p.m.

The Short Index measures the daily

inverse performance of a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each day to maintain

a consistent time to maturity of the futures contracts.

The Short Index is calculated daily

(Eastern time) from the average price of the VIX futures contracts between 3:45 p.m.

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The Long Index

The Long Index measures the daily performance of

long positions in a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each day

to maintain a consistent time to maturity of the futures contracts.

The Long Index is calculated daily at 4:00 p.m.

The Long Index measures the daily

performance of long positions in a portfolio of first and second month VIX futures contracts.

This theoretical portfolio is rolled each

day to maintain a consistent time to maturity of the futures contracts.

The Long Index is calculated daily at

(Eastern time) from the average price of the VIX futures contracts between 3:45 p.m.

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VIX Futures Contracts

Each Index is comprised of VIX futures contracts.

futures contracts were first launched for trading by the CBOE in 2004.

VIX futures contracts allow investors to invest based on their

view of the forward implied market volatility of the S&P 500.

Investors that believe the forward implied market volatility of the

S&P 500 will increase may buy VIX futures contracts.

Conversely, investors that believe that the forward implied market volatility

of the S&P 500 will decline may sell VIX futures contracts.

While the VIX represents a measure of the

current expected volatility of the S&P 500 over the next 30 days, the prices of VIX futures contracts are based on the current

Each Index is comprised of VIX

futures contracts.

VIX futures contracts were first launched for trading by the CBOE in 2004.

VIX futures contracts allow investors to

invest based on their view of the forward implied market volatility of the S&P 500.

Investors that believe the forward implied market

volatility of the S&P 500 will increase may buy VIX futures contracts.

Conversely, investors that believe that the forward implied

market volatility of the S&P 500 will decline may sell VIX futures contracts.

While the VIX represents a measure

of the current expected volatility of the S&P 500 over the next 30 days, the prices of VIX futures contracts are based on the current

expectation of the expected 30-day volatility of the S&P 500 on the expiration date of the futures contract.

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futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave quite differently.

An important consequence of the spot/forward

relationship between the VIX and VIX futures contracts (and therefore between the VIX and A Fund) that investors should

understand is that the price of a VIX futures contract can be lower, equal to or higher than the VIX, depending on whether the

market expects volatility to be lower, equal to or higher in the 30-day forward period covered by the VIX futures contract than in

the 30-day spot period covered by the VIX.

Therefore the performance of VIX Futures contracts should be expected to be

very different than the performance of the VIX as there is no direct relationship between the two measures.

As a result, since the

performance of a Fund is linked to the performance of the VIX futures contracts included in the Index, a Fund should be expected

to perform very differently from the VIX (or -1x or 2x thereof).

The VIX is an index designed to measure the

implied volatility of the S&P 500 over 30 days in the future.

The VIX is calculated based on the prices of certain put and

call options on the S&P 500.

The VIX is reflective of the premium paid by investors for certain options linked to the level of

● During periods of rising investor uncertainty, including

periods of market instability, the implied level of volatility of the S&P 500 typically increases and, consequently, the prices of

options linked to the S&P 500 typically increase (assuming all other relevant factors remain constant or have negligible changes).

This, in turn, causes the level of the VIX to increase.

● During periods of declining investor uncertainty, the implied

level of volatility of the S&P 500 typically decreases and, consequently, the prices of options linked to the S&P 500 typically

decrease (assuming all other relevant factors remain constant or have negligible changes).

This, in turn, causes the level of the VIX

Volatility, and the level of the VIX, can

increase (or decrease) without warning.

The VIX was developed by the CBOE and is calculated, maintained and published by the CBOE.

CBOE may change the methodology used to determine the VIX and has no obligation to continue to publish, and may discontinue the publication

An important consequence of

the spot/forward relationship between the VIX and VIX futures contracts (and therefore between the VIX and A Fund) that investors should

understand is that the price of a VIX futures contract can be lower, equal to or higher than the VIX, depending on whether the market

expects volatility to be lower, equal to or higher in the 30-day forward period covered by the VIX futures contract than in the 30- day

spot period covered by the VIX.

Therefore the performance of VIX Futures contracts should be expected to be very different than the performance

of the VIX as there is no direct relationship between the two measures.

As a result, since the performance of a Fund is linked to the

performance of the VIX futures contracts included in the Index, a Fund should be expected to perform very differently from the VIX (or

-1x or 2x thereof).

The VIX is an index designed to measure

the implied volatility of the S&P 500 over 30 days in the future.

The VIX is calculated based on the prices of certain put and call

options on the S&P 500.

The VIX is reflective of the premium paid by investors for certain options linked to the level of the S&P

● During periods of rising investor uncertainty, including periods of market instability,

the implied level of volatility of the S&P 500 typically increases and, consequently, the prices of options linked to the S&P

500 typically increase (assuming all other relevant factors remain constant or have negligible changes).

This, in turn, causes the level

of the VIX to increase.

● During periods of declining investor uncertainty, the implied level of volatility

of the S&P 500 typically decreases and, consequently, the prices of options linked to the S&P 500 typically decrease (assuming

all other relevant factors remain constant or have negligible changes).

This, in turn, causes the level of the VIX to decrease.

Volatility, and the level of the

VIX, can increase (or decrease) without warning.

The VIX was developed by the CBOE and is calculated, maintained and published by the

The CBOE may change the methodology used to determine the VIX and has no obligation to continue to publish, and may discontinue

the publication of, the VIX.

The VIX is reported by Bloomberg Finance L.P.

under the ticker symbol “VIX.”

The S&P 500 is an index that measures large-cap

stock market performance.

The S&P 500 is an index that measures large-cap U.S.

market performance.

It is a float-adjusted market capitalization weighted index of 500 U.S.

operating companies and

real estate investment trusts selected by the S&P U.S.

Index Committee through a non-mechanical process that factors in criteria

such as liquidity, price, market capitalization and financial viability.

operating companies and real estate

investment trusts selected by the S&P U.S.

Index Committee through a non-mechanical process that factors in criteria such as

liquidity, price, market capitalization and financial viability.

Reconstitution occurs both on a quarterly and ongoing basis.

S&P publishes the S&P 500.

The daily calculation of the current value of the S&P 500 is based on the relative value of the

aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average initial market

value of the common stocks of 500 similar companies at the time of the inception of the S&P 500.

The 500 companies are not the 500

largest publicly traded companies and not all 500 companies are listed on the Exchange.

S&P chooses companies for inclusion in the

S&P 500 with the objective of achieving a distribution by broad industry groupings that approximates the distribution of these groupings

in the common stock population of the U.S.

The daily calculation of the current value of the S&P 500 is based on the relative value of

the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average initial

market value of the common stocks of 500 similar companies at the time of the inception of the S&P 500.

The 500 companies are

not the 500 largest publicly traded companies and not all 500 companies are listed on the Exchange.

S&P chooses companies for

inclusion in the S&P 500 with the objective of achieving a distribution by broad industry groupings that approximates the

distribution of these groupings in the common stock population of the U.S.

equity market.

S&P may from time to time, in its sole discretion, add companies to,

or delete companies from, the S&P 500 to achieve the objectives stated above.

Relevant criteria employed by S&P include the viability

of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which

the company’s common stock is widely held and the market value and trading activity of the common stock of that company.

S&P may from time to time, in its sole

discretion, add companies to, or delete companies from, the S&P 500 to achieve the objectives stated above.

Relevant criteria

employed by S&P include the viability of the particular company, the extent to which that company represents the industry group

to which it is assigned, the extent to which the company’s common stock is widely held and the market value and trading

activity of the common stock of that company.

Information about the Index Provider

EACH FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED

BY S&P AND ITS AFFILIATES OR CBOE.

S&P AND CBOE MAKE NO REPRESENTATION, CONDITION OR WARRANTY, EXPRESS OR IMPLIED, TO THE

OWNERS OF A FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND PARTICULARLY

OR THE ABILITY OF THE INDEX TO TRACK MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES AND/OR TO ACHIEVE ITS STATED OBJECTIVE

AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE.

S&P’S AND CBOE’S ONLY RELATIONSHIP TO

VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES AND OF EACH

INDEX WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY S&P AND CBOE WITHOUT REGARD TO VS TRUST ON BEHALF OF ITS APPLICABLE SERIES

AND VOLATILITY SHARES LLC OR THE FUNDS.

S&P AND CBOE HAVE NO OBLIGATION TO TAKE THE NEEDS OF VS TRUST ON BEHALF OF ITS APPLICABLE

SERIES AND VOLATILITY SHARES LLC OR THE OWNERS OF THE FUNDS INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE INDEX.

AND CBOE ARE NOT ADVISORS TO THE FUNDS AND ARE NOT RESPONSIBLE FOR AND HAVE NOT PARTICIPATED IN THE DETERMINATION OF THE PRICES AND AMOUNT

OF THE FUNDS OR THE TIMING OF THE ISSUANCE OR SALE OF A FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH FUND SHARES

ARE TO BE CONVERTED INTO CASH.

S&P AND CBOE HAVE NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING,

OR TRADING OF THE FUNDS.

NEITHER S&P, ITS AFFILIATES NOR THIRD PARTY

LICENSORS, INCLUDING CBOE, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF AN INDEX OR ANY DATA INCLUDED THEREIN AND S&P, ITS AFFILIATES

AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.

AND CBOE MAKE NO WARRANTY, CONDITION OR REPRESENTATION, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VS TRUST ON BEHALF OF ITS

APPLICABLE SERIES AND VOLATILITY SHARES LLC, SHAREHOLDERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF AN INDEX OR ANY

DATA INCLUDED THEREIN.

S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, REPRESENTATIONS OR CONDITIONS, AND EXPRESSLY DISCLAIM

ALL WARRANTIES OR CONDITIONS OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AND ANY OTHER EXPRESS OR IMPLIED WARRANTY OR

CONDITION WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

EACH FUND IS NOT SPONSORED, ENDORSED, SOLD OR

PROMOTED BY S&P AND ITS AFFILIATES OR CBOE.

S&P AND CBOE MAKE NO REPRESENTATION, CONDITION OR WARRANTY, EXPRESS OR IMPLIED,

TO THE OWNERS OF A FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND

PARTICULARLY OR THE ABILITY OF THE INDEX TO TRACK MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES AND/OR TO ACHIEVE

ITS STATED OBJECTIVE AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE.

S&P’S AND CBOE’S

ONLY RELATIONSHIP TO VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC IS THE LICENSING OF CERTAIN TRADEMARKS

AND TRADE NAMES AND OF EACH INDEX WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY S&P AND CBOE WITHOUT REGARD TO VS TRUST ON

BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE FUNDS.

S&P AND CBOE HAVE NO OBLIGATION TO TAKE THE NEEDS OF VS

TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE OWNERS OF THE FUNDS INTO CONSIDERATION IN DETERMINING,

COMPOSING OR CALCULATING THE INDEX.

S&P AND CBOE ARE NOT ADVISORS TO THE FUNDS AND ARE NOT RESPONSIBLE FOR AND HAVE NOT

PARTICIPATED IN THE DETERMINATION OF THE PRICES AND AMOUNT OF THE FUNDS OR THE TIMING OF THE ISSUANCE OR SALE OF A FUND OR IN THE

DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH FUND SHARES ARE TO BE CONVERTED INTO CASH.

S&P AND CBOE HAVE NO OBLIGATION

OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING, OR TRADING OF THE FUNDS.

NEITHER S&P, ITS AFFILIATES

NOR THIRD PARTY LICENSORS, INCLUDING CBOE, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF AN INDEX OR ANY DATA INCLUDED THEREIN AND

S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS

S&P AND CBOE MAKE NO WARRANTY, CONDITION OR REPRESENTATION, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VS TRUST

ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC, SHAREHOLDERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF

AN INDEX OR ANY DATA INCLUDED THEREIN.

S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, REPRESENTATIONS OR CONDITIONS, AND EXPRESSLY

DISCLAIM ALL WARRANTIES OR CONDITIONS OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AND ANY OTHER EXPRESS OR IMPLIED WARRANTY

OR CONDITION WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P,

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OF SUCH DAMAGES.

Information about Financial Instruments and Commodities Markets

Information about Financial Instruments and Commodities

Futures Contracts

A futures contract is a standardized contract traded

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

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

Futures contracts are traded on a wide variety of underlying

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

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

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

A Fund generally deposits

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

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

The clearing house becomes substituted for each counterparty to a futures

contract, and, in effect, guarantees performance.

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

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

Certain futures contracts, including stock index

contracts, VIX futures contracts and certain commodity futures contracts settle in cash.

The cash settlement amount reflects the

difference between the contract purchase/sale price and the contract settlement price.

A futures contract is a standardized

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

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

Futures contracts are traded on a wide variety

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

and statistical measures.

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

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

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

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

The clearing house becomes substituted for each counterparty

to a futures contract, and, in effect, guarantees performance.

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

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

Certain futures contracts, including

stock index contracts, VIX futures contracts and certain commodity futures contracts settle in cash.

The cash settlement amount reflects

the difference between the contract purchase/sale price and the contract settlement price.

The cash settlement mechanism avoids the potential

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commissions and exchange fees, constitutes the profit or loss to the trader.

Futures contracts involve, to varying degrees,

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

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

Additional risks associated with the

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

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

With futures contracts, there is minimal but some counterparty

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

futures contracts, effectively guarantees futures contracts against default.

Many futures exchanges and boards of trade limit the amount

of fluctuation permitted in futures contract prices during a single trading day.

Once the daily limit has been reached in a particular

contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading

Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing

prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

If trading is not possible or if a Fund

determines not to close a futures position in anticipation of adverse price movements, the Fund may be required to make daily cash payments

of variation margin.

Futures contracts involve, to varying

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

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

Additional risks associated

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

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

With futures contracts, there is minimal but some

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

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

Many futures exchanges and boards of trade

limit the amount of fluctuation permitted in futures contract prices during a single trading day.

Once the daily limit has been reached

in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times

during the trading 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 may be required

to make daily cash payments of variation margin.

Futures Account Agreements

Each Fund has entered into a written agreement

(each, a “Futures Account Agreement”) with one or more FCMs governing the terms of futures transactions of a Fund cleared

Each Fund has entered into a written

agreement (each, a “Futures Account Agreement”) with one or more FCMs governing the terms of futures transactions of a Fund

cleared by such FCM.

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

As such, the terms

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

with another FCM.

Most Futures Account Agreements do not require

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

In general, each FCM is permitted to terminate its

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

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

and/or position limits that would be in addition to any margin requirements and/or position limits required by applicable law, set by

the exchange, or set by the clearing house that clears the futures contracts in which a Fund transacts.

As a result, a Fund’s ability

to engage in futures transactions or maintain open positions in such contracts will be dependent on the willingness of its FCMs to continue

to accept or maintain such transactions on terms that are economically appropriate for a Fund’s investment strategy.

When a Fund has an open futures contract position,

it is subject to at least daily variation margin calls by an FCM that could be substantial in the event of adverse price movements.

futures contracts may require only a small initial investment in the form of a deposit or margin, they may involve a high degree of leverage.

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

that with another FCM.

Most Futures Account Agreements

do not require the FCM to enter into new transactions or maintain existing transactions with a Fund.

In general, each FCM is permitted

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

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

margin requirements and/or position limits that would be in addition to any margin requirements and/or position limits required by applicable

law, set by the exchange, or set by the clearing house that clears the futures contracts in which a Fund transacts.

As a result, a Fund’s

ability to engage in futures transactions or maintain open positions in such contracts will be dependent on the willingness of its FCMs

to continue to accept or maintain such transactions on terms that are economically appropriate for a Fund’s investment strategy.

When a Fund has an open futures

contract position, it is subject to at least daily variation margin calls by an FCM that could be substantial in the event of adverse

price movements.

Because futures contracts may require only a small initial investment in the form of a deposit or margin, they may involve

a high degree of leverage.

A Fund with open positions is subject to maintenance or variance margin on its open positions.

If a Fund has insufficient cash to meet

daily variation margin requirements, it may need to sell Financial Instruments at a time when such sales are disadvantageous.

markets are highly volatile and the use of or exposure to futures contracts may increase volatility of a Fund’s NAV.

Margin posted by a Fund to an FCM typically will

be held by relevant exchange’s clearing house (in the case of clearing house-required margin) or the FCM (in the case of “house”

If a Fund has

insufficient cash to meet daily variation margin requirements, it may need to sell Financial Instruments at a time when such sales are

disadvantageous.

Futures markets are highly volatile and the use of or exposure to futures contracts may increase volatility of a Fund’s

Margin posted by a Fund to an FCM typically

will be held by relevant exchange’s clearing house (in the case of clearing house-required margin) or the FCM (in the case of “house”

margin requirements of the FCM).

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where margin is not immediately returned by an FCM.

In the event that a Fund fails to comply with its

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

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

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

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

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

Futures Account Agreements typically provide that

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

The Futures Account Agreement between the Fund

and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its directors, officers, employees, agents and affiliates

(collectively, “indemnified persons”) from and against all claims, damages, losses and costs (including reasonable attorneys’

fees) incurred by the indemnified persons, in connection with:

(1) any failure by the Fund to perform its obligations under the Futures

Account Agreement and the FCM’s exercise of its rights and remedies thereunder;

(2) any failure by the Fund to comply with

applicable law;

(3) any action reasonably taken by the indemnified persons pursuant to the Futures Account Agreement to comply with

applicable law;

In the event that a Fund fails

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

FCM on a timely basis), the Futures Account Agreement typically will provide the FCM with broad discretion to take remedial action against

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

or all futures contracts in the Fund’s account with that FCM, to sell the collateral posted as margin by the Fund, to close out

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

Futures Account Agreements

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

account with that FCM.

The Futures Account Agreement between

the Fund and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its directors, officers, employees, agents and

affiliates (collectively, “indemnified persons”) from and against all claims, damages, losses and costs (including reasonable

attorneys’ fees) incurred by the indemnified persons, in connection with:

(1) any failure by the Fund to perform its obligations

under the Futures Account Agreement and the FCM’s exercise of its rights and remedies thereunder;

(2) any failure by the Fund to

comply with applicable law;

(3) any action reasonably taken by the indemnified persons pursuant to the Futures Account Agreement to comply

with applicable law;

and (4) any actions taken by the FCM in reliance on instructions, notices and other communications that the FCM and

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

To the extent that the Fund trades in futures contracts

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

must be segregated pursuant to the regulations of the CFTC.

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

To the extent

that the Fund trades in futures contracts on U.S.

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

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

Such segregated funds may be invested

only in a limited range of instruments — principally U.S.

government obligations to margin futures and forward contract positions.

Each Fund currently uses each of the following

firms as an FCM:

Each Fund currently uses each of

the following firms as an FCM:

ADM Investor Services, Inc.

(“ADMIS”), Advantage Futures LLC (“Advantage”), Marex North

America LLC (“Marex”), StoneX Financial Inc.

(“ADMIS”), Advantage Futures LLC (“Advantage”), Marex

North America LLC (“Marex”), StoneX Financial Inc.

— FCM, Straits Financial LLC, E D& F Man Capital Markets Inc.

Capital Markets, LLC (“RBC Capital”).

and RBC Capital Markets, LLC (“RBC Capital”).

The FCMs used by a Fund may change from time to time.

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commodity exchange.

No FCM is affiliated with or acts as a supervisor of the Trust, the Funds, the Sponsor, the Commodity

Sub-Adviser, the Trustee, the Administrator, Sub-Administrator, Transfer Agent, or the Custodian.

No FCM acts as an underwriter or sponsor

of the offering of the Shares, or has passed upon the merits of participating in this offering or has passed upon the adequacy of this

Prospectus or on the accuracy of the information contained herein.

No FCM provides any commodity trading advice regarding a Fund’s

trading activities.

Investors should investors should also note that the Sponsor may select additional clearing brokers or replace any

FCM as a Fund’s clearing broker.

An option is a contract that gives the purchaser

of the option, in return for the premium paid, the right to buy an underlying reference instrument, such as a specified security, currency,

index, or other instrument, from the writer of the option (in the case of a call option), or to sell a specified reference instrument

to the writer of the option (in the case of a put option) at a designated price during the term of the option.

The premium paid by the

buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of

the underlying reference instrument, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates.

An American style put or call option may be exercised at any time during the option period while a European style put or call option may

be exercised only upon expiration or during a fixed period prior thereto.

Put and call options are traded on national securities exchanges

and in the OTC market.

Options traded on national securities exchanges are within the jurisdiction of the SEC or other appropriate national

securities regulator, as are securities traded on such exchanges.

As a result, many of the protections provided to traders on organized

exchanges will be available with respect to such transactions.

In particular, all option positions entered into on a national securities

exchange in the United States are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty

Furthermore, a liquid secondary market in options traded on a national securities exchange may be more readily available than

in the OTC market, potentially permitting a Fund to liquidate open positions at a profit prior to exercise or expiration, or to limit

losses in the event of adverse market movements.

There is no assurance, however, that higher than anticipated trading activity or other

unforeseen events might not temporarily render the capabilities of the Options Clearing Corporation inadequate, and thereby result in

the exchange instituting special procedures which may interfere with the timely execution of a Fund’s orders to close out open options

No FCM is affiliated with or acts as a supervisor of the Trust, the Funds, the Sponsor, the Commodity Sub-Adviser,

the Trustee, the Administrator, Sub-Administrator, Transfer Agent, or the Custodian.

No FCM acts as an underwriter or sponsor of the offering

of the Shares, or has passed upon the merits of participating in this offering or has passed upon the adequacy of this Prospectus or on

the accuracy of the information contained herein.

No FCM provides any commodity trading advice regarding a Fund’s trading activities.

Investors should investors should also note that the Sponsor may select additional clearing brokers or replace any FCM as a Fund’s

clearing broker.

An option is a contract that gives the

purchaser of the option, in return for the premium paid, the right to buy an underlying reference instrument, such as a specified

security, currency, index, or other instrument, from the writer of the option (in the case of a call option), or to sell a specified

reference instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option.

The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market

price and the volatility of the underlying reference instrument, the remaining term of the option, supply, demand, interest rates

and/or currency exchange rates.

An American style put or call option may be exercised at any time during the option period while a

European style put or call option may be exercised only upon expiration or during a fixed period prior thereto.

Put and call options

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

Options traded on national securities exchanges are within the

jurisdiction of the SEC or other appropriate national securities regulator, as are securities traded on such exchanges.

many of the protections provided to traders on organized exchanges will be available with respect to such transactions.

particular, all option positions entered into on a national securities exchange in the United States are cleared and guaranteed by

the Options Clearing Corporation, thereby reducing the risk of counterparty default.

Furthermore, a liquid secondary market in

options traded on a national securities exchange may be more readily available than in the OTC market, potentially permitting a Fund

to liquidate open positions at a profit prior to exercise or expiration, or to limit losses in the event of adverse market

There is no assurance, however, that higher than anticipated trading activity or other unforeseen events might not

temporarily render the capabilities of the Options Clearing Corporation inadequate, and thereby result in the exchange instituting

special procedures which may interfere with the timely execution of a Fund’s orders to close out open options positions.

Swap Agreements

Swaps are contracts that have traditionally been

entered into primarily by institutional investors in OTC markets for a specified period ranging from a day to many years.

Swaps are contracts that have traditionally

been entered into primarily by institutional investors in OTC markets for a specified period ranging from a day to many years.

types of swaps may be cleared, and certain types are, in fact, required to be cleared.

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Swaps with customized terms or those for which significant market liquidity does not exist are generally not able to be cleared.

In a standard swap transaction, the parties agree

to exchange the returns on, among other things, a particular predetermined security, commodity, interest rate, or index for a fixed or

floating rate of return (the “interest rate leg,” which will also include the cost of borrowing for short swaps) in respect

of a predetermined notional amount.

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

In the case of futures contracts-based indexes,

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

In a standard swap transaction,

the parties agree to exchange the returns on, among other things, a particular predetermined security, commodity, interest rate, or index

for a fixed or floating rate of return (the “interest rate leg,” which will also include the cost of borrowing for short swaps)

in respect of a predetermined notional amount.

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

exposure under the swap.

In the case of futures contracts-based

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

still applied.

Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into.

The gross returns to be

exchanged are calculated with respect to the notional amount and the benchmark returns to which the swap is linked.

Swaps are usually

closed out on a net basis, i.e.

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

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

returns to be exchanged are calculated with respect to the notional amount and the benchmark returns to which the swap is linked.

are usually closed out on a net basis, i.e.

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

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

Thus, while the notional

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

Swaps may also expose a Fund to liquidity risk.

Although a Fund may have the ability to terminate a swap at any time, doing so may subject the Fund to certain early termination charges.

In addition, there may not be a liquid market within which to dispose of an outstanding swap even if a permitted disposal might avoid

an early termination charge.

Uncleared swaps generally are not assignable except by agreement between the parties to the swap, and generally

no party or purchaser has any obligation to permit such assignments.

Swaps involve, to varying degrees, elements of

market risk and exposure to loss in excess of the amount which would be reflected on a Fund’s Statement of Financial Condition.

Swaps may also expose a Fund to

liquidity risk.

Although a Fund may have the ability to terminate a swap at any time, doing so may subject the Fund to certain early termination

In addition, there may not be a liquid market within which to dispose of an outstanding swap even if a permitted disposal might

avoid an early termination charge.

Uncleared swaps generally are not assignable except by agreement between the parties to the swap, and

generally no party or purchaser has any obligation to permit such assignments.

Swaps involve, to varying degrees,

elements of market risk and exposure to loss in excess of the amount which would be reflected on a Fund’s Statement of Financial

In addition to market risk and other risks, the use of swaps also comes with counterparty credit risk — i.e.

inability of a counterparty to a swap to perform its obligations.

the inability of a counterparty to a swap to perform its obligations.

A Fund that invests in swaps bears the risk of loss of the net amount,

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its assets a Fund may invest in swaps with a particular counterparty.

A Fund that invests in swaps may use various techniques

to minimize counterparty credit risk.

A Fund that invests in swaps generally enters into arrangements with its counterparties whereby

both sides exchange collateral on a mark-to-market basis.

In addition, the Fund may post “initial margin” or “independent

amount” to counterparties in swaps.

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

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

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

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

The amount of initial margin posted by the Fund may vary

depending on the risk profile of the swap.

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

and/or securities.

Collateral posted by a Fund to a counterparty in

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

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

In the event of a default by a Fund where the

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

Collateral posted by the counterparty to a Fund

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

In the event of a default

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

the segregated account.

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

Notwithstanding the use of collateral arrangements,

to the extent any collateral provided to a Fund is insufficient or there are delays in accessing the collateral, a Fund will be exposed

to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.

A Fund that invests in swaps may

use various techniques to minimize counterparty credit risk.

A Fund that invests in swaps generally enters into arrangements with its

counterparties whereby both sides exchange collateral on a mark-to-market basis.

In addition, the Fund may post “initial margin”

or “independent amount” to counterparties in swaps.

Such collateral serves as protection for the counterparty in the event

of a failure by the Fund and is in addition to any mark-to-market collateral that ( i.e.

, the Fund may post initial margin to the

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

The amount of initial margin

posted by the Fund may vary depending on the risk profile of the swap.

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

generally consists of cash and/or securities.

Collateral posted by a Fund to

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

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

In the event of a default by

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

from the segregated account.

posted by the counterparty to a Fund is typically held for the benefit of the Fund in a segregated tri-party account at a third-party

In the event of a default by the counterparty where the Fund is owed money in the uncleared swap transaction, the Fund will

seek withdrawal of this collateral from the segregated account.

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

the collateral.

Notwithstanding the use of collateral

arrangements, to the extent any collateral provided to a Fund is insufficient or there are delays in accessing the collateral, a Fund

will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.

Money Market Instruments

Money market instruments are short-term debt instruments

that have a remaining maturity of 397 days or less and exhibit high quality credit profiles.

Money market instruments may include

Money market instruments are short-term

debt instruments that have a remaining maturity of 397 days or less and exhibit high quality credit profiles.

Money market instruments

may include U.S.

government securities, securities issued by governments of other developed countries and repurchase agreements.

Derivatives Exchanges

Derivatives exchanges, including swap execution

facilities that are required under the Dodd-Frank Act, provide centralized market facilities for trading derivatives in which multiple

persons have the ability to execute or trade contracts by accepting bids and offers from multiple participants.

Members of, and trades

executed on, a particular exchange are subject to the rules of that exchange.

Derivatives exchanges, including swap

execution facilities that are required under the Dodd-Frank Act, provide centralized market facilities for trading derivatives in which

multiple persons have the ability to execute or trade contracts by accepting bids and offers from multiple participants.

Members of, and

trades executed on, a particular exchange are subject to the rules of that exchange.

Among the principal exchanges in the United States

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Each derivatives exchange in the United States

has an associated “clearing house.” Clearing houses provide services designed to transfer credit risk and ensure the integrity

Once trades between members of an exchange have been confirmed and/or cleared, the clearing house becomes substituted for each

buyer and each seller of contracts traded on the exchange and, in effect, becomes the other party to each trader’s open position

in the market.

has an associated “clearing house.” Clearing houses provide services designed to transfer credit risk and ensure the

integrity of trades.

Once trades between members of an exchange have been confirmed and/or cleared, the clearing house becomes

substituted for each buyer and each seller of contracts traded on the exchange and, in effect, becomes the other party to each

trader’s open position in the market.

Thereafter, each party to a trade looks only to the clearing house for performance.

The clearing house generally establishes

some sort of security or guarantee fund to which all clearing members of the exchange must contribute.

This fund acts as an emergency

buffer which is intended to enable the clearing house to meet its obligations with regard to the other side of an insolvent clearing member’s

Furthermore, clearing houses require margin deposits and continuously mark positions to market to provide some assurance that

their members will be able to fulfil their contractual obligations.

Thus, members effecting derivatives transactions on an organized exchange

or clearing an OTC derivatives transaction through a clearing house do not bear the risk of the insolvency of the party on the opposite

side of the trade;

their credit risk is limited to the respective solvencies of their commodity broker and the clearing house.

house “guarantee” of performance on open positions does not run to customers.

If a member firm goes bankrupt, customers could

If a Fund decides to execute derivatives transactions

through such derivatives exchanges — and especially if it decides to become a direct member of one or more exchanges or

swap execution facilities — the Fund would be subject to the rules of the exchange or swap executive facility, which would

bring additional risks and liabilities, and potential additional regulatory requirements.

Derivatives exchanges in the United States

are subject to regulation under the CEA, by the CFTC, the governmental agency having responsibility for regulation of derivatives exchanges

and trading on those exchanges.

clearing house generally establishes some sort of security or guarantee fund to which all clearing members of the exchange must

This fund acts as an emergency buffer which is intended to enable the clearing house to meet its obligations with regard

to the other side of an insolvent clearing member’s contracts.

Furthermore, clearing houses require margin deposits and

continuously mark positions to market to provide some assurance that their members will be able to fulfil their contractual

Thus, members effecting derivatives transactions on an organized exchange or clearing an OTC derivatives transaction

through a clearing house do not bear the risk of the insolvency of the party on the opposite side of the trade;

their credit risk is

limited to the respective solvencies of their commodity broker and the clearing house.

The clearing house “guarantee” of

performance on open positions does not run to customers.

If a member firm goes bankrupt, customers could lose money.

If a Fund decides to execute derivatives

transactions through such derivatives exchanges — and especially if it decides to become a direct member of one or more exchanges

or swap execution facilities — the Fund would be subject to the rules of the exchange or swap executive facility, which would bring

additional risks and liabilities, and potential additional regulatory requirements.

Derivatives exchanges in the United

States are subject to regulation under the CEA, by the CFTC, the governmental agency having responsibility for regulation of derivatives

exchanges and trading on those exchanges.

Following the adoption of the Dodd-Frank Act, the CFTC also has authority to regulate OTC derivatives

markets, including certain OTC foreign exchange markets.

The CFTC has exclusive authority to designate exchanges

for the trading of specific futures contracts and to prescribe rules and regulations of the marketing of each.

The CFTC also regulates

the activities of “commodity pool operators” and the CFTC has adopted regulations with respect to certain of such persons’

Pursuant to its authority, the CFTC requires a commodity pool operator, such as the Sponsor, to keep accurate, current and

orderly records with respect to each pool it operates.

The CFTC may suspend, modify or terminate the registration of any registrant for

failure to comply with CFTC rules or regulations.

Suspension, restriction or termination of the Sponsor’s registration as a commodity

pool operator would prevent it, until such time (if any) as such registration were to be reinstated, from managing, and might result in

the termination of the Fund.

If the Sponsor were unable to provide services and/or advice to the Fund, the Fund would be unable to pursue

its investment objective unless and until the Sponsor’s ability to provide services and advice to the Fund was reinstated or a replacement

for the Sponsor as commodity pool operator could be found.

Such an event could result in termination of the Fund.

The CEA requires all FCMs to meet and maintain

specified fitness and financial requirements, segregate customer funds from proprietary funds and account separately for all customers’

funds and positions, and to maintain specified books and records open to inspection by the staff of the CFTC.

The CEA also gives the states certain powers to

enforce its provisions and the regulations of the CFTC.

Under certain circumstances, the CEA grants shareholders

the right to institute a reparations proceeding before the CFTC against the Sponsor (as a registered commodity pool operator), an FCM,

as well as those of their respective employees who are required to be registered under the CEA.

Shareholders may also be able to

maintain a private right of action for certain violations of the CEA.

Pursuant to authority in the CEA, the NFA has been

formed and registered with the CFTC as a registered futures association.

At the present time, the NFA is the only self-regulatory organization

for commodities professionals other than exchanges.

As such, the NFA promulgates rules governing the conduct of commodity professionals

and disciplines those professionals that do not comply with such standards.

The CFTC has delegated to the NFA responsibility for the registration

of commodity pool operators, FCMs, swap dealers, commodity trading advisors, introducing brokers and their respective associated persons

and floor brokers.

The CFTC has exclusive authority

to designate exchanges for the trading of specific futures contracts and to prescribe rules and regulations of the marketing of each.

The CFTC also regulates the activities of “commodity pool operators” and the CFTC has adopted regulations with respect to

certain of such persons’ activities.

Pursuant to its authority, the CFTC requires a commodity pool operator, such as the Sponsor,

to keep accurate, current and orderly records with respect to each pool it operates.

The CFTC may suspend, modify or terminate the registration

of any registrant for failure to comply with CFTC rules or regulations.

Suspension, restriction or termination of the Sponsor’s

registration as a commodity pool operator would prevent it, until such time (if any) as such registration were to be reinstated, from

managing, and might result in the termination of the Fund.

If the Sponsor were unable to provide services and/or advice to the Fund, the

Fund would be unable to pursue its investment objective unless and until the Sponsor’s ability to provide services and advice to

the Fund was reinstated or a replacement for the Sponsor as commodity pool operator could be found.

Such an event could result in termination

The CEA requires all FCMs to meet and

maintain specified fitness and financial requirements, segregate customer funds from proprietary funds and account separately for all

customers’ funds and positions, and to maintain specified books and records open to inspection by the staff of the CFTC.

The CEA also gives the states certain powers to enforce

its provisions and the regulations of the CFTC.

Under certain circumstances, the

CEA grants shareholders the right to institute a reparations proceeding before the CFTC against the Sponsor (as a registered commodity

pool operator), an FCM, as well as those of their respective employees who are required to be registered under the CEA.

Shareholders may

also be able to maintain a private right of action for certain violations of the CEA.

Pursuant to authority in the CEA,

the NFA has been formed and registered with the CFTC as a registered futures association.

At the present time, the NFA is the only self-regulatory

organization for commodities professionals other than exchanges.

As such, the NFA promulgates rules governing the conduct of commodity

professionals and disciplines those professionals that do not comply with such standards.

The CFTC has delegated to the NFA responsibility

for the registration of commodity pool operators, FCMs, swap dealers, commodity trading advisors, introducing brokers and their respective

associated persons and floor brokers.

The Sponsor is a member of the NFA (each Fund itself is not required to become members of the NFA).

As an NFA member,

the Sponsor is subject to NFA standards relating to fair trade practices, financial condition, and consumer protection.

The CEA and CFTC regulations prohibit market abuse

and generally require that all futures exchange-based trading be conducted in compliance with rules designed to ensure the integrity of

market prices and without any intent to manipulate prices.

CFTC regulations and futures exchange rules also impose limits on the size

of the positions that a person may hold or control as well as standards for aggregating certain positions.

The rules of the CFTC and the

futures exchanges also authorize special emergency actions to halt, suspend or limit trading overall or to restrict, halt, suspend or

limit the trading of an individual trader or to otherwise impose special reporting or margin requirements.

Each Fund’s investments in Financial Instruments

will be subject to regulation under the CEA and traded pursuant to CFTC and applicable exchange regulations.

futures exchanges (but generally

not foreign exchanges or banks or dealers in the cases of swap agreements) limit the amount of fluctuation in some futures contract or

options contract prices during a single day by regulations.

These regulations specify what are referred to as “daily price

fluctuation limits” or more commonly “daily limits.” Once the daily limit has been reached in a particular futures contract,

no trades may be made at a price beyond that limit.

Currently, CBOE limits daily VIX futures contracts to no more than 50,000 per

As an NFA member, the Sponsor is subject to NFA standards relating to fair trade practices, financial condition, and consumer protection.

The CEA and CFTC regulations prohibit

market abuse and generally require that all futures exchange-based trading be conducted in compliance with rules designed to ensure the

integrity of market prices and without any intent to manipulate prices.

CFTC regulations and futures exchange rules also impose limits

on the size of the positions that a person may hold or control as well as standards for aggregating certain positions.

The rules of the

CFTC and the futures exchanges also authorize special emergency actions to halt, suspend or limit trading overall or to restrict, halt,

suspend or limit the trading of an individual trader or to otherwise impose special reporting or margin requirements.

Each Fund’s investments in Financial

Instruments will be subject to regulation under the CEA and traded pursuant to CFTC and applicable exchange regulations.

futures exchanges (but

generally not foreign exchanges or banks or dealers in the cases of swap agreements) limit the amount of fluctuation in some futures contract

or options contract prices during a single day by regulations.

These regulations specify what are referred to as “daily price fluctuation

limits” or more commonly “daily limits.” Once the daily limit has been reached in a particular futures contract, no

trades may be made at a price beyond that limit.

Currently, CBOE limits daily VIX futures contracts to no more than 50,000 per entity.

“Initial” or “original”

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It helps assure the futures trader’s performance of the futures contracts he purchases

The minimum amount of margin required in connection

with a particular futures contract is set by the exchange on which such contract is traded and is subject to change at any time during

the term of the contract.

Futures contracts are customarily bought and sold on margins that represent a percentage of the aggregate purchase

or sales price of the contract.

Brokerage firms may require higher amounts of margin

than exchange minimums.

The minimum amount of margin required

in connection with a particular futures contract is set by the exchange on which such contract is traded and is subject to change at any

time during the term of the contract.

Futures contracts are customarily bought and sold on margins that represent a percentage of the

aggregate purchase or sales price of the contract.

Brokerage firms may require higher amounts of margin than

exchange minimums.

These requirements may change without warning.

Margin requirements are computed each day

or intraday by a commodity broker and the relevant exchange.

At the close of each trading day or intraday, each open futures contract

is marked to market, that is, the gain or loss on the position is calculated from the prior day’s close.

When the market value

of a particular open futures contract position changes to a point where the margin on deposit does not satisfy maintenance margin requirements,

a margin call is made by the commodity broker.

If the margin call is not met within a reasonable time, the broker may close out the customer’s

Margin requirements are computed

each day or intraday by a commodity broker and the relevant exchange.

At the close of each trading day or intraday, each open futures

contract is marked to market, that is, the gain or loss on the position is calculated from the prior day’s close.

When the market

value of a particular open futures contract position changes to a point where the margin on deposit does not satisfy maintenance margin

requirements, a margin call is made by the commodity broker.

If the margin call is not met within a reasonable time, the broker may close

out the customer’s position.

Creation and Redemption of Shares

Each Fund creates and redeems Shares from time

to time, but only in one or more Creation Units.

Each Fund creates 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.

Except when aggregated in

Creation Units, the Shares are not redeemable securities.

The manner by which Creation Units are purchased

and redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook, and all

such procedures are at the discretion of the Sponsor.

By placing a purchase order, an Authorized Participant agrees to deposit cash or

Financial Instruments with the Custodian of a Fund (unless as provided otherwise by this Prospectus).

Purchases and redemptions made by

Authorized Participants primarily in cash rather than through in-kind delivery of Financial Instruments, if not offset by a transaction

Except when aggregated in Creation Units, the

Shares are not redeemable securities.

The manner by which Creation Units are

purchased and redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook,

and all such procedures are at the discretion of the Sponsor.

By placing a purchase order, an Authorized Participant agrees to deposit

cash or Financial Instruments with the Custodian of a Fund (unless as provided otherwise by this Prospectus).

Purchases and redemptions

made by Authorized Participants primarily in cash rather than through in-kind delivery of Financial Instruments, if not offset by a transaction

fee (as described below), may cause a Fund to incur certain costs, including brokerage costs or taxable capital gains or losses, that

may decrease the Fund’s net asset value.

If permitted by the Sponsor in its sole discretion

with respect to a Fund, an Authorized Participant may also agree to enter into or arrange for an exchange of a futures contract for related

position (“EFCRP”) or block trade with the Fund whereby the Authorized Participant would also transfer to the 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.

the Sponsor in its sole discretion may agree with an Authorized Participant to use an EFCRP to effect an order to redeem Creation Units.

If permitted by the Sponsor in its

sole discretion with respect to a Fund, an Authorized Participant may also agree to enter into or arrange for an exchange of a futures

contract for related position (“EFCRP”) or block trade with the Fund whereby the Authorized Participant would also transfer

to the Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase

Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant to use an EFCRP to effect an order

to redeem Creation Units.

An EFCRP is a technique permitted by the rules

of certain futures exchanges that, as utilized by a Fund in the Sponsor’s discretion, would allow the Fund to take a position in

a futures contract from an Authorized Participant, or give futures contracts to an Authorized Participant, in the case of a redemption,

rather than to enter the futures exchange markets to obtain such a position.

An EFCRP by itself will not change either party’s net

risk position materially.

Because the futures position that a Fund would otherwise need to take in order to meet its investment objective

can be obtained without unnecessarily impacting the financial or futures markets or their pricing, EFCRPs can generally be viewed as transactions

beneficial to the Fund.

A block trade is a technique that permits a Fund to obtain a futures position without going through the market

auction system and can generally be viewed as a transaction beneficial to the Fund.

Authorized Participants pay a fixed transaction

fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate the Administrator, Sub-Administrator,

the Custodian and the Transfer Agent of a 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.

Authorized Participants also may pay a variable transaction fee

to the Fund of up to 0.20% of the value of the Creation Unit that is purchased or redeemed 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.

The Sponsor may waive a fixed or variable transaction fee for any number of reasons, including to maintain similar

costs structures as competitive investment vehicles.

Authorized Participants may sell the Shares included in the Creation Units they

purchase from a Fund to other investors.

The form of Authorized Participant Agreement and

the related Authorized Participant Procedures Handbook set forth the procedures for the creation and redemption of Creation Units and

for the payment of cash or Financial Instruments required for such creations and redemptions.

The Sponsor may delegate its duties and

obligations under the form of Authorized Participant Agreement to the Administrator, Sub-Administrator, the Custodian and the Transfer

of certain futures exchanges that, as utilized by a Fund in the Sponsor’s discretion, would allow the Fund to take a position

in a futures contract from an Authorized Participant, or give futures contracts to an Authorized Participant, in the case of a

redemption, rather than to enter the futures exchange markets to obtain such a position.

An EFCRP by itself will not change either

party’s net risk position materially.

Because the futures position that a Fund would otherwise need to take in order to meet

its investment objective can be obtained without unnecessarily impacting the financial or futures markets or their pricing, EFCRPs

can generally be viewed as transactions beneficial to the Fund.

A block trade is a technique that permits a Fund to obtain a futures

position without going through the market auction system and can generally be viewed as a transaction beneficial to the Fund.

Authorized Participants pay a fixed

transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate the Administrator,

Sub-Administrator, the Custodian and the Transfer Agent of a 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.

Authorized Participants also may pay a variable

transaction fee to the Fund of up to 0.20% of the value of the Creation Unit that is purchased or redeemed 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.

The Sponsor may waive a fixed or variable transaction fee for any number of reasons,

including to maintain similar costs structures as competitive investment vehicles.

Authorized Participants may sell the Shares included

in the Creation Units they purchase from a Fund to other investors.

The form of Authorized Participant

Agreement and the related Authorized Participant Procedures Handbook set forth the procedures for the creation and redemption of Creation

Units and for the payment of cash or Financial Instruments required for such creations and redemptions.

The Sponsor may delegate its duties

and obligations under the form of Authorized Participant Agreement to the Administrator, Sub-Administrator, the Custodian and the Transfer

Agent without consent from any shareholder or Authorized Participant.

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or Authorized Participant.

Authorized Participants who purchase Creation Units from a Fund receive no fees, commissions or other

form of compensation or inducement of any kind from either the Sponsor or the Fund, and no such person has any obligation or responsibility

Authorized Participants who purchase Creation Units from a Fund receive no fees, commissions or other form

of compensation or inducement of any kind from either the Sponsor or the Fund, and no such person has any obligation or responsibility

to the Sponsor or the Fund to effect any sale or resale of Shares.

Each Authorized Participant must be registered

as a broker-dealer under the 1934 Act and regulated by the Financial Industry Regulatory Authority, Inc.

(“FINRA”), or exempt

from being, or otherwise not required to be, so regulated or registered, and must be qualified to act as a broker or dealer in the states

or other jurisdictions where the nature of its business so requires.

Certain Authorized Participants may be regulated under federal and

state banking laws and regulations.

Each Authorized Participant must have its own set of rules and procedures, internal controls and information

barriers as it determines is appropriate in light of its own regulatory regime.

Authorized Participants may act for their own accounts

or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem Creation Units.

Persons interested in purchasing Creation Units should

contact the Sponsor or the Administrator to obtain the contact information for the Authorized Participants.

Shareholders who are not Authorized

Participants are only able to redeem their Shares through an Authorized Participant.

Pursuant to the Authorized Participant Agreement,

the Sponsor agreed to indemnify the Authorized Participants against certain liabilities, including liabilities under the 1933 Act, and

to contribute to the payments the Authorized Participants may be required to make in respect of those liabilities.

The following description of the procedures for

the creation and redemption of Creation Units is only a summary and an investor should refer to the relevant provisions of the Trust

Each Authorized Participant must

be registered as a broker-dealer under the 1934 Act and regulated by the Financial Industry Regulatory Authority, Inc.

or exempt from being, or otherwise not required to be, so regulated or registered, and must be qualified to act as a broker or dealer

in the states or other jurisdictions where the nature of its business so requires.

Certain Authorized Participants may be regulated under

federal and state banking laws and regulations.

Each Authorized Participant must have its own set of rules and procedures, internal controls

and information barriers as it determines is appropriate in light of its own regulatory regime.

Authorized Participants may act for

their own accounts or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem

Creation Units.

Persons interested in purchasing Creation

Units should contact the Sponsor or the Administrator to obtain the contact information for the Authorized Participants.

who are not Authorized Participants are only able to redeem their Shares through an Authorized Participant.

Pursuant to the Authorized Participant

Agreement, the Sponsor agreed to indemnify the Authorized Participants against certain liabilities, including liabilities under the 1933

Act, and to contribute to the payments the Authorized Participants may be required to make in respect of those liabilities.

The following description of the procedures

for the creation and redemption of Creation Units is only a summary and an investor should refer to the relevant provisions of the Trust

Agreement and the form of Authorized Participant Agreement for more detail.

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Creation Procedures

On any Business Day, an Authorized Participant

may place an order with the Marketing Agent to create one or more Creation Units.

Purchase orders must be placed by 2:00 p.m.

On any Business Day, an Authorized Participant may place

an order with the Marketing Agent to create one or more Creation Units.

Purchase orders must be placed

(Eastern time).

The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation or operation

of the Fund closes before the cut-off time.

If a purchase order is received prior to the applicable cut-off time, the day on which

the Marketing Agent receives a valid purchase order is the purchase order date.

The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation

or operation of the Fund closes before the cut-off time.

If a purchase order is received prior to the applicable cut-off time, the day

on which the Marketing Agent receives a valid purchase order is the purchase order date.

If the purchase order is received after the applicable

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Determination of Required Payment

The total payment required to create each Creation

Unit is the value of the Creation Unit on the purchase order date plus the applicable transaction fees.

The total payment required to create each Creation Unit

is the value of the Creation Unit on the purchase order date plus the applicable transaction

Delivery of Cash

Cash required for settlement will typically be

transferred to the Custodian through:

(1) the Continuous Net Settlement (the “CNS”) clearing process of NSCC, as such

processes have been enhanced to effect creations and redemptions of Creation Units;

or (2) the facilities of DTC on a Delivery Versus

Payment (“DVP”) basis, which is the procedure in which the buyer’s payment for securities is due at the time of delivery.

Cash required for settlement will

typically be transferred to the Custodian through:

(1) the Continuous Net Settlement (the “CNS”) clearing process of NSCC,

as such processes have been enhanced to effect creations and redemptions of Creation Units;

or (2) the facilities of DTC on a Delivery

Versus Payment (“DVP”) basis, which is the procedure in which the buyer’s payment for securities is due at the time

Security delivery and payment are simultaneous.

If the Custodian does not receive the cash by the market close on the first Business Day

following the purchase order date (“T+1”), such order may be charged interest for delayed settlement or cancelled.

reserves the right to extend the deadline for the Custodian to receive the cash required for settlement up to the second Business Day

following the purchase order date (“T+2”).

In the event a purchase order is cancelled, the Authorized Participant will be

responsible for reimbursing a Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.

If the Custodian does not receive the cash by the market close on the first

Business Day following the purchase order date (“T+1”), such order may be charged interest for delayed settlement or cancelled.

The Sponsor reserves the right to extend the deadline for the Custodian to receive the cash required for settlement up to the second Business

Day following the purchase order date (“T+2”).

In the event a purchase order is cancelled, the Authorized Participant will

be responsible for reimbursing a Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.

At its sole discretion, the Sponsor may agree to a delivery date other than T+2.

1 unchanged sentence

Creation Unit will be delivered to the Authorized Participant upon the Custodian’s receipt of the purchase amount.

Delivery of Exchange of Futures Contract for Related Position (“EFCRP”)

Futures Contracts or Block Trades

In the event that the Sponsor shall have determined

to permit the Authorized Participant to transfer futures contracts pursuant to an EFCRP or to engage in a block trade purchase of futures

contracts from the Authorized Participant with respect to a Fund, as well as to deliver cash, in the creation process, futures contracts

required for settlement must be transferred directly to the Fund’s account at its FCM.

If the cash is not received by the market

close on the second Business Day following the purchase order date (T+2);

such order may be charged interest for delayed settlements or

In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing a Fund for all costs

associated with cancelling the order including costs for repositioning the portfolio.

At its sole discretion, the Sponsor may agree to

a delivery date other than T+2.

The Creation Unit will be delivered to the Authorized Participant upon the Custodian’s receipt of

the cash purchase amount and the futures contracts.

Delivery of Exchange of Futures Contract for Related Position

(“EFCRP”) Futures Contracts or Block Trades

In the event that the Sponsor shall

have determined to permit the Authorized Participant to transfer futures contracts pursuant to an EFCRP or to engage in a block trade

purchase of futures contracts from the Authorized Participant with respect to a Fund, as well as to deliver cash, in the creation process,

futures contracts required for settlement must be transferred directly to the Fund’s account at its FCM.

If the cash is not received

by the market close on the second Business Day following the purchase order date (T+2);

such order may be charged interest for delayed

settlements or cancelled.

In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing a

Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.

At its sole discretion, the Sponsor

may agree to a delivery date other than T+2.

The Creation Unit will be delivered to the Authorized Participant upon the Custodian’s

receipt of the cash purchase amount and the futures contracts.

Suspension or Rejection of Purchase Orders

The Sponsor may, in its discretion, suspend the

right to purchase, or postpone the purchase settlement date:

(1) for any period during which any of the Exchange, CBOE, CFE, CME

(including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund is closed or when trading is suspended

or restricted on such exchanges in any of the underlying VIX futures contracts;

The Sponsor may, in its discretion,

suspend the right to purchase, or postpone the purchase settlement date:

(1) for any period during which any of the Exchange, CBOE, CFE,

CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund is closed or when trading is

suspended or restricted on such exchanges in any of the underlying VIX futures contracts;

(2) for any period during which an emergency

exists as a result of which the fulfilment of a purchase order is not reasonably practicable;

or (3) for such other period as the

Sponsor determines to be necessary for the protection of the shareholders.

The Sponsor will not be liable to any person or in any way

for any loss or damages that may result from any such suspension or postponement.

or (3) for such other period as the Sponsor

determines to be necessary for the protection of the shareholders.

The Sponsor will not be liable to any person or in any way for any

loss or damages that may result from any such suspension or postponement.

The Sponsor also may reject a purchase order if:

● It determines that the purchase order is not in proper form;

● The Sponsor believes that the purchase order would have adverse

tax consequences to the Fund or its shareholders;

● The Sponsor believes that the purchase order would have adverse tax consequences to the Fund or its shareholders;

● The order would be illegal;

● Circumstances outside the control of the Sponsor make it,

for all practical purposes, not feasible to process creations of Creation Units.

● Circumstances outside the control of the Sponsor make it, for all practical purposes, not feasible to process creations of Creation

None of the Sponsor, the Administrator, Sub-Administrator

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Redemption Procedures

The procedures by which an Authorized Participant

can redeem one or more Creation Units mirror the procedures for the creation of Creation Units.

On any Business Day, an Authorized

Participant may place an order with the Marketing Agent to redeem one or more Creation Units.

Redemption orders must be received prior

(Eastern time), or earlier if, for example, the Exchange or other exchange material to the valuation or operation of

a Fund closes before the cut-off time.

If a redemption order is received prior to the applicable cut-off time, the day on which the

Marketing Agent receives a valid redemption order is the redemption order date.

If the redemption order is received after the applicable

cut-off time, the redemption order date will be the next day.

The procedures by which an Authorized

Participant can redeem one or more Creation Units mirror the procedures for the creation of Creation Units.

On any Business Day, an

Authorized Participant may place an order with the Marketing Agent to redeem one or more Creation Units.

Redemption orders must be

received prior to 2:00 p.m.

(Eastern time), or earlier if, for example, the Exchange or other exchange material to the valuation or

operation of a Fund closes before the cut-off time.

If a redemption order is received prior to the applicable cut-off time, the day

on which the Marketing Agent receives a valid redemption order is the redemption order date.

If the redemption order is received

after the applicable cut-off time, the redemption order date will be the next day.

Redemption orders are irrevocable.

Individual shareholders may not

redeem directly from the Fund.

By placing a redemption order, an Authorized Participant

agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the applicable Fund not later than noon

(Eastern Time), on the first Business Day immediately following the redemption order date (T+1).

The Sponsor reserves the right to extend

the deadline for a Fund to receive the Creation Units required for settlement up to the second Business Day following the redemption

order date (T+2).

By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant must wire

to the Custodian the non-refundable transaction fee due for the redemption order or any proceeds due will be reduced by the amount of

the fee payable.

shareholders may not redeem directly from the Fund.

By placing a redemption order,

an Authorized Participant agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the applicable

Fund not later than noon (Eastern Time), on the first Business Day immediately following the redemption order date (T+1).

reserves the right to extend the deadline for a Fund to receive the Creation Units required for settlement up to the second Business Day

following the redemption order date (T+2).

By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized

Participant must wire to the Custodian the non-refundable transaction fee due for the redemption order or any proceeds due will be reduced

by the amount of the fee payable.

At its sole discretion, the Sponsor may agree to a delivery date other than T+2.

Additional fees may apply for special

Upon request of an Authorized Participant made

at the time of a redemption order, the Sponsor at its sole discretion may determine, in addition to delivering redemption proceeds, to

transfer futures contracts to the Authorized Participant pursuant to an EFCRP or to a block trade sale of futures contracts to the Authorized

Additional fees may

apply for special settlement.

Upon request of an Authorized Participant

made at the time of a redemption order, the Sponsor at its sole discretion may determine, in addition to delivering redemption proceeds,

to transfer futures contracts to the Authorized Participant pursuant to an EFCRP or to a block trade sale of futures contracts to the

Authorized Participant.

Determination of Redemption Proceeds

The redemption proceeds from a Fund consist of

the cash redemption amount and, if permitted by the Sponsor in its sole discretion with respect to the Fund, an EFCRP or block trade with

the Fund as described in “— Creation and Redemption of Shares” above.

The cash redemption amount is equal

to the NAV of the number of Creation Unit(s) of a Fund requested in the Authorized Participant’s redemption order as of the

time of the calculation of the Fund’s NAV on the redemption order date, less transaction fees and any amounts attributable to any

applicable EFCRP or block trade.

The redemption proceeds from a

Fund consist of the cash redemption amount and, if permitted by the Sponsor in its sole discretion with respect to the Fund, an EFCRP

or block trade with the Fund as described in “— Creation and Redemption of Shares” above.

The cash redemption

amount is equal to the NAV of the number of Creation Unit(s) of a Fund requested in the Authorized Participant’s redemption order

as of the time of the calculation of the Fund’s NAV on the redemption order date, less transaction fees and any amounts attributable

to any applicable EFCRP or block trade.

Delivery of Redemption Proceeds

The redemption proceeds due from a Fund are

delivered to the Authorized Participant at noon (Eastern Time), on the second Business Day immediately following the redemption

order date if, by such time on such Business Day immediately following the redemption order date, the Fund’s DTC account has

been credited with the Creation Units to be redeemed.

The redemption proceeds due from

a Fund are delivered to the Authorized Participant at noon (Eastern Time), on the second Business Day immediately following the redemption

order date if, by such time on such Business Day immediately following the redemption order date, the Fund’s DTC account has been

credited with the Creation Units to be redeemed.

A Fund should be credited through:

(1) the CNS clearing process of

NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units;

or (2) the facilities of DTC

on a DVP basis.

If a Fund’s DTC account has not been credited with all of the Creation Units to be redeemed by such time,

the redemption distribution is delivered to the extent whole Creation Units are received.

Any remainder of the redemption

distribution is delivered on the next Business Day to the extent any remaining whole Creation Units are received if:

(1) the Sponsor receives the fee applicable to the extension of the redemption distribution date which the Sponsor may, from

time to time, determine, and (2) the remaining Creation Units to be redeemed are credited to a Fund’s DTC account by

noon (Eastern Time), on such next Business Day.

Any further outstanding amount of the redemption order may be cancelled.

Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the order including costs

for repositioning the portfolio.

The Sponsor is also authorized to deliver the redemption

distribution notwithstanding that the Creation Units to be redeemed are not credited to a Fund’s DTC account by noon (Eastern

Time), on the second Business Day immediately following the redemption order date if the Authorized Participant has collateralized its

obligation to deliver the Creation Units through DTC’s book-entry system on such terms as the Sponsor may determine from time

In the event that the Authorized Participant shall

have requested, and the Sponsor shall have determined to permit the Authorized Participant to receive futures contracts pursuant to an

EFCRP, as well as the cash redemption proceeds, in the redemption process, futures contracts required for settlement shall be transferred

(1) the CNS clearing process of NSCC, as such processes

have been enhanced to effect creations and redemptions of Creation Units;

or (2) the facilities of DTC on a DVP basis.

DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption distribution is delivered

to the extent whole Creation Units are received.

Any remainder of the redemption distribution is delivered on the next Business Day to

the extent any remaining whole Creation Units are received if:

(1) the Sponsor receives the fee applicable to the extension

of the redemption distribution date which the Sponsor may, from time to time, determine, and

(2) the remaining Creation Units to be redeemed are credited

to a Fund’s DTC account by noon (Eastern Time), on such next Business Day.

Any further outstanding amount of the redemption order

may be cancelled.

The Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the

order including costs for repositioning the portfolio.

The Sponsor is also authorized

to deliver the redemption distribution notwithstanding that the Creation Units to be redeemed are not credited to a Fund’s DTC account

by noon (Eastern Time), on the second Business Day immediately following the redemption order date if the Authorized Participant has collateralized

its obligation to deliver the Creation Units through DTC’s book-entry system on such terms as the Sponsor may determine from time

In the event that the Authorized Participant

shall have requested, and the Sponsor shall have determined to permit the Authorized Participant to receive futures contracts pursuant

to an EFCRP, as well as the cash redemption proceeds, in the redemption process, futures contracts required for settlement shall be transferred

directly from a Fund’s account at its FCM to the account of the Authorized Participant at its FCM.

Suspension or Rejection of Redemption Orders

The Sponsor may, in its discretion, suspend the

right of redemption, or postpone the redemption settlement date, (1) for any period during which any of the Exchange, CBOE, CFE,

CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund is closed or when trading is

suspended or restricted on such exchanges in any of the underlying VIX futures contracts;

(2) for any period during which an

emergency exists as a result of which the redemption distribution is not reasonably practicable;

or (3) for such other period as

the Sponsor determines to be necessary for the protection of the shareholders.

The Sponsor will not be liable to any person or in any

way for any loss or damages that may result from any such suspension or postponement.

The Sponsor will reject a redemption order if the

order is not in proper form as described in the form of Authorized Participant Agreement or if the fulfilment of the order might be unlawful.

The Sponsor may, in its discretion,

suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which any of the Exchange, CBOE,

CFE, CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund is closed or when trading

is suspended or restricted on such exchanges in any of the underlying VIX futures contracts;

(2) for any period during which an emergency

exists as a result of which the redemption distribution is not reasonably practicable;

or (3) for such other period as the Sponsor determines

to be necessary for the protection of the shareholders.

The Sponsor will not be liable to any person or in any way for any loss or damages

that may result from any such suspension or postponement.

The Sponsor will reject a redemption

order if the order is not in proper form as described in the form of Authorized Participant Agreement or if the fulfilment of the order

might be unlawful.

Creation and Redemption Transaction Fee

1 unchanged sentence

in processing the creation and redemption of Creation Units and to offset some or all of the transaction costs, an Authorized Participant

may be required to pay a fixed transaction fee to Foreside Fund Services, LLC of up to $500 per order to create or redeem Creation Units and

may pay a variable transaction fee to a Fund of up to 0.20% of the value of a Creation Unit.

An order may include multiple Creation Units.

may be required to pay a fixed transaction fee to Foreside Fund Services, LLC of up to $500 per order to create or redeem Creation Units

and may pay a variable transaction fee to a Fund of up to 0.20% of the value of a Creation Unit.

An order may include multiple Creation

The transaction fee(s) may be reduced, increased or otherwise changed by the Sponsor at its sole discretion.

Special Settlement

The Sponsor may allow for early settlement of purchase

or redemption orders.

The Sponsor may allow for early settlement

of purchase or redemption orders.

Such arrangements may result in additional charges to the Authorized Participant.

Net Asset Value

The net asset value (“NAV”) in respect

of a Fund means the total assets of the Fund including, but not limited to, all cash and cash equivalents or other debt securities less

total liabilities of the Fund, consistently applied under the accrual method of accounting.

The net asset value (“NAV”)

in respect of a Fund means the total assets of the Fund including, but not limited to, all cash and cash equivalents or other debt securities

less total liabilities of the Fund, consistently applied under the accrual method of accounting.

In particular, the NAV includes any unrealized

5 unchanged sentences

taken into account for purposes of determining the NAV.

Each Fund’s NAV is calculated on each day other than a day

when the Exchange is closed for regular trading.

Each Fund’s NAV is calculated on each day other than a day when the Exchange

is closed for regular trading.

Each Fund computes its NAV only once each Business Day as of 4:00 p.m.

Time) (the “NAV Calculation Time”) , or an earlier time as set forth on www.volatilityshares.com.

For example, a

Fund may calculate its NAV as of an earlier time if the Exchange or other exchange material to the valuation or operation of the Fund

closes early.

The Funds’ website at www.volatilityshares.com will display the end of day closing Index level, and NAV

per Share for the Fund.

The Fund will provide daily website disclosure, prior to market opening, of the Funds’ portfolio holdings.

This website disclosure of the portfolio composition of the Fund will occur at the same time as the disclosure by the Fund of the portfolio

composition to Authorized Participants so that all market participants are provided portfolio composition information at the same time.

In calculating the NAV of a Fund, the 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.

(Eastern Time) (the “NAV

Calculation Time”) , or an earlier time as set forth on www.volatilityshares.com.

For example, a Fund may calculate its

NAV as of an earlier time if the Exchange or other exchange material to the valuation or operation of the Fund closes early.

website at www.volatilityshares.com will display the end of day closing Index level, and NAV per Share for the Fund.

The Fund will

provide daily website disclosure, prior to market opening, of the Funds’ portfolio holdings.

This website disclosure of the portfolio

composition of the Fund will occur at the same time as the disclosure by the Fund of the portfolio composition to Authorized Participants

so that all market participants are provided portfolio composition information at the same time.

In calculating the NAV of a Fund,

the 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

2 unchanged sentences

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.

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.

Money market instruments generally will be valued using market prices or at amortized

Indicative Optimized Portfolio Value (“IOPV”)

The IOPV, which is also known as the intraday indicative

value or IIV, is an indicator of the value of a Fund’s net assets at the time the IOPV is disseminated.

The IOPV is calculated

and disseminated every 15 seconds during a normal Business Day.

A Business Day is defined as a day the United States equity

markets are open for trading on the NYSE.

The IOPV may cease calculating at an earlier time if the Exchange or other information

material to the valuation or operation of a Fund closes early.

The IOPV is generally calculated using the prior day’s closing

net assets of a Fund as a base and updating throughout the Business Day changes in the value of the Financial Instruments held by the

The IOPV should not be viewed as an actual real time update of the NAV because NAV is calculated only once at the end of each Business

The IOPV, which is also known as the intraday

indicative value or IIV, is an indicator of the value of a Fund’s net assets at the time the IOPV is disseminated.

calculated and disseminated every 15 seconds during a normal Business Day.

A Business Day is defined as a day the United States

equity markets are open for trading on the NYSE.

The IOPV may cease calculating at an earlier time if the Exchange or other

information material to the valuation or operation of a Fund closes early.

The IOPV is generally calculated using the prior

day’s closing net assets of a Fund as a base and updating throughout the Business Day changes in the value of the Financial

Instruments held by the Fund.

The IOPV should not be viewed as an actual real time update of the NAV because NAV is calculated only

once at the end of each Business Day.

The IOPV also should not be viewed as a precise value of the Shares.

Because the market price per Share may differ from the IOPV,

the price at which an investor may be able to sell Shares at any time, and especially in times of market volatility, may be significantly

less than the IOPV at the time of sale.

Neither a Fund nor the Sponsor is liable for any errors in the calculation of the IOPV or any

failure to disseminate IOPV.

Because the market price

per Share may differ from the IOPV, the price at which an investor may be able to sell Shares at any time, and especially in times

of market volatility, may be significantly less than the IOPV at the time of sale.

Neither a Fund nor the Sponsor is liable for any

errors in the calculation of the IOPV or any failure to disseminate IOPV.

The Exchange disseminates the IOPV.

the IOPV is published on the Exchange’s website and is available through on-line information services such as Bloomberg Finance

In addition, the IOPV is published on the Exchange’s website and is available through on-line information services such as Bloomberg

and/or Reuters.

1 unchanged sentence

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.

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.

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

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.

Licensing and Index Calculation Fee

Each Fund pays CBOE a fee to calculate and maintain

Each Fund pays S&P a fee for the futures data that is based on the VIX and the use of third party licensor trademarks.

Each Fund pays CBOE a fee to calculate

and maintain the Index.

Each Fund pays S&P a fee for the futures data that is based on the VIX and the use of third party licensor

Recurring and Non-Recurring Fees and Expenses

Each Fund pays all of its fees and expenses, including

recurring, non-recurring, routine and unusual fees and expenses.

Each Fund pays all of its fees and expenses, including recurring,

non-recurring, routine and unusual fees and expenses.

Selling Commission

Retail investors may purchase and sell Shares through

traditional brokerage accounts.

Investors are expected to be charged a customary commission by their brokers in connection with purchases

of Shares that will vary from investor to investor.

Investors are encouraged to review the terms of their brokerage accounts for applicable

The price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such Authorized Participant

in connection with the creation of such Share in a Creation Unit.

Retail investors may purchase and

sell Shares through traditional brokerage accounts.

Investors are expected to be charged a customary commission by their brokers in connection

with purchases of Shares that will vary from investor to investor.

Investors are encouraged to review the terms of their brokerage accounts

for applicable charges.

The price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such

Authorized Participant in connection with the creation of such Share in a Creation Unit.

Brokerage Commissions and Fees

Each Fund pays all of its respective brokerage commissions,

including applicable exchange fees, NFA fees and give-up fees, pit brokerage fees and other transaction related fees and expenses charged

in connection with trading activities for the Fund’s investments in CFTC regulated investments.

On average, total charges paid to

FCMs are expected to be less than $7.00 per round-turn trade, although brokerage commissions and trading fees are determined on a contract-by-contract

Each Fund bears other transaction costs including the effects of trading spreads and financing costs/fees, if any, associated with

the use of Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities or similar high credit quality short-term

fixed-income or similar securities (such as shares of money market funds).

Each Fund pays all of its respective

brokerage commissions, including applicable exchange fees, NFA fees and give-up fees, pit brokerage fees and other transaction related

fees and expenses charged in connection with trading activities for the Fund’s investments in CFTC regulated investments.

total charges paid to FCMs are expected to be less than $7.00 per round-turn trade, although brokerage commissions and trading fees are

determined on a contract-by-contract basis.

Each Fund bears other transaction costs including the effects of trading spreads and financing

costs/fees, if any, associated with the use of Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities or

similar high credit quality short-term fixed-income or similar securities (such as shares of money market funds).

The Trust has no employees.

Risk Factors.

As a smaller reporting company, the Trust is not required to provide

the information required by this item.

Unresolved Staff Comments.

Not applicable.

Legal Proceedings.

Mine Safety Disclosures.

Not applicable.

As a smaller reporting company, the Trust is not required

to provide the information required by this item.

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

What changed 10-K

Item 1. Business