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Item 7. Management’s Discussion and Analysis

2024-03-29 compared with 2023-03-28 · 247 added, 226 removed, 84 unchanged (85% of the section changed)

Management’s Discussion and Analysis of Financial

Condition and Results of Operations.

This information should be read in conjunction with the financial

statements and notes to the financial statements included with this Annual Report on Form 10-K.

The discussion and analysis that

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

In some cases, such forward-looking statements can

be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,”

“anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,”

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

None of the Trust, the Sponsor,

the Commodity Sub-Adviser, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking

Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Commodity Sub-Adviser, the Trustee,

or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to

a change in expectations or predictions.

Because forward-looking statements relate to the future, they are

subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the

Funds’ control.

The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors,

risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities,

in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy

may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Management’s Discussion and Analysis of

Financial Condition and Results of Operations.

This information should be read

in conjunction with the financial statements and notes to the financial statements included with this Annual Report on Form 10-K.

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

In some cases, such forward-

looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,”

“plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,”

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

the Trust, the Sponsor, the Commodity Sub- Adviser, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness

of any forward-looking statements.

Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Commodity

Sub-Adviser, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements

to actual results or to a change in expectations or predictions.

Because forward-looking statements

relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and

many of which are outside of the Funds’ control.

The Funds’ forward-looking statements are not guarantees of future results

and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets

for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service

providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking

Liquidity and Capital Resources

In order to collateralize derivatives positions, a portion of the NAV

of each Fund is held in cash and/or U.S.

Treasury securities, agency securities, or other high credit quality short term fixed-income

or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes

and repurchase agreements collateralized by government securities).

A portion of these investments may be posted as collateral in connection

with swap agreements, futures, and/or forward contracts.

In order to collateralize derivatives

positions, a portion of the NAV of each Fund is held in cash and/or U.S.

Treasury securities, agency securities, or other high credit

quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts,

certain variable rate-demand notes and repurchase agreements collateralized by government securities).

A portion of these investments

may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

The percentage that U.S.

Treasury bills and other short-term fixed-income securities

bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures

contracts and forward contracts change.

During the year ended December 31, 2022, each of the Funds earned total income

Treasury bills

and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market

values of the underlying swaps, futures contracts and forward contracts change.

During the year ended December 31, 2023 and December 31,

2022, each of the Funds earned total income as follows:

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Each Fund’s underlying swaps, futures, options,

forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions,

regulatory considerations and other reasons.

For example, swaps and forward contracts are not traded on an exchange, do not have uniform

terms and conditions, and in general are not transferable without the consent of the counterparty.

In the case of futures contracts, commodity

exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.”

During a single day, no futures trades may be executed at prices beyond the daily limit.

Once the price of a futures contract has increased

or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the

traders are willing to effect trades at or within the limit.

Futures contract prices have occasionally moved to the daily limit for several

consecutive days with little or no trading.

Such market conditions could prevent a Fund from promptly liquidating its futures positions.

In addition, the Sponsor will seek to minimize

the market impact of rebalances across all exchange traded products based on VIX futures contracts (“VIX ETPs”) that

it sponsors on the price of VIX futures contracts by limiting the Funds’ participation, on any given day, in VIX

futures contracts to no more than 10% of the VIX futures contracts traded on Cboe Futures Exchange, Inc.

(“CFE”) during

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

To limit participation during periods

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

rebalanced, and as such, the manner and period over which the Funds are rebalanced.

The Sponsor believes that a Fund will enter an extended

rebalance period most often during periods of extraordinary market conditions or illiquidity in VIX futures contracts.

that the Fund participates in an extended rebalance period, the Fund represents that it will notify the Exchange and the SEC of such participation

as soon as practicable, but no later than 9:00 a.m.

Each Fund’s underlying swaps,

futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because

of market conditions, regulatory considerations and other reasons.

For example, swaps and forward contracts are not traded on an exchange,

do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty.

In the case of

futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred

to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit.

Once the price

of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither

be taken nor liquidated unless the traders are willing to effect trades at or within the limit.

Futures contract prices have occasionally

moved to the daily limit for several consecutive days with little or no trading.

Such market conditions could prevent a Fund from promptly

liquidating its futures positions.

In addition, the Sponsor will seek

to minimize the market impact of rebalances across all exchange traded products based on VIX futures contracts (“VIX ETPs”)

that it sponsors on the price of VIX futures contracts by limiting the Funds’ participation, on any given day, in VIX futures contracts

to no more than 10% of the VIX futures contracts traded on Cboe Futures Exchange, Inc.

(“CFE”) during any “Rebalance

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

To limit participation during periods of market illiquidity,

the Sponsor, on any given day, may vary the manner and period over which all VIX ETPs it sponsors are rebalanced, and as such, the manner

and period over which the Funds are rebalanced.

The Sponsor believes that a Fund will enter an extended rebalance period most often during

periods of extraordinary market conditions or illiquidity in VIX futures contracts.

In the event that the Fund participates in an extended

rebalance period, the Fund represents that it will notify the Exchange and the SEC of such participation as soon as practicable, but no

later than 9:00 a.m.

ET on the trading day following the event.

Entry into swap agreements or forward contracts

may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and,

therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments.

Entry into swap agreements or forward

contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties

and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments.

This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund

may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred

while trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically

invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may

trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability

of counterparties to perform under the terms of the contracts (credit risk).

Trading in derivatives contracts involves each

Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s

benchmark at a specified date and price, should it hold such derivative contract into the deliverable period.

Should a Fund enter into

a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that

commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle

Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering

into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate

and increasing the losses incurred while trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to

the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into

swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk)

or the inability of counterparties to perform under the terms of the contracts (credit risk).

Trading in derivatives contracts

involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying

such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period.

a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to

make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing

market prices or settle in cash.

Since the repurchase price to which the value of a commodity, currency or spot volatility product can

rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically

unlimited risk.

For more information, see “Item 7A.

and Qualitative Disclosures About Market Risk” in this Annual Report on Form 10-K.

When a Fund enters into swap agreements, futures

contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on

United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange.

In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from

the nonperformance by one of their members and, as such, should significantly reduce this credit risk.

In cases where the clearing house

is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a

consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted

for directly with counterparties.

There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations

Swap agreements do not generally involve the delivery

of underlying assets either at the outset of a transaction or upon settlement.

Accordingly, if the counterparty to an OTC swap agreement

defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive,

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy,

there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s

custodian bank.

Forward agreements do not involve the delivery

of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration,

particularly in the case of currency forwards.

Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s

risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any.

if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may

be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these

market and credit risks by normally:

Quantitative and

Qualitative Disclosures About Market Risk” in this Annual Report on Form 10-K.

When a Fund enters into swap agreements,

futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts

traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular

In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting

from the nonperformance by one of their members and, as such, should significantly reduce this credit risk.

In cases where the clearing

house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed

by a consortium of banks or other financial institutions.

Certain swap and forward agreements

are contracted for directly with counterparties.

There can be no assurance that any counterparty, clearing member or clearing house will

meet its obligations to a Fund.

Swap agreements do not generally

involve the delivery of underlying assets either at the outset of a transaction or upon settlement.

Accordingly, if the counterparty to

an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually

entitled to receive, if any.

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event

of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party

accounts at the Fund’s custodian bank.

Forward agreements do not involve

the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held

to expiration, particularly in the case of currency forwards.

Thus, prior to settlement, if the counterparty to a forward contract defaults,

a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if

However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement,

a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market

and credit risks by normally:

● executing and clearing trades with creditworthy counterparties,

8 unchanged sentences

Off-Balance Sheet Arrangements and Contractual Obligations

As of February 28, 2023, the Funds have not

used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have

no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of

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

are in the best interests of the Funds.

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

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

Management fee payments made to the Sponsor are

calculated as a fixed percentage of each Fund’s NAV.

As such, the Sponsor cannot anticipate the payment amounts that will be required

under these arrangements for future periods as NAVs are not known until a future date.

The agreement with the Sponsor may be terminated

by either party upon 30 days written notice to the other party.

As of February 29, 2024, the Funds

have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements

and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal

course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services

which are in the best interests of the Funds.

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

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

Management fee payments made to the

Sponsor are calculated as a fixed percentage of each Fund’s NAV.

As such, the Sponsor cannot anticipate the payment amounts that

will be required under these arrangements for future periods as NAVs are not known until a future date.

The agreement with the Sponsor

may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related

disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate

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

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

judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial

The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts,

all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in

the Statements of Operations.

The use of fair value to measure Financial Instruments,

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

financial statements.

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

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

For financial reporting purposes, the Funds value

investments based upon the closing price in their primary markets.

Accordingly, the investment valuations in these financial statements

may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the year ended December 31,

Short-term investments are valued at amortized

cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short-term investments are valued at their

market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts, options,

swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements

with counterparties or other procedures as determined by the Sponsor.

Futures contracts, except for those entered into by the Gold, Silver,

Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future

Preparation of the financial statements

and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application

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

The Trust’s and the Funds’ application of these

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

Each Fund has significant exposure

to Financial Instruments.

The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency

forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair

value reported in the Statements of Operations.

fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental

to the Trust’s and the Funds’ financial statements.

The fair value of a Financial Instrument is the amount that would be received

to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit

For financial reporting purposes, the

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

Accordingly, the investment valuations in these financial

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

Short-term investments are valued

at amortized cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short- term investments are

valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts,

options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or

agreements with counterparties or other procedures as determined by the Sponsor.

Futures contracts, except for those entered into by the

Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which

that future trades.

Futures contracts entered into by the Gold, Silver,

Fair value pricing may require subjective determinations

about the value of an investment.

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

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

at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment

as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by a Fund may differ from the value

that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments

in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are

amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized

gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the

period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions,

including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged

in connection with trading activities for each Fund’s investment in U.S.

Commodity Futures Trading Commission regulated investments.

Fair value pricing may require

subjective determinations about the value of an investment.

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

Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined

by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if

it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by a Fund may differ

from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in

a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased

are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes

in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations

in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage

commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and

expenses charged in connection with trading activities for each Fund’s investment in U.S.

Commodity Futures Trading Commission regulated

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

Results of Operations for the Year Ended December 31, 2022

Results of Operations for the Years Ended December 31,

2023 and December 31, 2022

-1x Short VIX Futures ETF

1 unchanged sentence

The following table provides summary performance information for the

Fund for the year ended December 31, 2022:

Fund for the year ended December 31, 2023 and December 31, 2022:

NAV beginning of period

NAV end of period

$ 125,057,419

Percentage change in NAV

5 unchanged sentences

(12,980,000 )

(13,810,000 )

Per share NAV beginning of period

3 unchanged sentences

Benchmark annualized volatility

inception of operation was March 28, 2022.

Neither the Trust nor the Fund had any operations prior to March 28, 2022, other than matters

relating to its organization and the registration of each series under the Securities Act of 1933.

During the year ended December 31, 2022, the increase in the Fund’s

NAV resulted primarily from the increase of 3,170,000 outstanding Shares during the period.

The increase in the Fund’s NAV also

resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to

the performance of the Short Index.

The Fund’s inception of operation

was March 28, 2022.

Neither the Trust nor the Fund had any operations prior to March 28, 2022, other than matters relating to its organization

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

During the year ended December 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking

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

The increase in the Fund’s

NAV also resulted in part from an increase from 3,170,000 outstanding Shares at December 31, 2022 to 3,310,000 outstanding Shares at December

By comparison, during the year ended December 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase of

3,170,000 outstanding Shares during the period.

The increase in the Fund’s NAV also resulted in part from the cumulative effect of the

Fund seeking daily investment results, before fees and expenses, that correspond to the performance of the Short Index.

Net Income/Loss

The following table provides summary income information for the Fund

for the year ended December 31, 2022:

for the years ended December 31, 2023 and December 31, 2022:

Net investment income (loss)

$ (1,200,955 )

Management fee

4 unchanged sentences

Net income (loss)

The Fund’s net income was primarily due to a decrease in the

value of the futures prices during the year ended December 31, 2022.

Futures Positions as

of December 31, 2022 (1)

The Fund’s net income increased for the year ended December 31, 2023 as compared to the year ended December 31, 2022, primarily due to

a greater decrease in the value of the futures prices during the year ended December 31, 2023.

Futures Positions as of December 31, 2023

Long or Short

5 unchanged sentences

(54,096,020 )

Futures Positions as of December

Long or Short

Valuation Price

Contract Multiplier

CBOE VIX FUTURE Jan23

$ (26,634,000 )

CBOE VIX FUTURE Feb23

(19,754,280 )

(1) The Fund commenced operations on March 28, 2022.

The December 31, 2022 futures notional values are calculated

by multiplying the number of contracts held times the valuation price times the contract multiplier.

The notional values will increase

(decrease) proportionally with increases (decreases) in the price of the futures contract.

Additional gains (losses) associated with these

contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction

or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance

of the Short Index.

Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Short

The December 31, 2023 and the December

31, 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract

The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract.

Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values,

before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial

Instruments each day to match the performance of the Short Index.

Future period returns, before fees and expenses, cannot be estimated

simply by estimating the return of the Short Index.

2x Long VIX Futures ETF

Fund Performance

The following table provides summary performance information for the

Fund for the year ended December 31, 2022:

The following table provides summary performance information

for the Fund for the year ended December 31, 2023 and December 31, 2022:

NAV beginning of period

$ 125,488,766

NAV end of period

6 unchanged sentences

Shares redeemed

(14,940,000 )

Per share NAV beginning of period

3 unchanged sentences

Benchmark annualized volatility

inception of operation was March 28, 2022.

Neither the Trust nor the Fund had any operations prior to March 28, 2022, other than matters

relating to its organization and the registration of each series under the Securities Act of 1933.

During the year ended December 31, 2022, the increase in the Fund’s

NAV resulted primarily from the increase of 21,450,000 outstanding Shares during the period.

This increase was partially offset by the

cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the performance of the Long

The Fund’s inception of operation

was March 28, 2022.

Neither the Trust nor the Fund had any operations prior to March 28, 2022, other than matters relating to its organization

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

During the year ended December 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking

daily investment results, before fees and expenses, that correspond to the performance of the Long Index.

The decrease in the Fund’s NAV

was partially offset by an incase from 429,000 outstanding Shares at December 31, 2022 to 5,075,000 outstanding Shares at December 31,

By comparison, during the year ended December 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase of 21,450,000

outstanding Shares during the period.

This increase was partially offset by the cumulative effect of the Fund seeking daily investment

results, before fees and expenses, that correspond to the performance of the Long Index.

Net Income/Loss

The following table provides summary income information for the Fund

for the year ended December 31, 2022:

for the years ended December 31, 2023 and December 31, 2022:

Net investment income (loss)

$ (1,191,352 )

Management fee

2 unchanged sentences

Net realized gain (loss)

(67,298,832 )

Change in net unrealized appreciation (depreciation)

Net income (loss)

(77,693,706 )

The Fund’s net loss was primarily due to a decrease in the value

of the futures prices during the year ended December 31, 2022.

The Fund’s net income decreased for the year ended December 31, 2023 as compared to the year ended December 31, 2022, primarily due to

a greater decrease in the value of futures prices during the year ended December 31, 2023.

Futures Positions as of December 31, 2023

1 unchanged sentence

CBOE VIX FUTURE Jan24

$ 144,078,360

CBOE VIX FUTURE Feb24

(1) The Fund commenced operations

on March 28, 2022.

The December 31, 2022 futures notional values are calculated

by multiplying the number of contracts held times the valuation price times the contract multiplier.

The notional values will increase

(decrease) proportionally with increases (decreases) in the price of the futures contract.

Additional gains (losses) associated with these

contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction

or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance

of the Long Index.

Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Long Index.

Futures Positions as of December 31, 2022 (1)

Contract Multiplier

CBOE VIX FUTURE Jan23

CBOE VIX FUTURE Feb23

(1) The Fund commenced operations on March 28, 2022.

The December 31, 2023 and the December

31, 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract

The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract.

Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values,

before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial

Instruments each day to match the performance of the Long Index.

Future period returns, before fees and expenses, cannot be estimated

simply by estimating the return of the Long Index.

Qualitative Disclosure

The primary market risks that the Funds are exposed to depend on each

Fund’s investment objective and corresponding benchmark.

For example, the primary market risk that SVIX and UVIX are exposed to

are inverse and long exposure, respectively, to the price of certain VIX futures contracts as measured by the return of holding and periodically

rolling such futures contracts.

market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark.

the primary market risk that SVIX and UVIX are exposed to are inverse and long exposure, respectively, to the price of certain VIX futures

contracts as measured by the return of holding and periodically rolling such futures contracts.

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 7. Management’s Discussion and Analysis