What changed in this filing

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Item 1. Financial Statements

2024-05-15 compared with 2023-11-15 · 1103 added, 1148 removed, 156 unchanged (94% of the section changed)

Financial Statements.

of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and

Statements of Cash Flows:

Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:

-1x Short VIX Futures ETF

1 unchanged sentence

Notes to Financial Statements

of Assets and Liabilities

30, 2023 (Unaudited) and December 31, 2022

Statements of Assets and Liabilities

-1x Short VIX

September 30,

in securities, at value*

expenses and other assets

for shares sold

at Broker for Futures

margin receivable

$ 112,151,080

$ 125,900,153

margin payable

-1x Short VIX

Investments in securities, at value *

Interest receivable

Prepaid expenses and other assets

Deposits at Broker for Futures and Options Contracts

Variation margin receivable

Other receivable

Variation margin payable

Fund shares redeemed

Administrative,

accounting and custodian fees payable

and registration fees payable

$ 110,456,096

$ 125,488,766

ASSETS CONSIST OF:

Payable to Sponsor

Administrative, accounting and custodian fees payable

Professional fees payable

Licensing and registration fees payable

Payable to Broker

Total Liabilities

$ 125,057,419

NET ASSETS CONSIST OF:

Paid-in capital

$ ( 44,890,593 )

distributable earnings (accumulated deficit)

$ 462,649,666

$ 424,281,739

Total distributable earnings (accumulated deficit)

( 384,679,782 )

( 354,616,743 )

Asset Value (unlimited shares authorized):

I (unlimited shares authorized):

$ 125,057,419

Net Asset Value (unlimited shares authorized):

Class I (unlimited shares authorized):

$ 125,057,419

Outstanding^

Asset Value, Offering and Redemption Price per Share

Value per Share (Note 2)

Shares Outstanding^

Net Asset Value, Offering and Redemption Price per Share

Market Value per Share (Note 2)

*Investments in securities, at cost

accompanying notes to financial statements.

of Operations

the Three Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

See accompanying notes to the financial statements.

Statements of Operations

-1x Short VIX

4 unchanged sentences

Quarter Ended

September 30,

Administrative,

accounting and custodian fees

and registration fees

interest expense

Investment loss

AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

realized gain (loss) on:

INVESTMENT INCOME

Interest income

Management fees

Administrative, accounting and custodian fees

Professional fees

Licensing and registration fees

Broker interest expense

Total Expenses

Net Investment loss

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

Net realized gain (loss) on:

( 3,534,146 )

( 30,744,766 )

change in unrealized appreciation (depreciation) of:

( 43,229,755 )

Net change in unrealized appreciation (depreciation) of:

( 4,355,644 )

realized and unrealized gain (loss) on investments and futures contracts

( 6,212,853 )

Net realized and unrealized gain (loss) on investments and futures contracts

( 29,858,323 )

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

( 49,442,608 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 30,063,039 )

accompanying notes to financial statements.

of Operations

the Nine Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

$ ( 49,837,415 )

See accompanying notes to financial statements.

Statements of Changes in Net Assets

-1x Short VIX

September 30,

Administrative,

accounting and custodian fees

and registration fees

interest expense

Investment loss

AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

realized gain (loss) on:

( 228,151,397

change in unrealized appreciation (depreciation) of:

realized and unrealized gain (loss) on investments and futures contracts

( 207,807,208

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

( 208,792,030

Fund commenced operations on March 28, 2022.

accompanying notes to financial statements.

of Changes in Net Assets

the Three Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

Quarter Ended

2 unchanged sentences

Quarter Ended

September 30,

(DECREASE) IN NET ASSETS:

investment loss

$ ( 324,516 )

$ ( 230,646 )

$ ( 230,841 )

$ ( 495,724 )

realized gain (loss) on investments and futures contracts

( 42,049,000 )

( 22,686,413 )

change in unrealized appreciation (depreciation) of investments and futures contracts

( 12,928,171 )

( 6,278,300 )

increase (decrease) in net assets resulting from operations

( 11,347,943 )

( 2,607,402 )

SHARE TRANSACTIONS

( 32,840,529 )

( 77,058,854 )

( 29,971,993 )

( 112,204,673 )

increase (decrease) in net assets from capital share transactions

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

$ ( 163,131 )

accompanying notes to financial statements.

of Changes in Net Assets

the Nine Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

-1x Short VIX

September 30,

(DECREASE) IN NET ASSETS:

investment loss

$ ( 204,716 )

1 unchanged sentence

$ ( 394,807 )

Net realized gain (loss) on investments and futures contracts

( 30,744,766 )

realized gain (loss) on investments and futures contracts

( 43,229,755 )

Net change in unrealized appreciation (depreciation) of investments and futures contracts

( 3,566,658 )

change in unrealized appreciation (depreciation) of investments and futures contracts

( 6,212,853 )

Net increase (decrease) in net assets resulting from operations

( 30,063,039 )

increase (decrease) in net assets resulting from operations

( 49,837,415 )

CAPITAL SHARE TRANSACTIONS

Shares redeemed

( 96,596,423 )

SHARE TRANSACTIONS

( 20,637,060 )

1 unchanged sentence

( 72,110,675 )

Net increase (decrease) in net assets from capital share transactions

( 49,448,717 )

increase (decrease) in net assets from capital share transactions

increase (decrease) in net assets

Total increase (decrease) in net assets

( 33,671,584 )

( 18,450,907 )

Fund commenced operations on March 28, 2022.

accompanying notes to financial statements.

of Cash Flows

the Three Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

Beginning of Period

End of Period

$ 107,037,859

See accompanying notes to the financial statements.

Statements of Cash Flows

-1x Short VIX

4 unchanged sentences

Quarter Ended

September 30,

FLOW FROM OPERATING ACTIVITIES

increase (decrease) in net assets resulting from operations

$ ( 11,347,943 )

$ ( 2,607,402 )

to reconcile net income (loss) to net cash provided by (used in) operating activities

of investments

( 113,633,779 )

( 133,007,714 )

( 73,580,457 )

( 189,402,007 )

from sales or maturities of investments held

(Increase) in Deposits at broker for futures contracts

( 35,708,583 )

( 16,108,875 )

(Increase) in Variation margin receivable

( 1,945,302 )

( 1,274,983 )

(Increase) in interest receivable

(Increase) in other receivables

(Increase) in Prepaid expenses and other assets

(Increase) in Due from Other

( 4,743,330 )

(Decrease) in Due to Custodian

( 1,023,713 )

( 2,874,781 )

(Decrease) in Due to Other

(Decrease) in Variation margin payable

( 3,406,049 )

(Decrease) in Payable to Sponsor

(Decrease) in Administrative, accounting and custodian fees payable

(Decrease) in Professional fees payable

(Decrease) in Licensing and registration fees payable

cash provided by (used in) operating activities

( 39,277,433 )

( 6,426,140 )

( 2,145,481 )

( 38,401,864 )

FLOW FROM FINANCING ACTIVITIES

from shares sold, net of cost from shares purchased

of shares redeemed

( 32,840,529 )

( 78,923,906 )

( 34,077,640 )

( 112,204,673 )

cash provided by (used in) financing activities

( 1,394,049 )

INCREASE (DECREASE) IN CASH

( 3,539,530 )

accompanying notes to financial statements.

of Cash Flows

the Nine Months Ended September 30, 2023 and September 30, 2022 (Unaudited)

September 30,

FLOW FROM OPERATING ACTIVITIES

increase (decrease) in net assets resulting from operations

CASH FLOW FROM OPERATING ACTIVITIES

Net increase (decrease) in net assets resulting from operations

$ ( 30,063,039 )

$ ( 49,837,415 )

to reconcile net income (loss) to net cash provided by (used in) operating activities

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities

Purchase of investments

3 unchanged sentences

( 138,973,307 )

from sales or maturities of investments held

(Increase) in Deposits at broker for futures contracts

( 56,267,842 )

( 36,207,427 )

( 56,663,638 )

(Increase) in Variation margin receivable

Proceeds from sales or maturities of investments held

Net realized gain/loss on investments in options

Net change in unrealized appreciation/depreciation on investments in options

Decrease (Increase) in Deposits at broker for futures and options contracts

( 32,650,815 )

Decrease (Increase) in Variation margin receivable

( 2,099,404 )

(Increase) in interest receivable

(Increase) in other receivables

(Increase) in Prepaid expenses and other assets

(Increase) in Due from Other

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Decrease (Increase) In Prepaid expenses and other assets

Decrease (Increase) in Due from Other

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Variation margin payable

Increase (Decrease) in Payable to Sponsor

Increase (Decrease) in Administrative, accounting and custodian fees payable

Increase (Decrease) in Professional fees payable

Increase (Decrease) in Licensing and registration fees payable

Net cash provided by (used in) operating activities

( 35,034,528 )

(Decrease) in Due to Custodian

(Decrease) in Due to Other

(Decrease) in Variation margin payable

(Decrease) in Payable to Sponsor

(Decrease) in Administrative, accounting and custodian fees payable

(Decrease) in Professional fees payable

(Decrease) in Licensing and registration fees payable

cash provided by (used in) operating activities

( 23,397,350 )

( 14,272,930 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Cost of shares redeemed

( 106,043,823 )

( 20,637,060 )

FLOW FROM FINANCING ACTIVITIES

from shares sold, net of cost from shares purchased

of shares redeemed

( 61,757,845 )

( 72,110,675 )

Net cash provided by (used in) financing activities

( 58,896,117 )

NET INCREASE IN CASH

( 1,666,309 )

cash provided by (used in) financing activities

INCREASE (DECREASE) IN CASH

Fund commenced operations on March 28, 2022.

accompanying notes to financial statements.

Short VIX Futures ETF

of Investments

30, 2023 (Unaudited)

Beginning of Period

End of Period

See accompanying notes to the financial statements.

-1x Short VIX Futures ETF

Schedule of Investments

as of March 31, 2024 (Unaudited)

PURCHASED OPTIONS - 1.0% (a)(b)

Call Options - 1.0%

CBOE Volatility Index, Expiration:

Exercise Price:

TOTAL PURCHASED OPTIONS (Cost $ 928,847 )

SHORT-TERM INVESTMENTS - 26.4%

Money Market Funds - 26.4%

First American Government Obligations Fund, 5.23 % (d)

TOTAL SHORT-TERM INVESTMENTS (Cost $ 24,112,645 )

TOTAL INVESTMENTS - 27.4 % (Cost $ 25,041,492 )

Other Assets in Excess of Liabilities - 72.6 % (c)

TOTAL NET ASSETS - 100.0%

Percentages are stated as a percent of net assets.

(a) Exchange-traded.

shares per contract.

of cash is pledged as collateral for futures and options contracts.

rate shown represents the 7-day effective yield as of March 31, 2024.

-1x Short VIX Futures ETF

Schedule of Open Futures Contracts

as of March 31, 2024 (Unaudited)

Value / Unrealized

(Depreciation)

CBOE Volatility Index

Total Unrealized Appreciation (Depreciation)

-1x Short VIX Futures ETF

Schedule of Investments

December 31, 2023

PURCHASED OPTIONS - 0.29% (a)(b)

Call Options - 0.29%

CBOE Volatility Index, Expiration:

Strike Price:

TOTAL PURCHASED OPTIONS (Cost $ 1,171,333 )

SHORT-TERM INVESTMENT - 11.64%

Money Market Fund - 6.95%

First American Government Obligations Fund, 5.01 % (a)

Money Market Funds - 11.64%

First American Government Obligations Fund, 5.28 % (d)

TOTAL SHORT-TERM INVESTMENT (Cost $ 14,557,099 )

TOTAL INVESTMENTS - 11.93 % (Cost $ 15,728,432 )

Other Assets in Excess of Liabilities - 93.05 % (b)

Other Assets in Excess of

Liabilities - 88.07 % (c)

TOTAL NET ASSETS - 100.00 %

1 unchanged sentence

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at September 30, 2023.

(a) Exchange-traded.

shares per contract.

of cash is pledged as collateral for futures and options contracts.

rate shown represents the 7-day effective yield as of December 31, 2023.

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

Short Futures Contracts

December 31, 2023

(Depreciation)

CBOE Volatility Index

Total Unrealized Appreciation (Depreciation)

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Investments

as of March 31, 2024 (Unaudited)

SHORT-TERM INVESTMENTS - 23.3%

Money Market Funds - 23.3%

First American Government Obligations Fund, 5.23 % (a)

TOTAL SHORT-TERM INVESTMENTS (Cost $ 18,139,314 )

TOTAL INVESTMENTS - 23.3 % (Cost $ 18,139,314 )

Other Assets in Excess of Liabilities - 76.7 % (b)

TOTAL NET ASSETS - 100.0 %

Percentages are stated as a percent of net assets.

(a) The rate shown represents the 7-day effective yield as of March 31, 2024.

(b) $54,518,327 of cash is pledged as collateral for futures contracts.

Short VIX Futures ETF

Futures Contracts

30, 2023 (Unaudited)

Appreciation/

2x Long VIX Futures ETF

Schedule of Open Futures Contracts

as of March 31, 2024 (Unaudited)

(Depreciation)

CBOE VIX Futures

CBOE Volatility Index

$ ( 6,902,700 )

Expiring November 2023

(Underlying Face Amount at Market Value $44,891,520)

CBOE VIX Futures

CBOE Volatility Index

$ ( 7,291,175 )

October 2023 (Underlying Face Amount at Market Value $65,538,030)

Total Unrealized Appreciation (Depreciation)

$ ( 7,291,175 )

accompanying notes to financial statements.

Short VIX Futures ETF

of Investments

Cash - 1.1 % (a)

Other assets in excess of liabilities - 98.9 % (a)

TOTAL NET ASSETS - 100 %

(a) $48,144,554 of cash os pledged as collateral for futures contracts

Short VIX Futures ETF

Futures Contracts

Appreciation/

(Depreciation)

CBOE VIX Futures

Expiring January 2023

(Underlying Face Amount at Market Value $26,634,000)

CBOE VIX Futures

February 2023 (Underlying Face Amount at Market Value $19,754,280)

accompanying notes to financial statements.

Long VIX Futures ETF

of Investments

30, 2023 (Unaudited)

2x Long VIX Futures ETF

Schedule of Investments

as of December 31, 2023

SHORT-TERM INVESTMENT - 11.50%

Money Market Fund - 27.61%

Money Market Funds - 11.50%

First American Government Obligations Fund, 5.28 % (a)

3 unchanged sentences

TOTAL NET ASSETS - 100.00 %

are stated as a percent of net assets.

(a) Represents annualized seven-day yield at September 30, 2023.

Percentages are stated as a percent of net assets.

(a) The rate shown represents the 7-day effective yield as of December

(b) $61,750,311 of cash is pledged as collateral for futures contracts.

Long VIX Futures ETF

Futures Contracts

30, 2023 (Unaudited)

Appreciation/

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Open Futures Contracts

as of December 31, 2023

(Depreciation)

CBOE VIX Futures

Expiring November 2023

(Underlying Face Amount at Market Value $71,641,200)

CBOE VIX Futures

Expiring October

2023 (Underlying Face Amount at Market Value $104,571,060)

accompanying notes to financial statements.

Long VIX Futures ETF

of Investments

SHORT TERM INVESTMENT - 6.57%

Money Market Fund - 6.57%

First American

Government Obligations Fund, 4.105% (a)

TOTAL SHORT TERM INVESTMENT

(Cost $8,250,285)

TOTAL INVESTMENTS(Cost $8,250,285) - 6.57 %

Other Assets in Excess of Liabilities - 93.43% (b)

TOTAL NET ASSETS - 100.0 %

CBOE Volatility Index

$ ( 5,616,125 )

are stated as a percent of net assets.

(a) Represents annualized seven-day yield at December 31, 2022

(b) $114,821,272 of cash is pledged as collateral for futures contracts.

Long VIX Futures ETF

Futures Contracts

Appreciation/

(Depreciation)

CBOE VIX Futures

CBOE Volatility Index

( 2,561,493 )

Expiring January 2023

(Underlying Face Amount at Market Value $144,078,360)

CBOE VIX Futures

February 2023 (Underlying Face Amount at Market Value $107,002,350)

$ ( 8,177,618 )

accompanying notes to financial statements.

TO FINANCIAL STATEMENTS

1 – ORGANIZATION

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 September 30, 2023, the following two series of the Trust

have commenced investment operations:

Total Unrealized Appreciation (Depreciation)

$ ( 8,177,618 )

See accompanying notes to financial statements.

NOTES TO FINANCIAL STATEMENTS

March 31, 2024 (unaudited)

NOTE 1 – ORGANIZATION

VS Trust (the “Trust”)

is a Delaware statutory trust formed on October 24, 2019, and is currently organized into separate series (each, a “Fund”

and collectively, the “Funds”).

As of March 31, 2024, the following two series of the Trust have commenced investment operations:

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

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

undivided beneficial interest in and ownership of only that Fund.

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

Funds’ inception of operation was March 28, 2022.

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other

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

Fund’s investment exposure to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each

Fund to regulation under the Commodity Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission

(“CFTC”) rules.

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

in accordance with applicable CFTC rules.

Registration as a CPO imposes additional compliance obligations on the Sponsor and the Funds

related to additional laws, regulations and enforcement policies, which could increase compliance costs and may affect the operations

and financial performance of the Funds.

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.

2 – SIGNIFICANT ACCOUNTING POLICIES

Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification

(“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment

company accounting and reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable,

in preparation of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United

States of America (“GAAP”).

accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions

for Form 10-Q and the rules and regulations of the U.S.

Each of the Funds listed above issues

common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership

of only that Fund.

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

The Funds’ inception of operation

was March 28, 2022.

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

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

Each Fund’s investment exposure

to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity

Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules.

The Sponsor is registered

as a Commodity Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC rules.

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.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company,

as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946

“Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial

These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial

statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules

and regulations of the U.S.

Securities and Exchange Commission (“SEC”).

In the opinion of management,

all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period

financial statements have been made.

In the opinion of management, all material adjustments,

consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements

have been made.

Interim period results are not necessarily indicative of results for a full-year period.

growth company

Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain

an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its

initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $ 1.07 billion (subject to

adjustment for inflation) or more, (3) the date on which the Fund has, during the previous three-year period, issued more than

$ 1.0 billion in non-convertible debt securities and (4) as of the end of any fiscal year in which the market value of

common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter of that fiscal year.

as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting

requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited

to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced

disclosure obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions

from the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden

parachute payments not previously approved.

The Trust will take advantage of these reporting exemptions until it is no longer an “emerging

growth company.”

of Estimates & Indemnifications

preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported

amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the

reported amounts of revenues and expenses during the reporting period.

Emerging growth company

The Trust is an “emerging

growth company,” as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging growth company until

the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning

of the first fiscal year after annual gross revenue is $ 1.235 billion (subject to adjustment for inflation) or more, (3) the date on which

the Fund has, during the previous three-year period, issued more than $ 1.0 billion in non-convertible debt securities and (4) as of the

end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $ 700 million as of the end of the second

quarter of that fiscal year.

For as long as the Trust remains

an “emerging growth company,” it may take advantage of certain exemptions from the various reporting requirements that are

applicable to public companies that are not “emerging growth companies” including, but not limited to, not being required

to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding

executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from the requirements of

holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute payments not previously

The Trust will take advantage of these reporting exemptions until it is no longer an “emerging growth company.”

Use of Estimates & Indemnifications

The preparation of financial

statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and

liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues

and expenses during the reporting period.

Actual results could differ from those estimates.

the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum exposure under these arrangements cannot be known;

In the normal course of business, the

Trust enters into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum

exposure under these arrangements cannot be known;

however, the Trust expects any risk of loss to be remote.

of Presentation

to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for

each Fund individually.

The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect

to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any

Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or

distributed to the Trust for the purchase of Shares in that Fund.

cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated September

30, 2023 and December 31, 2022 and represents cash, but does not include short-term investments.

Net Asset Value for Fiscal Period

cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for

the three months ended September 30, 2023 were typically as follows.

Basis of Presentation

Pursuant to rules and regulations

of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually.

The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall

be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund.

the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for

the purchase of Shares in that Fund.

The cash amount shown in the Statements

of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2024, and December 31, 2023, and

represents cash, but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times

of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March

31, 2024, were typically as follows.

All times are Eastern Standard Time:

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Cut-off* (EST)

-1x Short VIX Futures ETF

September 30, 2023

Calculation Date

-1x Short VIX Futures ETF and

March 31, 2024

2x Long VIX Futures ETF

September 30, 2023

the Funds’ shares may continue to trade on secondary markets subsequent to the calculation

of the final NAV, these times represent the final opportunity to transact in creation or

redemption units for the three months ended September 30, 2023.

value per Share is determined at the close of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated.

financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets.

the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’

final creation/redemption NAV for the three months ended September 30, 2023.

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.

of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

(e.g., futures contracts, options, swap agreements) are generally valued using independent sources and/or agreements with counterparties

or other procedures as determined by the Sponsor.

Futures contracts are generally valued at the last settled price on the applicable

exchange on which that future trades.

For financial reporting purposes, all futures contracts are generally valued at the last settled

Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.

Swap agreement valuations are typically

categorized as Level II in the fair value hierarchy.

The Sponsor may in its sole discretion choose to determine a fair value price as

the basis for determining the market value of such position.

March 31, 2024

* Although the Funds’ shares may continue to trade on secondary

markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption

units for the three months ended March 31, 2024.

Market value per Share is determined at the close of Cboe

BZX and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes,

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

Accordingly, the investment valuations in these

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

three months ended March 31, 2024.

Investment Valuation

Short-term investments are valued

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

For financial reporting purposes, short- term investments are

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

In each of these situations,

valuations are typically categorized as Level I in the fair value hierarchy.

VIX futures contracts are valued

using the Time Weighted Average Price (TWAP) of the futures during the last 15 minutes of NYSE’s regular trading session, rather

than solely from the VIX futures’ settlement price.

The value of a Fund’s non-exchange-traded Financial Instruments typically

is determined by applying the then-current disseminated levels for the Index to the terms of the Fund’s non-exchange-traded Financial

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 financial instrument or commodity and would be based on principles that the Sponsor

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

The Sponsor may fair value an asset of a

Fund pursuant to the policies the Sponsor has adopted.

Depending on the source and relevant significance of valuation inputs, these instruments

may be classified as Level II or Level III in the fair value hierarchy.

value pricing may require subjective determinations about the value of an investment.

While the Funds’ policies are intended to

result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund

cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that

a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or

distressed sale).

The prices used by such Fund may differ from the value that would be realized if the investments were sold and the

differences could be material to the financial statements.

Value of Financial Instruments

Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure

The disclosure requirements establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions

developed based on market data obtained from sources independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions

about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs).

The three levels defined by the disclosure requirements hierarchy are as follows:

I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability

to access at the measurement date.

II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or

inputs about the current value of the underlying VIX futures contract and would be based on principles that the Sponsor deems fair and

The Funds may use a variety of money market instruments.

Money market instruments generally will be valued using market prices or at amortized cost.

Fair value pricing may require

subjective determinations about the value of an investment.

While the Funds’ policies are intended to result in a calculation of

its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values

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

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

The prices used by

such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial

Options are valued using the last traded price as of the close of regular trading hours on the CBOE Options Exchange.

Fair Value of Financial Instruments

The Funds disclose the fair value of

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

The disclosure requirements

establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions developed based on market data obtained

from sources independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions about market participant assumptions

developed based on the best information available under the circumstances (unobservable inputs).

The three levels defined by the disclosure

requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets

for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices

included within Level I that are observable for the asset or liability, either directly or indirectly.

Level II assets include the following:

quoted prices for similar assets or liabilities in active markets, quoted prices for

identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the

asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means

(market-corroborated inputs).

III – Unobservable pricing input at the measurement date for the asset or liability.

Unobservable inputs shall be used to measure

fair value to the extent that observable inputs are not available.

some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy.

The level in the fair

value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant

to the fair value measurement in its entirety.

value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly

decreased, as well as when circumstances indicate that a transaction is not orderly.

following table summarizes the valuation of investments at September 30, 2023 (unaudited) and December 31, 2022 using the fair value

quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets

that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally

from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement

date for the asset or liability.

Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not

In some instances, the inputs used

to measure fair value might fall in different levels of the fair value hierarchy.

The level in the fair value hierarchy within which the

fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement

in its entirety.

Fair value measurements also require

additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances

indicate that a transaction is not orderly.

The following table summarizes

the valuation of investments at March 31, 2024 (Unaudited) and December 31, 2023 using the fair value hierarchy:

31, 2024 (Unaudited)

September 30,

-1x Short VIX Futures ETF

Short VIX Futures ETF

Financial Instruments

Futures Contracts*

Other Financial Instruments

Long VIX Futures ETF

Financial Instruments

Futures Contracts*

$ ( 7,291,175 )

2x Long VIX Futures

$ ( 7,291,175 )

$ ( 8,177,618 )

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Transactions and Related Income

$ ( 8,177,618 )

Other Financial Instruments

$ ( 7,291,175 )

$ ( 8,177,618 )

* The tables above are based on market values or unrealized appreciation/(depreciation)

rather than the notional amounts of derivatives.

The uncertainties surrounding the valuation inputs for a derivative are likely to be

more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The inputs or methodology used for

valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

transactions are recorded on the trade date.

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appreciation (depreciation) between periods are reflected in the Statements of Operations.

income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as

Interest Income in the Statement of Operations.

Commissions and Futures Account Fees

Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”)

fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities

for each Fund’s investment in U.S.

Commodity Futures Trading Commission (“CFTC”) regulated investments.

of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities

or similar high credit quality short-term fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are

recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized

when the transaction is closed).

The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Funds that

exceed variable create/redeem fees collected by more than 0.29 % and 0.19 %, for SVIX and UVIX, respectively, of each Fund’s

average net assets annually.

Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S.

Interest income is recognized on an

accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement

of Operations.

Brokerage Commissions and Futures Account Fees

Each Fund pays its respective brokerage commissions,

including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other

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

Futures Trading Commission (“CFTC”) regulated investments.

The effects of trading spreads, financing costs/fees associated

with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities or similar high credit quality short-term

fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g.,

the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed).

Federal Income Tax

Each Fund is registered as a series

of a Delaware statutory trust and is treated as a partnership for U.S.

federal income tax purposes.

no Fund expects to incur U.S.

Accordingly, no Fund expects to incur

federal income tax liability;

rather, each beneficial owner of a Fund’s Shares is required to take

into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year

ending with or within the beneficial owner’s taxable year.

of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since

then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income

tax positions taken or expected to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is

reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing

basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary

based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

3 – INVESTMENTS

Funds may purchase U.S.

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

with original maturities of one year or less.

A portion of these investments may be posted as collateral in connection with swap agreements,

futures, and/or forward contracts.

for Derivative Instruments

seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing.

Using this approach,

the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes

in combination, should produce returns consistent with a Fund’s objective.

open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized

a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during

While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve

the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective

Fund at the date of this report is generally representative of open positions throughout the reporting period.

is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures

related to each instrument type.

Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or

shorting), an underlying benchmark.

A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery

of a specified quantity and type of asset at a specified time and place.

The contractual obligations of a buyer or seller may generally

be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase

of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration

entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required

by the exchange on which the transaction is affected.

The initial margin is segregated as cash and/or securities balances with brokers

for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into

futures contracts maintain collateral at the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund

generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize

a gain or loss upon closing of a futures transaction.

contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity

market volatility risk) and exposure to loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent

of the total exposure each Fund has in the particular classes of instruments.

Additional risks associated with the use of futures contracts

are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity

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

With futures contracts, there is minimal but some counterparty risk

to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse

Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single

Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit

or trading may be suspended for specified times during the trading day.

Futures contracts prices could move to the limit for several

consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting

a Fund to substantial losses.

If trading is not possible, or if a Fund determines not to close a futures position in anticipation of

adverse price movements, the Fund will be required to make daily cash payments of variation margin.

The risk the Fund will be unable

to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid

secondary market.

option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other

instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument.

are two types of options:

calls and puts.

A call option conveys to the option buyer the right to purchase a particular futures contract

at a stated price at any time during the life of the option.

A put option conveys to the option buyer the right to sell a particular

futures contract at a stated price at any time during the life of the option.

Options written by a Fund may be wholly or partially covered

(meaning that the Fund holds an offsetting position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s

entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become

worthless when the option expires.

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial

additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a

predetermined price which may, upon exercise of the option, be significantly different from the market value.

a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current

value of the option written.

rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable

share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial

owner’s taxable year.

Management of the Funds has reviewed

all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and

concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or

expected to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is reasonably possible that

the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing basis, management monitors

its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including,

but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S.

Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one

year or less.

A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s

investment objective, the Sponsor uses a mathematical approach to investing.

Using this approach, the Sponsor determines the type, quantity

and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent

with a Fund’s objective.

All open derivative positions

at period end are reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized a varying level of derivative

instruments in conjunction with investment securities in seeking to meet their investment objectives during the period.

While the volume

of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure

to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of

this report is generally representative of open positions throughout the reporting period.

Following is a description of the derivative

instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument

Futures Contracts

The Funds may enter into futures

contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying benchmark.

A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type

of asset at a specified time and place.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making

physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract

on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract,

each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the

Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into futures contracts maintain collateral at

the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund generally agrees to receive from or pay

to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known

as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize a gain or loss upon closing of

a futures transaction.

Futures contracts involve, to

varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk)

and exposure to loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure

each Fund has in the particular classes of instruments.

Additional risks associated with the use of futures contracts are imperfect correlation

between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility

of an illiquid market for a futures contract.

With futures contracts, there is minimal but some counterparty risk to the Funds since futures

contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself.

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

daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended

for specified times during the trading day.

Futures contracts prices could move to the limit for several consecutive trading days with

little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

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

will be required to make daily cash payments of variation margin.

The risk the Fund will be unable to close out a futures position will

be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Option Contracts

An option is a contract that gives

the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or

strike) price within a specified period of time, regardless of the market price of that instrument.

There are two types of options:

A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time

during the life of the option.

A put option conveys to the option buyer the right to sell a particular futures contract at a stated price

at any time during the life of the option.

Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an

offsetting position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s entire investment

(i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the

option expires.

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin,

and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price

which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call or put,

an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written.

Premiums received from writing options which expire are treated as realized gains.

Premiums received from

writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap

or security transaction to determine the realized gain (loss).

a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently

marked to market to reflect the current value of the option.

Premiums paid for purchasing options which expire are treated as realized

The risk associated with purchasing put and call options is limited to the premium paid.

Premiums paid for purchasing options

which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to

determine the realized gain (loss) when the underlying transaction is executed.

options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract

to be purchased or delivered.

The value of a Fund’s options transactions, if any, will be affected by, among other things, changes

in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and

implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying

benchmark, which may contribute to tracking error.

Premiums received from writing options which are exercised

or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap or security transaction to determine

the realized gain (loss).

When a Fund purchases an option,

the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect

the current value of the option.

Premiums paid for purchasing options which expire are treated as realized losses.

The risk associated

with purchasing put and call options is limited to the premium paid.

Premiums paid for purchasing options which are exercised or closed

are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss)

when the underlying transaction is executed.

Certain options transactions may

subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered.

The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s

underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s

underlying benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the options should not

be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking

Options may be less liquid than certain other securities.

A Fund’s ability to

trade options will be dependent on the willingness of counterparties to trade such options with the Fund.

In a less liquid market for

options, a Fund may have difficulty closing out certain option positions at desired times and prices.

A Fund may experience substantial

downside from specific option positions and certain option positions may expire worthless.

Over-the-counter options generally are not

assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions.

The use of options transactions

exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of

The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in

(or shorting) an underlying Index or to create an economic hedge against a position.

Swap agreements are two-party contracts that have

traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified

period, ranging from a day to more than one year.

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank

Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions

on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization.

In a standard swap

transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index

in exchange for a fixed or floating rate of return in respect of a predetermined notional amount.

Transaction or commission costs are

reflected in the benchmark level at which the transaction is entered into.

The gross returns to be exchanged are calculated with respect

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

Swap agreements do not involve the delivery of underlying

swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis”

with a single payment.

Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal

only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net

In a typical swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level

of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark

decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement

entered into by SVIX, the Fund would be required to make payments to the swap counterparties in the event the level of the benchmark

increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction

costs or trading spreads on the notional amount the Funds may pay.

net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued

on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained

for the benefit of the counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each

Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash

and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated

account by a third party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction

costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on

swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap

agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of certain

events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request

immediate payment in an amount equal to the net positions owed to the party under the agreement.

This could cause a Fund to have to enter

into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment

objective through any number of different investments or investment techniques.

agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the

NAV of each Fund.

Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional

amount and the price of the underlying reference Index and the inability of counterparties to perform.

Each Fund bears the risk of loss

of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically enter into swap agreements only with major global financial institutions.

The creditworthiness of each of the firms

that is a party to a swap agreement is monitored by the Sponsor.

The Sponsor may use various techniques to minimize credit risk including

early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally

requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds.

Outstanding swap agreements

contractually terminate within one month but may be terminated without penalty by either party at any time.

Upon termination, the Fund

is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the

Statements of Financial Condition or Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions

is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment

by the Funds.

The collateral held in this account is restricted as to its use.

In the event of a default by the counterparty, the Funds

will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect

to the collateral.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the

Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding.

The Funds may

obtain only limited recovery or may obtain no recovery in such circumstances.

Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties.

However, the Funds have sought

to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral

for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject

to certain minimum thresholds.

In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received

from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s

request for collateral and the delivery of such collateral.

To the extent any such collateral is insufficient, the Funds will be exposed

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

counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization

becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance

under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations.

cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements

applicable to intermediaries.

Values of Derivative Instruments as of September 30, 2023 (Unaudited)

Accounted for as

Hedging Instruments

Condition Location

Appreciation*

Condition Location

Depreciation*

-1x Short VIX Futures ETF

Long VIX Futures ETF

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Values of Derivative Instruments as of December 31, 2022

Accounted for as

Hedging Instruments

Condition Location

Appreciation*

Condition Location

Depreciation*

-1x Short VIX Futures ETF

Long VIX Futures ETF

Includes cumulative appreciation

(depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported

within the Statements of Financial Condition in receivable/payable on open futures.

Effect of Derivative Instruments on the Statement of Operations

the Three Months Ended September 30, 2023 (Unaudited) and September 30, 2022 (Unaudited)

Accounted for as Hedging Instruments

of Gain (Loss) on Derivatives Recognized in Income

Derivatives Recognized

September 30,

(Depreciation)

on Derivatives

September 30,

Realized Gain

September 30,

(Depreciation)

on Derivatives

Sepetember 30,

A Fund’s ability to trade options will be dependent on the willingness

of counterparties to trade such options with the Fund.

In a less liquid market for options, a Fund may have difficulty closing out certain

option positions at desired times and prices.

A Fund may experience substantial downside from specific option positions and certain option

positions may expire worthless.

Over-the-counter options generally are not assignable except by agreement between the parties concerned,

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

The over-the-counter market for options is relatively illiquid,

particularly for relatively small transactions.

The use of options transactions exposes a Fund to liquidity risk and counterparty credit

risk, and in certain circumstances may expose the Fund to unlimited risk of loss.

The Funds may buy and sell options on futures contracts,

which may present even greater volatility and risk of loss.

Swap Agreements

The Funds may enter into swap

agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying

Index or to create an economic hedge against a position.

Swap agreements are two-party contracts that have traditionally been entered

into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day

to more than one year.

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides

for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated

market and/or to clear such transactions through a CFTC-regulated central clearing organization.

In a standard swap transaction, two parties

agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed

or floating rate of return in respect of a predetermined notional amount.

Transaction or commission costs are reflected in the benchmark

level at which the transaction is entered into.

The gross returns to be exchanged are calculated with respect to a notional amount and

the benchmark returns to which the swap is linked.

Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements

entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single

Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net

amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”).

In a typical swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level of the benchmark

increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted

for any transaction costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement entered into by SVIX,

the Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be

entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads

on the notional amount the Funds may pay.

The net amount of the excess,

if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and

an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the

counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s entitlements

over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having

an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third

party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading

spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements”

and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap

agreements are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various

conditions, events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain

terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal

to the net positions owed to the party under the agreement.

This could cause a Fund to have to enter into a new transaction with the same

counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of

different investments or investment techniques.

Swap agreements involve, to varying

degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the

extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

Additional risks

associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying

reference Index and the inability of counterparties to perform.

Each Fund bears the risk of loss of the amount expected to be received

under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically enter into swap

agreements only with major global financial institutions.

The creditworthiness of each of the firms that is a party to a swap agreement

is monitored by the Sponsor.

The Sponsor may use various techniques to minimize credit risk including early termination and payment, using

different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted

by the counterparty in an amount approximately equal to that owed to the Funds.

Outstanding swap agreements contractually terminate within

one month but may be terminated without penalty by either party at any time.

Upon termination, the Fund is obligated to pay or receive

the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize

swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or

Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of

the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds.

collateral held in this account is restricted as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal

of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral.

a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience

significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding.

The Funds may obtain only limited recovery

or may obtain no recovery in such circumstances.

The Funds remain subject

to credit risk with respect to the amount they expect to receive from counterparties.

However, the Funds have sought to mitigate these

risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit

of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum

In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty,

generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and

the delivery of such collateral.

To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as

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

The counterparty/credit risk for

cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted

for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as

each party to a trade looks only to the clearing organization for performance of financial obligations.

In addition, cleared derivative

transactions benefit from daily marking- to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Statements of Assets and Liabilities

Fair values of derivative instruments as of March 31, 2024

of Assets and Liabilities Location

Short VIX Futures ETF

Option Contracts:

Investments, at value

Futures Contracts:

Net realized gain (loss)

on futures contracts/changes in unrealized appreciation (depreciation) on futures contracts

-1x Short VIX

2x Long VIX Futures ETF

Includes cumulative appreciation (depreciation) of

futures contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements

of Financial Condition in receivable/payable on open futures.

Effect of Derivative Instruments on the Statement of Operations

the Nine Months Ended September 30, 2023 (Unaudited) and September 30, 2022^

Accounted for as Hedging Instruments

of Gain (Loss) on Derivatives Recognized in Income

September 30,

(Depreciation)

on Derivatives

Recognized in

September 30,

Realized Gain

September 30,

(Depreciation)

on Derivatives

September 30,

Unrealized Appreciation*

fair values of derivative instruments

Long VIX Futures ETF

Futures Contracts:

Net realized gain (loss)

on futures contracts/changes in unrealized appreciation (depreciation) on futures contracts

-1x Short VIX

Unrealized Appreciation*

$ ( 7,291,175 )

fair values of derivative instruments

$ ( 7,291,175 )

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Investments.

Only current day's variation margin is reported within the Statements of Financial Condition

in receivable/payable on open futures.

Statements of Operations

The effect of derivative instruments on the Statement of

Operations for the quarter ended March 31, 2024 (Unaudited):

Realized Gain (Loss) on Derivatives

Short VIX Futures ETF

$ ( 3,534,146 )

Long VIX Futures ETF

$ ( 30,744,766 )

Change in Unrealized Appreciation (Depreciation) on Derivatives

Short VIX Futures ETF

$ ( 4,355,644 )

$ ( 3,566,658 )

$ ( 4,355,644 )

$ ( 3,566,658 )

Long VIX Futures ETF

The following table indicates the average volume when in

use for the quarter ended March 31, 2024 (Unaudited):

Short VIX Futures ETF

Long VIX Futures ETF

notional value of long futures contracts

$ 147,687,020

notional value of short futures contracts

( 108,259,145 )

The following table indicates the average volume when in

use for the quarter ended March 31, 2024 (Unaudited):

Short VIX Futures ETF

Long VIX Futures ETF

notional value of purchased options contracts

Statements of Assets and Liabilities

Fair values of derivative instruments as of March 31, 2023 (Unaudited):

Statements of Assets and Liabilities Location

-1x Short VIX Futures ETF

Purchased Option Contracts:

Investments, at value

Short Futures Contracts:

Unrealized Appreciation*

Total fair values of derivative instruments

2x Long VIX Futures ETF

Long Futures Contracts:

Unrealized Appreciation*

$ ( 15,416,375 )

Total fair values of derivative instruments

$ ( 15,416,375 )

Includes cumulative appreciation (depreciation) of

futures contracts as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements

of Financial Condition in receivable/payable on open futures.

Fund commenced operations on March 28, 2022.

Assets and Liabilities

Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty

to be netted upon an early termination.

The party that has the larger payable pays the excess of the larger amount over the smaller amount

to the other party.

The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties.

As described above, the Funds utilize derivative instruments to achieve their investment objective during the year.

The amounts shown

in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements

or similar arrangements.

financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements

in the Statements of Financial Condition.

The following table presents each Fund’s derivatives by investment type and by counterparty

net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of

September 30, 2023 and December 31, 2022.

Values of Derivative Instruments as of September 30, 2023 (Unaudited)

of Liabilities

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Investments.

Only current day's variation margin is reported within the Statements of Financial Condition

in receivable/payable on open futures.

Statements of Operations

The effect of derivative instruments on the Statement of

Operations for the quarter ended March 31, 2023 (Unaudited):

Net Realized Gain (Loss) on Derivatives

-1x Short VIX Futures ETF

Index Contracts

2x Long VIX Futures ETF

Values of Derivative Instruments as of December 31, 2022

of Liabilities

Index Contracts

$ ( 43,229,755 )

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

-1x Short VIX Futures ETF

Index Contracts

2x Long VIX Futures ETF

(Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September

30, 2023 and December 31, 2022.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the

Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral

movement, as further described above under the caption “Accounting for Derivative Instruments”.

Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023 (Unaudited)

(Liabilities)

for the Benefit

of (the Funds) / the

Counterparties

Collateral for

the Benefit of

(the Funds) / the

Counterparties

Index Contracts

* The amounts disclosed are included in the realized gain (loss)

on investments.

** The amounts disclosed are included in the change in unrealized

appreciation (depreciation) on investments.

The following table indicates the average

volume when in use for the quarter ended March 31, 2023 (Unaudited):

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Average notional value of long futures contracts

$ 232,641,730

Average notional value of short futures contracts

( 60,520,705 )

There were no transactions in purchased option contracts during the quarter ended March 31, 2023.

Offsetting Assets and Liabilities

Each Fund is subject to master

netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early

The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party.

master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties.

As described above, the

Funds utilize derivative instruments to achieve their investment objective during the year.

The amounts shown in the Statements of Financial

Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes,

the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available

for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2024 and December

Fair Values of Derivative Instruments as of March 31, 2024 (Unaudited)

Gross Amounts of Recognized Assets presented in the Statements of Financial Condition

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Assets presented in the Statements of Financial Condition

Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Liabilities presented in the Statements of Financial Condition

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022

(Liabilities)

for the Benefit

of (the Funds) / the

Counterparties

Collateral for

the Benefit of

(the Funds) / the

Counterparties

Fair Values of Derivative Instruments as of December 31, 2023

Gross Amounts of Recognized Assets presented in the Statements of Financial Condition

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Assets presented in the Statements of Financial Condition

Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Liabilities presented in the Statements of Financial Condition

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Asset (Liability) amounts shown

in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2024 and December 31,

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties,

depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled

“Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above

under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2024 (Unaudited)

Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition

Financial Instruments for the Benefit of (the Funds) / the Counterparties

Cash Collateral for the Benefit of (the Funds) / the Counterparties

-1x Short VIX Futures ETF

$ ( 1,419,057 )

1 unchanged sentence

2x Long VIX Futures ETF

4 – AGREEMENTS

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.

other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services

and the other services provided to the Fund that the Sponsor pays directly.

to the Sponsor Agreement between Sponsor and the Trust, on behalf of the Funds, the Sponsor oversees and pays Penserra Capital Management,

(“Commodity Sub-Adviser”) for its services as Commodity Sub-Adviser.

The Commodity Sub-Adviser is paid by the Sponsor

an annual sub-advisory fee of 0.20 % based on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its

accrued liabilities).

Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023

of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition

Instruments for the Benefit of (the Funds) / the Counterparties

Collateral for the Benefit of (the Funds) / the Counterparties

Short VIX Futures ETF

$ ( 204,703 )

Long VIX Futures ETF

NOTE 4 – AGREEMENTS

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 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.

Pursuant to the Sponsor Agreement

between Sponsor and the Trust, on behalf of the Funds, the Sponsor oversees and pays Penserra Capital Management, LLC.

Sub-Adviser”) for its services as Commodity Sub-Adviser.

The Commodity Sub-Adviser is paid by the Sponsor an annual sub-advisory

fee of 0.20 % based on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities).

The Funds do not directly pay the Commodity Sub-Adviser.

Non-Recurring

Fees and Expenses

Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and

expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification

or other material expenses which are not currently anticipated obligations of the Funds.

Administrator, Transfer Agent and Custodian

Fund Services, LLC, doing business as U.S.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring

and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses

that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material

expenses which are not currently anticipated obligations of the Funds.

The Administrator, Transfer Agent and Custodian

Bancorp Fund Services, LLC,

doing business as U.S.

Bank Global Fund Services (“Fund Services”), an indirect subsidiary of U.S.

serves as the Fund’s fund accountant, administrator and transfer agent pursuant to certain fund accounting servicing, fund administration

servicing and transfer agent servicing agreements.

Bancorp, serves as the

Fund’s fund accountant, administrator and transfer agent pursuant to certain fund accounting servicing, fund administration servicing

and transfer agent servicing agreements.

Bank National Association, a subsidiary of U.S.

Bancorp and parent

company of Fund Services, intends to serve as the Fund’s custodian pursuant to a custody agreement.

Marketing Agent

Fund Services, LLC (the “Marketing Agent”) serves as the Marketing Agent of the Funds.

Bancorp and parent company of Fund Services,

intends to serve as the Fund’s custodian pursuant to a custody agreement.

The Marketing Agent

Foreside Fund Services, LLC (the

“Marketing Agent”) serves as the Marketing Agent of the Funds.

Its principal duties are:

work with the Transfer Agent to review and approve orders placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain

copies of confirmations of Creation Unit creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or

access to direct computer communications links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing

materials for compliance with applicable SEC and FINRA advertising rules.

Marketing Agent retains all marketing materials separately for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland,

compensation for the services it provides, the Marketing Agent receives a fee from the Funds.

5 – OFFERING COSTS

costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs.

and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations

will be paid by the Sponsor.

6 – CREATION AND REDEMPTION OF CREATION UNITS

Fund issues and redeems shares from time to time, but only in one or more Creation Units.

A Creation Unit is a block of at least 10,000

Shares of a Fund.

Creation Units may be created or redeemed only by Authorized Participants.

when aggregated in Creation Units, the Shares are not redeemable securities.

Retail investors, therefore, generally will not be able

to purchase or redeem Shares directly from or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary

market with the assistance of a broker.

Thus, some of the information contained in these Notes to Financial Statements—such as

references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Fees on Creation and Redemption Transactions

manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized

Participant Procedures Handbook.

(i) to work with the Transfer Agent

to review and approve orders placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations

of Creation Unit creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications

links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable

SEC and FINRA advertising rules.

The Marketing Agent retains all marketing materials separately

for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine

As compensation for the services it provides, the Marketing

Agent receives a fee from the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by

the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge

its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs.

Normal and expected expenses incurred

in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares

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

A Creation Unit is a block of at least 10,000 Shares of a Fund.

Creation Units

may be created or redeemed only by Authorized Participants.

Except when aggregated in Creation

Units, the Shares are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares

directly from or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of

Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees

imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units

are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook.

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

(1) deposit cash with the Custodian;

and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position

or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded

futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Participants may pay a fee up to 0.20 % of the value of each order they place with each order to create or redeem a Creation Unit in order

to compensate the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation

and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee

is waived or otherwise adjusted by the Sponsor.

The Sponsor provides such Authorized Participant with prompt notice in advance of any

such waiver or adjustment of the transaction fee.

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

from the Funds to other investors in the secondary market.

fees for the three months ended September 30, 2023 and September 30, 2022 were as follows:

September 30,

-1x Short VIX Futures ETF

2x Long VIX Futures

fees for the nine months ended September 30, 2023 and September 30, 2022 were as follows:

September 30,

and (2) if permitted by the Sponsor

in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant

fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or

near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a

fee up to 0.03 % of the value of each order they place with each order to create or redeem a Creation Unit in order to compensate the Administrator,

the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units

and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted by

The Sponsor provides such Authorized

Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee.

Authorized Participants may sell the

Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction Fees for the three months ended March

31, 2024 (Unaudited) and March 31, 2023 (Unaudited) were as follows:

-1x Short VIX Futures ETF

2x Long VIX Futures

Fund commenced operations on March 28, 2022.

2x Long VIX Futures ETF

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share

outstanding throughout the three months ended March 31, 2024 (Unaudited) and March 31, 2023 (Unaudited):

Financial Highlights

data is for a Share outstanding throughout the Three Months Ended September 30, 2023 (Unaudited) and September 30, 2022 (Unaudited):

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

2 unchanged sentences

Quarter Ended

September 30,

Asset Value, Beginning of Period

investment loss (1)

Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

Increase (Decrease) in Net Asset Value Resulting from Operations

Asset Value, End of Period

Value Per Share, at September 30, 2023 and September 30, 2022

Return at Net Asset Value (4)

Return at Market Value (4)

to Average Net Assets:

Investment Loss

(1) Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(4) Percentages are not annualized for the period ended September 30, 2023 and September 30, 2022

(5) Percentages are annualized.

(6) The expense ratio would be 1.89 % and 2.21 % respectively, for the three months ended September 30, 2023, and 2.23 % and 2.27 % for the three months ended September 30, 2022 if brokerage commissions and futures and futures account fees were excluded.

accompanying notes to financial statements.

data is for a Share outstanding throughout the Nine Months Ended September 30, 2023 (Unaudited) and September 30, 2022 (Unaudited):

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

September 30,

Asset Value, Beginning of Period

investment loss (1)

Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

Increase (Decrease) in Net Asset Value Resulting from Operations

Asset Value, End of Period

Value Per Share, at September 30, 2023 and September 30, 2022

Return at Net Asset Value (4)

Return at Market Value (4)

to Average Net Assets:

Investment Loss

The Fund commenced operations on March 28, 2022.

(1) Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(4) Percentages are not annualized for the periods ended September 30, 2023 and September 30, 2022

Net Asset Value, Beginning of Period

Net investment loss (1)

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

Net Increase (Decrease) in Net Asset Value Resulting from Operations

Net Asset Value, End of Period

Value Per Share (3)

Total Return at Net Asset Value (4)

Total Return at Market Value (4)

Ratios to Average Net Assets:

Expense ratio (6)

Net Investment Loss

(1) Net investment loss per share represents net investment loss

divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts

may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable

primary listing exchange, which may be later than when the Funds' net asset value is calculated.

(4) Percentages are not annualized.

(5) Percentages are annualized.

(6) The expense ratio would be 2.08 % and 2.15 % respectively, for the nine months ended September 30, 2023, and 2.23 % and 2.27 % for the period ended September 30, 2022, if brokerage commissions and futures and futures account fees were excluded.

accompanying notes to financial statements.

and Compounding Risk

Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV

calculation time to NAV calculation time).

The return of a Fund for a period longer than a single day is the result of its return for

each day compounded over the period and usually will differ in amount and possibly even direction from the inverse (-1x) or two times

(2x) the return of the Fund’s benchmark for the period.

A Fund will lose money if its benchmark performance is flat over time,

and it is possible for a Fund to lose money over time even if the performance of its benchmark increases in the case of UVIX (or decreases

in the case of SVIX), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors.

is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time.

Gains or losses

experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns

are calculated.

The effects of compounding will likely cause the performance of a Fund to differ from the Fund’s stated multiple

times the return of its benchmark for the same period.

The effect of compounding becomes more pronounced as benchmark volatility and

holding period increase.

The impact of compounding will impact each shareholder differently depending on the period of time an investment

in a Fund is held and the volatility of the benchmark during the holding period of an investment in the Fund.

Longer holding periods,

higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns.

compounding of a Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of

high volatility.

Volatility may be at least as important to a Fund’s return for a period as the return of the Fund’s underlying

Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark.

For example, the daily return

of UVIX should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same

The daily return of SVIX is designed to return the inverse (-1x) of the return that would be expected of a fund with an objective

of matching the same benchmark.

The Funds are not appropriate for all investors and present significant risks not applicable to

other types of funds.

The Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use

An investor should only consider an investment in a Fund if he or she understands the consequences of seeking daily leveraged

or daily inverse investment results.

Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently

the Funds seek to meet their investment objectives, there is no guarantee they will do so.

Factors that may affect a Fund’s ability

to meet its investment objective include:

(1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that

correlates to a Fund’s objective;

(2) an imperfect correlation between the performance of Financial Instruments held by a Fund

and the performance of the applicable benchmark;

(3) bid-ask spreads on such Financial Instruments;

(4) fees, expenses, transaction costs,

financing costs associated with the use of Financial Instruments and commission costs;

(5) holding or trading instruments in a market

that has become illiquid or disrupted;

(6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology;

(6) The expense ratio would be 2.30 % and 2.19 % respectively,

for the quarter ended March 31, 2023 if brokerage commissions and futures and futures account fees were excluded.

NOTE 8 – RISK

Correlation and Compounding Risk

The Funds do not seek to achieve their stated investment

objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ

in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for the period.

A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time even if the

performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing, the benchmark’s

volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and losses and income to

the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce the principal amount

invested from which the subsequent period’s returns are calculated.

The effects of compounding will likely cause the performance

of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding

becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will impact each shareholder differently

depending on the period of time an investment in a Fund is held and the volatility of the benchmark during the holding period of an investment

Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding

on a Fund’s returns.

Daily compounding of a Fund’s investment returns can dramatically and adversely affect its longer-term

performance during periods of high volatility.

Volatility may be at least as important to a Fund’s return for a period as the return

of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce daily

returns that are more volatile than that of its benchmark.

For example, the daily return of UVIX should be approximately two times as

volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.

The daily return of SVIX is designed

to return the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark.

Funds are not appropriate for all investors and present significant risks not applicable to other types of funds.

The Funds use

leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage.

An investor should only consider an

investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results.

who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives,

there is no guarantee they will do so.

Factors that may affect a Fund’s ability to meet its investment objective include:

Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective;

(2) an imperfect

correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

spreads on such Financial Instruments;

(4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments

and commission costs;

(5) holding or trading instruments in a market that has become illiquid or disrupted;

(6) a Fund’s Share prices

being rounded to the nearest cent and/or valuation methodology;

(7) changes to a benchmark Index that are not disseminated in advance;

(8) the need to conform a Fund’s portfolio holdings to comply

with investment restrictions or policies or regulatory or tax law requirements;

(9) early and unanticipated closings of the markets on

which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions;

(10) accounting

and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark,

over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee

that a Fund will achieve a high degree of correlation.

Failure to achieve a high degree of correlation may prevent a Fund from achieving

its investment objective.

In order to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance

their portfolios daily to keep exposure consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark

may prevent such Funds from achieving a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts

of assets into or out of the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such

Funds’ ability to adjust exposure to requisite levels.

The target amount of portfolio exposure is impacted dynamically by the benchmarks’

movements during each day.

Other things being equal, more significant movement in the value of its benchmark up or down will require

more significant adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e.,

--1x, -2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher

on days when the benchmark levels are volatile near the close of the trading day.

Fund seeks to rebalance its portfolio on a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day

to day depending upon market conditions and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance

their portfolios as frequently, each Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order

to maintain appropriate exposure to the underlying benchmarks.

Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”)

in the manner described herein as a means to achieve their respective investment objectives.

The use of derivatives by a Fund exposes

the Fund to counterparty risks.

are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States.

forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation

(in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation

of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be

made effective, but the CFTC requirements are largely in place.

The CFTC requirements have included rules for some of the types of transactions

in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

Title VII also

created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,”

“major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant

new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements.

The regulatory requirements

under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds,

the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore,

may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection

with each Fund’s swap agreements or forward contracts.

The lack of regulation in these markets could expose investors to significant

losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Funds will be subject to the credit risk of the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will

have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives,

the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives

entered into as part of that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform

its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s

investment in a Fund may decline.

Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the

benefit of the Fund, marked to market daily, subject to certain minimum thresholds.

However, there are no limitations on the percentage

of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty.

To the extent any such collateral

is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including

possible delays in recovering amounts as a result of bankruptcy proceedings.

The Funds typically enter into transactions only with major

global financial institutions.

derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded

on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties

and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of

certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and

request immediate payment in an amount equal to the net positions owed to the party under the agreement.

For example, if the level of

the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the

swap may permit the counterparty to immediately close out the transaction with the Fund.

In that event, it may not be possible for the

Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with

the Fund’s objective.

This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of

the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable

to intermediaries.

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared

swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps

transactions.

Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated

funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker

or clearing broker customer default.

For example, in the event of a default of both the clearing broker and a customer of the clearing

broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled)

account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under

which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered

into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity

that is not registered as a “swap dealer” with the CFTC.

This exposes the Funds to the risk that a counterparty will not

settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not

bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality.

the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time.

day, the Funds disclose their portfolio holdings as of the prior Business Day.

Each Fund’s portfolio holdings identifies its counterparties,

as applicable.

This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives.

Once a transaction is cleared, the

clearing organization is substituted and is a Fund’s counterparty on the derivative.

The clearing organization guarantees the performance

of the other side of the derivative.

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its

members, will satisfy its obligations to a Fund.

Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments

adverse to their respective daily investment objectives than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged

positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

example, because UVIX includes a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point

in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the

investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite

direction, eliminating all or a portion of the movement.

This would be the case with downward single-day or intraday movements in the

underlying benchmark of a Fund or upward single-day or intraday movements in the benchmark of a Fund, even if the underlying benchmark

maintains a level greater than zero at all times.

Instruments cannot always be liquidated at the desired price.

It is difficult to execute a trade at a specific price when there is a

relatively small volume of buy and sell orders in a market.

A market disruption can also make it difficult to liquidate a position or

find a swap or forward contract counterparty at a reasonable cost.

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law

requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of

the Fund to execute intended portfolio transactions;

(10) accounting standards;

and (11) differences caused by a Fund obtaining exposure

to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark

or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Fund’s ability

to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation.

Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective.

In order to achieve a high

degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep exposure consistent

with their investment objectives.

Being materially under- or over-exposed to the benchmark may prevent such Funds from achieving a high

degree of correlation with such benchmark.

Market disruptions or closure, large amounts of assets into or out of the Funds, regulatory

restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite

The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day.

being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark

at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are

volatile near the close of the trading day.

Each Fund seeks to rebalance its portfolio on a

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and

other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance their portfolios as frequently, each Fund

may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the

underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements

and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve

their respective investment objectives.

The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets

and have only recently become subject to comprehensive regulation in the United States.

Cash-settled forwards are generally regulated

as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other

than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title

VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible

for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements

are largely in place.

The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage,

including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

Title VII also created new categories of regulated

market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,”

and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping,

reporting, disclosure, business conduct and other regulatory requirements.

The regulatory requirements under Title VII continue to be

developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades

and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all of

the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection of CFTC regulation

or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or

forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including

in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of

the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation

in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives, the Funds will be subject to the credit

risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject to

increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of

that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due

to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in

a Fund may decline.

The Funds have sought to mitigate these risks by

generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily,

subject to certain minimum thresholds.

However, there are no limitations on the percentage of assets each Fund may invest in swap agreements

or forward contracts with a particular counterparty.

To the extent any such collateral is insufficient or there are delays in accessing

the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as

a result of bankruptcy proceedings.

The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized

by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and

conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such

as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various conditions,

events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms

of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to

the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday

move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close

out the transaction with the Fund.

In that event, it may not be possible for the Fund to enter into another swap or to invest in other

Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective.

This, in turn, may prevent

the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its

intraday move by the end of the day.

In addition, cleared derivatives benefit from daily

marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent the Fund

enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required

by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

Cleared swap customer collateral

is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide

certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default.

example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted

to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer

of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the

commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered into directly between two counterparties do

not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer”

with the CFTC.

This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions

because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing

the Funds to suffer a loss.

The Sponsor regularly reviews the performance of

its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers the

addition of new counterparties and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio

holdings as of the prior Business Day.

Each Fund’s portfolio holdings identifies its counterparties, as applicable.

This portfolio

holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

Each counterparty and/or any of its affiliates

may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions

is generally lower than for OTC derivatives.

Once a transaction is cleared, the clearing organization is substituted and is a Fund’s

counterparty on the derivative.

The clearing organization guarantees the performance of the other side of the derivative.

Nevertheless,

some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Funds may utilize leverage in seeking to achieve

their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives

than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an

investor’s investment, even over periods as short as a single day.

For example, because UVIX includes a two times

(2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss

or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an

investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of

the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund or upward single-day

or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated

at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at

a reasonable cost.

Market illiquidity may cause losses for the Funds.

The large size

of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate

and increasing the losses incurred while trying to do so.

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

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

and “Backwardation” Risk

Funds typically hold futures contracts.

As the futures contracts near expiration, they are generally replaced by contracts that have

a later expiration.

Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration.

contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020.

This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance.

For example, historically,

the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts

with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the

sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased,

thereby creating a gain in connection with rolling.

While certain types of futures contracts have historically exhibited consistent periods

of backwardation, backwardation will likely not exist in these markets at all times.

the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility

levels further out in time.

This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average

maturity of the applicable Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in

the rolling process could adversely affect the value of a Fund and, accordingly, decrease the return of a Fund.

Disaster/Epidemic Risk

or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally,

and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly

disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market

Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result

in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply

chains affected, with potential corresponding results on the operating performance of the Funds and their investments.

A climate of uncertainty

and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and

reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling

market conditions, potentially reducing the accuracy of financial projections.

Under these circumstances, the Funds may have difficulty

achieving their investment objectives which may adversely impact performance.

Further, such events can be highly disruptive to economies

and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and

third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation

rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments.

These factors can cause

substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions

and otherwise affect Fund performance and Fund trading in the secondary market.

A widespread crisis may also affect the global economy

in ways that cannot necessarily be foreseen at the current time.

How long such events will last and whether they will continue or recur

cannot be predicted.

Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your

that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments

taking extreme actions to slow and contain the spread of COVID-19.

These actions have had, and likely will continue to have, a severe

economic impact on global economies as economic activity in some instances has essentially ceased.

Financial markets across the globe

are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008.

The large size of the positions which the Funds may acquire increases

the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to

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

Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

The Funds typically hold futures contracts.

the futures contracts near expiration, they are generally replaced by contracts that have a later expiration.

Thus, for example, a contract

purchased and held in November 2019 may specify a January 2020 expiration.

As that contract nears expiration, it may be replaced by selling

the January 2020 contract and purchasing the contract expiring in March 2020.

This process is referred to as “rolling.” Rolling

may have a positive or negative impact on performance.

For example, historically, the prices of certain types of futures contracts have

frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred

to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place

at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling.

While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not

exist in these markets at all times.

Since the introduction of VIX futures contracts,

there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time.

This can result

in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely affect

the value of a Fund and, accordingly, decrease the return of a Fund.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes,

fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics

and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have

recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster and health

crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns,

social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results

on the operating performance of the Funds and their investments.

A climate of uncertainty and panic, including the contagion of infectious

viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities,

and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial

Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact

Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual

companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities

and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the

value of the Funds’ investments.

These factors can cause substantial market volatility, exchange trading suspensions and closures

and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time.

such events will last and whether they will continue or recur cannot be predicted.

Impacts from these events could have significant impact

on a Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations Could Become Outdated

As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19) has

caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain

the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic

activity in some instances has essentially ceased.

Financial markets across the globe are experiencing severe distress at least equal

to what was experienced during the global financial crisis in 2008.

In March 2020, U.S.

equity markets entered a bear market in the fastest such move in the history of U.S.

equity markets entered a bear market in the fastest

such move in the history of U.S.

financial markets.

Contemporaneous with the onset

of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil.

economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become

outdated quickly or inaccurate, resulting in significant losses.

9 – SUBSEQUENT EVENTS

has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the

date the financial statements were issued.

On September 22, 2023, the Trust announced a 1-for-10 reverse share split (a “Reverse

Split”) of the shares of beneficial interest of 2x Long VIX Futures ETF (ticker symbol:

The Reverse Split was effective

prior to market open on October 11, 2023, when the fund began trading at its post-split price.

The Reverse Split increased the price

per share of the fund with a proportionate decrease in the number of shares outstanding.

Therefore, the Reverse Split did not change

the aggregate net asset value of a shareholder’s investment at the time of the Reverse Split.

UVIX shareholders who held a quantity of shares that was not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 10),

the Reverse Split resulted in the creation of a fractional share.

Post-Reverse Split fractional shares were made available to be redeemed

for cash and sent to the shareholder’s broker of record.

This redemption may have caused some shareholders to realize gains or

losses, which could have been a taxable event for those shareholders.

Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced

shocks to supply and demand, impacting the price and volatility of oil.

The global economic shocks being experienced as of the date hereof

may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant

NOTE 9 – SUBSEQUENT EVENTS

In preparing these financial statements, management has evaluated Fund related events and transactions

for potential recognition or disclosure through the date the financial statements were issued.

There were no other events or translations

that occurred during the year that materially impacted the amounts or disclosures in the Funds’ financial statements.

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

What changed 10-Q

Item 1. Financial Statements