What changed in this filing

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2024-05-15 compared with 2023-11-15 · 68 added, 64 removed, 3 unchanged (98% of the section changed)

Quantitative and Qualitative Disclosures About Market Risk.

Market Volatility Sensitivity

of the Funds is exposed to certain risks pertaining to the use of Financial Instruments.

Each Fund is exposed to equity market volatility

risk through its holdings of Financial Instruments.

tables below provide information about each Fund’s Financial Instruments.

As of September 30, 2023 and December 31, 2022, each

of the Fund’s positions were as follows:

VIX Futures ETF

of September 30, 2023, SVIX was exposed to inverse equity market volatility risk through its holding of VIX futures contracts.

The following

tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2023 and December 31, 2022,

which were sensitive to equity market volatility risk.

Positions as of September 30, 2023

VIX Futures (Cboe)

November, 2023

Quantitative and Qualitative Disclosures About

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the Funds is exposed to certain

risks pertaining to the use of Financial Instruments.

Each Fund is exposed to equity market volatility risk through its holdings of Financial

The tables below provide information

about each Fund’s Financial Instruments.

As of March 31, 2024 (Unaudited) and December 31, 2023, each of the Fund’s positions

were as follows:

-1x Short VIX Futures ETF

As of March 31, 2024, SVIX was exposed

to inverse equity market volatility risk through its holding of VIX futures contracts.

The following tables provide information about

the Fund’s positions in VIX futures contracts as of March 31, 2024 (Unaudited) and December 31, 2023, which were sensitive to equity

market volatility risk.

Futures Positions as of March 31, 2024 (Unaudited)

Long or Short

Notional Amount at

CBOE Volatility Index

$ (56,245,250 )

VIX Futures (Cboe)

October, 2023

CBOE Volatility Index

(35,204,820 )

Positions as of December 31, 2022

Amount at Value

VIX Futures (Cboe)

January, 2023

VIX Futures (Cboe)

February, 2023

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

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

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

notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its position

in Financial Instruments each day to have -$1.00 of short exposure to the Index for every $1.00 of net assets.

Future period returns,

before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer

than a single day.

VIX Futures ETF

of September 30, 2023, UVIX was exposed to equity market volatility risk through its holding of VIX futures contracts.

The following

tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2023 and December 31,

2022, which were sensitive to equity market volatility risk.

Positions as of September 30, 2023

Amount at Value

VIX Futures (Cboe)

November, 2023

VIX Futures (Cboe)

October, 2023

Positions as of December 31, 2022

Amount at Value

VIX Futures (Cboe)

January, 2023

Futures Positions as of December 31, 2023

Long or Short

Notional Amount at

CBOE Volatility Index

$ (70,972,200 )

VIX Futures (Cboe)

February, 2023

futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The swap notional values are calculated by multiplying the number of units times the closing level of the Index.

These notional values

will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as

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

values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial

Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets.

Future period returns, before fees and expenses,

cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half.

See “Item 1A.

Risk Factors”

in the Annual Report on Form 10-K.

CBOE Volatility Index

(54,096,020 )

The short futures notional values are

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

The short notional

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

Additional gains

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

accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its position in Financial

Instruments each day to have -$1.00 of short exposure to the Index for every $1.00 of net assets.

Future period returns, before fees

and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a

2x Lon g VIX Futures ETF

As of March 31, 2024, UVIX was exposed

to equity market volatility risk through its holding of VIX futures contracts.

The following tables provide information about the Fund’s

positions in these Financial Instruments as of March 31, 2024 and December 31, 2023, which were sensitive to equity market volatility

Futures Positions as of March 31, 2024 (Unaudited)

Long or Short

Notional Amount at

CBOE Volatility Index

Futures Positions as of December 31, 2023

Long or Short

Notional Amount at

CBOE Volatility Index

The futures notional values are calculated

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

The swap notional values are calculated

by multiplying the number of units times the closing level of the Index.

These notional values will increase (decrease) proportionally

with increases (decreases) in the price of the futures contract or the level of the Index, as applicable.

Additional gains (losses) associated

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

or financing costs.

The Fund will generally attempt to adjust its positions

in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets.

Future period returns, before

fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half.

Risk Factors” in the Annual Report on Form 10-K.

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 3. Quantitative and Qualitative Disclosures About Market Risk