What changed in this filing

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Item 1. Financial Statements

2024-08-14 compared with 2024-05-15 · 941 added, 677 removed, 582 unchanged (74% of the section changed)

5 unchanged sentences

Statements of Assets and Liabilities

-1x Short VIX

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Investments in securities, at value *

10 unchanged sentences

Licensing and registration fees payable

Payable to Broker

Total Liabilities

$ 186,683,075

$ 125,057,419

NET ASSETS CONSIST OF:

2 unchanged sentences

$ 424,281,739

Total distributable earnings (accumulated deficit)

2 unchanged sentences

$ 186,683,075

$ 125,057,419

Net Asset Value (unlimited shares authorized):

1 unchanged sentence

$ 186,683,075

$ 125,057,419

Shares Outstanding^

4 unchanged sentences

Statements of Operations

-1x Short VIX

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

10 unchanged sentences

Total Expenses

Net Investment Income (Loss)

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

Net realized gain (loss) on:

( 3,222,295 )

( 29,512,794 )

( 142,872,642 )

Net change in unrealized appreciation (depreciation) of:

( 4,374,661 )

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

( 25,805,525 )

( 147,247,303 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 25,946,113 )

$ ( 147,606,672 )

See accompanying notes to financial statements.

Statements of Operations

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

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

13 unchanged sentences

$ ( 197,444,087 )

See accompanying notes to financial statements.

See accompanying notes to the financial statements.

Statements of Changes in Net Assets

-1x Short VIX

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

3 unchanged sentences

INCREASE (DECREASE) IN NET ASSETS:

Net investment income (loss)

$ ( 140,588 )

$ ( 292,751 )

$ ( 359,369 )

Net realized gain (loss) on investments and futures contracts

( 29,512,794 )

( 142,872,642 )

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

( 4,374,661 )

Net increase (decrease) in net assets resulting from operations

( 25,946,113 )

( 147,606,672 )

CAPITAL SHARE TRANSACTIONS

Shares redeemed

( 87,250,271 )

( 70,175,910 )

( 72,249,312 )

( 48,655,759 )

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

( 38,399,448 )

Total increase (decrease) in net assets

( 2,339,049 )

( 21,699,057 )

Beginning of Period

End of Period

$ 186,683,075

See accompanying notes to the financial statements.

Statements of Changes in Net Assets

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

22 unchanged sentences

( 40,149,964 )

( 18,450,907 )

Beginning of Period

3 unchanged sentences

Statements of Cash Flows

-1x Short VIX

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

17 unchanged sentences

( 73,044,072 )

Decrease (Increase) in Variation margin receivable

( 8,610,768 )

( 9,303,378 )

Decrease (Increase) in Variation margin receivable

Decrease (Increase) in interest receivable

3 unchanged sentences

Increase (Decrease) in Due to Custodian

( 3,086,000 )

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

18 unchanged sentences

( 2,195,313 )

( 3,333,399 )

Beginning of Period

1 unchanged sentence

See accompanying notes to the financial statements.

Statements of Cash Flows

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

CASH FLOW FROM OPERATING ACTIVITIES

Net increase (decrease) in net assets resulting from operations

$ ( 56,009,152 )

$ ( 197,444,087 )

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

Purchase of investments

( 345,494,235 )

( 171,901,444 )

( 227,091,533 )

( 309,353,524 )

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

( 22,689,409 )

( 1,378,784 )

( 20,559,259 )

Decrease (Increase) in Variation margin receivable

( 1,212,627 )

( 1,242,108 )

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Decrease (Increase) in Prepaid expenses and other assets

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Due to Other

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

( 4,500,060 )

( 68,726,366 )

( 160,075,496 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Cost of shares redeemed

( 193,294,094 )

( 90,812,970 )

( 141,755,616 )

( 118,901,382 )

Net cash provided by (used in) financing activities

( 26,864,811 )

NET INCREASE IN CASH

( 3,861,622 )

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)

as of June 30, 2024 (Unaudited)

PURCHASED OPTIONS - 1.2%(a)(b) Notional

Amount Contracts Value

Call Options - 1.2%

1 unchanged sentence

Exercise Price:

$ 24.00 52,870,000 42,500 $ 2,125,000

TOTAL PURCHASED OPTIONS (Cost $ 2,263,997 ) 2,125,000

1 unchanged sentence

Money Market Funds - 25.5%

First American Government Obligations Fund, 5.23 % (d)

First American Government Obligations Fund - 5.23 %(c)

TOTAL SHORT-TERM INVESTMENTS (Cost $ 47,628,353 )

TOTAL INVESTMENTS - 26.7 % (Cost $ 49,892,350 )

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

Other Assets in Excess of Liabilities - 73.3 %(d)

TOTAL NET ASSETS - 100.0 %

$ 186,683,075

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.

(b) 100 shares per contract.

(d) $137,692,583 of cash is pledged as collateral for futures and options contracts.

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

Schedule of Open Futures Contracts

as of March 31, 2024 (Unaudited)

Value / Unrealized

as of June 30, 2024 (Unaudited)

Description Contracts

Purchased Expiration Date Notional Value/

(Depreciation)

2 unchanged sentences

Total Unrealized Appreciation (Depreciation) $ 3,447,332

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

1 unchanged sentence

December 31, 2023

Amount Contracts Value

PURCHASED OPTIONS - 0.29% (a)(b)

2 unchanged sentences

Strike Price:

$ 26 29,880,000 24,000 $ 360,000

TOTAL PURCHASED OPTIONS (Cost $ 1,171,333 ) 360,000

4 unchanged sentences

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

Other Assets in Excess of

Liabilities - 88.07 % (c)

Other Assets in Excess of Liabilities - 88.07 % (c)

TOTAL NET ASSETS - 100.00 %

8 unchanged sentences

-1x Short VIX Futures ETF

Short Futures Contracts

Schedule of Open Futures

December 31, 2023

Description Contracts

Purchased Expiration

Date Notional Value/

(Depreciation)

5 unchanged sentences

Schedule of Investments

as of March 31, 2024 (Unaudited)

as of June 30, 2024 (Unaudited)

SHORT-TERM INVESTMENTS - 22.1%

6 unchanged sentences

Percentages are stated as a percent of net assets.

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

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

(b) $63,129,095 of cash is pledged as collateral for futures contracts.

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Open Futures Contracts

as of March 31, 2024 (Unaudited)

as of June 30, 2024 (Unaudited)

Description Contracts

Purchased Expiration Date Notional Value/

(Depreciation)

CBOE Volatility Index 6,654 7/17/2024 $ 92,756,760 $ ( 2,308,571 )

$ ( 6,902,700 )

CBOE Volatility Index 4,839 8/21/2024 72,101,100 ( 1,275,335 )

$ ( 7,291,175 )

Total Unrealized Appreciation (Depreciation) $ ( 3,583,906 )

$ ( 7,291,175 )

See accompanying notes to financial statements.

2x Long VIX Futures ETF

9 unchanged sentences

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.

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

(b) $61,750,311

of cash is pledged as collateral for futures contracts.

See accompanying notes to financial statements.

2 unchanged sentences

as of December 31, 2023

Description Contracts

Purchased Expiration

Date Notional Value/

(Depreciation)

CBOE Volatility Index 5,633 1/17/2024 $ 79,087,320 $ ( 5,616,125 )

$ ( 5,616,125 )

CBOE Volatility Index 3,943 2/14/2024 60,288,470 ( 2,561,493 )

$ ( 8,177,618 )

Total Unrealized Appreciation (Depreciation) $ ( 8,177,618 )

$ ( 8,177,618 )

See accompanying notes to financial statements.

NOTES TO FINANCIAL STATEMENTS

March 31, 2024 (unaudited)

June 30, 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.

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 June 30, 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

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

The Funds’ inception of operation

was March 28, 2022.

The Funds’ inception of operation was March

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.

Each Fund’s investment exposure to VIX futures

contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity Exchange Act of

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

The Sponsor is registered as a Commodity

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

Registration as a CPO imposes

additional compliance obligations on the Sponsor and the Funds related to additional laws, regulations, and enforcement policies, which

could increase compliance costs and may affect the operations and financial performance of the Funds.

Volatility Shares LLC (the “Sponsor”)

7 unchanged sentences

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

Each Fund is an investment company, as defined

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

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

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

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

The accompanying unaudited financial

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

and regulations of the U.S.

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

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.

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.”

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

For as long as the Trust remains an “emerging

growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public

companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor

attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and

financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory

vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved.

The Trust will

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

Use of Estimates & Indemnifications

The preparation of financial

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

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

and expenses during the reporting period.

The preparation of financial statements in conformity

with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures

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

the reporting period.

Actual results could differ from those estimates.

In the normal course of business, the

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

The Trust’s maximum

exposure under these arrangements cannot be known;

In the normal course of business, the Trust enters

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

The Trust’s maximum exposure under

these arrangements cannot be known;

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

Basis of Presentation

Pursuant to rules and regulations

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

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

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

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.

Pursuant to rules and regulations of the SEC, these

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

The debts, liabilities,

obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against

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

Accordingly, the assets of each Fund of the

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

The cash amount shown in the Statements of Cash

Flows is the amount reported as cash in the Statements of Financial Condition dated June 30, 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.

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 June 30, 2024, were typically

All times are Eastern Standard Time:

Create/Redeem

Cut-off* (EST)

Calculation Date

-1x Short VIX Futures ETF and

March 31, 2024

2x Long VIX Futures ETF

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.

Fund Create/Redeem

Cut-off* (EST) NAV

Time (EST) NAV

-1x Short VIX Futures ETF and 2:00 p.m.

June 30, 2024

2x Long VIX Futures ETF 2:00 p.m.

June 30, 2024

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 June 30, 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

June 30, 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 VIX futures contract and would be based on principles that the Sponsor deems fair and

Short-term investments are valued at amortized

cost which approximates fair value for daily NAV purposes.

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

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

In each of these situations, valuations

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

VIX futures contracts are valued using the Time

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

the VIX futures’ settlement price.

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

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

In certain circumstances (e.g., if the Sponsor

believes market quotations do not accurately reflect the fair value of a Fund’s investment, or a trading halt closes an exchange

or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market

value of such investment for such day.

Such fair value prices would generally be determined based on available inputs about the current

value of the underlying VIX futures contract and would be based on principles that the Sponsor deems fair and equitable.

The Funds may use a variety of money market instruments.

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

Fair value pricing may require

subjective determinations about the value of an investment.

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

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

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

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

The prices used by

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

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

Fair value pricing may require subjective determinations

about the value of an investment.

While the Funds’ policies are intended to result in a calculation of its respective Fund’s

NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor

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

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

The prices used by such Fund may differ from

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

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).

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)

The Funds disclose

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

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

Level II – Inputs

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

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

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 available.

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 June 30, 2024 (Unaudited) and December 31, 2023 using the fair value hierarchy:

June 30, 2024 (Unaudited)

December 31, 2023

Short VIX Futures ETF

Purchased Options*

Financial Instruments

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Other Financial Instruments

Long VIX Futures ETF

2x Long VIX Futures ETF

Short-Term Investments

Financial Instruments

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$ ( 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.

* 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.

Investment transactions are recorded on the trade

All such transactions are recorded on the identified cost basis and marked to market daily.

Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized

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

Interest income is recognized on an

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

of Operations.

Unrealized appreciation (depreciation)

on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between

periods are reflected in the Statements of Operations.

Interest income is recognized on an accrual basis

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

Brokerage Commissions and Futures Account Fees

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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).

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.

Each Fund is registered as a series of a Delaware

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

federal income tax purposes.

Accordingly, no Fund expects to incur

federal income tax liability;

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

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

owner’s taxable year.

Management of the Funds has reviewed

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

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

expected to be taken in future tax returns.

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

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

On an ongoing basis, management monitors

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

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

Accordingly, no Fund expects to incur U.S.

income tax liability;

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

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

taxable year.

Management of the Funds has reviewed all open tax

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

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

taken in future tax returns.

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

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

On an ongoing basis, management monitors its tax positions

taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,

on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

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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.

Treasury Bills, agency

securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less.

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

Accounting for Derivative Instruments

In seeking to achieve each Fund’s

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

Using this approach, the Sponsor determines the type, quantity

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

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

All open derivative positions at period end are

reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized a varying level of derivative instruments in

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

While the volume of open positions

may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment

objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally

representative of open positions throughout the reporting period.

Following is a description of the derivative instruments

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

Futures Contracts

The Funds may enter into futures

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

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

of asset at a specified time and place.

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

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

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

Upon entering into a futures contract,

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

The Funds may enter into futures contracts to gain

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

A futures contract

obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified

time and place.

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

underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked

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

Upon entering into a futures contract, each Fund

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

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

8 unchanged sentences

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

Futures contracts involve, to varying degrees,

elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to

loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure each Fund has

in the particular classes of instruments.

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

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

market for a futures contract.

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

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

Many futures exchanges

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

Once the daily limit

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

specified times during the trading day.

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

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

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.

2 unchanged sentences

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.

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).

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.

calls and puts.

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

life of the option.

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

time during the life of the option.

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

position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the

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

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

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

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

When a Fund writes a call or put, an amount equal

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

Premiums received

from writing options which expire are treated as realized gains.

Premiums received from writing options which are exercised or closed

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

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

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.

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

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

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

The value of the options should not be expected

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

Options may be less liquid than certain other securities.

14 unchanged sentences

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.

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.

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

The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is

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.

Generally, swap agreements entered into by the

Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment.

Consequently,

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

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

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

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.

The collateral held in this account is

restricted as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated

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

If a counterparty becomes bankrupt or otherwise

fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery

in a bankruptcy or other reorganizational proceeding.

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

The Funds remain subject to credit risk with respect

to the amount they expect to receive from counterparties.

However, the Funds have sought to mitigate these risks in connection with OTC

swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market

daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds.

In the event of

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

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

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:

Fair values of derivative instruments as of June 30, 2024 (Unaudited)

and December 31, 2023:

Statements of

Liabilities Location Fair Value Statements of

Liabilities Location Fair Value

As of June 30, 2024 (Unaudited) As of December 31, 2023

-1x Short VIX Futures ETF Assets Liabilities Assets Liabilities

Purchased Option Contracts:

Index Investments, at value $ 2,125,000 $ -

Investments, at value $ 360,000 $ -

Futures Contracts:

Short Futures Contracts:

Index Unrealized Appreciation* 3,447,332 -

Unrealized Appreciation* 7,980,684 -

fair values of derivative instruments

Long VIX Futures ETF

Futures Contracts:

Total fair values of derivative instruments $ 5,572,332 $ -

$ 8,340,684 $ -

2x Long VIX Futures ETF Assets Liabilities Assets Liabilities

Long Futures Contracts:

Index Unrealized Appreciation* $ -

$ ( 3,583,906 ) Unrealized Appreciation* $ -

$ ( 8,177,618 )

fair values of derivative instruments

Total fair values of derivative instruments $ -

$ ( 3,583,906 ) $ -

* 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.

$ ( 8,177,618 )

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

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

The effect of derivative instruments on the Statement of Operations

for the three months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

Net Realized Gain (Loss) on Derivatives

For the three months ended June 30, 2024 (Unaudited)

For the three months ended June 30, 2023 (Unaudited)

-1x Short VIX Futures ETF

Index Contracts

$ ( 3,222,295 )

Long VIX Futures ETF

2x Long VIX Futures ETF

Index Contracts

$ ( 29,512,794 )

2 unchanged sentences

$ ( 142,872,642 )

Change in Unrealized Appreciation (Depreciation) on Derivatives

Short VIX Futures ETF

$ ( 29,512,794 )

2 unchanged sentences

$ ( 142,872,642 )

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

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

For the three months ended June 30, 2024 (Unaudited)

For the three months ended June 30, 2023 (Unaudited)

-1x Short VIX Futures ETF

Index Contracts

$ ( 116,650 )

notional value of short futures contracts

$ ( 177,708 )

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

$ ( 294,358 )

$ ( 811,301 )

$ ( 116,650 )

$ ( 177,708 )

$ ( 294,358 )

$ ( 811,301 )

2x Long VIX Futures ETF

Long Futures Contracts:

Unrealized Appreciation*

Index Contracts

$ ( 4,374,661 )

Total fair values of derivative instruments

$ ( 4,374,661 )

* 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):

$ ( 4,374,661 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2024 (Unaudited):

-1x Short VIX

Average notional value of long futures contracts

$ 160,428,055

Average notional value of short futures contracts

( 138,983,945 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2023 (Unaudited):

-1x Short VIX

Average notional value of long futures contracts

Average notional value of short futures contracts

$ ( 72,115,655 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2024 (Unaudited):

-1x Short VIX

Average notional value of purchased options contracts

There were no transactions in purchased option contracts

during the quarter ended June 30, 2023.

The effect of derivative instruments on the Statement of Operations

for the six months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

Net Realized Gain (Loss) on Derivatives

For the six months ended June 30, 2024

For the six months ended June 30, 2023

-1x Short VIX Futures ETF

Index Contracts

$ ( 6,756,441 )

2x Long VIX Futures ETF

4 unchanged sentences

$ ( 186,102,397 )

$ ( 60,257,560 )

$ ( 186,102,397 )

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

For the six months ended June 30, 2024

For the six months ended June 30, 2023

-1x Short VIX Futures ETF

Index Contracts

$ ( 4,533,352 )

$ ( 3,861,016 )

$ ( 4,533,352 )

$ ( 3,861,016 )

2x Long VIX Futures ETF

Index Contracts

$ ( 10,587,514 )

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

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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

The following table indicates the average volume when in

use for the six months ended June 30, 2024 (Unaudited):

-1x Short VIX

Average notional value of long futures contracts

2 unchanged sentences

( 134,345,370 )

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

The following table indicates the average volume when in

use for the six months ended June 30, 2023 (Unaudited):

-1x Short VIX

Average notional value of long futures contracts

$ 212,021,687

Average notional value of short futures contracts

( 63,539,863 )

The following table indicates the average volume when in

use for the six months ended June 30, 2024 (Unaudited):

-1x Short VIX

Average notional value of purchased options contracts

There were no transactions in purchased option contracts during the

six months ended June 30, 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

Each Fund is subject to master netting agreements

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

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

The master netting

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

As described above, the Funds utilize

derivative instruments to achieve their investment objective during the year.

The amounts shown in the Statements of Financial Condition

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

For financial reporting purposes, the Funds do

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

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

under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2024 and December 31, 2023.

Fair Values of Derivative Instruments as of June 30, 2024 (Unaudited)

in the Statements of

Gross Amounts Offset

in the Statements of

of Assets presented

in the Statements of

Liabilities presented

Statements of

in the Statements of

-1x Short VIX Futures ETF

1 unchanged sentence

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

Gross Amounts of

Statements of

in the Statements of

Liabilities presented

Statements of

-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

Asset (Liability) amounts shown in the table below

represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2024 and December 31, 2023.

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 June 30, 2024 (Unaudited)

(Liabilities)

Statements of

Financial Instruments

for the Benefit

of (the Funds)

Counterparties

Collateral for

the Benefit of

(the Funds) /

Counterparties

-1x Short VIX Futures ETF

2 unchanged sentences

2x Long VIX Futures ETF

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

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

(Liabilities)

Statements of

Financial Instruments

for the Benefit

of (the Funds)

Counterparties

Collateral for

the Benefit of

(the Funds) /

Counterparties

-1x Short VIX Futures ETF

$ ( 204,703 )

Long VIX Futures ETF

2x 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.

SVIX pays the Sponsor a management fee (the “Management

Fee”), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets.

UVIX pays the Sponsor

a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

“Average daily

net assets” is calculated by dividing the month-end net assets of each Fund by the number of calendar days in such month.

No other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund

that the Sponsor pays directly.

Pursuant to the Sponsor Agreement between Sponsor

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

(“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).

The Funds do not

directly pay the Commodity Sub-Adviser.

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.

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.

Bancorp Fund Services, LLC, doing business

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

Bancorp, serves as the

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

and transfer agent servicing agreements.

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.

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.

Foreside Fund Services, LLC (the “Marketing

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

Its principal duties are:

(i) to work with the Transfer Agent

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

(ii) maintain copies of confirmations

of Creation Unit creation and redemption order acceptances;

(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

7 unchanged sentences

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.

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.

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.

Creation Units may be

created or redeemed only by Authorized Participants.

Except when aggregated in Creation Units, the

Shares are not redeemable securities.

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

or with a Fund.

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

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:

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.

a purchase order, an Authorized Participant agrees to:

(1) deposit cash with the Custodian;

and (2) if permitted by the Sponsor

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

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

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

Authorized Participants may pay a

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

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

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

The Sponsor 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 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

and (2) if permitted by the Sponsor in its

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

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

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

Authorized Participants may pay a fee up to 0.03 %

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

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

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

by the Sponsor.

The Sponsor provides such Authorized Participant

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

Authorized Participants may sell the Shares included

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

Transaction Fees for the three months ended June

30, 2024 (Unaudited) and June 30, 2023 (Unaudited) were as follows:

2023 (Unaudited)

-1x Short VIX Futures ETF

2 unchanged sentences

2x Long VIX Futures ETF

Quarter Ended

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding throughout

the three months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

Financial Highlights

-1x Short VIX

Net Asset Value, Beginning of Period

3 unchanged sentences

Net Asset Value, End of Period

Value Per Share (3)

Market Value Per Share (3)

Total Return at Net Asset Value (4)

9 unchanged sentences

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

(4) Percentages are not annualized.

(4) Percentages are not annualized for the period ended June 30,

2024 and June 30, 2023.

(5) Percentages are annualized.

(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.

(6) The expense ratio would be 1.67 % and 2.37 % respectively, for

the three months ended June 30, 2024, and 2.17 % and 2.09 % for the three months ended June 30, 2023 if brokerage commissions and futures

and futures account fees were excluded.

See accompanying notes to financial statements.

Selected data is for a Share outstanding throughout the Six Months

Ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited)

Financial Highlights

-1x Short VIX

2024 (Unaudited)

2023 (Unaudited)

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

Market 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 for the period ended June 30,

2024 and June 30, 2023.

(5) Percentages are annualized.

(6) The expense ratio would be 1.69 % and 2.40 % respectively, for

the six months ended June 30, 2024, and 2.23 % and 2.13 % for the six months ended June 30, 2023 if brokerage commissions and futures and

futures account fees were excluded.

See accompanying notes to financial statements.

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.

The Funds do not seek to achieve their stated

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

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

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

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

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

the benchmark’s volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and

losses and income to the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce

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

The effects of compounding will likely

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

The effect of compounding becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will

impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the benchmark

during the holding period of an investment in the Fund.

Longer holding periods, higher benchmark volatility, inverse exposure and greater

leverage each affect the impact of compounding on a Fund’s returns.

Daily compounding of a Fund’s investment returns can

dramatically and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important

to a Fund’s return for a period as the return of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce daily

7 unchanged sentences

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.

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.

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;

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

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

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

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

Financial Instruments and commission costs;

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

(6) a Fund’s Share prices

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

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

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law

requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of

the Fund to execute intended portfolio transactions;

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

(7) changes to a benchmark Index that are

not disseminated in advance;

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies

or regulatory or tax law requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting

in the inability of the Fund to execute intended portfolio transactions;

(10) accounting standards;

and (11) differences caused by a Fund obtaining exposure

to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark

or obtaining exposure to assets that are not included in a benchmark.

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.

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.

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

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

adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as

applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days

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

Each Fund seeks to rebalance its portfolio on

a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions

and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance their portfolios as frequently, each

Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure

to the underlying benchmarks.

Counterparty Risk

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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.

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

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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,

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.

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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.

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

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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.

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

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

only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting

cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house

may access all of the commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered into directly between

two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered

as a “swap dealer” with the CFTC.

This exposes the Funds to the risk that a counterparty will not settle a transaction in

accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of

a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance

of its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers

the addition of new counterparties and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio

5 unchanged sentences

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 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.

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations

Leverage Risk

6 unchanged sentences

(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.

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

Liquidity Risk

71 unchanged sentences

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.

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

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