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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2024-08-14 compared with 2024-05-15 · 41 added, 43 removed, 28 unchanged (75% of the section changed)

Quantitative and Qualitative Disclosures About

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the Funds is exposed to certain

risks pertaining to the use of Financial Instruments.

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

The tables below provide information

about each Fund’s Financial Instruments.

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

were as follows:

Each of the Funds is exposed to certain risks pertaining

to the use of Financial Instruments.

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

The tables below provide information about each

Fund’s Financial Instruments.

As of June 30, 2024 (Unaudited) and December 31, 2023, each of the Fund’s positions were as

-1x Short VIX Futures ETF

As of March 31, 2024, SVIX was exposed

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

The following tables provide information about

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

market volatility risk.

Futures Positions as of March 31, 2024 (Unaudited)

Long or Short

As of June 30, 2024, SVIX was exposed to inverse

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

The following tables provide information about the Fund’s

positions in VIX futures contracts as of June 30, 2024 (Unaudited) and December 31, 2023, which were sensitive to equity market volatility

Futures Positions as of June 30, 2024 (Unaudited)

Notional Amount at

4 unchanged sentences

Futures Positions as of December 31, 2023

Long or Short

Notional Amount at

3 unchanged sentences

(54,096,020 )

The short futures notional values are

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

The short notional

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

Additional gains

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

accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its position in Financial

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

Future period returns, before fees

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

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

The short futures notional values are calculated

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

The short notional values will increase

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

Additional gains (losses) associated with these

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

or financing costs.

The Fund will generally attempt to adjust its position in Financial Instruments each day to have -$1.00 of short exposure

to the Index for every $1.00 of net assets.

Future period returns, before fees and expenses, cannot be estimated simply by estimating

the return of the Index and multiplying by negative one-half.

See “Item 1A.

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

for additional information regarding performance for periods longer than a single day.

2x Lon g VIX Futures ETF

As of March 31, 2024, UVIX was exposed

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

The following tables provide information about the Fund’s

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

Futures Positions as of March 31, 2024 (Unaudited)

Long or Short

As of June 30, 2024, UVIX was exposed to equity

market volatility risk through its holding of VIX futures contracts.

The following tables provide information about the Fund’s positions

in these Financial Instruments as of June 30, 2024 and December 31, 2023, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2024 (Unaudited)

Valuation Price

Contract Multiplier

Notional Amount at

2 unchanged sentences

Futures Positions as of December 31, 2023

Long or Short

Notional Amount at

1 unchanged sentence

CBOE Volatility Index

The futures notional values are calculated

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

The swap notional values are calculated

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

These notional values will increase (decrease) proportionally

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

Additional gains (losses) associated

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

The futures notional values are calculated by multiplying

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

The swap notional values are calculated by multiplying

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

These notional values will increase (decrease) proportionally with increases

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

Additional gains (losses) associated with these

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

or financing costs.

5 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk