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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2026-08-14 compared with 2026-05-12 · 53 added, 60 removed, 8 unchanged (93% of the section changed)

2 unchanged sentences

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, 2026 (Unaudited) and December 31, 2025, each of the Fund’s positions were as

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, 2026 (Unaudited) and December 31, 2025, each of the Fund’s positions were as follows:

-1x Short VIX Futures ETF

As of March 31, 2026, 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, 2026 (Unaudited) and December 31, 2025, which were sensitive to equity market volatility

Futures Positions as of March 31,

2026 (Unaudited)

CBOE VIX FUTURE Apr26

$ (160,706,720 )

CBOE VIX FUTURE May26

$ (174,281,640 )

As of June 30, 2026, 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, 2026 (Unaudited) and December 31, 2025, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2026 (Unaudited)

Contract Long or

Short Expiration

Date Contracts

Sold Valuation

Price Contract

Multiplier Notional

Cboe Volatility Index Short 7/22/2026 (6,658 ) $ 17.93 1,000 $ (119,377,940 )

Cboe Volatility Index Short 8/19/2026 (4,280 ) $ 18.92 1,000 $ (80,977,600 )

Futures Positions as of December 31, 2025

CBOE VIX FUTURE Jan26

$ (109,626,960 )

CBOE VIX FUTURE Feb26

$ (102,396,780 )

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.

Contract Long or

Short Expiration

Date Contracts

Sold Valuation

Price Contract

Multiplier Notional

Cboe Volatility Index Short 1/21/2026 (6,632 ) $ 16.53 1,000 $ (109,626,960 )

Cboe Volatility Index Short 2/18/2026 (5,526 ) $ 18.53 1,000 $ (102,396,780 )

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.

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, 2026, 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, 2026 and December 31, 2025, which were sensitive to equity market volatility

Futures Positions as of March 31,

2026 (Unaudited)

CBOE VIX FUTURE Apr26

$ 277,267,920

CBOE VIX FUTURE May26

$ 300,685,320

As of June 30, 2026, 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, 2026 and December 31, 2025, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2026 (Unaudited)

Contract Long or

Short Expiration

Date Contracts

Purchased Valuation

Price Contract

Multiplier Notional

Cboe Volatility Index Long 7/22/2026 19,618 $ 17.93 1,000 $ 351,750,740

Cboe Volatility Index Long 8/19/2026 12,612 $ 18.92 1,000 $ 238,619,040

Futures Positions as of December 31, 2025

CBOE VIX FUTURE Jan26

$ 342,699,960

CBOE VIX FUTURE Feb25

$ 320,124,280

The futures notional values are calculated by

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

The swap notional values are calculated

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

These notional values will increase (decrease) proportionally

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

Additional gains (losses) associated

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

transaction or financing costs.

The Fund will generally attempt to adjust its

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

Future period returns,

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

Contract Long or

Short Expiration Contracts

Purchased Valuation

Price Contract

Multiplier Notional

Cboe Volatility Index Long 1/21/26 20,732 $ 16.53 1,000 $ 342,699,960

Cboe Volatility Index Long 2/18/26 17,276 $ 18.53 1,000 $ 320,124,280

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

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

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

Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets.

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

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