CBOE: UVIX

From November 1, 2022 through September 16,
2024, Penserra Capital Management, LLC served as
the Funds’ commodity sub-adviser. Prior to November 1, 2022, Milliman FRM served as the Funds’ commodity
sub-adviser.

SVIX
seeks daily investment results, before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the “Short
Index”) for a single day, not for any other period. UVIX seeks daily investment results, before fees and expenses, that correspond
to twice the performance of the Long VIX Futures Index (the “Long Index”). A “single day” is measured from the
time a Fund calculates its net asset value (“NAV”) to the time of the Fund’s next NAV calculation. The NAV calculation
time for a Fund typically is 4:00 p.m. (Eastern Time). The Short Index measures the daily inverse (i.e., opposite) performance of a portfolio
of first- and second-month futures contracts on the CBOE Volatility Index, commonly known as the “VIX.” The Long Index measures
the performance of a portfolio of first- and second-month futures contracts on the VIX. Because the Funds’ portfolios are rebalanced
daily to meet their leveraged (or inverse) investment objective, the Funds may not be suitable for investors who plan to hold them for
periods longer than one day, particularly in volatile markets.

The
Funds seek to achieve their investment objective through the appropriate amount of exposure to the VIX futures contracts included in
their respective index. The Funds also have the ability to engage in options transactions, swaps, forward contracts and other instruments
in order to achieve their investment objective, in the manner and to the extent described herein.

SVIX
is not benchmarked to the inverse of, and UVIX is not benchmarked to twice, the widely referenced VIX. The Short Index and the inverse
of the VIX are separate measurements and can be expected to perform very differently. The Long Index and twice the VIX also are separate
measurements and can be expected to perform very differently. As such, SVIX can be expected to perform very differently from the inverse
(-1x) of the performance of the VIX over any period, and UVIX can be expected to perform very differently from twice (2x) of the performance
of the VIX over any period. The Funds continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a “Creation
Unit”) at current per Share market prices. Only Authorized Participants (as defined herein) may purchase and redeem Shares from
a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement
with the Trust and Volatility Shares LLC (the “Sponsor”). Shares are offered on a continuous basis to Authorized Participants
in Creation Units at NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they
create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant Procedures Handbook
set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants
will not receive from a Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of
Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission
or fee-based brokerage accounts.

1

The
Sponsor maintains a website at www.volatilityshares.com, through which monthly account statements and the Trust’s Annual Report
on Form 10- K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant
to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge,
as soon as reasonably practicable after such material is electronically file with, or furnished to, the U.S. Securities and Exchange
Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at
www.sec.gov.

Investment
Objectives and Principal Investment Strategies

Investment
Objectives

SVIX

SVIX
seeks daily investment results, before fees and expenses, that correspond to the performance of the Short Index for a single day. The
Fund does not seek to achieve its stated objective over a period greater than a single day. A “single day” is measured
from the time the Fund calculates its NAV to the time of the Fund’s next NAV calculation.

The
Index measures the daily inverse performance of a portfolio of first and second month VIX futures contracts. This theoretical portfolio
is rolled each day to maintain a consistent time to maturity of the futures contracts. The Index is calculated daily at 4:00 p.m. (Eastern
time) and at a value calculated from the average price for the futures contracts between 3:45 p.m. (Eastern time) and 4:00 p.m. (Eastern
time). Through this price averaging process — known as the Time Weighted Average Price (or TWAP). The Short Index inception date
was November 22, 2019. Its ticker symbol is: SHORTVOL.

If
SVIX is successful in meeting its objective, its value on a given day, before fees and expenses, should gain approximately as much on
a percentage basis as the level of the Short Index. Conversely, its value on a given day, before fees and expenses, should lose approximately
as much on a percentage basis as the level of the Short Index. Although the Fund seeks to track the performance of the Short Index each
day, the Fund may not perfectly track the Short Index’s performance over the same period, which is known as tracking error.

UVIX

UVIX
seeks daily investment results, before fees and expenses, that correspond to twice (2x) the performance of the Long Index for a single
day. The Fund does not seek to achieve its stated objective over a period greater than a single day. A “single day”
is measured from the time the Fund calculates its NAV to the time of the Fund’s next NAV calculation.

The
Long Index measures the daily performance of a portfolio of long positions in first and second month VIX futures contracts. This theoretical
portfolio is rolled each day to maintain a consistent time to maturity of the futures contracts. The Index is calculated daily at 4:00
p.m. (Eastern time) and at a value calculated from the average price for the futures contracts between 3:45 p.m. (Eastern time) and 4:00
p.m. (Eastern time). Through this price averaging process — known as the Time Weighted Average Price (or TWAP). The Long Index
inception date is October 8, 2021. Its ticker symbol is: LONGVOL. If the Fund is successful in meeting its objective, its value on a
given day, before fees and expenses, should gain or lose approximately as much on a percentage basis as twice (2x) the level of the Index.
Although the Fund seeks to track twice (2x) the performance of the Index each day, the Fund may not perfectly achieve its objective over
the same period, which is known as tracking error. For more information, see Correlation Risk on page 10.

The
Fund is not designed to meet its investment objective over periods longer than one day. Notwithstanding, the table below shows a performance
example of the how compounding impacts a 2x daily rebalanced investment referencing an index over periods longer than one day. Areas
shaded lighter represent those scenarios where a hypothetical fund that seeks 2x daily returns of an index will return the same or outperform
(i.e., return more than) 2x of the index performance; conversely, areas shaded darker represent those scenarios where the hypothetical
fund will underperform (i.e., return less than) 2x of the index performance.

2

Principal
Investment Strategies

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 that it believes, in combination,
should produce daily returns consistent with each Fund’s objective.

Each
Fund intends to meet its investment objective by investing all or substantially all of its assets in positions in first and second month
VIX futures contracts, though it may invest in any one of, or combinations of, Financial Instruments (e.g., futures contracts, options
contracts and swap transactions), such that a Fund typically has exposure intended to approximate the Index at the time of its NAV calculation.
Under normal market conditions, SVIX’s portfolio will comprise short positions, and UVIX’s portfolio will comprise long positions,
on first- and second-month VIX futures contracts. The number and type of these contracts will naturally change day-to-day as each Fund
takes a daily rolling position in such contracts.

In
the event that accountability rules, price limits, position limits, margin limits or other exposure limits are reached with respect to
VIX futures contracts, the Sponsor may cause a Fund to obtain exposure to the Index through the use of options contracts or swap transactions
referencing the VIX futures contracts. Each Fund may also invest in swaps if the market for a specific futures contract experiences emergencies
(e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) or in
situations where the Sponsor deems it impractical or inadvisable to buy or sell futures contracts (such as during periods of market volatility
or illiquidity).

Each
Fund also may hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term fixed-income or
similar securities (such as shares of money market funds) as collateral for Financial Instruments and pending investment in Financial
Instruments.

Neither
Fund is actively managed by traditional methods (e.g., by effecting changes in the composition of a portfolio on the basis of
judgments relating to economic, financial and market conditions with a view toward obtaining positive results under all market conditions).
Each Fund seeks to remain fully invested at all times in Financial Instruments and money market instruments that, in combination, provide
exposure to the Index consistent with its investment objective without regard to market conditions, trends or direction.

Each
Fund seeks to position its portfolio so that its exposure to its Benchmark is consistent with its investment objective. The time and
manner in which the Fund rebalances its portfolio is defined by the Index methodology but may vary from day to day depending upon market
conditions and other circumstances, deemed at the discretion of the Sponsor, beneficial at tracking the Benchmark, or beneficial
to the Fund holders.

The
amount of exposure a Fund has to a specific combination of Financial Instruments may differ and may be changed without shareholder approval
at any given time. Currently, SVIX seeks to be, under normal market conditions and absent any unforeseen circumstances, fully exposed
to short positions in short-term VIX futures contracts, and UVIX seeks to be, under normal market conditions and absent any unforeseen
circumstances, fully exposed to long positions in short-term VIX futures contracts. To the extent that any options or swap transaction
entered into by a Fund are believed by the Fund to be “securities” under the Investment Company Act of 1940, the Fund will
limit its investments in such transactions so that such investments, in combination, will not exceed 40 percent of the Fund’s assets
(other than cash and government securities) and thereby avoid potentially being deemed an unregistered investment company.”

The
amount of a Fund’s exposure should be expected to change from time to time at the discretion of the Sponsor based on market conditions
and other factors.

In
addition, the Sponsor has the power to change the Fund’s investment objective, Benchmark or investment strategy at any time, without
shareholder approval, subject to applicable regulatory requirements.

Mitigating
Price Impacts to VIX Futures Contract Prices at Times of Fund Rebalancing

The
Sponsor will seek to minimize the market impact of rebalances across all exchange traded products based on VIX Futures Contracts that
it sponsors (the “VIX ETPs”) on the price of VIX futures contracts by limiting VIX ETP participation, on any given day, in
VIX futures contracts to no more than ten percent (10%) of the contracts traded on Cboe Futures Exchange, Inc. (“CFE”) during
any “Rebalance Period,” defined as any fifteen minute period of continuous market trading. In the event that any VIX ETP
(including each Fund) expects to hit the ten percent threshold during the primary Rebalance Period from 3:45 p.m. to 4:00 p.m. (Eastern
time), the VIX ETPs would extend participation during periods of market illiquidity, the Sponsor, on any given day, may vary the manner
and period over which all funds it sponsors are rebalanced, and as such, the manner and period over which a Fund is rebalanced.

3

The
Short Index

The
Short Index measures the daily inverse performance of a portfolio of first and second month VIX futures contracts. This theoretical portfolio
is rolled each day to maintain a consistent time to maturity of the futures contracts.

The
Short Index is calculated daily at 4:00 p.m. (Eastern time) from the average price of the VIX futures contracts between 3:45 p.m. and
4:00 p.m. (Eastern time).

The
Short Index has an inception date of November 22, 2019.

The
Long Index

The
Long Index measures the daily performance of long positions in a portfolio of first and second month VIX futures contracts. This theoretical
portfolio is rolled each day to maintain a consistent time to maturity of the futures contracts.

The
Long Index is calculated daily at 4:00 p.m. (Eastern time) from the average price of the VIX futures contracts between 3:45 p.m. and
4:00 p.m. (Eastern time).

The
Long Index has an inception date of October 8, 2021.

VIX
Futures Contracts

Each
Index is comprised of VIX futures contracts. VIX futures contracts were first launched for trading by the CBOE in 2004. VIX futures contracts
allow investors to invest based on their view of the forward implied market volatility of the S&P 500. Investors that believe the
forward implied market volatility of the S&P 500 will increase may buy VIX futures contracts. Conversely, investors that believe
that the forward implied market volatility of the S&P 500 will decline may sell VIX futures contracts.

While
the VIX represents a measure of the current expected volatility of the S&P 500 over the next 30 days, the prices of VIX futures contracts
are based on the current expectation of the expected 30-day volatility of the S&P 500 on the expiration date of the futures contract.
Since the VIX and VIX futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave quite
differently.

An
important consequence of the spot/forward relationship between the VIX and VIX futures contracts (and therefore between the VIX and A
Fund) that investors should understand is that the price of a VIX futures contract can be lower, equal to or higher than the VIX, depending
on whether the market expects volatility to be lower, equal to or higher in the 30-day forward period covered by the VIX futures contract
than in the 30- day spot period covered by the VIX. Therefore the performance of VIX Futures contracts should be expected to be very
different than the performance of the VIX as there is no direct relationship between the two measures. As a result, since the performance
of a Fund is linked to the performance of the VIX futures contracts included in the Index, a Fund should be expected to perform very
differently from the VIX (or -1x or 2x thereof).

The
VIX

The
VIX is an index designed to measure the implied volatility of the S&P 500 over 30 days in the future. The VIX is calculated based
on the prices of certain put and call options on the S&P 500. The VIX is reflective of the premium paid by investors for certain
options linked to the level of the S&P 500.

●
During periods of rising
investor uncertainty, including periods of market instability, the implied level of volatility of the S&P 500 typically increases
and, consequently, the prices of options linked to the S&P 500 typically increase (assuming all other relevant factors remain
constant or have negligible changes). This, in turn, causes the level of the VIX to increase.

●
During periods of declining
investor uncertainty, the implied level of volatility of the S&P 500 typically decreases and, consequently, the prices of options
linked to the S&P 500 typically decrease (assuming all other relevant factors remain constant or have negligible changes). This,
in turn, causes the level of the VIX to decrease.

4

Volatility,
and the level of the VIX, can increase (or decrease) without warning. The VIX was developed by the CBOE and is calculated, maintained
and published by the CBOE. The CBOE may change the methodology used to determine the VIX and has no obligation to continue to publish,
and may discontinue the publication of, the VIX. The VIX is reported by Bloomberg Finance L.P. under the ticker symbol “VIX.”

The
S&P 500

The
S&P 500 is an index that measures large-cap U.S. stock market performance. It is a float-adjusted market capitalization weighted
index of 500 U.S. operating companies and real estate investment trusts selected by the S&P U.S. Index Committee through a non-mechanical
process that factors in criteria such as liquidity, price, market capitalization and financial viability. Reconstitution occurs both
on a quarterly and ongoing basis. S&P publishes the S&P 500. The daily calculation of the current value of the S&P 500 is
based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the
aggregate average initial market value of the common stocks of 500 similar companies at the time of the inception of the S&P 500.
The 500 companies are not the 500 largest publicly traded companies and not all 500 companies are listed on the Exchange. S&P chooses
companies for inclusion in the S&P 500 with the objective of achieving a distribution by broad industry groupings that approximates
the distribution of these groupings in the common stock population of the U.S. equity market. S&P may from time to time, in its sole
discretion, add companies to, or delete companies from, the S&P 500 to achieve the objectives stated above. Relevant criteria employed
by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it
is assigned, the extent to which the company’s common stock is widely held and the market value and trading activity of the common
stock of that company.

Information
about the Index Provider

EACH
FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY S&P AND ITS AFFILIATES OR CBOE. S&P AND CBOE MAKE NO REPRESENTATION, CONDITION
OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF A FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES
GENERALLY OR IN THE FUND PARTICULARLY OR THE ABILITY OF THE INDEX TO TRACK MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES
AND/OR TO ACHIEVE ITS STATED OBJECTIVE AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE. S&P’S AND
CBOE’S ONLY RELATIONSHIP TO VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC IS THE LICENSING OF CERTAIN TRADEMARKS
AND TRADE NAMES AND OF EACH INDEX WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY S&P AND CBOE WITHOUT REGARD TO VS TRUST ON BEHALF
OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE FUNDS. S&P AND CBOE HAVE NO OBLIGATION TO TAKE THE NEEDS OF VS TRUST ON
BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE OWNERS OF THE FUNDS INTO CONSIDERATION IN DETERMINING, COMPOSING OR
CALCULATING THE INDEX. S&P AND CBOE ARE NOT ADVISORS TO THE FUNDS AND ARE NOT RESPONSIBLE FOR AND HAVE NOT PARTICIPATED IN THE DETERMINATION
OF THE PRICES AND AMOUNT OF THE FUNDS OR THE TIMING OF THE ISSUANCE OR SALE OF A FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION
BY WHICH FUND SHARES ARE TO BE CONVERTED INTO CASH. S&P AND CBOE HAVE NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION,
MARKETING, OR TRADING OF THE FUNDS.

NEITHER
S&P, ITS AFFILIATES NOR THIRD PARTY LICENSORS, INCLUDING CBOE, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF AN INDEX OR ANY
DATA INCLUDED THEREIN AND S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. S&P AND CBOE MAKE NO WARRANTY, CONDITION OR REPRESENTATION, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC, SHAREHOLDERS OF THE FUNDS, OR ANY OTHER PERSON
OR ENTITY FROM THE USE OF AN INDEX OR ANY DATA INCLUDED THEREIN. S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, REPRESENTATIONS
OR CONDITIONS, AND EXPRESSLY DISCLAIM ALL WARRANTIES OR CONDITIONS OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AND
ANY OTHER EXPRESS OR IMPLIED WARRANTY OR CONDITION WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE
FOREGOING, IN NO EVENT SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, HAVE ANY LIABILITY FOR ANY SPECIAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS) RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN,
EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

5

Information
about Financial Instruments and Commodities Markets

Futures
Contracts

A
futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of
a specified quantity and type of a particular underlying asset at a specified time and place or alternatively may call for cash settlement.
Futures contracts are traded on a wide variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes,
currencies, energy, metals, economic indicators and statistical measures. The notional size and calendar term futures contracts on a
particular underlying asset are identical and are not subject to any negotiation, other than with respect to price and the number of
contracts traded between the buyer and seller. A Fund generally deposits cash and/or securities with an FCM for its open positions in
futures contracts, which may, in turn, transfer such deposits to the clearinghouse to protect the clearing house against non-payment
by the Fund. The clearing house becomes substituted for each counterparty to a futures contract, and, in effect, guarantees performance.
In addition, the FCM may require a Fund to deposit collateral in excess of the clearing house’s margin requirements for the FCM’s
own protection.

Certain
futures contracts, including stock index contracts, VIX futures contracts and certain commodity futures contracts settle in cash. The
cash settlement amount reflects the difference between the contract purchase/sale price and the contract settlement price. The cash settlement
mechanism avoids the potential for either side to have to deliver the underlying asset. For other futures contracts, the contractual
obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying asset 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.
The difference between the price at which the futures contract is purchased or sold and the price paid for the offsetting sale or purchase,
after allowance for brokerage commissions and exchange fees, constitutes the profit or loss to the trader.

Futures
contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of variation margin, which
are the amounts of cash that a Fund agrees to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract.
Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures
contracts and the level of the underlying benchmark and the possibility of an illiquid market for a futures contract. With futures contracts,
there is minimal but some counterparty risk to a Fund since futures contracts are exchange traded and the exchange’s clearing house,
as counterparty to all exchange-traded futures contracts, effectively guarantees futures contracts against default. 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.
If trading is not possible or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund
may be required to make daily cash payments of variation margin.

Futures
Account Agreements

Each
Fund has entered into a written agreement (each, a “Futures Account Agreement”) with one or more FCMs governing the terms
of futures transactions of a Fund cleared by such FCM. Each FCM has its own agreement and other documentation used for establishing customer
relationships. As such, the terms of the Futures Account Agreement and other documentation that a Fund has with a particular FCM may
differ in material respects from that with another FCM.

Most
Futures Account Agreements do not require the FCM to enter into new transactions or maintain existing transactions with a Fund. In general,
each FCM is permitted to terminate its agreement with a Fund at any time in its sole discretion. In addition, an FCM generally will have
the discretion to set margin requirements and/or position limits that would be in addition to any margin requirements and/or position
limits required by applicable law, set by the exchange, or set by the clearing house that clears the futures contracts in which a Fund
transacts. As a result, a Fund’s ability to engage in futures transactions or maintain open positions in such contracts will be
dependent on the willingness of its FCMs to continue to accept or maintain such transactions on terms that are economically appropriate
for a Fund’s investment strategy.

When
a Fund has an open futures contract position, it is subject to at least daily variation margin calls by an FCM that could be substantial
in the event of adverse price movements. Because futures contracts may require only a small initial investment in the form of a deposit
or margin, they may involve a high degree of leverage. A Fund with open positions is subject to maintenance or variance margin on its
open positions. If a Fund has insufficient cash to meet daily variation margin requirements, it may need to sell Financial Instruments
at a time when such sales are disadvantageous. Futures markets are highly volatile and the use of or exposure to futures contracts may
increase volatility of a Fund’s NAV.

6

Margin
posted by a Fund to an FCM typically will be held by relevant exchange’s clearing house (in the case of clearing house-required
margin) or the FCM (in the case of “house” margin requirements of the FCM). In the event that market movements favorable
to a Fund result in the Fund having posted more margin than is required, the Fund typically would have a right to return of margin from
the FCM. However, the timing of such return may be uncertain. As a result, it is possible that a Fund may face liquidity constraints
including potential delays in its ability to pay redemption proceeds, where margin is not immediately returned by an FCM.

In
the event that a Fund fails to comply with its obligations under a Futures Account Agreement (including, for example, failing to deliver
the margin required by an FCM on a timely basis), the Futures Account Agreement typically will provide the FCM with broad discretion
to take remedial action against the Fund. Among other things, the FCM typically will have the right, upon the occurrence of such a failure
by a Fund, to terminate any or all futures contracts in the Fund’s account with that FCM, to sell the collateral posted as margin
by the Fund, to close out any open positions of the Fund in whole or in part, and to cancel any or all pending transactions with the
Fund. Futures Account Agreements typically provide that the Fund will remain liable for paying to the relevant FCM, on demand, the amount
of any deficiency in a Fund’s account with that FCM.

The
Futures Account Agreement between the Fund and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its directors,
officers, employees, agents and affiliates (collectively, “indemnified persons”) from and against all claims, damages, losses
and costs (including reasonable attorneys’ fees) incurred by the indemnified persons, in connection with: (1) any failure by the
Fund to perform its obligations under the Futures Account Agreement and the FCM’s exercise of its rights and remedies thereunder;
(2) any failure by the Fund to comply with applicable law; (3) any action reasonably taken by the indemnified persons pursuant to the
Futures Account Agreement to comply with applicable law; and (4) any actions taken by the FCM in reliance on instructions, notices and
other communications that the FCM and its relevant personnel, as applicable, reasonably believes to originate from a person authorized
to act on behalf of the Fund.

To
the extent that the Fund trades in futures contracts on U.S. exchanges, the assets deposited by the Fund with the FCMs (or another eligible
financial institution, as applicable) as margin must be segregated pursuant to the regulations of the CFTC. Such segregated funds may
be invested only in a limited range of instruments — principally U.S. government obligations to margin futures and forward contract
positions.

Each
Fund currently uses each of the following firms as an FCM: ADM Investor Services, Inc.,
Clear Street LLC, Marex North America LLC, StoneX Financial Inc. — FCM, Straits Financial LLC, RBC Capital Markets, LLC. The FCMs used by a Fund may change from time to time. The above discussion
relating to an FCM also would apply to other firms that serve as an FCM to a Fund in the future. Each FCM in its capacity as a registered
FCM, serves as a clearing broker to the Trust and a Fund and certain other funds of the Trust and as such arranges for the execution
and clearing of a Fund’s futures transactions. Each FCM acts as clearing broker for many other funds and individuals. A variety
of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will give-up all such transactions
to an FCM as applicable. Each FCM is registered as an FCM with the CFTC, is a member of the NFA and a clearing member of the CBOT, CME,
NYMEX, or another major U.S. commodity exchange. No FCM is affiliated with or acts as a supervisor of the Trust, the Funds, the Sponsor, the Trustee, the Administrator, Sub-Administrator, Transfer Agent, or the Custodian. No FCM acts as an underwriter
or sponsor of the offering of the Shares, or has passed upon the merits of participating in this offering or has passed upon the adequacy
of this Prospectus or on the accuracy of the information contained herein. No FCM provides any commodity trading advice regarding a Fund’s
trading activities. Investors should investors should also note that the Sponsor may select additional clearing brokers or replace any
FCM as a Fund’s clearing broker.

Options

An
option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy an underlying reference
instrument, such as a specified security, currency, index, or other instrument, from the writer of the option (in the case of a call
option), or to sell a specified reference instrument to the writer of the option (in the case of a put option) at a designated price
during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise
price to the market price and the volatility of the underlying reference instrument, the remaining term of the option, supply, demand,
interest rates and/or currency exchange rates. An American style put or call option may be exercised at any time during the option period
while a European style put or call option may be exercised only upon expiration or during a fixed period prior thereto. Put and call
options are traded on national securities exchanges and in the OTC market. Options traded on national securities exchanges are within
the jurisdiction of the SEC or other appropriate national securities regulator, as are securities traded on such exchanges. As a result,
many of the protections provided to traders on organized exchanges will be available with respect to such transactions. In particular,
all option positions entered into on a national securities exchange in the United States are cleared and guaranteed by the Options Clearing
Corporation, thereby reducing the risk of counterparty default. Furthermore, a liquid secondary market in options traded on a national
securities exchange may be more readily available than in the OTC market, potentially permitting a Fund to liquidate open positions at
a profit prior to exercise or expiration, or to limit losses in the event of adverse market movements. There is no assurance, however,
that higher than anticipated trading activity or other unforeseen events might not temporarily render the capabilities of the Options
Clearing Corporation inadequate, and thereby result in the exchange instituting special procedures which may interfere with the timely
execution of a Fund’s orders to close out open options positions.

7

Swap
Agreements

Swaps
are contracts that have traditionally been entered into primarily by institutional investors in OTC markets for a specified period ranging
from a day to many years. Certain types of swaps may be cleared, and certain types are, in fact, required to be cleared. The types of
swaps that may be cleared are generally limited to only swaps where the most liquidity exists and a clearing organization is willing
to clear the trade on standardized terms. Swaps with customized terms or those for which significant market liquidity does not exist
are generally not able to be cleared.

In
a standard swap transaction, the parties agree to exchange the returns on, among other things, a particular predetermined security, commodity,
interest rate, or index for a fixed or floating rate of return (the “interest rate leg,” which will also include the cost
of borrowing for short swaps) in respect of a predetermined notional amount. The notional amount of the swap reflects the extent of a
Fund’s total investment exposure under the swap.

In
the case of futures contracts-based indexes, such as those used by a Fund, the reference interest rate typically is zero, although a
financing spread or fee is generally still applied. 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 the notional amount and the benchmark returns
to which the swap is linked. Swaps are usually closed out on a net basis, i.e., the two payment streams are netted out in a cash
settlement on the payment date specified in the agreement, with the parties receiving or paying, as the case may be, only the net amount
of the two payments. Thus, while the notional amount reflects a Fund’s total investment exposure under the swap (i.e., the
entire face amount or principal of a swap), the net amount is the Fund’s current obligations (or rights) under the swap. That is
the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement
on any given termination date.

Swaps
may also expose a Fund to liquidity risk. Although a Fund may have the ability to terminate a swap at any time, doing so may subject
the Fund to certain early termination charges. In addition, there may not be a liquid market within which to dispose of an outstanding
swap even if a permitted disposal might avoid an early termination charge. Uncleared swaps generally are not assignable except by agreement
between the parties to the swap, and generally no party or purchaser has any obligation to permit such assignments.

Swaps
involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount which would be reflected on a Fund’s
Statement of Financial Condition. In addition to market risk and other risks, the use of swaps also comes with counterparty credit risk
— i.e., the inability of a counterparty to a swap to perform its obligations. A Fund that invests in swaps bears the risk
of loss of the net amount, if any, expected to be received under a swap agreement in the event of the default or bankruptcy of a swap
counterparty. A Fund enters or intends to enter into swaps only with major, global financial institutions. However, there are no limitations
on the percentage of its assets a Fund may invest in swaps with a particular counterparty.

A
Fund that invests in swaps may use various techniques to minimize counterparty credit risk. A Fund that invests in swaps generally enters
into arrangements with its counterparties whereby both sides exchange collateral on a mark-to-market basis. In addition, the Fund may
post “initial margin” or “independent amount” to counterparties in swaps. Such collateral serves as protection
for the counterparty in the event of a failure by the Fund and is in addition to any mark-to-market collateral that (i.e., the
Fund may post initial margin to the counterparty even where the counterparty would owe money to the Fund if the swap were to be terminated).
The amount of initial margin posted by the Fund may vary depending on the risk profile of the swap. The collateral, whether for mark-to-market
or for initial margin, generally consists of cash and/or securities.

Collateral
posted by a Fund to a counterparty in connection with uncleared derivatives transactions is generally held for the benefit of the counterparty
in a segregated tri-party account at a third-party custodian to protect the counterparty against non-payment by the Fund. In the event
of a default by a Fund where the counterparty is owed money in the uncleared swap transaction, such counterparty will seek withdrawal
of this collateral from the segregated account.

8

Collateral
posted by the counterparty to a Fund is typically held for the benefit of the Fund in a segregated tri-party account at a third-party
custodian. In the event of a default by the counterparty where the Fund is owed money in the uncleared swap transaction, the Fund will
seek withdrawal of this collateral from the segregated account. The Fund may incur certain costs exercising its right with respect to
the collateral.

Notwithstanding
the use of collateral arrangements, to the extent any collateral provided to a Fund is insufficient or there are delays in accessing
the collateral, a Fund will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a
result of bankruptcy proceedings.

Money
Market Instruments

Money
market instruments are short-term debt instruments that have a remaining maturity of 397 days or less and exhibit high quality credit
profiles. Money market instruments may include U.S. government securities, securities issued by governments of other developed countries
and repurchase agreements.

U.S.
Derivatives Exchanges

Derivatives
exchanges, including swap execution facilities that are required under the Dodd-Frank Act, provide centralized market facilities for
trading derivatives in which multiple persons have the ability to execute or trade contracts by accepting bids and offers from multiple
participants. Members of, and trades executed on, a particular exchange are subject to the rules of that exchange. Among the principal
exchanges in the United States are the CBOE (which includes the CBOE Futures Exchange (the “CFE”)), the Chicago Mercantile
Exchange (“CME”) (which includes, among others, the Chicago Board of Trade (“CBOT”) and the New York Mercantile
Exchange (the “NYMEX”) and the Intercontinental Exchange (“ICE”)).

Each
derivatives exchange in the United States has an associated “clearing house.” Clearing houses provide services designed to
transfer credit risk and ensure the integrity of trades. Once trades between members of an exchange have been confirmed and/or cleared,
the clearing house becomes substituted for each buyer and each seller of contracts traded on the exchange and, in effect, becomes the
other party to each trader’s open position in the market. Thereafter, each party to a trade looks only to the clearing house for
performance. The clearing house generally establishes some sort of security or guarantee fund to which all clearing members of the exchange
must contribute. This fund acts as an emergency buffer which is intended to enable the clearing house to meet its obligations with regard
to the other side of an insolvent clearing member’s contracts. Furthermore, clearing houses require margin deposits and continuously
mark positions to market to provide some assurance that their members will be able to fulfil their contractual obligations. Thus, members
effecting derivatives transactions on an organized exchange or clearing an OTC derivatives transaction through a clearing house do not
bear the risk of the insolvency of the party on the opposite side of the trade; their credit risk is limited to the respective solvencies
of their commodity broker and the clearing house. The clearing house “guarantee” of performance on open positions does not
run to customers. If a member firm goes bankrupt, customers could lose money.

If
a Fund decides to execute derivatives transactions through such derivatives exchanges — and especially if it decides to become
a direct member of one or more exchanges or swap execution facilities — the Fund would be subject to the rules of the exchange
or swap executive facility, which would bring additional risks and liabilities, and potential additional regulatory requirements.

Regulations

Derivatives
exchanges in the United States are subject to regulation under the CEA, by the CFTC, the governmental agency having responsibility for
regulation of derivatives exchanges and trading on those exchanges. Following the adoption of the Dodd-Frank Act, the CFTC also has authority
to regulate OTC derivatives markets, including certain OTC foreign exchange markets.

9

The
CFTC has exclusive authority to designate exchanges for the trading of specific futures contracts and to prescribe rules and regulations
of the marketing of each. The CFTC also regulates the activities of “commodity pool operators” and the CFTC has adopted regulations
with respect to certain of such persons’ activities. Pursuant to its authority, the CFTC requires a commodity pool operator, such
as the Sponsor, to keep accurate, current and orderly records with respect to each pool it operates. The CFTC may suspend, modify or
terminate the registration of any registrant for failure to comply with CFTC rules or regulations. Suspension, restriction or termination
of the Sponsor’s registration as a commodity pool operator would prevent it, until such time (if any) as such registration were
to be reinstated, from managing, and might result in the termination of the Fund. If the Sponsor were unable to provide services and/or
advice to the Fund, the Fund would be unable to pursue its investment objective unless and until the Sponsor’s ability to provide
services and advice to the Fund was reinstated or a replacement for the Sponsor as commodity pool operator could be found. Such an event
could result in termination of the Fund.

The
CEA requires all FCMs to meet and maintain specified fitness and financial requirements, segregate customer funds from proprietary funds
and account separately for all customers’ funds and positions, and to maintain specified books and records open to inspection by
the staff of the CFTC.

The
CEA also gives the states certain powers to enforce its provisions and the regulations of the CFTC.

Under
certain circumstances, the CEA grants shareholders the right to institute a reparations proceeding before the CFTC against the Sponsor
(as a registered commodity pool operator), an FCM, as well as those of their respective employees who are required to be registered under
the CEA. Shareholders may also be able to maintain a private right of action for certain violations of the CEA.

Pursuant
to authority in the CEA, the NFA has been formed and registered with the CFTC as a registered futures association. At the present time,
the NFA is the only self-regulatory organization for commodities professionals other than exchanges. As such, the NFA promulgates rules
governing the conduct of commodity professionals and disciplines those professionals that do not comply with such standards. The CFTC
has delegated to the NFA responsibility for the registration of commodity pool operators, FCMs, swap dealers, commodity trading advisors,
introducing brokers and their respective associated persons and floor brokers. The Sponsor is a member of the NFA (each Fund itself is
not required to become members of the NFA). As an NFA member, the Sponsor is subject to NFA standards relating to fair trade practices,
financial condition, and consumer protection.

The
CEA and CFTC regulations prohibit market abuse and generally require that all futures exchange-based trading be conducted in compliance
with rules designed to ensure the integrity of market prices and without any intent to manipulate prices. CFTC regulations and futures
exchange rules also impose limits on the size of the positions that a person may hold or control as well as standards for aggregating
certain positions. The rules of the CFTC and the futures exchanges also authorize special emergency actions to halt, suspend or limit
trading overall or to restrict, halt, suspend or limit the trading of an individual trader or to otherwise impose special reporting or
margin requirements.

Each
Fund’s investments in Financial Instruments will be subject to regulation under the CEA and traded pursuant to CFTC and applicable
exchange regulations.

Daily
Limits

Most
U.S. futures exchanges (but generally not foreign exchanges or banks or dealers in the cases of swap agreements) limit the amount of
fluctuation in some futures contract or options contract prices during a single day by regulations. These regulations specify what are
referred to as “daily price fluctuation limits” or more commonly “daily limits.” Once the daily limit has been
reached in a particular futures contract, no trades may be made at a price beyond that limit. Currently, CBOE limits daily VIX futures
contracts to no more than 50,000 per entity.

10

Margin

“Initial”
or “original” margin is the minimum dollar amount that a counterparty to a cleared derivatives contract must deposit with
its commodity broker in order to establish an open position. “Maintenance” or “variation” margin is the amount
(generally less than initial margin) to which a trader’s account may decline before he must deliver additional margin so as to
maintain open positions. A margin deposit is like a cash performance bond. It helps assure the futures trader’s performance of
the futures contracts he purchases or sells.

The
minimum amount of margin required in connection with a particular futures contract is set by the exchange on which such contract is traded
and is subject to change at any time during the term of the contract. Futures contracts are customarily bought and sold on margins that
represent a percentage of the aggregate purchase or sales price of the contract.

Brokerage
firms may require higher amounts of margin than exchange minimums. These requirements may change without warning.

Margin
requirements are computed each day or intraday by a commodity broker and the relevant exchange. At the close of each trading day or intraday,
each open futures contract is marked to market, that is, the gain or loss on the position is calculated from the prior day’s close.
When the market value of a particular open futures contract position changes to a point where the margin on deposit does not satisfy
maintenance margin requirements, a margin call is made by the commodity broker. If the margin call is not met within a reasonable time,
the broker may close out the customer’s position.

Creation
and Redemption of Shares

Each
Fund creates 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. Except when aggregated in Creation Units, the Shares are not redeemable securities.

The
manner by which Creation Units are purchased and redeemed is governed by the terms of the Authorized Participant Agreement and Authorized
Participant Procedures Handbook, and all such procedures are at the discretion of the Sponsor. By placing a purchase order, an Authorized
Participant agrees to deposit cash or Financial Instruments with the Custodian of a Fund (unless as provided otherwise by this Prospectus).
Purchases and redemptions made by Authorized Participants primarily in cash rather than through in-kind delivery of Financial Instruments,
if not offset by a transaction fee (as described below), may cause a Fund to incur certain costs, including brokerage costs or taxable
capital gains or losses, that may decrease the Fund’s net asset value.

If
permitted by the Sponsor in its sole discretion with respect to a Fund, an Authorized Participant may also agree to enter into or arrange
for an exchange of a futures contract for related position (“EFCRP”) or block trade with the Fund whereby the Authorized
Participant would also transfer to the 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. Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant
to use an EFCRP to effect an order to redeem Creation Units.

An
EFCRP is a technique permitted by the rules of certain futures exchanges that, as utilized by a Fund in the Sponsor’s discretion,
would allow the Fund to take a position in a futures contract from an Authorized Participant, or give futures contracts to an Authorized
Participant, in the case of a redemption, rather than to enter the futures exchange markets to obtain such a position. An EFCRP by itself
will not change either party’s net risk position materially. Because the futures position that a Fund would otherwise need to take
in order to meet its investment objective can be obtained without unnecessarily impacting the financial or futures markets or their pricing,
EFCRPs can generally be viewed as transactions beneficial to the Fund. A block trade is a technique that permits a Fund to obtain a futures
position without going through the market auction system and can generally be viewed as a transaction beneficial to the Fund.

Authorized
Participants pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to
compensate the Administrator, Sub-Administrator, the Custodian and the Transfer Agent of a 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. Authorized Participants
also may pay a variable transaction fee to the Fund of up to 0.20% of the value of the Creation Unit that is purchased or redeemed 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. The Sponsor may waive a fixed or variable transaction fee for any
number of reasons, including to maintain similar costs structures as competitive investment vehicles. Authorized Participants may sell
the Shares included in the Creation Units they purchase from a Fund to other investors.

11

The
form of Authorized Participant Agreement and the related Authorized Participant Procedures Handbook set forth the procedures for the
creation and redemption of Creation Units and for the payment of cash or Financial Instruments required for such creations and redemptions.
The Sponsor may delegate its duties and obligations under the form of Authorized Participant Agreement to the Administrator, Sub-Administrator,
the Custodian and the Transfer Agent without consent from any shareholder or Authorized Participant. The form of Authorized Participant
Agreement, the related procedures attached thereto and the Authorized Participant Procedures Handbook may be amended by the Sponsor without
the consent of any shareholder or Authorized Participant. Authorized Participants who purchase Creation Units from a Fund receive no
fees, commissions or other form of compensation or inducement of any kind from either the Sponsor or the Fund, and no such person has
any obligation or responsibility to the Sponsor or the Fund to effect any sale or resale of Shares.

Each
Authorized Participant must be registered as a broker-dealer under the 1934 Act and regulated by the Financial Industry Regulatory Authority,
Inc. (“FINRA”), or exempt from being, or otherwise not required to be, so regulated or registered, and must be qualified
to act as a broker or dealer in the states or other jurisdictions where the nature of its business so requires. Certain Authorized Participants
may be regulated under federal and state banking laws and regulations. Each Authorized Participant must have its own set of rules and
procedures, internal controls and information barriers as it determines is appropriate in light of its own regulatory regime.

Authorized
Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants that
wish to create or redeem Creation Units.

Persons
interested in purchasing Creation Units should contact the Sponsor or the Administrator to obtain the contact information for the Authorized
Participants. Shareholders who are not Authorized Participants are only able to redeem their Shares through an Authorized Participant.

Pursuant
to the Authorized Participant Agreement, the Sponsor agreed to indemnify the Authorized Participants against certain liabilities, including
liabilities under the 1933 Act, and to contribute to the payments the Authorized Participants may be required to make in respect of those
liabilities.

The
following description of the procedures for the creation and redemption of Creation Units is only a summary and an investor should refer
to the relevant provisions of the Trust Agreement and the form of Authorized Participant Agreement for more detail. The Trust Agreement
and the form of Authorized Participant Agreement are filed as exhibits to the Registration Statement of which this Prospectus is a part.

Creation
Procedures

On
any Business Day, an Authorized Participant may place an order with the Marketing Agent to create one or more Creation Units.

Purchase
orders must be placed by 2:00 p.m. (Eastern time). The cut-off time may be earlier if, for example, the Exchange or other exchange material
to the valuation or operation of the Fund closes before the cut-off time. If a purchase order is received prior to the applicable cut-off
time, the day on which the Marketing Agent receives a valid purchase order is the purchase order date. If the purchase order is received
after the applicable cut-off time, the purchase order date will be the next Business Day. Purchase orders are irrevocable. By placing
a purchase order, and prior to delivery of such Creation Units, an Authorized Participant’s DTC account will be charged the non-refundable
transaction fee due for the purchase order.

12

Determination
of Required Payment

The
total payment required to create each Creation Unit is the value of the Creation Unit on the purchase order date plus the applicable
transaction fees.

Delivery
of Cash

Cash
required for settlement will typically be transferred to the Custodian through: (1) the Continuous Net Settlement (the “CNS”)
clearing process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities
of DTC on a Delivery Versus Payment (“DVP”) basis, which is the procedure in which the buyer’s payment for securities
is due at the time of delivery. Security delivery and payment are simultaneous. If the Custodian does not receive the cash by the market
close on the first Business Day following the purchase order date (“T+1”), such order may be charged interest for delayed
settlement or cancelled. The Sponsor reserves the right to extend the deadline for the Custodian to receive the cash required for settlement
up to the second Business Day following the purchase order date (“T+2”). In the event a purchase order is cancelled, the
Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the order including costs
for repositioning the portfolio. At its sole discretion, the Sponsor may agree to a delivery date other than T+2. Additional fees may
apply for special settlement. The Creation Unit will be delivered to the Authorized Participant upon the Custodian’s receipt of
the purchase amount.

Delivery
of Exchange of Futures Contract for Related Position (“EFCRP”) Futures Contracts or Block Trades

In
the event that the Sponsor shall have determined to permit the Authorized Participant to transfer futures contracts pursuant to an EFCRP
or to engage in a block trade purchase of futures contracts from the Authorized Participant with respect to a Fund, as well as to deliver
cash, in the creation process, futures contracts required for settlement must be transferred directly to the Fund’s account at
its FCM. If the cash is not received by the market close on the second Business Day following the purchase order date (T+2); such order
may be charged interest for delayed settlements or cancelled. In the event a purchase order is cancelled, the Authorized Participant
will be responsible for reimbursing a Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.
At its sole discretion, the Sponsor may agree to a delivery date other than T+2. The Creation Unit will be delivered to the Authorized
Participant upon the Custodian’s receipt of the cash purchase amount and the futures contracts.

Suspension
or Rejection of Purchase Orders

The
Sponsor may, in its discretion, suspend the right to purchase, or postpone the purchase settlement date: (1) for any period during which
any of the Exchange, CBOE, CFE, CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund
is closed or when trading is suspended or restricted on such exchanges in any of the underlying VIX futures contracts; (2) for any period
during which an emergency exists as a result of which the fulfilment of a purchase order is not reasonably practicable; or (3) for such
other period as the Sponsor determines to be necessary for the protection of the shareholders. The Sponsor will not be liable to any
person or in any way for any loss or damages that may result from any such suspension or postponement.

The
Sponsor also may reject a purchase order if:

●
It determines that the purchase order is not in proper
form;

●
The Sponsor believes that the purchase order would
have adverse tax consequences to the Fund or its shareholders;

●
The order would be illegal; or

●
Circumstances outside the control of the Sponsor make
it, for all practical purposes, not feasible to process creations of Creation Units.

None
of the Sponsor, the Administrator, Sub-Administrator or the Custodian will be liable for the suspension or rejection of any purchase
order.

Redemption
Procedures

The
procedures by which an Authorized Participant can redeem one or more Creation Units mirror the procedures for the creation of Creation
Units. On any Business Day, an Authorized Participant may place an order with the Marketing Agent to redeem one or more Creation Units.
Redemption orders must be received prior to 2:00 p.m. (Eastern time), or earlier if, for example, the Exchange or other exchange material
to the valuation or operation of a Fund closes before the cut-off time. If a redemption order is received prior to the applicable cut-off
time, the day on which the Marketing Agent receives a valid redemption order is the redemption order date. If the redemption order is
received after the applicable cut-off time, the redemption order date will be the next day. Redemption orders are irrevocable. Individual
shareholders may not redeem directly from the Fund.

13

By placing a redemption order, an Authorized Participant
agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the applicable Fund not later than noon (Eastern
Time), on the first Business Day immediately following the redemption order date (T+1). The Sponsor reserves the right to extend the deadline
for a Fund to receive the Creation Units required for settlement up to the second Business Day following the redemption order date (T+2).
By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant must wire to the Custodian the
non-refundable transaction fee due for the redemption order or any proceeds due will be reduced by the amount of the fee payable. At its
sole discretion, the Sponsor may agree to a delivery date other than T+2. Additional fees may apply for special settlement.

Upon request of an Authorized Participant made
at the time of a redemption order, the Sponsor at its sole discretion may determine, in addition to delivering redemption proceeds, to
transfer futures contracts to the Authorized Participant pursuant to an EFCRP or to a block trade sale of futures contracts to the Authorized
Participant.

Determination of Redemption Proceeds

The redemption proceeds from a Fund consist of
the cash redemption amount and, if permitted by the Sponsor in its sole discretion with respect to the Fund, an EFCRP or block trade with
the Fund as described in “— Creation and Redemption of Shares” above. The cash redemption amount is equal to
the NAV of the number of Creation Unit(s) of a Fund requested in the Authorized Participant’s redemption order as of the time of
the calculation of the Fund’s NAV on the redemption order date, less transaction fees and any amounts attributable to any applicable
EFCRP or block trade.

Delivery of Redemption Proceeds

The redemption proceeds due from a Fund are delivered
to the Authorized Participant at noon (Eastern Time), on the second Business Day immediately following the redemption order date if, by
such time on such Business Day immediately following the redemption order date, the Fund’s DTC account has been credited with the
Creation Units to be redeemed. A Fund should be credited through: (1) the CNS clearing process of NSCC, as such processes have been enhanced
to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a DVP basis. If a Fund’s DTC account has
not been credited with all of the Creation Units to be redeemed by such time, the redemption distribution is delivered to the extent whole
Creation Units are received. Any remainder of the redemption distribution is delivered on the next Business Day to the extent any remaining
whole Creation Units are received if:

(1)
the Sponsor receives the fee applicable to the extension of the redemption distribution date which the Sponsor may, from time to time, determine, and

(2)
the remaining Creation Units to be redeemed are credited to a Fund’s DTC account by noon (Eastern Time), on such next Business Day. Any further outstanding amount of the redemption order may be cancelled. The Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.

The Sponsor is also authorized to deliver the
redemption distribution notwithstanding that the Creation Units to be redeemed are not credited to a Fund’s DTC account by noon
(Eastern Time), on the second Business Day immediately following the redemption order date if the Authorized Participant has collateralized
its obligation to deliver the Creation Units through DTC’s book-entry system on such terms as the Sponsor may determine from time
to time.

In the event that the Authorized Participant shall
have requested, and the Sponsor shall have determined to permit the Authorized Participant to receive futures contracts pursuant to an
EFCRP, as well as the cash redemption proceeds, in the redemption process, futures contracts required for settlement shall be transferred
directly from a Fund’s account at its FCM to the account of the Authorized Participant at its FCM.

Suspension or Rejection of Redemption Orders

The Sponsor may, in its discretion, suspend the
right of redemption, or postpone the redemption settlement date, (1) for any period during which any of the Exchange, CBOE, CFE, CME (including
CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of a Fund is closed or when trading is suspended or restricted
on such exchanges in any of the underlying VIX futures contracts; (2) for any period during which an emergency exists as a result of which
the redemption distribution is not reasonably practicable; or (3) for such other period as the Sponsor determines to be necessary for
the protection of the shareholders. The Sponsor will not be liable to any person or in any way for any loss or damages that may result
from any such suspension or postponement.

14

The Sponsor will reject a redemption order if
the order is not in proper form as described in the form of Authorized Participant Agreement or if the fulfilment of the order might be
unlawful.

Creation and Redemption Transaction Fee

To compensate Foreside Fund Services, LLC for
services in processing the creation and redemption of Creation Units and to offset some or all of the transaction costs, an Authorized
Participant may be required to pay a fixed transaction fee to Foreside Fund Services, LLC of up to $500 per order to create or redeem
Creation Units and may pay a variable transaction fee to a Fund of up to 0.20% of the value of a Creation Unit. An order may include multiple
Creation Units. The transaction fee(s) may be reduced, increased or otherwise changed by the Sponsor at its sole discretion.

Special Settlement

The Sponsor may allow for early settlement of
purchase or redemption orders. Such arrangements may result in additional charges to the Authorized Participant.

Net Asset Value

The net asset value (“NAV”) in respect
of a Fund means the total assets of the Fund including, but not limited to, all cash and cash equivalents or other debt securities less
total liabilities of the Fund, consistently applied under the accrual method of accounting. In particular, the NAV includes any unrealized
profit or loss on open futures contracts (and Financial Instruments, if any), and any other credit or debit accruing to the Fund but unpaid
or not received by the Fund. The NAV per Share of a Fund is computed by dividing the value of the net assets of the Fund (i.e.,
the value of its total assets less total liabilities) by its total number of Shares outstanding. Expenses and fees are accrued daily and
taken into account for purposes of determining the NAV. Each Fund’s NAV is calculated on each day other than a day when the Exchange
is closed for regular trading. Each Fund computes its NAV only once each Business Day as of 4:00 p.m. (Eastern Time) (the “NAV
Calculation Time”), or an earlier time as set forth on www.volatilityshares.com. For example, a Fund may calculate its
NAV as of an earlier time if the Exchange or other exchange material to the valuation or operation of the Fund closes early. The Funds’
website at www.volatilityshares.com will display the end of day closing Index level, and NAV per Share for the Fund. The Fund will
provide daily website disclosure, prior to market opening, of the Funds’ portfolio holdings. This website disclosure of the portfolio
composition of the Fund will occur at the same time as the disclosure by the Fund of the portfolio composition to Authorized Participants
so that all market participants are provided portfolio composition information at the same time.

In calculating the NAV of a Fund, the 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.

Indicative Optimized Portfolio Value (“IOPV”)

The IOPV, which is also known as the intraday
indicative value or IIV, is an indicator of the value of a Fund’s net assets at the time the IOPV is disseminated. The IOPV is calculated
and disseminated every 15 seconds during a normal Business Day. A Business Day is defined as a day the United States equity markets are
open for trading on the NYSE. The IOPV may cease calculating at an earlier time if the Exchange or other information material to the valuation
or operation of a Fund closes early. The IOPV is generally calculated using the prior day’s closing net assets of a Fund as a base
and updating throughout the Business Day changes in the value of the Financial Instruments held by the Fund. The IOPV should not be viewed
as an actual real time update of the NAV because NAV is calculated only once at the end of each Business Day. The IOPV also should not
be viewed as a precise value of the Shares. Because the market price per Share may differ from the IOPV, the price at which an investor
may be able to sell Shares at any time, and especially in times of market volatility, may be significantly less than the IOPV at the time
of sale. Neither a Fund nor the Sponsor is liable for any errors in the calculation of the IOPV or any failure to disseminate IOPV.

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The Exchange disseminates the IOPV. In addition,
the IOPV is published on the Exchange’s website and is available through on-line information services such as Bloomberg Finance
L.P. and/or Reuters.

Fees and Expenses

Management Fee

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.

Licensing and Index Calculation Fee

Each Fund pays CBOE a fee to calculate and maintain
the Index. Each Fund pays S&P a fee for the futures data that is based on the VIX and the use of third-party licensor trademarks.

Recurring and Non-Recurring Fees and Expenses

Each Fund pays all of its fees and expenses, including
recurring, non-recurring, routine and unusual fees and expenses.

Selling Commission

Retail investors may purchase and sell Shares
through traditional brokerage accounts. Investors are expected to be charged a customary commission by their brokers in connection with
purchases of Shares that will vary from investor to investor. Investors are encouraged to review the terms of their brokerage accounts
for applicable charges. The price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such
Authorized Participant in connection with the creation of such Share in a Creation Unit.

Brokerage Commissions and Fees

Each Fund pays all of its respective brokerage
commissions, including applicable exchange fees, NFA fees and give-up fees, pit brokerage fees and other transaction related fees and
expenses charged in connection with trading activities for the Fund’s investments in CFTC regulated investments. On average, total
charges paid to FCMs are expected to be less than $7.00 per round-turn trade, although brokerage commissions and trading fees are determined
on a contract-by-contract basis. Each Fund bears other transaction costs including the effects of trading spreads and financing costs/fees,
if any, associated with the use of Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high
credit quality short-term fixed-income or similar securities (such as shares of money market funds).

Employees

The Trust has no employees.

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