VS Trust: DRS filing (amended)

Cover page 129 changes

As confidentially submitted to the U.S. Securities and Exchange

As confidentially submitted to the U.S. Securities and Exchange Commission on January 15, May 21, 2020, as Amendment No.1 No.2 to the draft registration statement. This Amendment No.1 No.2 to the draft registration statement has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

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(Exact name of registrant as specified in its charter)

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(Address, including zip code, and telephone number, including area code, of registrant's principal executive offices)

number, including area code, of

registrant's principal executive

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(Name, address, including zip code, and telephone number, including area code, of agent for service)

telephone number, including area code, of agent for service)

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Approximate date of commencement of proposed sale to the public:

As promptly as practicable after the effective date of this Registration Statement.

date of this Registration Statement.

If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933 check the following box: S ☒

If this Form is filed to register additional securities for

If this Form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ☐

If this Form is a post-effective amendment filed pursuant to

If this Form is a post -effective amendment filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ☐

If this Form is a post-effective amendment filed pursuant to

If this Form is a post -effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non -accelerated non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b -2 of the Exchange Act.

and "emerging growth company" in Rule 12b-2 of the Exchange Act.

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Common Units of Beneficial Interest

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The registrant hereby amends this Registration Statement

The registrant hereby amends this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall file a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance with Section 8(a) of the Securities Act of 1933 or until this Registration Statement shall become effective on such date as the Commission, acting pursuant to said Section 8(a), may determine.

Common Units of Beneficial Interest

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Proposed Maximum Aggregate Offering Price

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VS Trust (the "Trust") is a Delaware

statutory trust. The Trust may from time to time offer to sell common units of beneficial interest ("Shares") of the

VS Trust (the "Trust") is a Delaware statutory trust. The Trust may from time to time offer to sell common units of beneficial interest ("Shares") of the -1x Short VIX Futures ETF (the "Fund"). Shares represent units of fractional undivided beneficial interest in and ownership of a series of the Trust. The Fund's Shares will be offered on a continuous basis. The Shares of the Fund are listed for trading on CBOE BZX Exchange, Inc. (the "Exchange") under the ticker symbol shown above next to the Fund's name.

The Fund seeks daily investment results,

The Fund seeks daily investment results, before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the "Index") for a single day, not for any other period. A "single day" is measured from the time the Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation. The NAV calculation time for the Fund typically is 4:00 p.m. (Eastern Time). Please see the section entitled "Summary — Creation and Redemp tion Transactions" for additional details on the NAV calculation time for the Fund. The 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."

to the time of the Fund's next NAV calculation. The NAV calculation time for the Fund typically is 4:00 p.m. (Eastern Time).

Please see the section entitled "Summary - Creation and Redemption Transactions" for additional details on the NAV calculation time for the Fund. The 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 Fund seeks to achieve its investment

The Fund seeks to achieve its investment objective through the appropriate amount of exposure to the VIX futures contracts included in the Index. The Fund also has the ability to engage in options transactions, swaps, forward contracts and other instruments in order to achieve its investment objective, in the manner and to the extent described herein.

The Fund is not benchmarked to the inverse

The Fund is not benchmarked to the inverse of the widely referenced VIX. The Index and the inverse of the VIX are two separate measurements and can be expected to perform very differently. As such, the Fund can be expected to perform very differently from the inverse ( (-1x) ) of the performance of the VIX over any period.

VIX over any period.

INVESTING IN THE SHARES INVOLVES

INVESTING IN THE SHARES INVOLVES SIGNIFICANT RISKS. PLEASE REFER TO THE SECTION ENTITLED " RISK FACTORS " ON PAGE 5.

THE FUND PRESENTS SIGNIFICANT RISKS NOT

THE FUND PRESENTS SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS, INCLUDING RISKS RELATING TO INVESTING IN AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE FUND IS NOT APPROPRIATE FOR ALL INVESTORS. AN INVESTOR SHOULD ONLY CONSIDER AN INVESTMENT IN THE FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING DAILY INVESTMENT RESULTS AND THE IMPACT OF COMPOUNDING ON THE FUND'S PERFORMANCE.

FUND IS NOT APPROPRIATE FOR ALL INVESTORS. AN INVESTOR SHOULD ONLY CONSIDER AN INVESTMENT IN THE FUND IF HE OR SHE UNDERSTANDS

THE CONSEQUENCES OF SEEKING DAILY INVESTMENT RESULTS AND THE IMPACT OF COMPOUNDING ON THE FUND'S PERFORMANCE.

THE RETURN OF THE FUND FOR A PERIOD LONGER

THE RETURN OF THE 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 EITHER THE INVERSE OF THE VIX OR THE INVERSE OF A PORTFOLIO OF SHORT -TERM VIX FUTURES CONTRACTS FOR THE SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.

EVEN DIRECTION FROM EITHER THE INVERSE OF THE VIX OR THE INVERSE OF A PORTFOLIO OF SHORT-TERM VIX FUTURES CONTRACTS FOR THE SAME

PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.

THE FUND'S INVESTMENTS MAY BE ILLIQUID

THE FUND'S INVESTMENTS MAY BE ILLIQUID AND/OR HIGHLY VOLATILE AND THE FUND MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING SUCH INVESTMENTS. AN INVESTOR IN THE FUND COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER INVESTMENT WITHIN A SINGLE DAY OR OVERNIGHT.

THE FUND COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER INVESTMENT WITHIN A SINGLE DAY OR OVERNIGHT.

THE FUND GENERALLY IS INTENDED TO BE USED

THE FUND GENERALLY IS INTENDED TO BE USED ONLY FOR SHORT -TERM SHORT-TERM TIME HORIZONS. SHAREHOLDERS WHO INVEST IN THE FUND SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENT, AS FREQUENTLY AS DAILY.

FREQUENTLY AS DAILY.

The Short VIX Futures Index and the VIX

The Short VIX Futures Index and the VIX are two separate indices and can be expected to perform very differently. The VIX is a non -investable non-investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is a measure of the expected volatility ( i.e. , the rate and magnitude of variations in performance) of the S&P 500 over the next 30 days. The VIX does not represent the actual volatility of the S&P 500. The VIX is calculated based on the prices of a constantly changing portfolio of S&P 500 put and call options. The Short VIX Futures Index, the Index used by the Fund, consists of short -term short-term VIX futures contracts. As such, the performance of the Index can be expected to be very different from an inverse of the actual volatility of the S&P 500 or an inverse of the actual performance of the VIX.

The potential upside of an investment

The potential upside of an investment in the Fund may be limited. Gains, if any, may be subject to significant and unexpected reversals. The Fund is generally intended to be used only for short -term short-term investment horizons. Investors holding Shares of the Fund beyond short -term short-term periods have an increased risk of losing all or a substantial portion of their investment. Shareholders who invest in the Fund should actively manage and monitor their investments, as frequently as daily.

The Fund will distribute to shareholders

The Fund will distribute to shareholders a Schedule K -1 K-1 that will contain information regarding the income and expenses of the Fund.

NEITHER THE TRUST NOR THE FUND IS A MUTUAL

FUND OR ANY OTHER TYPE OF INVESTMENT COMPANY AS DEFINED IN THE INVESTMENT COMPANY ACT OF 1940 (THE "1940 ACT"), AND

NEITHER IS SUBJECT TO REGULATION THEREUNDER. SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP OF SHARES IN AN

INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT. SEE RISK FACTOR ENTITLED "SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED

NEITHER THE TRUST NOR THE FUND IS A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT COMPANY AS DEFINED IN THE INVESTMENT COMPANY ACT OF 1940 (THE "1940 ACT"), AND NEITHER IS SUBJECT TO REGULATION THEREUNDER. SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT. SEE RISK FACTOR ENTITLED "SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT IN PART ONE OF THIS PROSPECTUS FOR MORE INFORMATION.

The Fund continuously offers and redeems

The Fund continuously offers and redeems Shares in blocks of at least 10,000 Shares (each such block, a "Creation Unit"). Only Authorized Participants (as defined herein) may purchase and redeem Shares from the 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 to Authorized Participants in Creation Units at the Fund's 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 the 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.

Shares are offered on a continuous basis to Authorized Participants in Creation Units at the Fund's 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 the

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. Bank of America/Merrill Lynch Professional Clearing is the Fund's initial Authorized Participant and is a statutory underwriter of the Fund's Shares.

These securities have not been approved

These securities have not been approved or disapproved by the United States Securities and Exchange Commission (the "SEC") or any state securities commission nor has the SEC or any state securities commission passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

THE COMMODITY FUTURES TRADING COMMISSION

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

DISCLOSURE DOCUMENT.

The Shares are neither interests in nor

The Shares are neither interests in nor obligations of the Sponsor, Wilmington Trust Company (the "Trustee"), or any of their respective affiliates. The Shares are not insured by the Federal Deposit Insurance Corporation or any other governmental agency.

This Prospectus has two parts: the offered

This Prospectus has two parts: the offered series disclosure and the general pool disclosure. These parts are bound together and are incomplete if not distributed together to prospective participants.

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FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A DESCRIPTION OF EACH EXPENSE TO BE CHARGED TO THIS POOL, AT PAGE 4 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 4 .

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON -UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

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and 49 more changes in the filing

Prospectus summary 4 changes

Investors should read the following summary

Investors should read the following summary together with the more detailed information in this Prospectus before investing in Shares of the Fund, including the information under the caption "Risk Factors" and all exhibits to this Prospectus and the information incorporated by reference in this Prospectus, including the financial statements and the notes to those financial statements in the Trust's Annual Report on Form 10 -K 10-K and the Quarterly Reports on Form 10 -Q , 10-Q, when available. Please see the section entitled "Incorporation by Reference of Certain Documents" in Part Two of this Prospectus.

For ease of reference, any references

For ease of reference, any references throughout this Prospectus to various actions taken by the Fund are actually actions taken by the Trust on behalf of the Fund.

Important Information About the Fund 17 changes

THE FUND PRESENTS SIGNIFICANT RISKS

THE FUND PRESENTS SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS, INCLUDING RISKS RELATING TO INVESTING IN VIX FUTURES CONTRACTS. THE FUND IS NOT APPROPRIATE FOR ALL INVESTORS. AN INVESTOR SHOULD ONLY CONSIDER AN INVESTMENT IN THE FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING DAILY INVESTMENT RESULTS AND THE IMPACT OF COMPOUNDING ON THE FUND'S PERFORMANCE.

THE RETURN OF THE FUND FOR A PERIOD

THE RETURN OF THE 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 EITHER THE INVERSE OF THE VIX OR THE INVERSE OF A PORTFOLIO OF SHORT -TERM SHORT-TERM VIX FUTURES CONTRACTS FOR THE SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.

THE FUND'S INVESTMENTS MAY BE

THE FUND'S INVESTMENTS MAY BE ILLIQUID AND/OR HIGHLY VOLATILE AND THE FUND MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING SUCH INVESTMENTS. AN INVESTOR IN THE FUND COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER INVESTMENT WITHIN A SINGLE DAY.

SHAREHOLDERS WHO INVEST IN THE FUND SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENTS, AS FREQUENTLY AS DAILY.

AND MONITOR THEIR INVESTMENTS, AS FREQUENTLY AS DAILY.

An investor should only consider an investment

An investor should only consider an investment in the Fund if he or she understands the consequences of seeking exposure to VIX futures contracts. The Fund is benchmarked to the Short VIX Futures Index; the Fund is not benchmarked to an inverse of the VIX. The Short VIX Futures Index and the inverse of the VIX are two separate measurements and can be expected to perform very differently.

The VIX is a non-investable index that measures

the VIX is a non -investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is a measure of the expected volatility ( i.e. , the rate and magnitude of variations in performance) of the S&P 500 over the next 30 days. The VIX does not represent the actual volatility of the S&P 500. The VIX is calculated based on the prices of a constantly changing portfolio of S&P 500 put and call options. The Short VIX Futures Index, the Index used by the Fund, consists of short -term VIX futures contracts. As such, the performance of the Short VIX Futures Index, and therefore the performance of the Fund, can be expected to be very different from the actual volatility of the S&P 500 or the inverse performance of the VIX. As a result, the performance of the Fund also can be expected to be very different from the inverse ( -1x ) of the actual volatility of the S&P 500, or the inverse ( -1x ) performance of either the VIX or a portfolio of short -term short-term VIX futures contracts.

As such, the performance of the Short VIX Futures Index, and therefore the performance of the Fund, can be expected to be very different from the actual volatility of the S&P 500 or the inverse performance of the VIX. As a result, the performance of the Fund also can be expected to be very different from the inverse (-1x) of the actual volatility of the S&P 500, or the inverse (-1x) performance of either the VIX or a portfolio of short-term VIX futures contracts.

The potential upside of an investment in

the potential upside of an investment in the Fund may be limited. Gains, if any, may be subject to significant and unexpected reversals. The Fund is generally intended to be used only for short -term short-term investment horizons. Investors holding Shares of the Fund beyond short -term short-term periods have an increased risk of losing all or a substantial portion of their investment. Shareholders who invest in the Fund should actively manage and monitor their investments, as frequently as daily.

The Fund seeks daily investment results,

The Fund seeks daily investment results, before fees and expenses, that correspond to the performance of the Index for a single day, not for any other period. The return of the 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 performance of the inverse ( (-1x) ) performance of either the VIX or a portfolio of short -term short-term VIX futures contracts over the same period. These differences can be significant.

Overview 6 changes

The Fund is benchmarked to the Short VIX

The Fund is benchmarked to the Short VIX Futures Index (the "Index"), an index that measures the daily inverse performance of a hypothetical portfolio of first and second month VIX futures contracts. The Fund is not benchmarked to the inverse of the VIX itself. The VIX is a non -investable non-investable index that measures the implied volatility of the S&P 500.

THE PERFORMANCE OF THE FUND CAN BE EXPECTED TO BE VERY DIFFERENT

THE PERFORMANCE OF THE FUND CAN BE EXPECTED TO BE VERY DIFFERENT FROM THE ACTUAL INVERSE ( (-1X) ) PERFORMANCE OF THE VIX OR A PORTFOLIO OF SHORT -TERM SHORT-TERM VIX FUTURES CONTRACTS. DAILY REBALANCING AND THE COMPOUNDING OF EACH DAY'S RETURN OVER TIME MEANS THAT THE RETURN OF THE FUND FOR A PERIOD LONGER THAN A SINGLE DAY WILL BE THE RESULT OF EACH DAY'S RETURNS COMPOUNDED OVER THE PERIOD, WHICH WILL VERY LIKELY DIFFER FROM THE RETURN OF THE INVERSE OF THE VIX OR A PORTFOLIO OF SHORT -TERM SHORT-TERM VIX FUTURES CONTRACTS OVER THE SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT. MOREOVER, THE FUND WILL LOSE MONEY IF THE INDEX'S PERFORMANCE IS FLAT OVER TIME, AND THE FUND CAN LOSE MONEY REGARDLESS OF THE PERFORMANCE OF THE INDEX, THE INVERSE PERFORMANCE OF THE VIX OR THE INVERSE PERFORMANCE OF A PORTFOLIO OF SHORT -TERM SHORT-TERM VIX FUTURES CONTRACTS, AS A RESULT OF DAILY REBALANCING, THE INDEX'S VOLATILITY, COMPOUNDING AND OTHER FACTORS.

The Fund seeks to engage in daily rebalancing

The Fund seeks to engage in daily rebalancing to position its portfolio so that its exposure to the Index is consistent with its daily investment objective. The impact of changes to the value of the Index each day will affect whether the Fund's portfolio needs to be rebalanced. The time and manner in which the Fund rebalances its portfolio may vary from day to day and also will depend upon market conditions and other circumstances.

The Fund 8 changes

The Fund intends to invest in Financial Instruments

The Fund intends to invest in Financial Instruments to gain the appropriate exposure to the Index in the manner and to the extent described herein. "Financial Instruments" are instruments whose value is derived from the value of an underlying asset, rate or benchmark (such asset, rate or benchmark, a "Reference Asset") and include futures contracts, options transactions, swap agreements, forward contracts and similar instruments or transactions.

In seeking to achieve the Fund's investment

In seeking to achieve the Fund's investment objective, the Commodity Trading Adviser (defined below) uses a mathematical approach to investing. Using this approach, the Commodity Trading Adviser (defined below) determines the type, quantity and mix of Financial Instruments that the Commodity Trading Adviser (defined below) believes, in combination, should produce daily returns consistent with the Fund's objective.

The Fund is not actively managed by traditional

The Fund is not 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). The 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, even during periods in which the Index is flat or moving in a manner which causes the value of the Fund to decline.

The Sponsor has the power to change the Fund's investment objective, benchmark or investment strategy, and may liquidate the Fund, at any time, without shareholder approval, subject to applicable regulatory requirements.

investment objective, benchmark or investment strategy, and may liquidate the Fund, at any time, without shareholder approval, subject to applicable regulatory requirements.

The Index 6 changes

The Index measures the daily inverse performance

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) from the average price of the VIX futures contracts between 3.45 p.m. and 4:00 p.m. (Eastern time).

(Eastern time) from the average price of the VIX futures contracts between 3.45 p.m. and 4:00 p.m. (Eastern time).

More detailed information about the construction

More detailed information about the construction of the Index can be found on page 22 under Description of t he the Fund's Index .

The Sponsor and the Commodity Sub-Adviser 11 changes

CSat Investment Advisory, L.P. d/b/a Exponential ETFs, serves as the Fund's commodity sub -advis e r ("Commodity Sub -Advis e r "). The principal office of the Commodity Sub -Advis e r is located at 625 Avis Drive, Ann Arbor, Michigan 48108. The Commodity Sub -Advis e r will manage the trading of 100% of the Fund's assets.

Volatility Shares LLC, a Delaware limited

Volatility Shares LLC, a Delaware limited liability company, serves as the Trust's Sponsor and commodity pool operator. The principal office of the Sponsor and the Fund is located at 100 South Bedford Road, Suite 340; Mount Kisco, NY 10549. The telephone number of the Sponsor and the Fund is (800) 261 -0 273 . 261-0273.

Milliman FRM serves as the Fund's

commodity sub-adviser ("Commodity Sub-Adviser"). The principal office of the Commodity Sub-Adviser is 71 S. Wacker Drive, 31 st Floor, Chicago, IL 60606. The Commodity Sub-Adviser will manage 100% of the Fund's assets.

Neither the Trust nor the Fund are required

Neither the Trust nor the Fund are required to establish, or be overseen by, a Board of Directors or an Audit Committee of the Board of Directors. Accordingly, only the Fund's service providers, which are generally overseen by the Fund's Sponsor, will be providing services to the Fund.

More detailed information about the Sponsor can be found on page 54 under The Sponsor .

can be found on page 55 under The Sponsor .

More detailed information about the Commodity Sub -Adviser can be found on page 57 under The Commodity Sub -Adviser .

Sub-Adviser can be found on page 58 under The Commodity Sub-Adviser .

Purchases and Sales in the Secondary Market 2 changes

The Shares of the Fund are listed on CBOE

The Shares of the Fund are listed on CBOE BZX Exchange, Inc. (the "Exchange") under the ticker symbol of SVIX. Secondary market purchases and sales of Shares are subject to ordinary brokerage commissions and charges.

Creation and Redemption Transactions 9 changes

Only an Authorized Participant may purchase

Only an Authorized Participant may purchase ( i.e. , create) or redeem Shares with the Fund. Authorized Participants may create and redeem Shares only in blocks of at least 10,000 Shares (each such block, a "Creation Unit") in the Fund. An "Authorized Participant" is a broker -dealer broker-dealer that is a member of a national clearing agency and that has entered into an Authorized Participant Agreement with the Sponsor. Creation Units are offered to Authorized Participants at the Fund's NAV. Creation Units in the Fund are expected to be created when there is sufficient demand for Shares in the Fund that the market price per Share is at a premium to the NAV per Share. Authorized Participants will likely sell such Shares to the public at prices that are expected to reflect, among other factors, the trading price of the Shares of the Fund and the supply of and demand for the Shares at the time of sale. Similarly, it is expected that Creation Units in the Fund will be redeemed when the market price per Share of the Fund is at a discount to the NAV per Share. The Sponsor expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients will tend to cause the public trading price of the Shares to track the NAV per Share of the Fund over time. Retail investors seeking to purchase or sell Shares on any day effect such transactions in the secondary market at the market price per Share, rather than in connection with the creation or redemption of Creation Units.

A creation transaction, which is subject

A creation transaction, which is subject to acceptance by Foreside Fund Services, LLC (the "Marketing Agent"), generally takes place when an Authorized Participant deposits a specified amount of cash (unless as provided otherwise in this Prospectus) in exchange for a specified number of Creation Units. Similarly, Shares can be redeemed only in Creation Units, generally for cash (unless as provided otherwise in this Prospectus). Except when aggregated in Creation Units, Shares are not generally redeemable individually. The prices at which creations and redemptions occur are based on the next calculation of the NAV after an order is received in proper form, as described in the Authorized Participant Agreement and the related Authorized Participant Procedures Handbook. The manner by which Creation Units are purchased and redeemed is governed by the terms of this Prospectus, the Authorized Participant Agreement and Authorized Participant Procedures Handbook. Creation and redemption orders are not effective until accepted by the Marketing Agent and may be rejected or revoked. By placing a purchase order, an Authorized Participant agrees to deposit cash (unless as provided otherwise in this Prospectus) with the Fund's Custodian.

Except when aggregated in Creation Units, Shares are not generally redeemable individually. The prices at which creations and redemptions occur are based on the next calculation of the NAV after an order is received in proper form, as described in the Authorized Participant Agreement and the related Authorized Participant Procedures Handbook. The manner by which Creation Units are purchased and redeemed is governed by the terms of this Prospectus, the Authorized Participant Agreement and Authorized Participant Procedures Handbook.

Creation and redemption orders are not effective until accepted by the Marketing Agent and may be rejected or revoked. By placing a purchase order, an Authorized Participant agrees to deposit cash (unless as provided otherwise in this Prospectus) with the Fund's Custodian.

Creation and redemption transactions must

Creation and redemption transactions must be placed each day the Marketing Agent by the create/redeem cut -off cut-off time (stated below) to receive that day's NAV, or earlier if, for example, the Exchange or other exchange material to the valuation or operation of the Fund closes before such cut -off cut-off time. See the section entitled "Net Asset Value" for additional information about NAV calculations.

See the section entitled "Net Asset Value" for additional information about NAV calculations.

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Breakeven Amounts 7 changes

Breakeven Amount (% Per

Annum of Average Daily NAV)*

Assumed Selling Price

The Fund will be profitable only if returns

The Fund will be profitable only if returns from the Fund's investments exceed its "breakeven amount." The Estimated breakeven amount is set forth in the table below. The estimated breakeven amount represents the estimated amount of trading income that the Fund would need to achieve during one year to offset the Fund's estimated fees, costs and expenses, net of any interest income earned by the Fund on its investments. Estimated amounts do not represent actual results, which may be different. It is not possible to predict whether the Fund will break even at the end of the first twelve months of an investment or any other period. See section "Charges - Breakeven Table," for more detailed tables showing Breakeven Amounts.

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* The breakeven analysis

* The breakeven analysis set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. The amount approximates the NAV of such Shares on February 18, 2020 June __, 2020. The actual NAV of the Fund differs and is likely to change on a daily basis. The numbers in this chart have been rounded to the nearest 0.01.

Important Tax Information 2 changes

Please note that the Fund will distribute

Please note that the Fund will distribute to shareholders a Schedule K -1 K-1 that will contain information regarding the income and expense items of the Fund. The Schedule K -1 K-1 is a complex form and shareholders may find that preparing tax returns may require additional time or may require the assistance of an accountant or other tax preparer, at an additional expense to the shareholder.

Risk factors 6 changes

The Fund may be highly volatile and generally is intended for short -term investment purposes only.

generally is intended for short-term investment purposes only.

Investing in the Fund involves significant

Investing in the Fund involves significant risks not applicable to other types of investments. You could potentially lose the full principal value of your investment within a single day. Before you decide to purchase any Shares, you should consider carefully the risks described below together with all of the other information included in this Prospectus, as well as information found in documents incorporated by reference in this Prospectus.

These risk factors may be amended,

These risk factors may be amended, supplemented or superseded from time to time by risk factors contained in any periodic report, prospectus supplement, post -effective post-effective amendment or in other reports filed with the SEC in the future.

Risks Specific to the Fund 171 changes

In addition to the risks described elsewhere in this "Risk Factors" section, the following risks apply to the Fund.

in this "Risk Factors" section, the following risks apply to the Fund.

Special Note Regarding Recent Market Events

From time to time, global financial

markets experience periods of unprecedented turmoil. During these periods, the financial sector may result in reduced or altered liquidity in the markets and an unusually high degree of volatility, both domestically and internationally. In addition, events such as earthquakes, hurricanes, epidemics and pandemics and other unforeseen natural or human disasters, may have broad adverse social, political, and economic effects on the global economy, which could negatively impact the value of the Fund's investments. The potential for market turbulence may have an adverse effect on the value of the Fund's investments.

In the past (between 2007 and 2009)

and more recently in 2020, instability in the financial markets led the United States and other governments to take a number of unprecedented actions designed to support certain financial and other institutions and certain segments of the financial markets.

Federal, state, and foreign governments, regulatory agencies and self-regulatory organizations have taken, and could take in the future, actions that affect the regulation of the instruments in which the Fund invests, or the issuers of such instruments, in ways that are unforeseeable. Such legislation or regulation could limit the Fund's ability to achieve its investment objective.

Due to the compounding of daily returns, the Fund's

Due to the compounding of daily returns, the Fund's returns over a period longer than a single day will likely differ in amount and possibly even direction from the inverse of the VIX or the inverse of a portfolio of short-term VIX futures contracts over the same period.

The Fund has an investment objective to seek

The Fund has an investment objective to seek daily investment results, before fees and expenses, that track an Index designed to express the daily inverse performance of a theoretical portfolio of first and second month VIX futures contracts. The Fund seeks investment results for a single day only, as measured from NAV calculation time to NAV calculation time, and not for any other period (see "Summary - Creation and Redemption Transactions" for the typical NAV calculation time of the Fund). The return of the 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 from the return the inverse ( (-1x) ) performance of either the VIX or a portfolio of short -term short-term VIX futures contracts over the same period. 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 effect of compounding becomes more pronounced as index volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in the Fund is held and the volatility of the Index during the holding period of an investment in Shares of the Fund.

The Fund will lose money if the Index's

The Fund will lose money if the Index's performance is flat over time, and the Fund can lose money regardless of the performance of the Index, as a result of daily rebalancing, fees, the Index's volatility, compounding and other factors. Longer holding periods, higher index volatility, inverse exposure and leverage each affect the impact of compounding on the Fund's returns. Daily compounding of the Fund's investment returns can dramatically and adversely affect performance, especially during periods of high volatility. Volatility has a negative impact on the Fund's performance and the volatility of the Index may be at least as important to the Fund's return for a period as the return of the Index.

The Fund is not appropriate for all investors

The Fund is not appropriate for all investors and presents significant risks not applicable to other types of funds An investor should only consider an investment in the Fund if he or she understands the consequences of seeking investment results for a single day. Shareholders who invest in the Fund should actively manage and monitor their investments, as frequently as daily.

These effects are caused by compounding,

These effects are caused by compounding, which exists in all investments, but has a more significant impact in inverse funds. In general, during periods of higher Index volatility, compounding will cause the Fund's returns for periods longer than a single day to be less than the return of the inverse ( (-1x) ) performance of either the VIX or a portfolio of short -term short-term VIX futures contracts over the same period. This effect becomes more pronounced as volatility increases. Actual results for a particular period are also dependent on the magnitude of the Index return in addition to the Index volatility.

In order to achieve a high degree of correlation

In order to achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep exposure consistent with its investment objective. Being materially under or overexposed to the Index may prevent the Fund from achieving a high degree of correlation with the Index. Market disruptions or closures, large movements of assets into or out of the Fund, large rebalances, regulatory restrictions, market volatility, accountability levels, position limits, margin requirements, and daily price fluctuation limits set by the exchanges and other factors will adversely affect the Fund's ability to adjust exposure to requisite levels. The target amount of portfolio exposure may be impacted by changes to the value of the Index each day. Other things being equal, more significant movement, up or down, will require more significant adjustments to the Fund's portfolio. Because of this, it is unlikely that the Fund will be perfectly exposed at the end of each day, and the likelihood of being materially under- or overexposed is higher on days when the index levels are volatile at or near the close of the trading day. These risks are particularly acute for the Fund due to the high degree of volatility in VIX futures contracts.

The Fund seeks to rebalance its portfolio

The Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which the Fund rebalances its portfolio may vary from day to day at the discretion of the Sponsor depending upon market conditions and other circumstances. Unlike other funds that do not rebalance their portfolios as frequently, the Fund may be subject to increased trading costs associated with daily portfolio rebalancing. The effects of these trading costs have been estimated and included in the Breakeven Table. See "Charges - Breakeven Table" below.

Risk of after-market or overnight events impacting the next opening market price.

next opening market price.

Global and domestic, political, social or

Global and domestic, political, social or economic events that occur after the end of trading of Fund Shares on domestic Exchanges can have a significant impact on the market price of Fund Shares when the trading of Fund Shares resumes on the following day.

Changes to the index and the daily rebalancing of the Fund may impact trading in the underlying futures contracts.

Fund may impact trading in the underlying futures contracts.

Changes to the Index and daily rebalancing

Changes to the Index and daily rebalancing may cause the Fund to adjust its portfolio positions. This trading activity will contribute to the trading volume of the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

The intraday performance of Shares traded

The intraday performance of Shares traded in the secondary market generally will be different from the performance of the Fund when measured from one NAV calculation -time calculation-time to the next.

The Fund seeks to achieve its investment objective even

The Fund seeks to achieve its investment objective even during periods when the performance of the Index is flat or when the Index is moving in a manner that may cause the value of the Fund to decline.

The Fund is not actively managed by traditional

The Fund is not 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 considerations with a view toward obtaining positive results under all market conditions). The 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. This is the case even during periods in which the Index is flat or moving in a manner which causes the value of the Fund to decline. A Fund can lose money regardless of the performance of the Index, due to the effects of daily rebalancing, volatility, fees, compounding and other factors.

A number of factors may affect the Fund's ability to produce returns that correlate to the returns of the Index.

to produce returns that correlate to the returns of the Index.

While the Fund seeks to meet its

While the Fund seeks to meet its investment objective, there is no guarantee it will do so. Factors that may affect the Fund's ability to meet its investment objective include: (1) the Sponsor's or Sub -Adviser 's Sub-Adviser's ability to purchase and sell Financial Instruments in a manner that correlates to the Fund's objective; (2) an imperfect correlation between the performance of the Financial Instruments held by the Fund and the performance of the Index; (3) bid -ask bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs and margin requirements associated with the use of Financial Instruments and commission costs; (5) holding or trading Financial Instruments in a market that has become illiquid or disrupted; (6) the Fund's Share prices being rounded to the nearest cent and/or valuation methodologies; (7) changes to the Index that are not disseminated in advance; (8) the need to conform the 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 the Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by the Fund obtaining exposure to only a representative sample of the components of the Index, overweighting or underweighting certain components of the Index or obtaining exposure to assets that are not included in the Index.

Being materially under- or overexposed to

Being materially under- or overexposed to the Index may prevent the Fund from achieving a high degree of correlation with the Index. Market disruptions or closures, large movements of assets into or out of the Fund, large rebalances, regulatory restrictions, or market volatility and other factors will adversely affect the Fund's ability to maintain a high degree of correlation.

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Financial Instruments cannot always be liquidated

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. Market disruptions or volatility can also make it difficult to liquidate a position or find a swap counterparty at a reasonable cost.

Market illiquidity may cause losses for the

Market illiquidity may cause losses for the Fund. The large size of the positions which the Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Fund will typically invest in Financial Instruments related to a single benchmark, which in many cases is highly concentrated. Limits imposed by counterparties, exchanges or other regulatory organizations, such as accountability levels, position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some Financial Instruments.

Fees are charged regardless of the Fund's returns and may result in depletion of assets.

and may result in depletion of assets.

The Fund is subject to the fees and expenses

The Fund is subject to the fees and expenses described herein which are payable irrespective of the Fund's returns, as well as the effects of commissions, trading spreads, and embedded financing, borrowing costs and fees associated with swaps, futures contracts, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality, short -term fixed -income short-term fixed-income or similar securities. These fees and expenses have a negative impact on Fund returns.

The policies of S&P and the Chicago Board Options

The policies of S&P and the Chicago Board Options Exchange (the "CBOE") and changes that affect the composition and valuation of the S&P 500, the VIX or the Index could affect the value of an investment in the Shares.

The policies of S&P and the CBOE concerning

the policies of S&P and the CBOE concerning the calculation of the level of the S&P 500, the VIX and the Index, and any additions, deletions or substitutions of equity securities, options or futures contracts in the above indexes, respectively, and the manner in which changes affecting the equity securities, options contracts or futures contracts are reflected in the indexes outlined above, could affect the level of such indexes and, therefore, the value of the Shares. S&P can add, delete or substitute the equity securities underlying the S&P 500 or make other methodological changes that could change the level of the S&P 500. S&P and CBOE can also add, delete or substitute the futures contracts underlying the Index or make other methodological changes that could change the level of the Index. The changing of equity securities included in the S&P 500 may affect the S&P 500, as a newly added equity security may perform better or worse than the equity security or securities it replaces. Such a change may also affect the value of the put and call options used to calculate the level of the VIX. The changing of the futures contracts underlying the Index may affect the performance of the Index in similar ways. Additionally, S&P and CBOE may alter, discontinue or suspend calculation or dissemination of the S&P 500 or the Index. Any of these actions could adversely affect the value of the Shares. S&P and CBOE have no obligation to consider shareholder interests in calculating or revising the S&P 500 or the Index. The CBOE can make methodological changes to the calculation of the VIX that could affect the value of VIX futures contracts and, consequently, the value of the Shares. There can be no assurance that the CBOE will not change the VIX calculation methodology in a way which may affect the value of the Shares. Additionally, the CBOE may alter, discontinue or suspend calculation or dissemination of the VIX and/or the exercise settlement value. Any of these actions could adversely affect the value of the Shares.

Calculation of the Index may not be possible

Calculation of the Index may not be possible or feasible under certain events or circumstances that are beyond the reasonable control of the Sponsor, which in turn may adversely impact both the Index and/or the Shares, as applicable. Additionally, Index calculations may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies, which may have an adverse effect on the value of the Shares.

Index is a relatively new index - with an inception date of November 22, 2019 - and no currently operating fund or account yet seeks to track the Index. There is the risk that, as a result of the limited operational history of the Index, the Fund may have more difficulty tracking the Index than an index that has had a long operational history.

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The Fund may use derivatives such as swap

The Fund may use derivatives such as swap agreements and options (collectively referred to herein as "derivatives") in the manner described herein as a means to achieve its investment objective. The use of derivatives by the Fund exposes the Fund to counterparty risks.

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Derivatives are generally traded in over-the-counter

Derivatives are generally traded in over -the-counter ("OTC") markets and have only recently become subject to comprehensive regulation in the United States. Cash -settled Cash-settled forwards are generally regulated as "swaps", whereas physically settled forwards are generally not subject to regulation or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (as defined

Title VII of the Dodd -Frank Act (as defined below) ("Title VII") created a regulatory regime for derivatives, with the Commodity Futures Trading Commission (the "CFTC") responsible for the regulation of swaps and the SEC responsible for the regulation of "security -based "security-based swaps." The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Fund will engage, including mandatory clearing and exchange trading for certain categories of swaps, reporting, and margin for uncleared swaps. Title VII also created new categories of regulated market participants, such as "swap dealers," "security -based "security-based swap dealers," "major swap participants," and "major security -based security-based swap participants" who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could impact materially and adversely the Fund, the markets in which the Fund trades and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules do not apply to

As noted, the CFTC rules do not apply to all of the physically settled forward contracts entered into by the Fund. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodities Exchange Act of 1934 ("CEA") in connection with the Fund's physically settled 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.

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The Fund will be subject to the credit risk

The Fund will be subject to the credit risk of the counterparties to derivatives. In the case of cleared derivatives, the Fund will have credit risk to the clearing corporation in a similar manner as the Fund would for futures contracts. In the case of uncleared derivatives, the Fund will be subject to the credit risk of the counterparty to the transaction - typically a single bank or financial institution. As a result, the Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared derivatives entered into as part of the Fund's principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund could suffer significant losses on these contracts and the value of an investor's investment in the Fund may decline.

The Fund generally requires that the counterparties

for the Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds.

The Fund generally requires that the counterparties for the Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Fund will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Fund typically enters into transactions only with major, global financial institutions.

OTC derivatives of the type that may be utilized

by the Fund are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.

OTC derivatives of the type that may be utilized by the Fund are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These 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. For example, if the level of the Fund's benchmark has a dramatic intraday move that would cause a material decline in the Fund's NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund's objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund's benchmark reverses all or part of its intraday move by the end of the day.

In addition, cleared derivatives benefit

In addition, cleared derivatives benefit from daily marking -to-market 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 Futures Commission Merchant ("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 (described above) but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. 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. Uncleared 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 Fund 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 Fund to suffer a loss.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of the Fund, subject to applicable law.

may be an Authorized Participant or shareholder of the Fund, subject to applicable law.

The counterparty risk for cleared derivatives

The counterparty risk for cleared derivatives transactions is generally lower than for uncleared OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is the 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 the Fund.

Risks Related to the Fund's Investments

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and 91 more changes in the filing

Risks Applicable to Investing in VIX Futures Contracts and Other Financial Instruments 82 changes

VIX futures contracts can be highly volatile and the Fund

VIX futures contracts can be highly volatile and the Fund may experience sudden and large losses when buying, selling or holding such instruments; you can lose all or a portion of your investment within a single day.

Investments linked to equity market volatility,

including VIX futures contracts, can be highly volatile and may experience sudden, large and unexpected losses. For example, in 2018, similar indexes which were comprised of VIX futures contracts, had their largest one-day move ever of approximately 96%.

Investments linked to equity market volatility, including VIX futures contracts, can be highly volatile and may experience sudden, large and unexpected losses. For example, In 2018, similar indexes which were comprised of VIX futures contracts, had their largest one -day move ever of approximately 96%. In the future, the Index could have even larger single -day single-day or intraday moves, up or down, that could cause investors to lose all or a substantial portion of their investment in a short period of time. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX is not directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a result, the behavior of a VIX futures contract may be different from a traditional futures contract whose settlement price is based on a specific tradable asset and may differ from an investor's expectations. The market for VIX futures contracts may fluctuate widely based on a variety of factors including changes in overall market movements, political and economic events and policies, wars, acts of terrorism, natural disasters, changes in interest rates or inflation rates. High volatility may have an adverse impact on the performance of the Fund. An investor in the Fund could potentially lose the full principal of his or her investment within a single day.

Daily rebalancing of the futures contracts underlying the Index may impact trading in the underlying futures contracts.

the Index may impact trading in the underlying futures contracts.

The daily rebalancing of the futures contracts

The daily rebalancing of the futures contracts underlying the Index may impact trading in such futures contracts and adversely affect the value of the Fund. For example, such trading may cause the Fund's Futures Commission Merchants ("FCMs") to adjust their hedges. The trading activity associated with such transactions will contribute to the existing trading volume of the underlying futures contracts and may adversely affect the market price of such underlying futures contracts and in turn the level of the Index.

The Fund generally is intended to be used as a trading

The Fund generally is intended to be used as a trading tool for short-term investment horizons and investors holding shares of the Fund over longer-term periods may be subject to increased risk of loss.

The Fund generally is intended to be used

The Fund generally is intended to be used only for short -term short-term investment horizons. An investor in the Fund can lose all or a substantial portion of his or her investment within a single day. The longer an investor's holding period in the Fund, the greater the potential for loss.

The Fund is benchmarked to the Index. It is not benchmarked

The Fund is benchmarked to the Index. It is not benchmarked to the inverse of the VIX; the performance of the Fund should be expected to vary from the inverse (-1x) performance of either the VIX or a portfolio of short-term VIX futures contracts over the same period. As a result, the Index and the Fund should be expected to perform very differently from the inverse performance of either the VIX or a portfolio of short-term VIX futures contracts over all periods of time.

The performance of the Index is based on

the performance of the Index is based on the value of the VIX short -term short-term futures contracts that comprise the Index. While there is a relationship between the performance of the Index and future levels of the VIX, the performance of the Index is not directly linked to the inverse performance of the VIX, to the realized volatility of the S&P 500 or to the options that underlie the calculation of the VIX. As a result, the Index and the Fund should be expected to perform very differently from the inverse performance of either the VIX or a portfolio of short -term short-term VIX futures contracts over all periods of time. In many cases, the Index and the Fund will underperform the inverse of the VIX. Further, the performance of the Index and the Fund should not be expected to represent the realized volatility of the S&P 500 or the inverse thereof.

The VIX seeks to measure the market's

The VIX seeks to measure the market's current expectation of 30 -day 30-day volatility of the S&P 500 Index, as reflected by the prices of near -term S&P 500 options. The market's current expectation of the possible rate and magnitude of movements in an index is commonly referred to as the "implied volatility" of the index. Because S&P 500 options derive value from the possibility that the S&P 500 ® may experience movement before such options expire, the prices of near -term near-term S&P 500 options. are used to calculate the implied volatility of the S&P 500.

The market's current expectation of the possible rate and magnitude of movements in an index is commonly referred to as the "implied volatility" of the index. Because S&P 500 options derive value from the possibility that the S&P 500 may experience movement before such options expire, the prices of near-term S&P 500 options are used to calculate the implied volatility of the S&P 500.

The VIX is not an investable index. It is

The VIX is not an investable index. It is not practical to invest in the VIX as it is comprised of a constantly changing portfolio of options on the S&P 500. Rather, the VIX is designed to serve as a market volatility forecast. The Fund is not benchmarked to the performance of the VIX or the realized volatility of the S&P 500 and, in fact, can be expected to perform very differently from the VIX and the realized volatility of the S&P 500 over all periods of time.

The prices of futures contracts based on

The prices of futures contracts based on a non -investable non-investable index such as the VIX may behave differently from the prices of futures contracts whose settlement price is based on a tradeable asset.

As noted, the Fund is benchmarked against

As noted, the Fund is benchmarked against an underlying index of VIX short -term short-term futures contracts. The value of a VIX futures contract is based on the expected value of the VIX at a future point in time, specifically the expiration date of the VIX futures contract. Therefore, a VIX futures contract represents the forward implied volatility of the VIX, and the forward implied volatility of the S&P 500, over the 30 -day 30-day period following the expiration of such contract. As a result, a change in the VIX today will not necessarily result in a corresponding movement in the price of VIX futures contracts since the price of the VIX futures contracts is based on expectations of the performance of the VIX at a future point in time. For example, a VIX futures contract purchased in March that expires in May, in effect, is a forward contract on what the level of the VIX, as a measure of 30 -day 30-day implied volatility of the S&P 500, will be on the May expiration date. The forward volatility reading of the VIX may not correlate directly to the current volatility reading of the VIX because the implied volatility of the S&P 500 at a future expiration date may be different from the current implied volatility of the S&P 500. As a result, the Index and the Fund should be expected to perform very differently from the VIX over all periods of time.

Any increase or decrease in the level of the VIX may impact

The potential gains of short exposure to

Any increase or decrease in the level of the VIX may impact Fund performance The potential gains of short exposure to VIX futures contracts is limited due to significant and unexpected reversals in the level of the VIX and corresponding VIX futures contracts which will have a negative impact on the performance of the Fund. Additionally, rebalancing during these reversals can significantly increase costs and negatively impact performance of the Fund.

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The Fund invests in or has exposure to VIX

The Fund invests in or has exposure to VIX futures contracts and is subject to risks related to "rolling" such futures contracts, which is the process by which the Fund closes out a futures position prior to its expiration month and purchases an identical futures contract with a later expiration date. The Fund does not intend to hold futures contracts through expiration, but instead intends to "roll" its positions as they approach expiration. The contractual obligations of a buyer or seller holding a futures contract to expiration may be satisfied by settling in cash as designated in the contract specifications. As explained further below, the price of futures contracts further from expiration may be higher (a condition known as "contango") or lower (a condition known as "backwardation"), which can impact the Fund's returns.

When the market for these futures contracts

When the market for these futures contracts is such that the prices are higher in the more distant delivery months than in the nearer delivery months, the sale during the course of the "rolling process" of the more nearby futures contract would take place at a price that is lower than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as "contango." Alternatively, when the market for these contracts is such that the prices are higher in the nearer months than in the more distant months, the sale during the course of the "rolling process" of the more nearby futures contract would take place at a price that is higher than the price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as "backwardation." The presence of contango in the relevant futures contracts at the time of rolling would be expected to positively affect the Fund. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Fund.

There have been extended periods in which

There have been extended periods in which contango or backwardation has existed in the VIX futures contract markets, and such periods may occur in the future. These extended periods have in the past, and may in the future, cause significant and sustained losses. Additionally, because of the frequency with which the Fund may roll futures contracts, the impact of such contango or backwardation on Fund performance may be greater than it would have been if the Fund rolled futures contracts less frequently.

Longer dated VIX futures contracts have often

Longer dated VIX futures contracts have often traded at higher prices than shorter dated VIX futures contracts and the VIX index. This upward sloping VIX futures term structure is referred to as contango. In at least 1,036 of the 1,259 trading session between Jan 1, 2015 and December 31, 2019 the VIX futures contracts traded in contango.

The value of the Shares of the Fund relates directly to

the value of, the Shares of the Fund relates directly to the value of, and realized gain or loss from, the Financial Instruments and other assets held by the Fund. Fluctuations in the price of these Financial Instruments or assets could materially adversely affect an investment in the Shares.

Several factors may affect the price and/or

Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by the Fund, including, but not limited to:

● Prevailing market prices and forward volatility levels

• Prevailing market prices and forward volatility levels of the U.S. and global stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts;

● Inflation rates and investors' expectations concerning inflation rates;

● Economic, financial, political, regulatory, geographical,

• Economic, financial, political, regulatory, geographical, judicial and other events that affect the level of the Index or the market price or forward volatility of the U.S. and global stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX;

● Supply and demand as well as hedging activities in the listed and over -the-counter ("OTC") equity derivatives markets;

listed and over-the-counter ("OTC") equity derivatives markets;

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● Disruptions in trading of the S&P 500, futures contracts

on the S&P 500 or options on the S&P 500

● The level of contango or backwardation in the VIX futures

contracts market; and

● The trading activity of other funds following similar

indexes or trading similar strategies

Each of these factors could have a negative

• Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500 • The level of contango or backwardation in the VIX futures contracts market; and • The trading activity of other funds following similar indexes or trading similar strategies Each of these factors could have a negative impact on the value of the Fund. These factors interrelate in complex ways, and the effect of one factor on the market value of the Fund may offset or enhance the effect of another factor.

Margin requirements for VIX futures contracts and position

Margin requirements for VIX futures contracts and position limits imposed by FCMs and Exchanges may limit the Fund's ability to achieve sufficient exposure and prevent the Fund from achieving its investment objective.

The term "margin" refers to the

The term "margin" refers to the minimum amount the Fund must deposit and maintain with its FCM in order to establish an open position in futures contracts. 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.

When the Fund has an open futures contract

position, it is subject to daily variation margin calls by an FCM that could be substantial in the event of adverse price movements.

When the Fund has an open futures contract position, it is subject to 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 involve a high degree of leverage. A fund with open positions is subject to maintenance or variance margin on its open positions. If the 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 the Fund's NAV.

Futures markets are highly volatile and the use of or exposure to futures contracts may increase volatility of the Fund's NAV.

VIX futures contracts in particular have

VIX futures contracts in particular have been subject to periods of sudden and extreme volatility. As a result, margin requirements for VIX futures contracts are higher than those for most other types of futures contracts. In addition, the FCMs utilized by the Fund may impose margin requirements in addition to those imposed by the exchange. Margin requirements are subject to change, and may be raised in the future by either or both the exchange and the FCMs. High margin requirements could prevent the Fund from obtaining sufficient exposure to VIX futures contracts and may adversely affect the Fund's ability to achieve its investment objective. An FCM's failure to return required margin to the Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, postpone or limit the right of redemption.

Futures contracts are subject to liquidity

Futures contracts are subject to liquidity risk. Certain of the FCMs utilized by the Fund may impose their own "position limits" on the Fund. Position limits restrict the amount of exposure to futures contracts the Fund can obtain through such FCMs. As a result, the Fund may need to transact through a number of FCMs to achieve its investment objective. If enough FCMs are not willing to transact with the Fund, or if the position limits imposed by such FCMs do not provide sufficient exposure, the Fund may not be able to achieve its investment objective.

The Index may underperform other asset classes and may

The Index may underperform other asset classes and may underperform other indices or benchmarks based upon VIX futures contracts, which can have an adverse impact on the value of the Fund's shares.

The Fund is linked to an Index maintained

The Fund is linked to an Index maintained by a third -party third-party provider unaffiliated with the Fund or the Sponsor. There can be no guarantee or assurance that the methodology used by the third -party third-party provider to create the Index will result in the Fund achieving high, or even positive, returns. Further, there can be no guarantee that the methodology underlying the Index or the daily calculation of the Index will be free from error. It is also possible that third parties may attempt to manipulate the value of the Index or the VIX. The Index may underperform other asset classes and may underperform other indices or benchmarks based upon the VIX futures contracts. Each of these factors could have a negative impact on the performance of the Fund.

It is also possible that third parties may attempt to manipulate the value of the Index or the VIX. The Index may underperform other asset classes and may underperform other indices or benchmarks based upon the VIX futures contracts. Each of these factors could have a negative impact on the performance of the Fund.

Calculation of a benchmark may not be possible

Calculation of a benchmark may not be possible or feasible under certain events or circumstances that are beyond the reasonable control of the Sponsor, which in turn may adversely impact both the benchmark and/or the value of the Shares as applicable. Additionally, benchmark calculations are subject to error and may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies, which may have an adverse effect on the value of the Shares.

In addition, the CBOE can make methodological

In addition, the CBOE can make methodological changes to the calculation of the VIX that could affect the value of VIX futures contracts and, consequently, the value of the Fund's Shares. There can be no assurance that the CBOE will not change the VIX calculation methodology in a way which may affect the value of the Fund's Shares. The CBOE may also alter, discontinue or suspend calculation or dissemination of the VIX and/or exercise settlement value. S&P Dow Jones Indices may also make changes to the equity securities underlying the S&P 500 or the futures contracts included in the Index, or make other methodological changes that could change the level of the S&P 500. Any of these actions could adversely affect the value of the Fund's Shares.

It may not be possible to gain exposure to the Index using exchange-traded Financial Instruments.

exchange-traded Financial Instruments.

The Fund intends to utilize exchange-traded

and 2 more changes in the filing

Risks Related to Regulation and Federal Income Tax Consequences 62 changes

Shareholders do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act.

ownership of shares in an investment company registered under the 1940 Act.

The Fund is not subject to registration or

The Fund is not subject to registration or regulation under the 1940 Act. Consequently, shareholders do not have the regulatory protections provided to investors in investment companies registered under the 1940 Act. These protections include, but are not limited to, provisions in the 1940 Act that limit transactions with affiliates, prohibit the suspension of redemptions (except under limited circumstances), require a board of directors that must include disinterested directors, limit leverage, impose a fiduciary duty on the fund's managers with respect to the receipt of compensation for services, require shareholder approval for certain fundamental changes, limit sales loads, and require proper valuation of fund assets.

Shareholders' tax liability will exceed cash distributions on the Shares.

Shareholders of the Fund are subject to U.S.

Shareholders of the Fund are subject to U.S. federal income taxation and, in some cases, state, local, or foreign income taxation on their share of the Fund's taxable income, whether or not they receive cash distributions from the Fund. The Fund does not currently expect to make distributions with respect to capital gains or ordinary income. Accordingly, shareholders of the Fund will not receive cash distributions equal to their share of the Fund's taxable income or the tax liability that results from such income. A Fund's income, gains, losses and deductions are allocated to shareholders on a monthly basis. If you own Shares in the Fund at the beginning of a month and sell them during the month, you are generally still considered a shareholder through the end of that month.

The U.S. Internal Revenue Service (the "IRS")

The U.S. Internal Revenue Service (the "IRS") could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Fund.

U.S. federal income tax rules applicable

U.S. federal income tax rules applicable to partnerships, which the Fund is anticipated to be treated as under the Internal Revenue Code of 1986, as amended (the "Code"), are complex and their application is not always clear. Moreover, the rules generally were not written for, and in some respects are difficult to apply to, publicly traded interests in partnerships. The Fund applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit to shareholders in a manner that reflects the shareholders' economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Regulations (as defined below). It is possible therefore that the IRS will successfully assert that these assumptions or conventions do not satisfy the technical requirements of the Code or the Treasury regulations promulgated thereunder (the "Regulations") and will require that items of income, gain, deduction, loss and credit be adjusted or reallocated in a manner that could be adverse to investors.

Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns.

on Schedule K-1, which could increase the complexity of tax returns.

The partner information tax returns on Schedule

The partner information tax returns on Schedule K -1 , K-1, which the Fund will distribute to shareholders, will contain information regarding the income items and expense items of the Fund. If you have not received Schedule K -1s K-1s from other investments, you may find that preparing your tax return may require additional time, or it may be necessary for you to retain an accountant or other tax preparer, at an additional expense to you, to assist you in the preparation of your return.

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Under current law, long-term capital gains

Under current law, long -term capital gains are taxed to non -corporate non-corporate investors at reduced U.S. federal income tax rates. This tax treatment may be adversely affected, changed or repealed by future changes in, or the expiration of, tax laws at any time.

Shareholders of the Fund may recognize significant amounts of ordinary income and short-term capital gain.

of ordinary income and short-term capital gain.

Due to the investment strategy of the Fund,

Due to the investment strategy of the Fund the Fund may realize and pass through to shareholders significant amounts of ordinary income and short -term short-term capital gains as opposed to long -term long-term capital gains, which generally are taxed at a preferential rate. The Fund's income, gains, losses and deductions are allocated to shareholders on a monthly basis. If you own Shares in the Fund at the beginning of a month and sell them during the month, you are generally still considered a shareholder through the end of that month.

Changes in U.S. federal income tax law could affect an investment in the Shares.

investment in the Shares.

Recently enacted legislation commonly known

Recently enacted legislation commonly known as the "Tax Cuts and Jobs Act" has made significant changes to U.S. federal income tax rules. As of the date of this registration statement, the long -term long-term impact of the Tax Cuts and Jobs Act, including on the Shares, is unclear. Prospective investors are urged to consult their tax advisors regarding the effect of the Tax Cuts and Jobs Act prior to investing in the Shares.

PROSPECTIVE INVESTORS ARE STRONGLY URGED

PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISORS AND COUNSEL WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN THE SHARES OF THE FUND; SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.

Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Fund.

of new legislation, may alter the operations and profitability of the Fund.

The U.S. derivatives markets and market participants

The U.S. derivatives markets and market participants have been subject to comprehensive regulation, not only by the CFTC but also by self -regulatory self-regulatory organizations, including the NFA and the exchanges on which the derivatives contracts are traded and/or cleared. As with any regulated activity, changes in regulations may have unexpected results. For example, changes in the amount or quality of the collateral that traders in derivatives contracts are required to provide to secure their open positions, or in the limits on number or size of positions that a trader may have open at a given time, may adversely affect the ability of the Fund to enter into certain transactions that could otherwise present lucrative opportunities. Considerable regulatory attention has been focused on non -traditional non-traditional investment pools which are publicly distributed in the United States. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in the Fund or the ability of the Fund to continue to implement its investment strategy.

In addition, the SEC, CFTC and the exchanges

In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps, forwards and futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.

The regulation of swaps, forwards and futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.

In particular, the Dodd-Frank Wall Street

In particular, the Dodd -Frank Wall Street Reform and Consumer Protection Act (the "Dodd -Frank "Dodd-Frank Act") has made and will continue to make sweeping changes to the way in which the U.S. financial system is supervised and regulated. Title VII of the Dodd -Frank Dodd-Frank Act sets forth a legislative framework for OTC derivatives, including certain Financial Instruments, such as swaps, in which the Fund may invest. Title VII of the Dodd -Frank Dodd-Frank Act makes broad changes to the OTC derivatives market, grants significant new authority to the SEC and the CFTC to regulate OTC derivatives and market participants, and, pursuant to regulations that have been and will continue to be adopted by the regulators, requires the clearing and exchange trading of many types of OTC derivatives transactions.

Pursuant to regulations adopted by the CFTC,

Pursuant to regulations adopted by the CFTC, swap dealers are required to be registered and are subject to various regulatory requirements, including, but not limited to, margin, recordkeeping, reporting and various business conduct requirements, as well as proposed minimum financial capital requirements.

Pursuant to the Dodd-Frank Act, regulations

Pursuant to the Dodd -Frank Act, regulations adopted by the CFTC and the federal banking regulators that are now in effect require swap dealers to post and collect variation margin (comprised of specified liquid instruments and subject to a required haircut) in connection with trading of OTC swaps with the Fund. These requirements may increase the amount of collateral the Fund is required to provide and the costs associated with providing it.

OTC swap agreements submitted for clearing

OTC swap agreements submitted for clearing are subject to minimum initial and variation margin requirements set by the relevant clearing house, as well as margin requirements mandated by the CFTC, SEC and/or federal banking regulators. Swap dealers also typically demand the unilateral ability to increase the Fund's collateral requirements for cleared swap agreements beyond any regulatory and clearing house minimums. Such requirements may make it more difficult and costly for investment funds, such as the Fund, to enter into customized transactions. They may also render certain strategies in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Fund decides to execute swap agreements through such exchanges or execution facilities, the Fund would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility.

With respect to cleared OTC derivatives,

With respect to cleared OTC derivatives, the Fund will not face a clearing house directly but rather will do so through a swap dealer that is registered with the CFTC or SEC and that acts as a clearing member. A Fund may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. This risk could arise due to a default by the clearing member on its obligations to the clearing house triggered by a customer's failure to meet its obligations to the clearing member.

Swap dealers also are required to post margin

Swap dealers also are required to post margin to the clearing houses through which they clear their customers' trades instead of using such margin in their operations, as was widely permitted before Dodd -Frank . Dodd-Frank. This has increased and will continue to increase the swap dealers' costs, and these increased costs are generally passed through to other market participants such as the Fund in the form of higher upfront and mark -to-market mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.

While certain regulations have been promulgated

While certain regulations have been promulgated and are already in effect, the full impact of the Dodd -Frank Dodd-Frank Act on the Fund remains uncertain. The legislation and the related regulations that have been and may be promulgated in the future may negatively impact the Fund's ability to meet its investment objective either through limits on its investments or requirements imposed on it or any of its counterparties. In particular, new requirements, including capital requirements and mandatory clearing of OTC derivatives transactions, which may increase derivative counterparties' costs and are expected to generally be passed through to other market participants in the form of higher upfront and mark -to-market mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing house account maintenance fees, may increase the cost of the Fund's investments and the cost of doing business, which could adversely affect investors.

Regulatory and exchange accountability

Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust.

Many U.S. commodities exchanges limit the

Many U.S. commodities exchanges limit the amount of fluctuation permitted in futures contract prices during a single trading day by regulations referred to as "daily price fluctuation limits" or "daily limits." 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 periods during the trading day. In addition, the CFTC, U.S. futures exchanges and certain non -U .S. non-U.S. exchanges have established limits referred to as "speculative position limits" or "accountability levels" on the maximum net long or short futures positions that any person may hold or control in derivatives traded on such exchanges.

In connection with these limits, the Dodd-Frank

In connection with these limits, the Dodd -Frank Act has required the CFTC to adopt regulations establishing speculative position limits applicable to regulated futures and OTC derivatives and impose aggregate speculative position limits across regulated U.S. futures, OTC positions and certain futures contracts traded on non -U .S. non-U.S. exchanges. In December 2016, the CFTC re -proposed re-proposed rules on position limits with respect to the 25 physical delivery commodity futures and options contracts, as well as to swaps that are economically equivalent to such contracts. The re -proposed re-proposed position limits would apply with respect to contracts traded on all U.S. and certain foreign exchanges on an aggregate basis. In addition, the CFTC proposed amendments to the requirement of U.S. commodities exchanges to establish corresponding speculative position limits (the "Position Limit Rules"). The re -proposed re-proposed Position Limit Rules are based on the position limit rules previously proposed in 2013 by the CFTC. In December 2016, the CFTC also adopted final regulations requiring that all accounts owned or managed by an entity that is responsible for such accounts' trading decisions, their principals and their affiliates would be aggregated for position limit purposes. The CFTC is expected to reconsider the re -proposed re-proposed Position Limit Rules in 2019.

Although it is unclear what future position

Although it is unclear what future position limit rules will be, the Sponsor and the Sub -Adviser Sub-Adviser are subject to current position and accountability limits established by the CFTC and exchanges. Accordingly, it may be required to reduce the size of outstanding positions or not enter into new positions that would otherwise be taken for the Fund or not trade certain markets on behalf of the Fund in order to comply with those limits or any futures limits established by the CFTC and the relevant exchanges. Derivatives contract prices could move to a limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of derivatives positions and potentially subjecting the Fund to substantial losses or periods in which the Fund does not create additional Creation Units. Modification of trades made by the Trust, if required, could adversely affect the Trust's operations and profitability and limit the Trust's ability to reinvest income in additional contracts, create additional Creation Units, or add to existing positions in the desired amount.

In addition, the Sponsor or the Sub-Adviser

In addition, the Sponsor or the Sub -Adviser may be required to liquidate certain open positions in order to ensure compliance with the speculative position limits at unfavorable prices, which may result in substantial losses for the Fund. There also can be no assurance that the Sponsor or Sub -Adviser Sub-Adviser will liquidate positions held on behalf of all the Sponsor's or Sub -Adviser 's Sub-Adviser's accounts, respectively, including any proprietary accounts, in a proportionate manner. In the event the Sponsor or Sub -Adviser Sub-Adviser chooses to liquidate a disproportionate number of positions held on behalf of the Fund at unfavorable prices, the Fund may incur substantial losses and the value of the Shares may be adversely affected.

Further, in October 2012, CFTC rules became

Further, in October 2012, CFTC rules became effective, which require each registered FCM to establish risk -based risk-based limits on position and order size. As a result, the Trust's FCMs may be required to reduce their internal limits on the size of the positions they will execute or clear for the Fund, and the Trust may seek to use additional FCMs, which may increase the costs for the Fund and adversely affect the value of the Shares.

The Trust may apply to the CFTC or to the

The Trust may apply to the CFTC or to the relevant exchanges for relief from certain position limits. If the Trust is unable to obtain such relief, the Fund's ability to issue new Creation Units, or the Fund's ability to reinvest income in additional futures contracts, may be limited to the extent these activities cause the Trust to exceed applicable position limits. Limiting the size of the Fund may affect the correlation between the price of the Shares, as traded on an exchange, and the net asset value of the Fund. Accordingly, the inability to create additional Creation Units or add to existing positions in the desired amount could result in Shares trading at a premium or discount to NAV.

Forward-looking statements 3 changes

This Prospectus and the documents incorporated

by reference in this Prospectus contain "forward-looking statements" that are subject to risks and uncertainties.

This Prospectus and the documents incorporated by reference in this Prospectus contain "forward -looking statements" within the meaning of Section 27A of the Securities Act of 1933, as amended (the "1933 Act") and Section 21E of the Securities Exchange Act of 1934, as amended (the "1934 Act") that are subject to risks and uncertainties. Investors can identify these forward -looking forward-looking statements by the use of expressions such as "may," "will," "expect," "anticipate," "believe," "intend," "plan," "project," "should," "estimate", "seek" or any negative or other variations on such expression. These forward -looking forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in "Risk Factors" and elsewhere in this Prospectus and the documents incorporated by reference in this Prospectus, and unknown, that could cause the actual results, performance, prospects or opportunities of the Fund to differ materially from those expressed in, or implied by, these forward -looking forward-looking statements.

The Short VIX Futures Index 53 changes

The Short VIX Futures Index is an excess

The Short VIX Futures Index is an excess return index designed to express the daily inverse performance of a theoretical portfolio of first and second month VIX futures contracts that are rolled daily. The theoretical portfolio consists of the two nearest term monthly VIX futures contracts that are rolled daily so that the nearest month VIX futures contract is rolled to the second nearest month VIX futures contracts in equal daily fractional amounts. This portfolio rolling seeks to maintain a constant weighted average time to maturity of approximately one month.

The Index is designed to exhibit a reduced

The Index is designed to exhibit a reduced sensitivity to instantaneous price fluctuations in the VIX futures contracts by determining its daily settlement price from the Time Weighted Average Price (TWAP) of its theoretical portfolio of futures during the last 15 minutes of NYSE's regular trading session, rather than from the VIX futures' settlement price.

The Index is sponsored

by Cboe Global Indexes (the "Index Sponsor"). The Index Sponsor is not a registered broker-dealer, but is affiliated with a broker-dealer. The Index Sponsor has implemented and will maintain a fire wall with respect to its relevant personnel regarding access to information concerning the composition and/or changes to the Index. In addition, the Index Sponsor has implemented and will maintain procedures around the relevant personnel that are designed to prevent the use and dissemination of material, non-public information regarding the Index.

These rules and the formula may be changed from time to time, and without notice by the Sponsor, S&P, and/or the CBOE.

from time to time, and without notice by the Sponsor, S&P, and/or the CBOE.

The Index is calculated according to the following methodology:

following methodology:

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On any Business Day ( t ) when the Index is calculated, the Index value is determined as follows:

is calculated, the Index value is determined as follows:

Business Day ( t ) is defined as any day when the CFE market is open.

day when the CFE market is open.

index t = The Index Settlement value on any Business Day (t) the Index is calculated.

value on any Business Day (t) the Index is calculated.

index t = 1 = The Index Settlement value on the preceding Business Day (t -1 ). (t-1).

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and 36 more changes in the filing

Information about the Index Licensor 4 changes

and 4 more changes in the filing

Investment Objective 13 changes

and 13 more changes in the filing

Principal Investment Strategies 99 changes

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

and 99 more changes in the filing

Performance of the offered commodity pool operated by the commodity pool operator 2 changes

and 2 more changes in the filing

MD&A 2 changes

and 2 more changes in the filing

Breakeven Table 26 changes

3 unchanged paragraphs

1 unchanged paragraph

3 unchanged paragraphs

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

and 26 more changes in the filing

Material u.s. federal income tax considerations 26 changes

7 unchanged paragraphs

1 unchanged paragraph

3 unchanged paragraphs

and 26 more changes in the filing

Status of the Fund 13 changes

and 13 more changes in the filing

U.S. Shareholders 134 changes

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

and 134 more changes in the filing

General pool disclosure 2 changes

and 2 more changes in the filing

Use of proceeds 5 changes

and 5 more changes in the filing

Who may subscribe 2 changes

and 2 more changes in the filing

Creation and redemption of shares 24 changes

and 24 more changes in the filing

Creation Procedures 19 changes

1 unchanged paragraph

2 unchanged paragraphs

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and 19 more changes in the filing

Redemption Procedures 20 changes

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

and 20 more changes in the filing

Creation and Redemption Transaction Fee 3 changes

and 3 more changes in the filing

Special Settlement 2 changes

and 2 more changes in the filing

Inception of Trading 2 changes

and 2 more changes in the filing

Litigation 4 changes

and 4 more changes in the filing

Description of the shares; the fund; certain material terms of the trust agreement 2 changes

and 2 more changes in the filing

Description of the Shares 4 changes

and 4 more changes in the filing

Principal Office; Location of Records; Fiscal Year 9 changes

and 9 more changes in the filing

The Trustee 11 changes

and 11 more changes in the filing

The Sponsor 46 changes

2 unchanged paragraphs

1 unchanged paragraph

and 46 more changes in the filing

Duties of the Sponsor 10 changes

and 10 more changes in the filing

Ownership or Beneficial Interest in the Fund 123 changes

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and 123 more changes in the filing

FCMs 10 changes

and 10 more changes in the filing

Material contracts 4 changes

1 unchanged paragraph

and 4 more changes in the filing

Fund Administration Servicing Agreement and Fund Sub-Administration Servicing Agreement 10 changes

1 unchanged paragraph

and 10 more changes in the filing

Fund Accounting Servicing Agreement 2 changes

and 2 more changes in the filing

Custody Agreement 6 changes

and 6 more changes in the filing

Marketing Agent Agreement 4 changes

and 4 more changes in the filing

Purchases by employee benefit plans 23 changes

and 23 more changes in the filing

General 10 changes

and 10 more changes in the filing

Legal matters 6 changes

and 6 more changes in the filing

Experts 3 changes

and 3 more changes in the filing

Where investors can find more information 3 changes

and 3 more changes in the filing

Recent financial information and annual reports 3 changes

and 3 more changes in the filing

The Trust's Commitment to Investors 2 changes

and 2 more changes in the filing

The Information the Trust Collects About Investors 3 changes

and 3 more changes in the filing

How the Trust Handles Investors' Personal Information 4 changes

and 4 more changes in the filing

How the Trust Safeguards Investors' Personal Information 4 changes

and 4 more changes in the filing

Incorporation by reference of certain documents 12 changes

4 unchanged paragraphs

and 12 more changes in the filing

Futures commission merchants 6 changes

and 6 more changes in the filing

Litigation and Regulatory Disclosure Relating to FCMs 27 changes

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

and 27 more changes in the filing

Margin Levels Expected to be Held at the FCMs 4 changes

1 unchanged paragraph

and 4 more changes in the filing

Exhibits 1 change

1 unchanged paragraph

20 unchanged paragraphs

and 1 more change in the filing

Undertakings 32 changes

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

1 unchanged paragraph

3 unchanged paragraphs

2 unchanged paragraphs

and 32 more changes in the filing