VS Trust: securities offering

Cover page 218 changes

confidentially submitted to the U.S. Securities and Exchange Commission on July 13, 2020, as a draft registration statement. This draft registration statement has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

ea125902-s1_vstrust.htm

REGISTRATION STATEMENT

Registration No. 333-

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(Exact name of registrant as specified in its charter)

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(Primary Standard Industrial

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

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: ☒ 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. ☐ 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. ☐ 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. ☐ by check mark whether the registrant is a large accelerated filer, an accelerated filer, a 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

100 S. Bedford Road, Suite 340

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

number, including area code, of

registrant's principal executive

Volatility Shares LLC

100 S. Bedford Road, Suite 340

(Name, address, including zip code, and

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

c/o Chapman and Cutler LLP

1717 Rhode Island Avenue NW

Washington, DC 20036

c/o Chapman and Cutler LLP

111 West Monroe Street

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: ☒

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

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

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 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.

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Long VIX Futures ETF Common Units of Beneficial Interest

solely for the purpose of calculating the registration fee in accordance with Rule 457(d) under the Securities Act of 1933, as amended ("1933 Act").

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.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities of Securities to be Registered Act. ☐

CALCULATION OF REGISTRATION FEE

Title of Securities to be Registered

-1x Short VIX Futures ETF

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2x Long VIX Futures ETF

Fund seeks daily investment results, before fees and expenses, that correspond to twice the performance of the Long VIX Futures

AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN DIRECTION FROM TWICE (2X) A PORTFOLIO OF VIX FUTURES CONTRACTS FOR THE SAME

(1) Estimated solely for the purpose of calculating the registration fee in accordance with Rule 457(d) under the Securities Act of 1933, as amended ("1933 Act").

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.

Units of Beneficial Interest

Title of Securities to be Registered

Proposed Maximum Aggregate

-1x Short VIX Futures ETF (SVIX)

Long Short VIX Futures Index

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

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 2x Long -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,

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

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

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

Fund is not benchmarked to twice (2x) 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 twice (2x) the inverse (-1x) of the performance of the VIX, over any period.

VIX over any period.

The Fund continuously offers and redeems

Fund continuously offers and redeems Shares in blocks of at least 5,000 10,000 Shares (each such block, a "Creation Unit") at an initial price per Share of $15.

at an initial price per Share of $15. 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

Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility Shares LLC (the "Sponsor"). Shares are offered on a continuous basis to Authorized Participants in Creation Units at 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

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

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.

INVESTING IN THE SHARES INVOLVES

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

THE FUND PRESENTS SIGNIFICANT RISKS NOT

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

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

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

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

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and 138 more changes in the filing

Risk factors 199 changes

Specific to the Fund

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

Note Regarding Recent Market Events

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.

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.

following chart shows the performance of the Index from the first full month after the date of inception on [August 1, 2020] through the October 31, 2020.

inception on [August 1, 2020]

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 twice the VIX or twice a portfolio of short-term VIX futures contracts over the same period.

Fund's investment objective is to seek daily investment results, before fees and expenses, that track twice (2x) the daily performance of the Index, which is a theoretical portfolio of long positions in 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 twice (2x) the performance of either the VIX or a portfolio of 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.

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, 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.

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.

effects are caused by compounding, which exists in all investments, but has a more significant impact in leveraged 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 twice (2x) the performance of either the VIX or a portfolio of 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.

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.

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

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.

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

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.

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 to the next.

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.

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.

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

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 Commodity 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 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.

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.

illiquid markets may cause or exacerbate losses.

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.

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.

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

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 or similar securities. These fees and expenses have a negative impact on Fund returns.

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.

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 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.

the Index is a relatively new index - with an inception date of [August 1, 2020] - 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.

Fund may be subject to counterparty risks.

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.

are generally traded in over-the-counter ("OTC") markets and have only recently become subject to comprehensive regulation in the United States. 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).

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 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 swap dealers," "major swap participants," and "major 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 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.

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.

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.

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.

addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a 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.

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

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.

Related to the Fund's Investments in Options

in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions.

potential profit is limited to the premium received for the contract. The potential loss is often unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, the Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options the Fund risks losing the premium paid, plus commissions and fees.

Fund may change its investment objective, Index and strategies at any time.

Sponsor has the authority to change the Fund's investment objective, Index or investment strategy at any time without shareholder approval. Although such changes may be subject to applicable regulatory approvals, the Sponsor may determine to operate the Fund in accordance with its new investment objective, Index or strategy while those approvals are pending. Changes in the Fund's investment objective, Index or strategy, may occur without shareholder approval and with limited advance notice to shareholders and may expose shareholders to losses on their investments in the Fund.

change to the investment objective, Index or strategies or the liquidation of the Fund could occur at a time that is disadvantageous to shareholders. When the Fund's assets are sold as part of the Fund's liquidation, the resulting proceeds distributed to shareholders may be less than those that may be realized in a sale outside of a liquidation context.

Fund may be liquidated at any time, including a time that is disadvantageous to shareholders.

Sponsor has the authority to liquidate the Fund at any time without shareholder approval. There is also the risk that the Fund will liquidate shortly after the Fund has suffered sudden and substantial losses as a result of volatile markets. Liquidation of the Fund may occur without shareholder approval and with limited advance notice to shareholders and may expose shareholders to losses on their investments in the Fund. Liquidation of the Fund could occur at a time that is disadvantageous to shareholders.

When the Fund's assets are sold as part of the Fund's liquidation, the resulting proceeds distributed to shareholders may be less than those that may be realized in a sale outside of a liquidation context.

Fund uses investment techniques that may be considered aggressive.

investment techniques of the Fund, such as its use of Financial Instruments, may be considered aggressive. Risks associated with Financial Instruments include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying Reference Asset. The use of Financial Instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

correlation trends between the Index and other asset classes may not continue or may reverse, limiting or eliminating any potential diversification or other benefit from owning the Fund.

the extent that an investor purchases the Fund seeking diversification benefits based on the historic correlation (whether positive or negative) between the Fund or the Index and other asset classes, such historic correlation may not continue or may reverse itself. In this circumstance, the diversification or other benefits sought may be limited or non-existent. The diversification or other benefits sought by an investor in the Fund may also become limited or cease to exist if the Sponsor determines to change the Fund's benchmark or otherwise modify the Fund's investment objective or strategy.

lack of active trading markets for the Shares may result in losses upon the sale or disposition of such Shares.

the Shares are publicly listed and traded on the Exchange, there can be no guarantee that an active trading market for the Shares will develop or be maintained. If investors need to sell their Shares at a time when an active market for such Shares does not exist, the price investors receive for their Shares, assuming that investors are able to sell them at all, likely will be lower than the price that investors would receive if an active market did exist.

may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under certain circumstances.

Fund may, in its discretion, suspend the right of creation or redemption or may postpone the redemption or purchase settlement date, for (1) any period during which the Exchange or any other exchange, marketplace or trading center, deemed to affect the normal operations of the Fund, is closed, or when trading is restricted or suspended on such exchanges in the Fund's futures contracts, (2) any period during which an emergency exists as a result of which the fulfilment of a purchase order or the redemption distribution is not reasonably practicable, or (3) such other period as the Sponsor determines to be necessary for the protection of the shareholders of the Fund. In addition, the Fund will reject a redemption order if the order is not in proper form as described in the Authorized Participant Agreement or if the fulfilment of the order might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant's redemption proceeds if the NAV of the Fund declines during the period of delay.

The Fund disclaims any liability for any loss or damage that may result from any such suspension or postponement. Suspension of creation privileges may adversely impact how the Shares are traded and arbitraged on the secondary market, which could cause them to trade at levels materially different (premiums and discounts) from the fair value of their underlying holdings.

NAV per Share may not correspond to the market price per Share.

NAV per Share of the Fund changes as fluctuations occur in the market value of the Fund's portfolio. Investors should be aware that the public trading price per Share of the Fund may be different from the NAV per Share of the Fund ( i.e. , the secondary market price may trade at a premium or discount to NAV). The price at which an investor may be able to sell Shares at any time, especially in times of market volatility, may be significantly less than the NAV per Share of the Fund at the time of sale. Consequently, an Authorized Participant may be able to create or redeem a Creation Unit of the Fund at a discount or a premium to the public trading price per Share of the Fund.

Fund registers a fixed Share value with the SEC. As it continuously issues Shares, the amount of value that the Fund registered goes down. Because the Fund cannot, by regulation, offset that loss in registered Share value through redemptions of Shares. That means that the registered Share value amount will continue to go down until the Fund registers more Share value with the SEC.

There is the risk that if the Fund does not effectively register more Share value before the registered Share value amount drops to $0, the Fund will have to delay the issuance of new Shares until its registration statement offering more Share value becomes effective. Any such delay is likely to cause a supply/demand imbalance for Fund shares - that is, there will be greater demand for Shares than there is supply. This, in turn, will likely result in a Share premium, meaning that the market price for Shares will be higher than the Fund's NAV per Share.

Participants or their customers may have an opportunity to realize a profit if they can purchase a Creation Unit at a discount to the public trading price of the Shares of the Fund or can redeem a Creation Unit at a premium over the public trading price of the Shares of the Fund. The Sponsor expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price to track the NAV per Share of the Fund closely over time.

who purchase Shares in the secondary market and pay a premium purchase price over the Fund's indicative optimized portfolio value ("IOPV") could incur significant losses in the event such investor sells the Fund Shares at a time when such premium is no longer present in the marketplace.

the NAV of a Share may not correspond to its market price due to differences in timing. NAV is typically calculated as of 4:00 p.m. (Eastern Time). The Shares of the Fund trade on the Exchange during the hours the Exchange is open for trading, typically from 9:30 a.m. to 4:00 p.m. (Eastern Time).

may be adversely affected by an overstatement or understatement of the Fund's NAV due to the valuation method employed or errors in the NAV calculation.

normal circumstances, the NAV of the Fund reflects the value of the Financial Instruments held by the Fund, as of the time the NAV is calculated. The NAV of the Fund includes, in part, any unrealized profits or losses on open Financial Instrument positions.

Additionally, in calculating the NAV of the Fund, VIX futures contracts are valued using the Time Weighted Average Price (TWAP) of the futures during the last 15 minutes of NYSE's regular trading session, rather than from the VIX futures' settlement price. In certain circumstances ( e.g. , if the Sponsor believes market quotations do not accurately reflect fair value of an investment, or a trading halt closes an exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market value of such position for such day. The fair value of an investment determined by the Sponsor may be different from other value determinations of the same investment. Such fair value prices generally would be determined based on available inputs about the current value of the underlying Reference Assets and would be based on principles that the Sponsor deems fair and equitable. Errors in calculation of the Fund's NAV also may cause the Fund NAV to be overstated or understated and may affect the performance of the Fund and the value of an investment in the Shares.

number of underlying components included in the Index may impact volatility, which could adversely affect an investment in the Shares.

Index for the Fund is concentrated solely in VIX futures contracts. Investors should be aware that other volatility indexes may be more diversified in terms of both the number and variety of instruments included or in terms of the volatility exposure offered.

and 119 more changes in the filing

Forward-looking statements 14 changes

Long VIX Futures Index

Long VIX Futures Index is an excess return index designed to express the performance of a theoretical portfolio of long positions in 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.

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.

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.

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

Index is calculated according to the following methodology:

The Index measures the daily return from

a theoretical portfolio of the two shortest dated VIX monthly futures contracts (m1 and m2) that are rolled daily, such that, the position in the shortest dated VIX monthly futures contract (m1) is rolled into a position in the second shortest dated VIX monthly futures contract (m2) according to the roll schedule resulting from the daily Contract Weight described below.

of the Excess Return Index ( Index ):

any business day ( t ) when the index is calculated, the index value is determined as follows:

= Index t-1 + (PDR t * Index t-1 )

This Prospectus and the documents incorporated

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

Prospectus and the documents incorporated by reference in this Prospectus contain "forward-looking statements" that are subject to risks and uncertainties. Investors can identify these 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 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 statements.

MD&A 232 changes

FINANCIAL CONDITION AND RESULTS OF OPERATIONS

2 unchanged paragraphs

The projected twelve month breakeven analysis

for the Fund is set forth in the Breakeven Table below. For purposes of calculating the amounts in the Breakeven Table for the Fund, the analysis assumes that the constant NAV is equal to the amount shown. This amount is the expected NAV of the Shares on the first day of Fund operations.

Dollar Amount and Percentage of Expenses

Selling price per share

Brokerage commissions and fees (2)

Variable create/redeem fees (3)

Total fees and expenses

Amount of trading income required for the NAV at the end of one year to equal the initial selling price per share (12-Month breakeven) (6) 0.38 2.52 (1) The breakeven analysis set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. This amount is the expected NAV of the Shares on the first day of Fund operations. The actual NAV of the Fund differs and is likely to change on a daily basis. The numbers provided in this chart have been rounded to the nearest 0.01. The breakeven analysis reflects all fees and expenses, including estimated rebalancing expenses that are anticipated to be incurred by the Fund during a year of an investor's investment.

The expenses detailed in the table above include the cost of rolling futures positions and daily rebalancing.

Authorized Participants are generally required to pay variable create and redeem fees of up to 0.20% of the value of each order they place. These variable transaction fees offset brokerage commissions incurred by the Fund and are reflected in "Brokerage commissions and fees." Please see "Creation and Redemption of Shares - Creation and Redemption Transaction Fee."

Other Fund Fees and Expenses are an estimate based on an allocation to the Fund of the total estimated expenses anticipated to be incurred by the Trust on behalf of the Fund, net of any expenses or sponsor fee waived by the Sponsor, and include: Professional fees (primarily legal, auditing and tax-preparation related costs); Custodian and Administrator fees and expenses, Distribution and Marketing fees (primarily fees paid to the Distributor, costs related to regulatory compliance activities and other costs related to the trading activities of the Fund); Business Permits and Licenses; General and Administrative expenses (primarily insurance and printing), and Other Expenses. The expenses presented are based on estimated expenses for the current fiscal year, and do not represent the maximum amounts payable under the contracts with third-party service providers. The per-share cost of these fixed or estimated fees has been calculated assuming that the Fund has $50 million in assets. The Sponsor has assumed an asset level of $50 million because: i) it believes that is an asset level where exchange traded investment products typically become viable over the long term; and ii) the Sponsor has a reasonable expectation to have at least $50 million in its first year of operations. The Sponsor believes that this is a conservative assumption and larger AUM levels are expected to reduce the 12-Month Breakeven. The Sponsor can elect to pay (or waive reimbursement for) certain fees or expenses that would generally be paid by the Fund, although it has no contractual obligation to do so. Any election to pay or waive reimbursement for fees and expenses that would generally be paid by the Fund can be changed at the discretion of the Sponsor.

Based on applying the average three month Treasury Bill rate for the quarter ended September 30, 2020.

Investors may pay customary brokerage commissions in connection with purchases of the Shares. Because such brokerage commission rates will vary from investor to investor, such brokerage commissions have not been included in the Breakeven Table. Investors are encouraged to review the terms of their brokerage accounts for applicable charges. The breakeven amount reflected in the Breakeven Table reflects the breakeven amount for investors in the secondary market. The breakeven amount for each Authorized Participant is equal to the sum of the breakeven amount for the Fund plus the amount of transaction fees paid by each Authorized Participant for the Fund. This amount includes Fund organization and operating expenses that the Fund will accrue on an amortized, straight-line basis over the Fund's first 12 months of operations.

The Fund pays the Sponsor a management fee

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

"Average daily net assets" is calculated by dividing the month-end net assets of the Fund by the number of calendar days in such month.

No other Management Fee is paid by the Fund.

The Management Fee is paid in consideration of the Sponsor's trading advisory services and the other services provided to the Fund that the Sponsor pays directly.

Licensing and Index Calculation Fee

The Fund pays S&P and the CBOE a licensing

fee for use of the Index as the index for the Fund and related data.

Recurring and Non-Recurring Fees and Expenses

The Fund pays all of its fees and expenses,

including recurring, non-recurring, routine and unusual fees and expenses.

Retail investors may purchase and sell Shares

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

Brokerage Commissions and Fees

The Fund pays all of its respective brokerage

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

MATERIAL U.S. FEDERAL

INCOME TAX CONSIDERATIONS

The following discussion describes the material

U.S. federal (and certain state and local) income tax considerations associated with the purchase, ownership and disposition of Shares as of the date hereof by U.S. Shareholders (as defined below) and non-U.S. Shareholders (as defined below). Except where noted, this discussion deals only with Shares held as capital assets by shareholders who acquired Shares by purchase and does not address special situations, such as those of:

dealers in securities or commodities;

financial institutions;

regulated investment companies;

real estate investment trusts;

partnerships and persons in their capacity as partners;

tax-exempt organizations;

insurance companies;

persons holding Shares as a part of a hedging, integrated or conversion transaction or a straddle;

accrual method taxpayers subject to special tax accounting rules as a result of their use of financial statements;

traders in securities that elect to use a mark-to-market method of accounting for their securities holdings; or persons liable for alternative minimum tax.

Furthermore, the discussion below is based

upon the provisions of the Code, the Regulations, and administrative and judicial interpretations thereof, all as of the date hereof, and such authorities may be repealed, revoked, modified or subject to differing interpretations, possibly on a retroactive basis, so as to result in U.S. federal income tax consequences different from those described below.

A "U.S. Shareholder" of Shares

means a beneficial owner of Shares that is for U.S. federal income tax purposes:

an individual that is a citizen or resident of the United States;

a corporation (or other entity taxable as a corporation) created or organized in or under the laws of the United States, any state thereof or the District of Columbia;

an estate the income of which is subject to U.S. federal income taxation regardless of its source; or a trust if it (1) is subject to the primary supervision of a court within the United States and one or more U.S. persons have the authority to control all substantial decisions of such trust or (2) has a valid election in effect under applicable Regulations to be treated as a U.S. person.

A "non-U.S. Shareholder" of

Shares means a beneficial owner of Shares that is for U.S. federal income tax purposes:

an individual that is a non-resident alien;

a foreign corporation;

a foreign estate; or

If a partnership or other entity or arrangement

treated as a partnership for U.S. federal income tax purposes holds Shares, the tax treatment of a partner will generally depend upon the status of the partner and the activities of the partnership. If an investor is a partner of a partnership holding Shares, the Trust urges such investor to consult its own tax advisor.

No statutory, administrative or judicial

authority directly addresses the treatment of Shares or instruments similar to Shares for U.S. federal income tax purposes. As a result, the Trust cannot assure investors that the IRS or the courts will agree with the tax consequences described herein. A different treatment from that described below could adversely affect the amount, timing and character of income, gain or loss in respect of an investment in the Shares.

If an investor is considering the purchase

of Shares, the Trust urges investors to consult their own tax advisor concerning the particular U.S. federal income tax consequences to investors of the purchase, ownership and disposition of Shares, as well as any consequences to investors arising under the laws of any other taxing jurisdiction .

Under Section 7704 of the Code, unless certain

exceptions apply, a publicly traded partnership is generally treated and taxed as a corporation, and not as a partnership, for U.S. federal income tax purposes. A partnership is a publicly traded partnership if (1) interests in the partnership are traded on an established securities market or (2) interests in the partnership are readily tradable on a secondary market or the substantial equivalent thereof. The Fund is a publicly traded partnership. If 90% or more of the income of a publicly traded partnership during each taxable year consists of "qualifying income" and the partnership is not required to register under the 1940 Act, it will be treated as a partnership, and not as an association or publicly traded partnership taxable as a corporation, for U.S. federal income tax purposes (the "qualifying income exception"). Qualifying income includes dividends, interest, capital gains from the sale or other disposition of stocks and debt instruments and, in the case of a partnership a principal activity of which is the buying and selling of commodities or certain positions with respect to commodities, income and gains derived from certain swap agreements or regulated futures or forward contracts with respect to commodities. The Fund anticipates that at least 90% of its gross income for each taxable year will constitute qualifying income within the meaning of Section 7704(d) of the Code.

Chapman and Cutler LLP has acted as counsel

to the Trust in connection with this registration statement. Under current law and assuming full compliance with the terms of the Trust Agreement (and other relevant documents) and based on factual representations made by the Fund, in the opinion of Chapman and Cutler LLP, the Fund is classified as a partnership for U.S. federal income tax purposes. The factual representations upon which Chapman and Cutler LLP has relied are: (1) the Fund has not elected and will not elect to be treated as a corporation for U.S. federal income tax purposes; and (2) for each taxable year, 90% or more of the Fund's gross income has been and is expected to continue to be qualifying income. Shareholders should be aware that opinions of counsel are not binding on the IRS, and no assurance can be given that the IRS will not challenge the conclusions set forth in such opinion. The Sponsor will use its best efforts to operate the Fund in such manner as is necessary for the Fund to continue to meet the qualifying income exception.

While it is expected that the Fund will

operate so that it will qualify to be treated for U.S. federal income tax purposes as a partnership, and not as an association or a publicly traded partnership taxable as a corporation, given the highly complex nature of the rules governing partnerships, the ongoing importance of factual determinations, the lack of direct guidance with respect to the application of tax laws to the activities the Fund is undertaking and the possibility of future changes in the Fund's circumstances, it is possible that the Fund will not so qualify for any particular year. Chapman and Cutler LLP has no obligation to advise the Fund or its shareholders of any subsequent change in the matters stated, represented or assumed, or of any subsequent change in the applicable law. The Fund's taxation as a partnership depends on the Fund's ability to meet, on a continuing basis, through actual operating results, the qualifying income exception, the compliance of which will not be reviewed by Chapman and Cutler LLP. Accordingly, no assurance can be given that the actual results of the Fund's operations for any taxable year will satisfy the qualifying income exception.

If for any reason the Fund becomes taxable

as a corporation for U.S. federal income tax purposes, the Fund's items of income and deduction would not pass through to the Fund's shareholders and shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation.

The Fund would be required to pay income tax at corporate rates on its net income. Distributions by the Fund to the shareholders would constitute dividend income taxable to such shareholders, to the extent of the Fund's earnings and profits, and the payment of these distributions would not be deductible by the Fund. These consequences would have a material adverse effect on the Fund, the Fund's shareholders and the value of the Shares.

If at the end of any taxable year the Fund

fails to meet the qualifying income exception, the Fund may still qualify as a partnership if the Fund is entitled to relief under the Code for an inadvertent termination of partnership status. This relief will be available if (1) the failure is cured within a reasonable time after discovery, (2) the failure is determined by the IRS to be inadvertent, and (3) the Fund agrees to make such adjustments or to pay such amounts as are determined by the IRS. It is not possible to state whether the Fund would be entitled to this relief in any or all circumstances. It also is not clear under the Code whether this relief is available for the Fund's first taxable year as a publicly traded partnership. If this relief provision is not applicable to a particular set of circumstances involving the Fund, it will not qualify as a partnership for U.S. federal income tax purposes. Even if this relief provision applies and the Fund retains its partnership qualification, the Fund or its shareholders (during the failure period) will be required to pay such amounts as determined by the IRS.

The remainder of this discussion assumes

that the Fund qualifies to be taxed as a partnership for U.S. federal income tax purposes.

Treatment of Fund Income

A partnership generally does not incur U.S.

federal income tax liability. Instead, each partner of a partnership is required to take into account its share of items of income, gain, loss, deduction and other items of the partnership. Accordingly, each shareholder in the Fund is required to include in income its allocable share of the Fund's income, gain, loss, deduction and other items for the Fund's taxable year ending with or within its taxable year. In computing a partner's U.S. federal income tax liability, such items must be included, regardless of whether cash distributions are made by the partnership. Thus, shareholders in the Fund may be required to take into account taxable income without a corresponding current receipt of cash if the Fund generates taxable income but does not make cash distributions in an amount equal to, or if the shareholder is not able to deduct, in whole or in part, such shareholder's allocable share of the Fund's expenses or capital losses. The Fund's taxable year ends on December 31 unless otherwise required by law. The Fund uses the accrual method of accounting.

Shareholders must take into account their

share of ordinary income realized by the Fund's investments, including from accruals of interest on the U.S. Treasury securities or other cash and cash equivalents held in the Fund's portfolio. The Fund may hold U.S. Treasury securities or other debt instruments with "acquisition discount" or "original issue discount," in which case shareholders in the Fund are required to include accrued amounts in taxable income on a current basis even though receipt of those amounts may occur in a subsequent year. The Fund may also acquire U.S. Treasury securities with "market discount." Upon disposition of such obligations, gain would generally be required to be treated as interest income to the extent of the market discount, and shareholders in the Fund would be required to include as ordinary income their share of such market discount that accrued during the period the obligations were held by the Fund. Income or loss from transactions involving certain derivative instruments, such as periodic and certain non-periodic payments in swap transactions, will also generally constitute ordinary income or loss and may result in recognition of taxable income to a U.S. Shareholder on a current basis even though receipt of those amounts may occur in a subsequent year.

and 152 more changes in the filing

Use of proceeds 379 changes

The Commodity Sub-Adviser, a registered

Only Authorized Participants may create

or redeem Creation Units. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a member of a national clearing agency, and (3) have entered into an agreement with the Sponsor (an Authorized Participant Agreement).

CREATION AND REDEMPTION OF SHARES

The Fund creates and redeems Shares from

time to time, but only in one or more Creation Units. A Creation Unit is a block of at least 10,000 Shares. Except when aggregated in Creation Units, the Shares are not redeemable securities.

The manner by which Creation Units are purchased

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

If permitted by the Sponsor in its sole

discretion with respect to the Fund, an Authorized Participant may also agree to enter into or arrange for an exchange of a futures contract for related position ("EFCRP") or block trade with the Fund whereby the Authorized Participant would also transfer to the Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant to use an EFCRP to effect an order to redeem Creation Units.

An EFCRP is a technique permitted by the

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

Authorized Participants pay a fixed transaction

fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate the Administrator, Sub-Administrator, the Custodian and the Transfer Agent of the Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.20% of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. The Sponsor may waive a fixed or variable transaction fee for any number of reasons, including to maintain similar costs structures as competitive investment vehicles. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Fund to other investors.

The form of Authorized Participant Agreement

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

Authorized Participants are cautioned that

some of their activities may result in their being deemed participants in a distribution in a manner which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the 1933 Act, as described in "Plan of Distribution."

Each Authorized Participant must be registered

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

Authorized Participants may act for their

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

Persons interested in purchasing Creation

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

Pursuant to the Authorized Participant Agreement,

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

The following description of the procedures

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

On any Business Day, an Authorized Participant

may place an order with the Marketing Agent to create one or more Creation Units.

Purchase orders must be placed by 2:00 p.m.

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

Determination of Required Payment

The total payment required to create each

Creation Unit is the value of the Creation Unit on the purchase order date plus the applicable transaction fees.

Cash required for settlement will typically

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

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

Suspension or Rejection of Purchase Orders

In respect of the Fund, the Sponsor may,

in its discretion, suspend the right to purchase, or postpone the purchase settlement date: (1) for any period during which any of the Exchange, CBOE, CFE, CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of the Fund is closed or when trading is suspended or restricted on such exchanges in any of the underlying VIX futures contracts; (2) for any period during which an emergency exists as a result of which the fulfilment of a purchase order is not reasonably practicable;

or (3) for such other period as the Sponsor determines to be necessary for the protection of the shareholders. The Sponsor will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.

The Sponsor also may reject a purchase order

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

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

The order would be illegal; or

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

None of the Sponsor, the Administrator,

Sub-Administrator or the Custodian will be liable for the suspension or rejection of any purchase order.

Redemption Procedures

The procedures by which an Authorized Participant

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

By placing a redemption order, an Authorized

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

Upon request of an Authorized Participant

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

Determination of Redemption Proceeds

The redemption proceeds from the Fund consist

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

Delivery of Redemption Proceeds

The redemption proceeds due from the Fund

are delivered to the Authorized Participant at noon (Eastern Time), on the second Business Day immediately following the redemption order date if, by such time on such Business Day immediately following the redemption order date, the Fund's DTC account has been credited with the Creation Units to be redeemed. The Fund should be credited through: (1) the CNS clearing process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a DVP basis. If the Fund's DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption distribution is delivered to the extent whole Creation Units are received. Any remainder of the redemption distribution is delivered on the next Business Day to the extent any remaining whole Creation Units are received if: (1) the Sponsor receives the fee applicable to the extension of the redemption distribution date which the Sponsor may, from time to time, determine, and (2) the remaining Creation Units to be redeemed are credited to the Fund's DTC account by noon (Eastern Time), on such next Business Day. Any further outstanding amount of the redemption order may be cancelled. The Authorized Participant will be responsible for reimbursing the Fund for all costs associated with cancelling the order including costs for repositioning the portfolio.

The Sponsor is also authorized to deliver

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

In the event that the Authorized Participant

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

Suspension or Rejection of Redemption Orders

In respect of the Fund, the Sponsor may,

in its discretion, suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which any of the Exchange, CBOE, CFE, CME (including CBOT and NYMEX) or ICE or other exchange material to the valuation or operation of the Fund is closed or when trading is suspended or restricted on such exchanges in any of the underlying VIX futures contracts;

(2) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable;

or (3) for such other period as the Sponsor determines to be necessary for the protection of the shareholders. The Sponsor will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.

The Sponsor will reject a redemption order

if the order is not in proper form as described in the form of Authorized Participant Agreement or if the fulfilment of the order might be unlawful.

Creation and Redemption Transaction Fee

To compensate Foreside Fund Services, LLC

for services in processing the creation and redemption of Creation Units and to offset some or all of the transaction costs, an Authorized Participant may be required to pay a fixed transaction fee to Foreside Fund Services, LLC of up to $500 per order to create or redeem Creation Units and may pay a variable transaction fee to the Fund of up to 0.20% of the value of a Creation Unit.

An order may include multiple Creation Units. The transaction fee(s) may be reduced, increased or otherwise changed by the Sponsor at its sole discretion.

The Sponsor may allow for early settlement

of purchase or redemption orders. Such arrangements may result in additional charges to the Authorized Participant.

Inception of Trading

and 299 more changes in the filing

Plan of distribution 129 changes

Buying and Selling Shares

Most investors buy and sell Shares in secondary

market transactions through brokers. Shares of the Fund trade on the Exchange under the ticker symbol listed in this Prospectus.

Shares are bought and sold throughout the trading day like other publicly traded securities. When buying or selling Shares through a broker, most investors incur customary brokerage commissions and charges.

Authorized Participants

The Fund continuously offers Shares in Creation

Units to Authorized Participants. Shares of the Fund are to be offered to Authorized Participants in Creation Units at the Fund's NAV.

Authorized Participants may offer to the

public, from time to time, Shares of the Fund from any Creation Units they create. Shares of the Fund offered to the public by Authorized Participants are offered at a per Share market price that varies depending on, among other factors, the trading price of the Shares of the Fund on the Exchange, the NAV per Share and the supply of and demand for the Shares at the time of the offer.

Shares initially comprising the same Creation Unit but offered by Authorized Participants to the public at different times may have different offering prices. Additionally, the price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such Authorized Participant in connection with the creation of such Share in a Creation Unit.

Authorized Participants do 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, although investors are expected to be charged a customary commission by their brokers in connection with the purchase and sale of Shares that varies from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.

Bank of America/Merrill Lynch Professional

Clearing is the Fund's initial Authorized Participant and is a statutory underwriter of the Fund's Shares. Prior to the Fund's Shares being listed on the Exchange, the initial Authorized Participant will purchase two creation units of Fund Shares with a price per share of $15.00.

As of the date of this Prospectus, Bank of America/Merrill

Lynch Professional Clearing, Citadel Securities LLC, Credit Suisse Securities (USA) LLC, and Mizuho Securities USA LLC have each executed an Authorized Participant Agreement and are the only Authorized Participants.

Likelihood of Becoming a Statutory Underwriter

The Fund issues Shares in Creation Units

to Authorized Participants from time to time in exchange for cash. Because new Shares can be created and issued on an ongoing basis at any point during the life of the Fund, a "distribution," as such term is used in the 1933 Act, will be occurring.

An Authorized Participant, other broker-dealer firm or its client could be deemed a statutory underwriter, and thus would be subject to the prospectus delivery and liability provisions of the 1933 Act, if it purchased a Creation Unit from the Fund, broke the Creation Unit down into the constituent Shares and sold the Shares to its customers; or if it chose to couple the creation of a supply of new Shares with an active selling effort involving solicitation of secondary market demand for the Shares. A determination of whether one is an underwriter must take into account all the facts and circumstances pertaining to the activities of the broker-dealer or its client in the particular case, and the examples mentioned above should not be considered a complete description of all the activities that would lead to categorization as an underwriter. Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being deemed participants in a distribution in a manner which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the 1933 Act.

Dealers who are neither Authorized Participants

nor "underwriters" but are participating in a distribution (as contrasted to ordinary secondary trading transactions), and thus dealing with Shares that are part of an "unsold allotment" within the meaning of section 4(3)(C) of the 1933 Act, would be unable to take advantage of the prospectus delivery exemption provided by section 4(3) of the 1933 Act.

Retail investors may purchase and sell Shares

through traditional brokerage accounts. Investors who purchase or sell Shares through a commission/fee based brokerage account may pay commissions/fees charged by the brokerage account. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.

The offering of Creation Units is being

made in compliance with FINRA Rule 2310. Accordingly, the Authorized Participants may not make any sales to any account over which they have discretionary authority without the prior written approval of a purchaser of Shares. In any event, the maximum amount of all items of value, including compensation paid from the offering proceeds and in the form of "trail commissions," to be paid to FINRA members, including to Foreside Fund Services, LLC, in connection with the offering of the Shares by the Fund will not exceed 10% of gross offering proceeds.

Chapman and Cutler LLP has advised the Sponsor

in connection with the Shares being offered. Chapman and Cutler LLP also advises the Sponsor with respect to its responsibilities as sponsor of, and with respect to matters relating to, the Trust and the Fund. Chapman and Cutler LLP has prepared the sections "Material U.S. Federal Income Tax Considerations" with respect to U.S. federal income tax laws and "Purchases By Employee Benefit Plans" with respect to ERISA. Chapman and Cutler LLP has not represented, nor will it represent, the Trust, the Fund or the shareholders in matters relating to the Trust or the Fund.

Richards, Layton & Finger, P. A. has

represented the Trust in connection with the legality of the Shares being offered hereby.

Certain opinions of counsel have been filed

with the SEC as exhibits to the Registration Statement of which this Prospectus is a part.

Tait, Weller & Baker, LLP, an independent

registered public accounting firm, is hereby named as an expert in auditing and accounting.

WHERE INVESTORS CAN FIND MORE INFORMATION

The Trust has filed a Registration Statement

on Form S-1 with the SEC under the 1933 Act. This Prospectus constitutes part of the Registration Statement filed by the Trust for itself and on behalf of the Fund. Additionally, as further discussed under "Incorporation by Reference of Certain Documents," we have incorporated by reference certain historical information. This Prospectus does not contain all of the information set forth in such Registration Statement, certain portions of which have been omitted pursuant to the rules and regulations of the SEC, including, without limitation, certain exhibits thereto (for example, the form of the Authorized Participant Agreement). The descriptions contained herein of agreements included as exhibits to the Registration Statement are necessarily summaries and may not be complete; the exhibits themselves may be inspected without charge at the Public Reference Room maintained by the SEC at 100 F Street, NE, Washington, DC 20549, and copies of all or part thereof may be obtained from the SEC upon payment of the prescribed fees. Investors may obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330.

The SEC maintains a website that contains reports, proxy and information statements and other information regarding registrants that file electronically with the SEC. The address of such site is www.sec.gov .

RECENT FINANCIAL INFORMATION AND ANNUAL

You should read the financial statements

and the notes to those financial statements in the Trust's Annual Report on Form 10-K, along with any amendments thereto, when they become available and which will be incorporated by reference into this Prospectus and, subsequent to the date of this Prospectus, future filings with the SEC will be automatically deemed incorporated into this Prospectus, including subsequent financial statements, data and related notes with respect to the Fund. Please refer to the section entitled "Incorporation by Reference of Certain Documents" in this Prospectus. The Sponsor will furnish an annual report of the Fund in the manner required by the rules and regulations of the SEC as well as with those reports required by the CFTC and the NFA, including, but not limited to, annual audited financial statements of the Fund examined and certified by independent registered public accountants and any other reports required by any other governmental authority that has jurisdiction over the activities of the Fund. Monthly account statements conforming to CFTC and NFA requirements, as well as the current annual and quarterly reports and other filings made with the SEC, are posted on the Sponsor's website at www.volatilityshares.com . Shareholders of record will also be provided with appropriate information to permit them to file U.S. federal and state income tax returns with respect to Shares held.

Additional reports may be posted on the Sponsor's website at the discretion of the Sponsor or as required by regulatory authorities.

The Trust's Commitment to Investors

The Sponsor and the Trust are committed

to respecting the privacy of personal information investors entrust to the Trust in the course of doing business.

The Information the Trust Collects About Investors

The Sponsor, on behalf of the Trust, collects

non-public personal information from various sources. For instance, forms may include names, addresses, and social security numbers.

The Fund receives information from transactions in investors' accounts, including account balances, and from correspondence between investors and the Fund or third parties, such as the Fund's service providers. The Sponsor, on behalf of the Fund, uses such information provided by investors or their representative to process transactions, to respond to inquiries from investors, to deliver reports, products, and services, and to fulfil legal and regulatory requirements.

How the Trust Handles Investors' Personal Information

The Sponsor does not disclose any non-public

personal information about investors to anyone unless permitted by law or approved by the affected investor. The Sponsor may share information about investors with certain third parties who are not affiliated with the Trust to process or service a transaction that investors have requested or as permitted by law. For example, sharing information with non-affiliated third parties that maintain or service investors' accounts for the Fund is essential.

The Sponsor may also share information with

companies that perform administrative or marketing services for the Fund including research firms. When the Fund enters into such a relationship, such third parties' use of customer's information is restricted and they are prohibited from sharing it or using it for any purposes other than those for which they were hired. The Sponsor also requires service providers to maintain physical, electronic and procedural safeguards that comply with federal standards to guard investors' non-public personal information.

How the Trust Safeguards Investors' Personal Information

The Sponsor maintains physical, electronic,

and procedural safeguards to protect investors' personal information. Within the Fund, access to personal information is restricted to those employees who require access to that information in order to provide products or services to customers such as processing transactions and handling inquiries. Use of customer information is restricted and customer information is required to be held in strict confidence.

The Sponsor will adhere to the policies

and practices described in this notice for both current and former customers of the Fund.

INCORPORATION BY REFERENCE OF CERTAIN

The SEC allows the Trust to "incorporate

by reference" into this Prospectus certain information that the Trust files with the SEC, meaning it can disclose important information to an investor by referring to those documents on file with the SEC.

The information that the Trust incorporates

by reference is an important part of this Prospectus and later information that we will file with the SEC will automatically update and supersede some of this information. We incorporate by reference any future filings we make with the SEC pursuant to Section 13(a), 13(c), 14 or 15(d) of the 1934 Act. The Trust also incorporates by reference the documents listed below:

Any statement contained in a document that

is incorporated by reference will be modified or superseded for all purposes to the extent that a statement contained in this Prospectus (or in any other document that is subsequently filed with the SEC and incorporated by reference) modifies or is contrary to that previous statement. Any statement so modified or superseded will not be deemed a part of this Prospectus except as so modified or superseded.

and 63 more changes in the filing

Exhibits 4 changes

11 unchanged paragraphs

6 unchanged paragraphs

and 4 more changes in the filing

Undertakings 30 changes

2 unchanged paragraphs

1 unchanged paragraph

2 unchanged paragraphs

2 unchanged paragraphs

1 unchanged paragraph

8 unchanged paragraphs

and 30 more changes in the filing