美國
證券交易委員會
華盛頓，特區。20549
表格
截至每季度結束
或
用於從_________到_________的過渡期。
委員會 檔案編號：
（公司章程中指定的準確公司名稱）
| （國家或其他管轄區的 公司的合併或組織） | （IRS僱主 (識別號) |
c/o 波動性股票公司
主要執行辦公室地址(郵政編碼)
根據交易所法規（17 CFR 240.14a-12）第14a-12規定的招股材料
根據法案第12(b)節註冊的證券:
| 每一類的名稱 | 交易標誌 | 在其上註冊的交易所的名稱 | ||
根據《證券法》第12(g)條註冊的證券：無
請在複選框中標記，表明註冊人（1）是否已在過去的12個月內（或者在註冊人必須提交此類報告的較短期間內）根據1934年《證券交易法》第13條或15（d）條提交了所有報告，並且（2）過去90天一直受到此類報告提交要求的約束。☒
請勾選表示是否根據規則405條(S-T法規第232.405條)的要求在過去的12個月(或更短的時間內)提交過所有必須提交的交互式數據文件。 ☒
請用勾選標記指示註冊人是大型加速報告公司、加速報告公司、非加速報告公司、小型報告公司， 還是新興成長公司。有關「大型加速報告公司」、「加速報告公司」、「小型報告公司」和「新興成長公司」的定義，請參見交易法第120億.2條。
| 大型加速存取器 | ☐ | 加速存取器 | ☐ |
| ☐ | 較小報告公司 | ||
| 新興成長公司 |
如果是初創企業，請勾選，如果註冊人已選擇不使用依據1934年證券交易法第13(a)條規定提供的任何新或修訂財務會計準則的延長過渡期來符合要求，請勾選。
用勾叉標記表明註冊公司是否爲殼公司 (如《證券交易所法》第120億.2條所定義)。☐ 是
請在勾選標記處註明，註冊人是否已根據1934年證券交易所法案第12、13或15(d)條的要求，在法庭確認的計劃下分配證券後提交所有文件和報告。 ☒ 是 ☐ 否
截至2024年9月30日，註冊者持有
VS 信任
目錄
i
第I部分 財務資料
項目1. 基本報表。
指數
| 文件 | 頁面 | |
| 財務狀況報表、投資組合表、運營報表、股東權益變動報表和現金流量表： | ||
| -1倍 開空 VIX 期貨 etf | F-8 | |
| 2倍 開多 VIX 期貨 etf | F-12 | |
| 財務報表附註 | F-16 |
-1-
VS 信任
資產負債表
| -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | |||||||||||||
| 9月30日
2024 (未經審計) | 2020年9月30日 2024 (未經審計) | 12月31日 2023 | 十二月
31日， 2023 | |||||||||||||
| 資產 | ||||||||||||||||
| 現金 | $ | $ | $ | $ | ||||||||||||
| 證券投資 按價值* | ||||||||||||||||
| 應收利息 | ||||||||||||||||
| 預付費支出和其他資產 | ||||||||||||||||
| 在經紀商處存款 用於期貨和期權合約 | ||||||||||||||||
| 保留 應收按金 | ||||||||||||||||
| 1,647,731 | ||||||||||||||||
| 資產總額 | ||||||||||||||||
| 負債 | ||||||||||||||||
| 應付款 | ||||||||||||||||
| 保留 應付按金 | $ | $ | $ | $ | ||||||||||||
| 欠 其他 | ||||||||||||||||
| 基金 份額已贖回 | ||||||||||||||||
| 應付 給贊助商 | ||||||||||||||||
| 應付的 行政、會計和保管費用 | ||||||||||||||||
| 應付的 專業費用 | ||||||||||||||||
| 應付的 許可和註冊費用 | ||||||||||||||||
| 總負債 | ||||||||||||||||
| 資產 | $ | $ | $ | $ | ||||||||||||
| 淨 資產包括： | ||||||||||||||||
| 實收資本 | $ | $ | $ | $ | ||||||||||||
| 總 可分配收益（累計虧損） | ( | ) | ( | ) | ||||||||||||
| 淨資產 | $ | $ | $ | $ | ||||||||||||
| 淨 資產值（授權無限股份）： | ||||||||||||||||
| 類別 I（授權無限股份）： | ||||||||||||||||
| 淨 資產 | $ | $ | $ | $ | ||||||||||||
| 流通 股份^ | ||||||||||||||||
| 每股淨 資產值、發行及贖回價格 | $ | $ | $ | $ | ||||||||||||
| 每股市場 價值（注2） | $ | $ | $ | $ | ||||||||||||
| *投資 證券，按成本計算 | $ | $ | $ | $ | ||||||||||||
| ^ 無面值 | ||||||||||||||||
查閱基本報表附註。
F-1
VS 信任
損益表
截至2024年9月30日和2023年9月30日的三個月（未經審計）
| -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | |||||||||||||
| 季度 結束 | 季度 結束 | 季度 結束 | 季度 結束 | |||||||||||||
| 2020年9月30日 2024 | 2020年9月30日 2024 | 2020年9月30日 2023 | 2020年9月30日 2023 | |||||||||||||
| (未經審計) | (未經審計) | (未經審計) | (未經審計) | |||||||||||||
| 投資 收入 | ||||||||||||||||
| 收入： | ||||||||||||||||
| 利息收入 | $ | $ | $ | $ | ||||||||||||
| 總收入 | ||||||||||||||||
| 費用: | ||||||||||||||||
| 管理 費用 | ||||||||||||||||
| 行政、 會計和託管費用 | ||||||||||||||||
| 專業費用。 | ||||||||||||||||
| 許可和註冊費用 | ( | ) | ||||||||||||||
| 其他 | ||||||||||||||||
| 經紀人利息費用 | ||||||||||||||||
| 總計 開支 | ||||||||||||||||
| 淨投資收益（損失） | ( | ) | ( | ) | ( | ) | ||||||||||
| 投資和期貨合同已實現和未實現的收益（損失） | ||||||||||||||||
| 淨實現收益（損失） | ||||||||||||||||
| 選項 | ||||||||||||||||
| 期貨 | ( | ) | ( | ) | ( | ) | ||||||||||
| 未實現升值（折舊）的淨變化： | ||||||||||||||||
| 選項 | ||||||||||||||||
| 期貨 | ( | ) | ( | ) | ||||||||||||
| 投資和期貨合約的淨實現和未實現收益（損失） | ( | ) | ( | ) | ( | ) | ||||||||||
| 因運營導致的淨資產的淨增加（減少） | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | ||||||
查閱基本報表附註。
F-2
VS 信任
損益表
截至2024年9月30日和2023年9月30日的九個月（未經審計）
| -1x 空頭 VIX 期貨 ETF | 2x 多頭 VIX 期貨 ETF | -1x 空頭 VIX 期貨 ETF | 2x 多頭 VIX 期貨 ETF | |||||||||||||
| 九 已結束的月份 | 九 已結束的月份 | 九 已結束的月份 | 九 已結束的月份 | |||||||||||||
| 九月
30， 2024 | 九月
30， 2024 | 九月
30， 2023 | 九月
30， 2023 | |||||||||||||
| （未經審計） | （未經審計） | （未經審計） | （未經審計） | |||||||||||||
| 投資 收入 | ||||||||||||||||
| 收入： | ||||||||||||||||
| 利息 收入 | $ | $ | $ | $ | ||||||||||||
| 總計 收入 | ||||||||||||||||
| 費用： | ||||||||||||||||
| 管理 費用 | ||||||||||||||||
| 行政， 會計和託管費 | ||||||||||||||||
| 專業的 費用 | ||||||||||||||||
| 許可 和註冊費 | ||||||||||||||||
| 其他 | ||||||||||||||||
| 經紀人 利息支出 | ||||||||||||||||
| 總計 開支 | ||||||||||||||||
| 網 投資收益（虧損） | ( | ) | ( | ) | ( | ) | ||||||||||
| 已實現 以及投資和期貨合約的未實現收益（虧損） | ||||||||||||||||
| 網 以下各項的已實現收益（虧損）： | ||||||||||||||||
| 選項 | ( | ) | ||||||||||||||
| 期貨 | ( | ) | ( | ) | ||||||||||||
| 網 未實現升值（折舊）的變化： | ||||||||||||||||
| 選項 | ||||||||||||||||
| 期貨 | ( | ) | ( | ) | ||||||||||||
| 網 投資和期貨合約的已實現和未實現收益（虧損） | ( | ) | ( | ) | ||||||||||||
| 網 運營產生的淨資產增加（減少） | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
查閱基本報表附註。
F-3
VS 信任
淨資產變動表
截至2024年9月30日和2023年9月30日的三個月（未經審計）
| -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | |||||||||||||
| 季度 結束 | 季度 結束 | 季度 結束 | 季度 結束 | |||||||||||||
| 2020年9月30日 2024 | 2020年9月30日 2024 | 2020年9月30日 2023 | 2020年9月30日 2023 | |||||||||||||
| (未經審計) | (未經審計) | (未經審計) | (未經審計) | |||||||||||||
| 淨資產的增加 (減少)： | ||||||||||||||||
| 運營 | ||||||||||||||||
| 淨投資收入（損失） | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||||
| 淨實現的投資和期貨合約的收益（損失） | ( | ) | ( | ) | ( | ) | ||||||||||
| 投資和期貨合約未實現增值（貶值）的淨變化 | ( | ) | ( | ) | ||||||||||||
| 因經營活動導致的淨資產增加（減少） | ( | ) | ( | ) | ( | ) | ||||||||||
| 資本 分享交易 | ||||||||||||||||
| 已售股份 | ||||||||||||||||
| 分享 贖回 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 淨 通過資本分享交易的資產淨增加（減少） | ||||||||||||||||
| 資產的總 增加（減少） | ||||||||||||||||
| 資產 | ||||||||||||||||
| 期初 餘額 | ||||||||||||||||
| 期末 餘額 | $ | $ | $ | $ | ||||||||||||
查閱基本報表附註。
F-4
VS 信任
淨資產變動表
截至2024年9月30日和2023年9月30日的九個月（未經審計）
| -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | |||||||||||||
| 截至九個月結束 | 截至九個月結束 | 截至九個月結束 | 截至九個月結束 | |||||||||||||
| 2020年9月30日 2024 | 九月
30日, 2024 | 2020年9月30日 2023 | 2020年9月30日 2023 | |||||||||||||
| (未經審計) | (未經審計) | (未經審計) | (未經審計) | |||||||||||||
| 資產淨值增加（減少）: | ||||||||||||||||
| 運營 | ||||||||||||||||
| 淨投資收益（損失） | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||||
| 投資和期貨合約的淨實現收益（損失） | ( | ) | ( | ) | ||||||||||||
| 投資和期貨合約未實現升值（折舊）的淨變動 | ( | ) | ( | ) | ||||||||||||
| 經營活動導致的資產淨值增加（減少） | ( | ) | ( | ) | ||||||||||||
| 資本分拆交易 | ||||||||||||||||
| 出售的股份 | ||||||||||||||||
| 份額 已贖回 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 資本份額交易帶來的淨資產增加（減少） | ||||||||||||||||
| 淨資產 總增加（減少） | ( | ) | ||||||||||||||
| 資產 | ||||||||||||||||
| 期初 期初 | ||||||||||||||||
| 期末 期末 | $ | $ | $ | $ | ||||||||||||
查閱基本報表附註。
F-5
VS 信任
現金流量表
截至2024年9月30日和2023年9月30日的三個月（未經審計）
| -1x
開空 VIX 期貨 etf | 2x
開多 VIX 期貨 etf | -1x
開空 VIX 期貨 etf | 2x
開多 VIX 期貨 etf | |||||||||||||
| 季度 結束 | 季度 結束 | 季度 結束 | 季度 結束 | |||||||||||||
| 2023年9月30日
2024 | 2023年9月30日
2024 | 2023年9月30日
2023 | 2023年9月30日
2023 | |||||||||||||
| (未經審計) | (未經審計) | (未經審計) | (未經審計) | |||||||||||||
| 現金 來自運營活動的現金流 | ||||||||||||||||
| 經營活動導致的資產淨值增加（減少） | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | ||||||
| 調整 將淨利潤（虧損）與提供的（使用的）運營活動淨現金對賬 | ||||||||||||||||
| 購買 投資 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 銷售或到期投資的收益 | ||||||||||||||||
| 期權投資的淨實現收益/損失 | ( | ) | ||||||||||||||
| 期權投資的未實現增值/貶值的淨變動 | ( | ) | ||||||||||||||
| 期貨和期權合約的經紀商存款減少（增加） | ( | ) | ( | ) | ( | ) | ||||||||||
| 變動按金應收款減少（增加） | ( | ) | ( | ) | ||||||||||||
| 預付費用和其他資產減少（增加） | ( | ) | ( | ) | ||||||||||||
| 應收利息減少（增加） | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 其他應收款減少（增加） | ( | ) | ( | ) | ||||||||||||
| 由於保管人而增加 (減少) | ( | ) | ( | ) | ||||||||||||
| 由於其他而增加 (減少) | ||||||||||||||||
| 應付的變動按金增加 (減少) | ( | ) | ( | ) | ||||||||||||
| 應付贊助商的款項增加 (減少) | ( | ) | ||||||||||||||
| 應付的行政、會計和保管費用增加 (減少) | ||||||||||||||||
| 應付的專業費用增加 (減少) | ( | ) | ||||||||||||||
| 應付的許可和註冊費用增加 (減少) | ||||||||||||||||
| 淨現金流量（經營活動） | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 現金 融資活動的現金流 | ||||||||||||||||
| 出售股票的收益，扣除應收出售股票款 | ||||||||||||||||
| 贖回股票的成本，扣除應付購買股票款 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 融資活動提供的（使用的）淨現金 | ||||||||||||||||
| 現金的淨減少 | ( | ) | ||||||||||||||
| 期初 期初 | ||||||||||||||||
| 期末 期末 | $ | $ | $ | $ | ||||||||||||
查閱基本報表附註。
F-6
VS 信任
聲明 的現金流
截至2024年9月30日和2023年9月30日的九個月（未經審計）
| -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | -1倍 開空 VIX 期貨 etf | 2倍 開多 VIX 期貨 etf | |||||||||||||
| 截至九個月結束 | 截至九個月結束 | 截至九個月結束 | 截至九個月結束 | |||||||||||||
| 2020年9月30日 2024 | 2020年9月30日 2024 | 2020年9月30日 2023 | 2020年9月30日 2023 | |||||||||||||
| (未經審計) | (未經審計) | (未經審計) | (未經審計) | |||||||||||||
| 經營活動產生的現金流量 | ||||||||||||||||
| 經營活動導致的資產淨值增加（減少） | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
| 調整淨利潤（損失）以重分類經營活動提供的現金淨額 | ||||||||||||||||
| 投資購買 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 銷售或到期投資的收益 | ||||||||||||||||
| 期權投資的實現收益/損失淨額 | - | |||||||||||||||
| 期權投資未實現升值/折舊淨變動 | ( | ) | - | |||||||||||||
| 期貨和期權合約的券商存款減少（增加） | ( | ) | ( | ) | ( | ) | ||||||||||
| 減少 未結合同按金應收款項的增加 | ( | ) | ( | ) | ||||||||||||
| 減少 預付費用和其他資產的增加 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 減少 應收利息的增加 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 減少 其他應收款的增加 | ( | ) | ||||||||||||||
| 增加 應付給託管人的減少 | ||||||||||||||||
| 增加 應付給其他的減少 | ||||||||||||||||
| 增加 未結合同按金應付款項的減少 | ( | ) | ||||||||||||||
| 增加 應付贊助方的減少 | ( | ) | ||||||||||||||
| 行政、會計和託管費用應付款的增加（減少） | ||||||||||||||||
| 專業費用應付款的增加（減少） | ||||||||||||||||
| 許可和註冊費用應付款的增加（減少） | ||||||||||||||||
| 淨現金流量（經營活動） | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 籌資活動現金流量 | ||||||||||||||||
| 股份出售收入，扣除應收賬款 | ||||||||||||||||
| 股票贖回成本，扣除股票購買應付款 | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| 融資活動提供的（使用的）淨現金 | ||||||||||||||||
| 現金減少 | ( | ) | ( | ) | ||||||||||||
| 期初 期初 | ||||||||||||||||
| 期末 期末 | $ | $ | $ | $ | ||||||||||||
查閱基本報表附註。
F-7
-1x 開空 VIX 期貨 etf
投資時間表 的投資
截至2024年9月30日（未經審計）
| 已購買期權 - 0.6%(a)(b) | 名義金額 | 合同 | 價值 | |||||||||
| 看漲期權 - 0.6% | ||||||||||||
| cboe波動率指數，到期日期： | $ | $ | ||||||||||
| 總購買的期權 (成本 $ | ||||||||||||
| 股票 | ||||||||
| 短期 投資-44.0% | ||||||||
| 錢 市場基金-44.0% | ||||||||
| 第一美國政府債務基金- | ||||||||
| 短期投資總額 （成本 $ | ||||||||
| 投資總額- | ||||||||
| 其他超過負債的資產- | ||||||||
| 總淨資產- | $ | |||||||
百分比 以淨資產的百分比表示。
| (a) |
| (b) |
| (c) |
| (d) |
參見 財務報表的附註。
F-8
-1x 開空 VIX 期貨 etf
期貨合約開放安排表
截至2024年9月30日（未經審計）
| 描述 | 合同 售出股票數量 | 到期日 日期 | 名義 價值 | 價值 / 未實現 毛未實現升值 （折舊） | |||||||||||
| cboe波動率指數 | ( | ) | $ | $ | |||||||||||
| cboe波動率指數 | ( | ) | ( | ) | |||||||||||
| 總未實現增值（貶值） | $ | ( | ) | ||||||||||||
查閱基本報表附註。
F-9
-1x 空頭 VIX 期貨 ETF
投資時間表 的投資
（需要提交本聲明的事件日期）
| 名義金額 金額 | 合同 | 價值 | ||||||||||
| 購買期權 - 0.29%(a)(b) | ||||||||||||
| 看漲期權 - 0.29% | ||||||||||||
| cboe波動率指數，到期日期： | $ | |||||||||||
| 購買的OPTIONS總數 （成本 $ | ||||||||||||
| 股份 | ||||||||
| 開空期投資 - 11.64% | ||||||||
| 貨幣市場基金 - 11.64% | ||||||||
| 第一美國政府債券基金， | ||||||||
| 總開空期投資 （成本 $ | ||||||||
| 總資產 - | $ | |||||||
| 其他資產超過負債- | ||||||||
| 總淨資產- | $ | |||||||
百分比 以淨資產的百分比表示。
| (a) | 交易所交易。 |
| (b) | 每個合同100股。 |
| (c) |
| (d) |
查閱基本報表附註。
F-10
-1x 開空 VIX 期貨 etf
期貨合約開放計劃
（需要提交本聲明的事件日期）
| 描述 | 合同 已購買 | 到期 日期 | 名義上的 | 價值/ 未實現 感謝 （折舊） | ||||||||||||
| 芝加哥期權交易所波動率指數 | ( | ) | $ | $ | ||||||||||||
| 芝加哥期權交易所波動率指數 | ( | ) | ||||||||||||||
| $ | ||||||||||||||||
| 未實現升值總額（折舊） | $ | |||||||||||||||
查閱基本報表附註。
F-11
2倍 開多VIX期貨etf
投資時間表 的投資
截至2024年9月30日（未經審計）
| 股份 | ||||||||
| 開空-期 投資 - 36.6% | ||||||||
| 貨幣 市場基金 - 36.6% | ||||||||
| First 美國政府債券基金 - | $ | |||||||
| 短期投資總計 （成本 $ | ||||||||
| 總資產 - | ||||||||
| 其他資產超過負債- | ||||||||
| 總淨資產- | $ | |||||||
百分比 以淨資產的百分比表示。
| (a) | 所顯示的利率代表截至2024年9月30日的7天年化有效收益率。 |
| (b) | 112,415,389現金被作爲期貨合約的抵押。 |
查閱基本報表附註。
F-12
2倍開多VIX期貨 etf
開放 期貨合約的日程表
截至2024年9月30日（未經審計）
| 描述 | 合同 購買價格 | 到期日 日期 | 名義 價值 | 值 / 未實現 毛未實現升值 （折舊） | ||||||||||||
| cboe波動率指數 | $ | $ | ( | ) | ||||||||||||
| cboe波動率指數 | ||||||||||||||||
| 總未實現增值（貶值） | $ | ( | ) | |||||||||||||
請查看基本報表說明。
F-13
2倍開多 VIX 期貨 etf
投資計劃表
截止到2023年12月31日
| 股份 | ||||||||
| 開空期投資 - 11.50% | ||||||||
| 貨幣市場基金 - 11.50% | ||||||||
| 第一美國政府債券基金， | $ | |||||||
| 總開空期投資 （成本 $8,009,153） | ||||||||
| 總投資 - （成本 $ | $ | |||||||
| 其他資產超過負債- | ||||||||
| 總淨資產- | $ | |||||||
百分比表示爲淨資產的百分比
| (a) |
| (b) |
請查看基本報表說明。
F-14
2x 多頭 VIX 期貨 ETF
開放 期貨合約的日程表
截止到2023年12月31日
| 描述 | 合同 購買價格 | 到期日 日期 | 名義 | 價值 / 未實現 毛未實現升值 （折舊） | ||||||||||||
| cboe波動率指數 | $ | $ | ( | ) | ||||||||||||
| cboe波動率指數 | ( | ) | ||||||||||||||
| $ | ( | ) | ||||||||||||||
| 總未實現增值（貶值） | $ | ( | ) | |||||||||||||
請查看基本報表說明。
F-15
VS 信任
財務報表附註
2024年9月30日， （未經審計）
註釋 1 – 組織
VS trust（「trust」） 是一個於2019年10月24日成立的特拉華州法定信託，目前組織成不同的系列（每個稱爲「基金」，統稱爲「所有基金類型」）。截至2024年9月30日，信託的以下兩個系列已開始投資運營：-1倍開空VIX期貨etf（「SVIX」）和2倍開多VIX期貨etf（「UVIX」）。上述每個基金均發行共同的受益單位（「股份」），代表僅在該基金中擁有的分割未分割受益權益的單位。每個基金的股份在cboe BZX 交易所上市（「cboe BZX」）。
基金的運作始於2022年3月28日。在2022年3月28日之前，trust和所有基金類型除與組織事務及根據1933年證券法註冊各系列有關事宜外，均未進行任何業務。
每個基金對VIX期貨合約的投資會導致每個基金被視爲商品池，從而使每個基金受到《1934年商品交易法》（「CEA」）和商品期貨交易委員會（「CFTC」）規定的監管。贊助商已註冊爲商品池運營商（「CPO」），基金將依照適用的CFTC規定進行運作。作爲CPO的註冊會對贊助商和基金施加額外的合規義務，涉及額外的法律、法規和執法政策，這可能會增加合規成本並可能影響基金的運作和財務表現。
波動性股份 有限責任公司（「贊助商」）是信託和所有基金類型的贊助商。贊助商還將擔任信託的商品 基金運營商。這些基金是商品基金，符合商品交易法（「CEA」）的定義，以及CFTC適用的 法規，並由註冊爲商品基金運營商的贊助商進行運營。信託不是根據1940年的投資公司法註冊的投資公司。
注意事項2 - 重要會計政策
每個基金都是一個投資公司，根據美國財務會計準則委員會（"FASB"）會計準則法典（"ASC"）第946號議題"金融服務-投資公司"的定義。因此，這些基金遵循投資公司的會計和報告指導方針。以下是各基金在編制財務報表時遵循的重大會計政策摘要。這些政策符合美國通用會計準則（"GAAP"）。
附帶的 未經審計的基本報表是根據GAAP臨時財務信息的準則以及Form 10-Q的說明和美國證券交易委員會（「SEC」）的規則和條例編制的。管理層認爲，所有由正常經常性調整組成的重大調整，均被視爲公正陳述臨時期基本報表所必需，並已作出。臨時期的結果不一定代表完整年度的結果。
F-16
新興成長公司
信託是一個
「新興成長型公司」，定義見2012年《Jumpstart我們的商業初創企業法》。它仍將是一種新興的增長
公司在 (1) 首次公開募股五週年之後的第一個財政年度開始之前，以較早者爲準，
(2) 年總收入之後的第一個財政年度的開始時間爲 $
只要信託仍然是一個「新興成長公司」，它可以利用對不屬於「新興成長公司的」公共公司適用的各種報告要求的某些豁免，包括但不限於不需要遵守《薩班斯-奧克斯利法》第404條的核數師認證要求，減少在我們定期報告和代理聲明中關於高管薪酬和基本報表的披露義務，以及豁免舉行非約束性顧問投票以批准高管薪酬和股東批准任何未事先批准的黃金降落傘支付的要求。信託將利用這些報告豁免，直到不再是「新興成長公司」爲止。
估計和賠償的使用
根據GAAP要求，財務報表的編制需要管理層進行涉及在財務報表日資產和負債的數字以及披露當期的收入和費用金額的估計和假設。實際結果可能與這些估計不同。
在業務的正常過程中，信託機構簽訂包含各種一般賠償條款的合同。在這些安排下，信託機構的最大風險暴露不可知；然而，信託機構預計損失風險很小。
呈現基礎
根據SEC的規定和法規，這些基本報表是以整個trust作爲SEC的申報者，以及對每個基金單獨列示的。針對特定基金髮生、訂立或以其他形式存在的債務、負債、義務和費用只能針對該基金的資產執行，而不是針對trust總體或其他基金的資產執行。因此，trust的每個基金的資產僅包括那些支付、持有或分配給trust用於購買該基金股份的資金和其他資產。
現金流量表中顯示的現金金額是截至2024年9月30日和2023年12月31日的財務狀況表中報告的現金金額，代表現金，但不包括短期投資。
財政期間的最終淨資產值
| 基金 | 創建/贖回 截止時間* (東部時間) | 淨資產價值 計算 時間 (東部時間) | 淨資產價值 計算法 日期 | |||
| -1倍開空VIX期貨etf和 | ||||||
| 2x 開多 cboe 期貨 etf |
| * |
F-17
股價的市值是在Cboe BZX收盤時確定的，可能晚於基金淨資產淨值每股的計算時間。
爲了基本報表的報告目的，所有基金類型的價值 是基於其主要市場的最終收盤價進行交易的。因此，這些基本報表中的投資估值 可能與針對截至2024年9月30日的三個月內某些所有基金類型的最終創設/贖回NAV計算中使用的估值不同。
投資評估
開空期投資按攤銷成本計值，這在每日淨資產淨值目的上與公允價值相近。而在財務報告目的上，短期投資的估值是通過第三方定價服務或市場報價提供的信息來確定其市場價格。在這些情況下，估值通常被歸類爲公允價值層次結構中的I級別。
VIX期貨合約的價值是使用紐交所正常交易時間最後15分鐘內期貨的加權平均價格（TWAP）進行估值，而不僅僅是從VIX期貨的結算價格來確定。基金非交易所交易的金融工具的價值通常是通過將指數的當前傳播水平應用於基金非交易所交易的金融工具的條款來確定。
在某些情況下（例如，如果發起人 認爲市場報價並不能準確反映基金投資的公允價值，或由於交易暫停導致交易所 或市場提前關閉），發起人可以自行決定，選擇判斷一個公允價值價格作爲確定該投資的市場 價值的基礎。這樣的公允價值價格通常會基於可用的信息來判斷當前 標的VIX期貨合約的價值，並基於發起人認爲公平合理的原則。
所有基金類型可以使用各種貨幣市場工具。 貨幣市場工具通常將根據市場價格或攤銷成本進行估值。
公允價值定價可能需要對投資價值做主觀判斷。 雖然基金的政策旨在計算各自基金的淨資產值（NAV），以公正反映定價時的投資價值，但該基金無法確保由贊助人或其指示下的人員確定的公允價值會準確反映基金在定價時處置該投資所能獲得的價格（例如，在強制或困境銷售中）。該基金使用的價格可能與如果出售投資所能實現的價值不同，而這些差異可能對基本報表產生重要影響。
期權的價值是根據在cboe 期權交易所美股盤中收盤時的最後交易價格來計算的。
金融工具的公允價值
基金披露其投資的公平價值情況，根據首要考慮用於衡量公平價值的估值技術的輸入來設置一個層次結構。披露要求建立了一個區分以下內容的公平價值層次結構：（1）基於基金獨立獲取的市場數據的市場參與者假設（可觀察輸入）；和（2）基金根據情況下最佳信息形成的關於市場參與者假設的自身假設（不可觀察輸入）。披露要求定義的三個層次如下：
一級 – 報告實體在計量日期能夠獲得的無需調整的在活躍市場中相同資產或負債的報價。
第二級 – 除了第一層中引用的價格外， 還有其他可以直接或間接觀察到的輸入，包括資產或負債。第二級資產包括以下內容：在活躍市場中類似資產或負債的報價， 在非活躍市場中相同或類似資產或負債的報價，除報價外可以觀察到的資產或負債的其他輸入，以及主要來自可觀察市場數據的輸入，或通過相關性或其他方式確證的輸入（市場確認的輸入）。
三級 – 在資產或負債的計量日無法觀察的定價輸入。當可觀察輸入不可用時，應使用無法觀察的輸入來測量公允價值。
F-18
在某些情況下，用於測量公允價值的輸入可能落在公允價值層次結構的不同層級中。公允價值測量整體上所處的公允價值層次結構層級是根據對公允價值測量整體而言最重要的最低輸入層級來決定的。
公允價值計量還要求在資產或負債的成交量和活動水平顯著減少時，以及在情況表明交易並非有序時，提供額外的披露。
下表總結了截至2024年9月30日（未經審計）和2023年12月31日的投資估值，採用公允價值層次結構：
| 2024年9月30日（未經審計） | 2023年12月31日 | |||||||||||||||||||||||||||||||
| -1x 開空 cboe 期貨 etf | 一級 | 二級 | 三級 | 總計 | 一級 | 二級 | 三級 | 總計 | ||||||||||||||||||||||||
| 資產 | ||||||||||||||||||||||||||||||||
| 投資 | ||||||||||||||||||||||||||||||||
| 購買期權* | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 短期投資 | ||||||||||||||||||||||||||||||||
| Total Investments | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 其他金融工具* | ||||||||||||||||||||||||||||||||
| 開空期貨合約 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 其他金融工具總額 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 負債 | ||||||||||||||||||||||||||||||||
| 其他金融工具* | ||||||||||||||||||||||||||||||||
| 開空期貨合約 | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | $ | ||||||||||||||||||||
| 其他金融工具總額 | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | $ | ||||||||||||||||||||
| 2x 開多 cboe 期貨 etf | 一級 | 二級 | 三級 | 總計 | 一級 | 二級 | 三級 | 總計 | ||||||||||||||||||||||||
| 資產 | ||||||||||||||||||||||||||||||||
| 投資 | ||||||||||||||||||||||||||||||||
| 短期投資 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| Total Investments | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 其他金融工具* | ||||||||||||||||||||||||||||||||
| 多頭期貨合約 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 所有其他金融工具 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
| 負債 | . | |||||||||||||||||||||||||||||||
| 其他金融工具* | ||||||||||||||||||||||||||||||||
| 多頭期貨合約 | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||||||||||
| 其他金融工具總數 | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||||||||||
| * |
用於估值投資的輸入或方法論 未必能表明投資這些證券的風險。
F-19
投資交易及相關收入
投資交易記錄在交易日期。所有這些交易都以確定的成本基礎記錄，並每日按市場標記。未實現的升值（折舊）反映在財務狀況表中，未實現升值（折舊）在期間之間的變化反映在經營報告中。
利息收入是按權責發生制確認的 幷包括適用時的溢價或折價攤銷，並在運營報表中反映爲利息收入。
券商佣金和期貨帳戶費用
每個基金支付其相應的券商佣金，包括適用的交易所費用、全國期貨協會（NFA）費用、放棄費用、交易坑道券商費用以及與每個基金在美國商品期貨交易委員會（CFTC）監管投資相關的交易活動所收取的其他交易相關費用和開支。交易點差的影響、與金融工具相關的融資成本/費用，以及與購買美國國債或類似高信用質量的短期固定收益證券相關的成本也將由基金承擔。期貨合約的券商佣金按照半迴轉的方式確認（例如，當合約被購買（開倉）時確認一半，當交易關閉時確認另一半）。
聯邦所得稅
每個基金都註冊成爲特拉華州的一系列法定信託，並針對美國聯邦所得稅目的被視爲合夥企業。因此，沒有任何基金預期會產生美國聯邦所得稅責任; 相反，基金股份的每位受益所有人都需要考慮其基金納稅年度內或範圍內的可分配份額所涉及的基金收入、收益、虧損、扣除額和其他項目。
基金管理層已審查所有開放的稅務年度和主要司法管轄區（即最近四個稅務年度末和自那以來的中期稅務期間，如適用），並得出結論，認爲沒有由於未確認的稅收利益而產生的稅務負債，這些利益與不確定的所得稅立場有關，未來稅務申報中預計會採取這些立場。基金管理層也未意識到有任何稅務立場，其未確認的稅收利益的總額在接下來的十二個月內有可能會顯著改變。在持續的基礎上，管理層監控其在解釋下采取的稅務立場，以判斷是否需要根據包括但不限於稅法、法規及其解釋的持續分析等因素對結論進行調整。
註釋 3 - 投資
短期投資
所有基金類型可以購買美國國債、機構證券，以及其他高信用評級的短期固收或類似證券，原始到期日爲一年或更短。 這些投資的一部分可能會作爲按金用於掉期協議、期貨和/或遠期合約。
衍生工具會計
爲實現每個基金的投資目標，發起人採用數學方法進行投資。通過這種方法，發起人確定投資頭寸的類型、數量和組合，包括衍生品頭寸，發起人相信這些頭寸的組合應該產生與基金目標一致的回報。
所有的未平倉衍生品頭寸均反映在各自基金的投資組合表上。在期間，某些基金利用不同水平的衍生工具與投資證券結合，以實現其投資目標。雖然未平倉頭寸的數量可能會因每隻基金進行衍生合約交易以達到適當敞口而在日常變化，但相對於本報告日期各自基金的資產淨值而言，這些未平倉頭寸的數量通常代表了報告期間的未平倉頭寸。
以下是報告期間所有基金類型使用的衍生工具的描述，包括與每種工具類型相關的主要基礎風險敞口。
期貨合約
所有基金類型可以簽訂期貨合約，以獲得對基礎基準的價值變化的敞口，或者替代直接投資（或做空）。期貨合約要求賣方在指定時間和地點交付（而買方接受）特定數量和類型的資產。買方或賣方的合同義務通常可以通過對基礎商品的實物交割來滿足（如適用），或者在指定交貨日期之前，在同一或相關交易所買賣相同的期貨合約，或在合約到期時進行現金結算。
F-20
在進入期貨合同時，每個基金 要求存入並維持至少由交易所要求的初始按金作爲抵押。初始按金以現金和/或證券餘額形式與期貨合同的經紀人隔離，如在 財務狀況表中披露，並且其使用受到限制。進入期貨合同的基金以現金和/或證券的形式在經紀人處維持抵押品。根據期貨合同，每個基金一般同意從經紀人那裏收取或支付相當於期貨合同價值日常波動的現金金額。這些收款或付款被稱爲變動按金，並由每個基金記錄爲未實現的收益或損失。每個基金在關閉期貨交易時將實現收益或損失。
期貨合約在不同程度上涉及市場風險（具體來說是匯率敏感性、商品價格風險或股票市場波動風險）以及可能面臨的超出變動按金的損失。合約面額或合約金額反映每個基金在特定類工具中的總風險敞口。使用期貨合約所涉及的額外風險包括期貨合約價格與標的指數或商品的市場價值之間的相關性不良，以及期貨合約可能出現流動性不足的市場。由於期貨合約是交易所交易的，基金對交易對手的風險最小，但仍然存在，信貸風險由基金的結算經紀商或清算所自身承擔。許多期貨交易所和交易委員會限制在單個交易日內期貨合約價格的波動幅度。一旦某一合約在特定合約中達到每日限制，則該日不得以超過該限制的價格進行交易，或者交易可能在交易日內的指定時間內暫停。期貨合約價格可能在幾個連續的交易日內波動至限制，幾乎沒有交易，從而阻止期貨頭寸的及時平倉，並可能導致基金面臨重大損失。如果無法交易，或者基金決定不關閉期貨頭寸以預期不利的價格波動，基金將被要求按日支付變動按金。通過在具有活躍和流動的二級市場的國家交易所進行此類交易，將最大程度地降低基金無法平倉期貨頭寸的風險。
期權合約
期權是一種合約，給買方權利，但不是義務，在特定價格（或行權價格）的貨物或其他工具的數量，在指定的時間內買入或賣出，而不管該工具的市場價格。有兩種類型的期權：看漲和看跌。看漲期權賦予期權買方在期權存續期內任何時間以規定價格購買特定期貨合約的權利。看跌期權賦予期權買方在期權存續期內任何時間以規定價格出售特定期貨合約的權利。基金撰寫的期權可能完全或部分覆蓋（意味着基金持有對沖頭寸）或未覆蓋。在購買期權的情況下，投資者整個投資（即已支付的保險費加上交易費用）的損失風險體現了期權作爲一種消耗資產的特性，當期權到期時可能變得毫無價值。如果期權未覆蓋地撰寫或授權（即出售），則賣方可能需要支付大量額外的按金，損失風險是無限的，因爲賣方將有義務以預定價格交付或收取資產，該價格可能在行權後與市場價有顯著不同。
當基金寫入看漲或看跌期權時，記錄一個與收到的期權費相等的金額，並隨後按市場標記以反映所寫期權的當前價值。通過寫入到期的期權所收到的期權費被視爲實際收益。通過寫入已行使或關閉的期權所收到的期權費被加入到收益中，或抵消支付給基礎期貨、掉期或安防-半導體交易的金額，以判斷實現的收益（虧損）。
當基金購買期權時，基金支付一定的保費，該保費被列爲財務狀況報表上的一項資產，並隨後按照市場標記以反映期權的當前價值。購買後到期的期權的保費將被視爲實現虧損。購買看跌和看漲期權所帶來的風險僅限於支付的保費。已行權或關閉的期權的保費將被加到支付的金額中，或者抵消在執行相關交易時的基礎投資交易收入中，以確定基礎交易執行時的實現收益（損失）。
某些期權交易可能會使賣方（賣出者）面臨無限的損失風險，尤其是在合同價格上漲的情況下。基金的期權交易的價值（如果有的話）將受到多種因素的影響，其中包括基金基礎基準相對於行權價格的價值變化、利率的變化、基金基礎基準的實際和隱含波動性的變化，以及期權到期前剩餘的時間，或者其任何組合。期權的價值不應預期以與基金基礎基準相同的速度增加或減少，這可能導致跟蹤誤差。期權可能比其他某些證券流動性更差。基金的期權交易能力將取決於交易對手願意與基金進行此類期權交易。在期權流動性較差的市場中，基金可能會在所需的時間和價格上難以平倉某些期權頭寸。基金可能會因特定期權頭寸經歷大量下行風險，並且某些期權頭寸可能會變得一文不值。場外期權通常只能通過相關方之間的協議轉讓，並且沒有任何當事方或買方有任何義務允許此類轉讓。期權的場外市場相對流動性較差，尤其是對於相對較小的交易。使用期權交易使基金面臨流動性風險和交易對手信用風險，並且在某些情況下可能使基金面臨無限的損失風險。基金可能會買入和賣出期貨合約上的期權，這可能會帶來更大的波動性和損失風險。
F-21
掉期協議
所有基金類型可能會簽訂掉期協議，以追求其投資目標，或作爲直接投資（或做空）某個指數的替代，或爲了對沖一個持倉的經濟風險。掉期協議是由兩個當事方簽訂的合同，通常主要與機構投資者在場外交易（「OTC」）市場中達成，期限從一天到超過一年。然而，多德-弗蘭克華爾街改革和消費保護法案（「多德-弗蘭克法案」）對OTC衍生品市場進行了重大改革，包括要求在CFTC監管的市場上執行某些掉期交易和/或通過CFTC監管的中央清算組織來清算這些交易。在標準的掉期交易中，兩個當事方同意交換在特定的預定投資、工具或指數上賺取或實現的回報，以換取一個固定或浮動回報率，基於一個預定的名義金額。交易或佣金成本反映在交易達成時的基準水平上。交換的總回報是根據名義金額和與掉期相關的基準回報來計算的。掉期協議不涉及基礎工具的交割。
通常，基金類型簽訂的掉期協議會根據「淨額」進行計算和結算，只需進行一次支付。因此，每種基金的當前義務（或權利）根據這些義務（或權利）相對價值的淨額進行支付或收取，一般僅相等於根據協議要支付或收到的淨額（「淨額」）。在UVIX簽訂的典型掉期協議中，如果基準水平上升，則UVIX將有權獲得結算支付，如果基準水平下降，則必須向掉期交易對手支付款項，調整基金可能支付的名義金額上的任何交易成本或交易價差。在SVIX簽訂的典型掉期協議中，基金在基準水平上升的情況下需要向掉期交易對手支付款項，在基準水平下降的情況下有權獲得結算支付，調整基金可能支付的名義金額上的任何交易成本或交易價差。
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap 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. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
掉期協議涉及不同程度的市場風險 以及面臨損失的風險，超過了反映的未實現盈利/虧損。名義金額反映了每個基金在掉期協議下的總投資 風險，該風險可能超過每個基金的淨資產淨值。與使用掉期相關的其他風險 協議的名義金額和基礎參考指數價格之間的不完全相關性以及 交易對手無法履行。每個基金都承擔着在掉期協議下預期收到的金額的損失風險 在掉期協議交易對手出現違約或破產的情況下。基金通常只與 主要的全球金融機構簽訂掉期協議。由掉期協議方的可信度由基金管理者監測。基金管理者可能採用各種技術來最大限度地減少信用風險，包括提前終止和付款，使用不同的交易對手， 限制來自任何個別交易對手的淨金額，並通常要求交易對手提供大致等同於應付基金的抵押品金額。未結算的掉期協議通常在一個月內合約終止，但任何一方隨時可以無處罰地終止。終止時，基金有義務支付或收到「未實現 升值或折舊」金額。
F-22
所有基金類型根據需要通過對沖協議的抵押方式 通過在財務狀況報表或投資清單上指定現金和/或某些證券來進行隔離或者指定。 如上所述，針對場外交易衍生品交易而提供的抵押品以分開存放方式，保存在保管人的三方帳戶中， 以保護交易對手免受所有基金類型未支付的風險。該帳戶中持有的抵押品在使用上是有限制的。 如果交易對手違約，所有基金類型將尋求從隔離帳戶中提取該抵押品， 並可能在行使與抵押品相關的權利時產生一定費用。如果交易對手破產或因財務困難而未能履行其義務， 所有基金類型在破產或其他重組程序中可能會遇到顯著的延遲。 在這種情況下，所有基金類型只能獲得有限的賠償或可能完全無法獲得賠償。
基金仍然面臨信用風險，關於他們希望從交易對手那裏收到的金額。然而，基金已經在場外交易掉期方面努力減輕這些風險，通常要求每個基金的交易對手同意發帖以享受基金的利益，每日按市場標記價值計算，數額大致等於交易對手欠基金的金額，但須遵守一定的最低限制。在交易對手破產的情況下，這樣的基金將直接使用從交易對手那裏收到的抵押品，通常是在破產前一天，因爲基金要求抵押品並交付抵押品之間存在一天的時間差。在某些抵押品不足的情況下，基金將面臨上述交易對手風險，包括因破產程序而導致的收回金額可能延遲。
對於清算衍生品交易，交易對手/信用風險通常低於場外交易衍生品，因爲一般清算機構會替代每個交易對手，實際上保證了各方在合同下的履行，作爲交易的一方，只需向清算機構尋求履行金融義務。此外，清算衍生品交易受益於每日按市值計價和結算，以及適用於中介的隔離和最低資本要求。
資產和負債表
| 陳述 資產和 | 公允價值 | 陳述 資產和 | 公允價值 | |||||||||||||||||
| 負債 | 截至2024年9月30日（未經審計） | 負債 | 截至2023年12月31日 | |||||||||||||||||
| -1倍開空波動率指數期貨etf | 地點 | 資產 | 負債 | 地點 | 資產 | 負債 | ||||||||||||||
| 購買期權合約： | ||||||||||||||||||||
| 索引 | $ | $ | $ | $ | ||||||||||||||||
| 開空期貨合約： | ||||||||||||||||||||
| 索引 | (折舊)* | ( | ) | |||||||||||||||||
| 衍生工具的總公允價值 衍生工具 | $ | $ | ( | ) | $ | $ | ||||||||||||||
| 2x 開多 cboe 期貨 etf | 資產 | 負債 | 資產 | 負債 | ||||||||||||||||
| 開多期貨合約： | ||||||||||||||||||||
| 索引 | （貶值）* | $ | $ | ( | ) | （貶值）* | $ | $ | ( | ) | ||||||||||
| 總公允價值 衍生工具 | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||||||
| * | 包括期貨合約的累積升值（貶值），如期貨合約表中所報告的。僅當天的 變動按金在資產負債表中報告爲未清算期貨的應收/應付。 |
F-23
損益表
| 衍生品的淨實現收益（損失） | 衍生品的淨實現收益（損失） | |||||||||||||||||||||||
| 截至三個月結束 2024年9月30日（未經審計） | 截至三個月結束 2023年9月30日（未經審計） | |||||||||||||||||||||||
| 已購買 | 開空 | 已購買 | 開空 | |||||||||||||||||||||
| -1x 開空 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合同* | 合同 | 總計 | 合同* | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | ( | ) | $ | ( | ) | $ | $ | $ | ||||||||||||||
| 總計 | $ | $ | ( | ) | $ | ( | ) | $ | $ | $ | ||||||||||||||
| 已購買 | 長的 | 已購買 | 長的 | |||||||||||||||||||||
| 2x 開多 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合同* | 合同 | 總計 | 合同* | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 總計 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 衍生品未實現升值（貶值）淨變動 | 衍生品未實現升值（貶值）淨變動 | |||||||||||||||||||||||
| 截至2024年9月30日的三個月（未經審計） | 截至2023年9月30日的三個月（未經審計） | |||||||||||||||||||||||
| 已購買 | 開空 | 已購買 | 開空 | |||||||||||||||||||||
| -1x 開空 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合約** | 合同 | 總計 | 合約** | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 總計 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 已購買 | 長的 | 已購買 | 長的 | |||||||||||||||||||||
| 2x 開多 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合約** | 合同 | 總計 | 合約** | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
| 總計 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
| -1倍開空 VIX 期貨etf | 2倍開多 VIX 期貨etf | |||||||
| 多頭期貨合約的平均名義價值 | $ | $ | ||||||
| 空頭期貨合約的平均名義價值 | ( | ) | ||||||
| -1倍開空 VIX 期貨 etf | 2倍開多 VIX 期貨 etf | |||||||
| 開多期貨合約的平均名義價值 | $ | |||||||
| 開空期貨合約的平均名義價值 | $ | ( | ) | |||||
| -1倍開空 VIX 期貨 etf | 2倍開多 VIX 期貨 etf | |||||||
| 購買的期權合約的平均名義價值 | $ | $ | ||||||
截至2023年9月30日的季度內，購買的期權合同沒有任何交易。
F-24
| 衍生品的淨實現收益（損失） | 衍生品的淨實現收益（損失） | |||||||||||||||||||||||
| 截至2024年9月30日的九個月內 (未經審計) | 2023年9月30日結束的九個月內的合同餘額 (未經審計) | |||||||||||||||||||||||
| 已購買 | 開空 | 已購買 | 開空 | |||||||||||||||||||||
| -1x 開空 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合同* | 合同 | 總計 | 合同* | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | ( | ) | $ | $ | $ | $ | $ | ||||||||||||||||
| 總計 | $ | ( | ) | $ | $ | $ | $ | $ | ||||||||||||||||
| 已購買 | 長的 | 已購買 | 長的 | |||||||||||||||||||||
| 2x 開多 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合同* | 合同 | 總計 | 合同* | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 總計 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 衍生品未實現升值（貶值）淨變動 | 衍生品未實現升值（貶值）淨變動 | |||||||||||||||||||||||
| 截至2024年9月30日的九個月（未經審計） | 截至2023年9月30日的九個月（未經審計） | |||||||||||||||||||||||
| 已購買 | 開空 | 已購買 | 開空 | |||||||||||||||||||||
| -1x 開空 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合約** | 合同 | 總計 | 合約** | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 總計 | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
| 已購買 | 長的 | 已購買 | 長的 | |||||||||||||||||||||
| 2x 開多 cboe 期貨 etf | 期權 | 期貨 | 期權 | 期貨 | ||||||||||||||||||||
| 衍生品 | 合約** | 合同 | 總計 | 合約** | 合同 | 總計 | ||||||||||||||||||
| 指數合約 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
| 總計 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
| * | 公開的金額已包含在投資的實現收益（損失）中。 |
| ** | 披露的金額已包含在投資未實現升值（折舊）的變動中。 |
F-25
| -1倍開空 VIX 期貨 etf | 2倍開多 VIX 期貨 etf | |||||||
| 多頭期貨合約的平均名義價值 | $ | $ | ||||||
| 空頭期貨合約的平均名義價值 | ( | ) | ||||||
| -1倍開空 VIX 期貨 etf | 2倍開多 VIX 期貨 etf | |||||||
| 多頭期貨合約的平均名義價值 | $ | $ | ||||||
| 空頭期貨合約的平均名義價值 | ( | ) | ||||||
| -1倍開空 VIX 期貨 etf | 2倍開多 VIX 期貨 etf | |||||||
| 購買的期權合約的平均名義價值 | $ | $ | ||||||
2023年9月30日結束的九個月內並未發生購買期權合約的交易。
F-26
抵消資產和負債
每個基金受制於主淨額協議或類似安排，這些協議允許在提前終止時各基金與對手方之間的應付款項進行抵消。擁有較大應付款項的一方將較大金額超過較小金額的部分支付給另一方。主淨額協議或類似安排不適用於不同對手方之間的應付款項。如上所述，基金利用衍生工具實現其年度投資目標。財務狀況表中所示的金額未考慮法律上可強制執行的主淨額協議或類似安排的影響。
爲了財務報告目的，基金在財務狀況表中無法抵銷受淨額安排約束的衍生資產和衍生負債。
| 2024年9月30日的衍生工具公允價值（未經審計） | ||||||||||||||||||||||||
| 資產 | 負債 | |||||||||||||||||||||||
| 基金 | 毛額 金額的 已確認 資產 展示 在資產負債表中 金融 控件 | 總金額抵消 在資產負債表中 Financial 控件 | 淨值 資產金額 在資產報表中呈現的金額 在財務狀況表中的資產金額 Financial 財務狀況控件中的金額 | 毛額 金額的 已識別 負債呈現 在 財務狀況表 Financial 控件 | 總 金額 抵消 在報表中 Financial 控件 | 淨值 資產金額 負債 呈現 在報表中 Financial 控件 | ||||||||||||||||||
| -1x 開空 cboe 期貨 etf | $ | $ | $ | $ | - | $ | $ | - | ||||||||||||||||
| 2x 開多 cboe 期貨 etf | ||||||||||||||||||||||||
| 2023年12月31日的衍生工具公平價值 | ||||||||||||||||||||||||
| 資產 | 負債 | |||||||||||||||||||||||
| 基金 | 總額 已確認 資產 呈現 在 資產聲明 Financial 控件 | 總 金額 抵消在 the 開多控件 Financial 資產控件 | 淨值 金額 資產控件 呈現 在 報表的 Financial 控件 | 總 金額的 確認的 負債 呈現 在 資產的表述 Financial 控件 | 總 金額 抵消 資產表述中的金額 Financial 控件 | 淨值 資產的數量 呈現的負債 在 報表 Financial 控件 | ||||||||||||||||||
| -1x 開空 cboe 期貨 etf | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
| 2x 開多 cboe 期貨 etf | ||||||||||||||||||||||||
表格中顯示的資產（負債）金額表示截至2024年9月30日和2023年12月31日基金對衍生品相關投資的欠款（應付款）。
這些金額可能通過現金或金融工具抵押，專爲基金或交易對手的利益而設立，這取決於相關合同在期末處於升值還是折舊位置。標有「淨額」標籤的列中的金額表示期末這些金額的非抵押部分。
F-27
| 2024年9月30日財務狀況報表中未抵銷的總金額（未經審計） | ||||||||||||||||
| 基金 | 金額 2022-11-10 資產 / （負債） 呈現 在 資產的聲明 Financial 基金的控件 | 信貸損失（Topic 326）：金融工具的信貸損失測量 爲基金 / 對手方的利益 （所有基金類型）的利益 / 對手方 的控件 | 現金 資產用於 爲了獲益 （所有基金類型）/ the 對手方 | 淨額 | ||||||||||||
| -1x 開空 cboe 期貨 etf | $ | $ | $ | $ | ||||||||||||
| 2x 開多 cboe 期貨 etf | ( | ) | ( | ) | ||||||||||||
| 2023年12月31日財務狀況表中未進行抵消的總額 | ||||||||||||||||
| 基金 | 金額爲 2022-11-10 資產/ （負債） 呈現 在 資產聲明 Financial 基金的控件 | 信貸損失（Topic 326）：金融工具的信貸損失測量 有利於（基金）的條件 有利於（基金）的條件 所有基金類型的/對手方的 所有基金類型的/對手方的 | 現金 作爲的抵押品 爲的利益 （所有基金類型） / the 交易對手 | 淨額 | ||||||||||||
| -1x 開空 cboe 期貨 etf | $ | ( | ) | $ | $ | $ | ( | ) | ||||||||
| 2x 開多 cboe 期貨 etf | ||||||||||||||||
F-28
注意 4 – 協議
SVIX每月支付贊助商管理費（「管理費」），金額等同於基金淨資產平均值的百分之X，次月支付。
基金不支付其他管理費。 管理費是爲了酬謝基金贊助商提供的交易諮詢服務和其他直接由贊助商支付給基金的服務。
2024年9月16日之前，Penserra Capital Management LLC（「Penserra」）擔任所有基金類型的商品副顧問。在Penserra擔任商品副顧問期間，基金管理人監督並根據每隻基金的平均每日淨資產（基金的總資產減去其應計負債的總和）向Penserra支付其商品副顧問服務費。基金並未直接支付給Penserra。
非經常性費用
每隻基金支付其所有非經常性和飛凡的費用和支出（如果有的話），由發起人確定。非經常性和飛凡的費用和支出是指意外或不尋常的性質，如法律索賠和責任、訴訟費用或賠償金或其他不是目前預期基金的義務的重大費用。
管理員、轉讓代理和保管人
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), an indirect subsidiary of U.S. Bancorp, serves as the Fund’s fund accountant, administrator and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements. U.S. Bank National Association, a subsidiary of U.S. Bancorp and parent company of Fund Services, intends to serve as the Fund’s custodian pursuant to a custody agreement.
The Marketing Agent
Foreside Fund Services, LLC (the “Marketing Agent”) serves as the Marketing Agent of the Funds. Its principal duties are: (i) to work with the Transfer Agent to review and approve orders placed by Authorized Participants and transmitted to the Transfer Agent; (ii) maintain copies of confirmations of Creation Unit creation and redemption order acceptances; (iii) maintain telephonic, facsimile and/or access to direct computer communications links with the Transfer Agent; and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable SEC and FINRA advertising rules.
The Marketing Agent retains all marketing materials separately for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine 04101.
As compensation for the services it provides, the Marketing Agent receives a fee from the Funds.
F-29
NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to
time, but only in one or more Creation Units. A Creation Unit is a block of at least
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such 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.
Authorized Participants may pay a fee up to
The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
| Fund | Three Months Ended September 30, 2024 (Unaudited) | Three Months Ended September 30, 2023 (Unaudited) | ||||||
| -1x Short VIX Futures ETF | $ | $ | ||||||
| 2x Long VIX Futures ETF | ||||||||
| $ | $ | |||||||
F-30
| Fund | Nine Months Ended September 30, 2024 (Unaudited) | Nine Months Ended September 30, 2023 (Unaudited) | ||||||
| -1x Short VIX Futures ETF | $ | $ | ||||||
| 2x Long VIX Futures ETF | ||||||||
| $ | $ | |||||||
NOTE 7 – FINANCIAL HIGHLIGHTS
VS Trust
Financial Highlights
| -1x Short VIX Futures ETF | 2x Long VIX Futures ETF | -1x Short VIX Futures ETF | 2x Long VIX Futures ETF | |||||||||||||
| Quarter Ended | Quarter Ended | Quarter Ended | Quarter Ended | |||||||||||||
| September 30, 2024 (Unaudited) | September 30, 2024 (Unaudited) | September 30, 2023 (Unaudited) | September 30, 2023 (Unaudited) | |||||||||||||
| Net Asset Value, Beginning of Period | $ | $ | $ | $ | ||||||||||||
| Net investment Income (Loss) (1) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net Increase (Decrease) in Net Asset Value Resulting from Operations | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Net Asset Value, End of Period | $ | $ | $ | $ | ||||||||||||
| Market Value Per Share (3) | $ | $ | $ | $ | ||||||||||||
| Total Return at Net Asset Value (4) | - | % | - | % | - | % | - | % | ||||||||
| Total Return at Market Value (4) | - | % | - | % | - | % | - | % | ||||||||
| Ratios to Average Net Assets: (5) | ||||||||||||||||
| Expense ratio (6) | % | % | % | % | ||||||||||||
| Net Investment Income (Loss) | % | - | % | - | % | - | % | |||||||||
| (1) | Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period. |
| (2) | Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements. |
| (3) | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| (4) | Percentages are not annualized for the period ended September 30, 2024 and September 30, 2023. |
| (5) | Percentages are annualized. |
| (6) | The expense ratio would be |
See accompanying notes to financial statements.
F-31
Selected data is for a Share outstanding throughout the Nine Months Ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited)
VS Trust
Financial Highlights
| -1x Short VIX Futures ETF | 2x Long VIX Futures ETF | -1x Short VIX Futures ETF | 2x Long VIX Futures ETF | |||||||||||||
| Nine Months Ended | Nine Months Ended | Nine Months Ended | Nine Months Ended | |||||||||||||
| September 30, 2024 (Unaudited) | September 30, 2024 (Unaudited) | September 30, 2023 (Unaudited) | September 30, 2023 (Unaudited) | |||||||||||||
| Net Asset Value, Beginning of Period | $ | $ | $ | $ | ||||||||||||
| Net investment Income (Loss)(1) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net Increase (Decrease) in Net Asset Value Resulting from Operations | ( | ) | ( | ) | ( | ) | ||||||||||
| Net Asset Value, End of Period | $ | $ | $ | $ | ||||||||||||
| Market Value Per Share(3) | $ | $ | $ | $ | ||||||||||||
| Total Return at Net Asset Value (4) | - | % | - | % | % | - | % | |||||||||
| Total Return at Market Value (4) | - | % | - | % | % | - | % | |||||||||
| Ratios to Average Net Assets: (5) | ||||||||||||||||
| Expense ratio (6) | % | % | % | % | ||||||||||||
| Net Investment Income (Loss) | % | - | % | - | % | - | % | |||||||||
| (1) | Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period. |
| (2) | Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements. |
| (3) | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| (4) | Percentages are not annualized for the period ended September 30, 2024 and September 30, 2023. |
| (5) | Percentages are annualized. |
| (6) | The expense ratio would be |
See accompanying notes to financial statements.
F-32
NOTE 8 – RISK
Correlation and Compounding Risk
The Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time even if the performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. 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 effects of compounding will likely cause the performance of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the benchmark during the holding period of an investment in the Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Fund’s return for a period as the return of the Fund’s underlying benchmark.
Each Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of UVIX should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of SVIX is designed to return the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a 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 a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
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Each Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in 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 (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with 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 Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC 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 materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or 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.
Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
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OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit 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 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 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. 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 Funds 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 Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a 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 a Fund.
Leverage Risk
The Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because UVIX includes a two times
(2x) multiplier, a single-day movement in the relevant benchmark approaching
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Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds 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 Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
“Contango” and “Backwardation” Risk
The Funds typically hold futures contracts. As the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable Fund benchmark. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely affect the value of a Fund and, accordingly, decrease the return of a Fund.
Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.
NOTE 9 – SUBSEQUENT EVENTS
In preparing these financial statements, management has evaluated Fund related events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no other events or translations that occurred during the year that materially impacted the amounts or disclosures in the Funds’ financial statements.
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward- looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
VS Trust (the “Trust”) is a Delaware statutory trust formed on October 24, 2019 and is currently organized into two separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2022, the following two series of the Trust have commenced investment operations: -1x Short VIX Futures ETF and 2x Long VIX Futures ETF. Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe BZX”).
The Trust had no operations prior to March 28, 2022, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended.
The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
SVIX seeks daily investment results, before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the “Short Index”) for a single day, not for any other period. UVIX seeks daily investment results, before fees and expenses, that correspond to twice the performance of the Long VIX Futures Index (the “Long Index”). A “single day” is measured from the time a Fund calculates its net asset value (“NAV”) to the time of the Fund’s next NAV calculation. The NAV calculation time for a Fund typically is 4:00 p.m. (Eastern Time).
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The Funds seek to achieve their investment objective through the appropriate amount of exposure to the VIX futures contracts included in their respective index. The Funds also have the ability to engage in options transactions, swaps, forward contracts and other instruments in order to achieve their investment objective, in the manner and to the extent described herein.
SVIX is not benchmarked to the inverse of, and UVIX is not benchmarked to twice, the widely referenced VIX. The Short Index and the inverse of the VIX are separate measurements and can be expected to perform very differently. The Long Index and twice the VIX also are separate measurements and can be expected to perform very differently. As such, SVIX can be expected to perform very differently from the inverse (-1x) of the performance of the VIX over any period, and UVIX can be expected to perform very differently from twice (2x) of the performance of the VIX over any period.
The Funds continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a “Creation Unit”). Only Authorized Participants (as defined herein) may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility Shares LLC (the “Sponsor”). Shares are offered on a continuous basis to Authorized Participants in Creation Units at NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant Procedures Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants will not receive from a Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based brokerage accounts.
The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.volatilityshares.com, through which monthly account statements and the Trust’s Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
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Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change.
Interest Income for the three months ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited) were as follows:
| Interest Income | ||||||||
| Fund | Three Months Ended September 30, 2024 (Unaudited) | Three Months Ended September 30, 2023 (Unaudited) | ||||||
| -1x Short VIX Futures ETF | $ | 1,893,485 | $ | 86,183 | ||||
| 2x Long VIX Futures ETF | 407,680 | 257,541 | ||||||
| Total Trust | $ | 2,301,165 | $ | 343,724 | ||||
Interest Income for the nine months ended September 30, 2024 (Unaudited), and September 30, 2023 (Unaudited) were as follows.
| Fund | Nine Months Ended September 30, 2024 (Unaudited) | Nine Months Ended September 30, 2023 (Unaudited) | ||||||
| -1x Short VIX Futures ETF | $ | 3,021,857 | $ | 207,714 | ||||
| 2x Long VIX Futures ETF | 923,605 | 691,812 | ||||||
| Total Trust | $ | 3,945,462 | $ | 899,526 | ||||
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Futures Contracts
A futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of a specified quantity and type of a particular underlying asset at a specified time and place or alternatively may call for cash settlement. Futures contracts are traded on a wide variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes, currencies, energy, metals, economic indicators and statistical measures. The notional size and calendar term futures contracts on a particular underlying asset are identical and are not subject to any negotiation, other than with respect to price and the number of contracts traded between the buyer and seller. A Fund generally deposits cash and/or securities with an FCM for its open positions in futures contracts, which may, in turn, transfer such deposits to the clearinghouse to protect the clearing house against non-payment by the Fund. The clearing house becomes substituted for each counterparty to a futures contract, and, in effect, guarantees performance. In addition, the FCM may require a Fund to deposit collateral in excess of the clearing house’s margin requirements for the FCM’s own protection.
Certain futures contracts, including stock index contracts, VIX futures contracts and certain commodity futures contracts settle in cash. The cash settlement amount reflects the difference between the contract purchase/sale price and the contract settlement price. The cash settlement mechanism avoids the potential for either side to have to deliver the underlying asset. For other futures contracts, the contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying asset or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. The difference between the price at which the futures contract is purchased or sold and the price paid for the offsetting sale or purchase, after allowance for brokerage commissions and exchange fees, constitutes the profit or loss to the trader.
Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of variation margin, which are the amounts of cash that a Fund agrees to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the level of the underlying benchmark and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to a Fund since futures contracts are exchange traded and the exchange’s clearing house, as counterparty to all exchange-traded futures contracts, effectively guarantees futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund may be required to make daily cash payments of variation margin.
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Futures Account Agreements
Each Fund has entered into a written agreement (each, a “Futures Account Agreement”) with one or more FCMs governing the terms of futures transactions of a Fund cleared by such FCM. Each FCM has its own agreement and other documentation used for establishing customer relationships. As such, the terms of the Futures Account Agreement and other documentation that a Fund has with a particular FCM may differ in material respects from that with another FCM.
Most Futures Account Agreements do not require the FCM to enter into new transactions or maintain existing transactions with a Fund. In general, each FCM is permitted to terminate its agreement with a Fund at any time in its sole discretion. In addition, an FCM generally will have the discretion to set margin requirements and/or position limits that would be in addition to any margin requirements and/or position limits required by applicable law, set by the exchange, or set by the clearing house that clears the futures contracts in which a Fund transacts. As a result, a Fund’s ability to engage in futures transactions or maintain open positions in such contracts will be dependent on the willingness of its FCMs to continue to accept or maintain such transactions on terms that are economically appropriate for a Fund’s investment strategy.
When a Fund has an open futures contract position, it is subject to at least daily variation margin calls by an FCM that could be substantial in the event of adverse price movements. Because futures contracts may require only a small initial investment in the form of a deposit or margin, they may involve a high degree of leverage. A Fund with open positions is subject to maintenance or variance margin on its open positions. If a Fund has insufficient cash to meet daily variation margin requirements, it may need to sell Financial Instruments at a time when such sales are disadvantageous. Futures markets are highly volatile and the use of or exposure to futures contracts may increase volatility of a Fund’s NAV.
Margin posted by a Fund to an FCM typically will be held by relevant exchange’s clearing house (in the case of clearing house-required margin) or the FCM (in the case of “house” margin requirements of the FCM). In the event that market movements favorable to a Fund result in the Fund having posted more margin than is required, the Fund typically would have a right to return of margin from the FCM. However, the timing of such return may be uncertain. As a result, it is possible that a Fund may face liquidity constraints including potential delays in its ability to pay redemption proceeds, where margin is not immediately returned by an FCM.
In the event that a Fund fails to comply with its obligations under a Futures Account Agreement (including, for example, failing to deliver the margin required by an FCM on a timely basis), the Futures Account Agreement typically will provide the FCM with broad discretion to take remedial action against the Fund. Among other things, the FCM typically will have the right, upon the occurrence of such a failure by a Fund, to terminate any or all futures contracts in the Fund’s account with that FCM, to sell the collateral posted as margin by the Fund, to close out any open positions of the Fund in whole or in part, and to cancel any or all pending transactions with the Fund. Futures Account Agreements typically provide that the Fund will remain liable for paying to the relevant FCM, on demand, the amount of any deficiency in a Fund’s account with that FCM.
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The Futures Account Agreement between the Fund and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its directors, officers, employees, agents and affiliates (collectively, “indemnified persons”) from and against all claims, damages, losses and costs (including reasonable attorneys’ fees) incurred by the indemnified persons, in connection with: (1) any failure by the Fund to perform its obligations under the Futures Account Agreement and the FCM’s exercise of its rights and remedies thereunder; (2) any failure by the Fund to comply with applicable law; (3) any action reasonably taken by the indemnified persons pursuant to the Futures Account Agreement to comply with applicable law; and (4) any actions taken by the FCM in reliance on instructions, notices and other communications that the FCM and its relevant personnel, as applicable, reasonably believes to originate from a person authorized to act on behalf of the Fund.
To the extent that the Fund trades in futures contracts on U.S. exchanges, the assets deposited by the Fund with the FCMs (or another eligible financial institution, as applicable) as margin must be segregated pursuant to the regulations of the CFTC. Such segregated funds may be invested only in a limited range of instruments — principally U.S. government obligations to margin futures and forward contract positions.
Options
An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy an underlying reference instrument, such as a specified security index, or other instrument, from the writer of the option (in the case of a call option), or to sell a specified reference instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the underlying reference instrument, the remaining term of the option, supply, demand or interest rates. An American style put or call option may be exercised at any time during the option period while a European style put or call option may be exercised only upon expiration or during a fixed period prior thereto. Put and call options are traded on national securities exchanges and in the OTC market. Options traded on national securities exchanges are within the jurisdiction of the SEC or other appropriate national securities regulator, as are securities traded on such exchanges. As a result, many of the protections provided to traders on organized exchanges will be available with respect to such transactions. In particular, all option positions entered into on a national securities exchange in the United States are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. Furthermore, a liquid secondary market in options traded on a national securities exchange may be more readily available than in the OTC market, potentially permitting a Fund to liquidate open positions at a profit prior to exercise or expiration, or to limit losses in the event of adverse market movements. There is no assurance, however, that higher than anticipated trading activity or other unforeseen events might not temporarily render the capabilities of the Options Clearing Corporation inadequate, and thereby result in the exchange instituting special procedures which may interfere with the timely execution of a Fund’s orders to close out open options positions.
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Swap Agreements
Swaps are contracts that have traditionally been entered into primarily by institutional investors in OTC markets for a specified period ranging from a day to many years. Certain types of swaps may be cleared, and certain types are, in fact, required to be cleared. The types of swaps that may be cleared are generally limited to only swaps where the most liquidity exists and a clearing organization is willing to clear the trade on standardized terms. Swaps with customized terms or those for which significant market liquidity does not exist are generally not able to be cleared.
In a standard swap transaction, the parties agree to exchange the returns on, among other things, a particular predetermined security, commodity, interest rate, or index for a fixed or floating rate of return (the “interest rate leg,” which will also include the cost of borrowing for short swaps) in respect of a predetermined notional amount. The notional amount of the swap reflects the extent of a Fund’s total investment exposure under the swap.
In the case of futures contracts-based indexes, such as those used by a Fund, the reference interest rate typically is zero, although a financing spread or fee is generally still applied. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to the notional amount and the benchmark returns to which the swap is linked. Swaps are usually closed out on a net basis, i.e., the two payment streams are netted out in a cash settlement on the payment date specified in the agreement, with the parties receiving or paying, as the case may be, only the net amount of the two payments. Thus, while the notional amount reflects a Fund’s total investment exposure under the swap (i.e., the entire face amount or principal of a swap), the net amount is the Fund’s current obligations (or rights) under the swap. That is the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement on any given termination date.
Swaps may also expose a Fund to liquidity risk. Although a Fund may have the ability to terminate a swap at any time, doing so may subject the Fund to certain early termination charges. In addition, there may not be a liquid market within which to dispose of an outstanding swap even if a permitted disposal might avoid an early termination charge. Uncleared swaps generally are not assignable except by agreement between the parties to the swap, and generally no party or purchaser has any obligation to permit such assignments.
Swaps involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount which would be reflected on a Fund’s Statement of Financial Condition. In addition to market risk and other risks, the use of swaps also comes with counterparty credit risk — i.e., the inability of a counterparty to a swap to perform its obligations. A Fund that invests in swaps bears the risk of loss of the net amount, if any, expected to be received under a swap agreement in the event of the default or bankruptcy of a swap counterparty. A Fund enters or intends to enter into swaps only with major, global financial institutions. However, there are no limitations on the percentage of its assets a Fund may invest in swaps with a particular counterparty.
A Fund that invests in swaps may use various techniques to minimize counterparty credit risk. A Fund that invests in swaps generally enters into arrangements with its counterparties whereby both sides exchange collateral on a mark-to-market basis. In addition, the Fund may post “initial margin” or “independent amount” to counterparties in swaps. Such collateral serves as protection for the counterparty in the event of a failure by the Fund and is in addition to any mark-to-market collateral that (i.e., the Fund may post initial margin to the counterparty even where the counterparty would owe money to the Fund if the swap were to be terminated). The amount of initial margin posted by the Fund may vary depending on the risk profile of the swap. The collateral, whether for mark-to-market or for initial margin, generally consists of cash and/or securities.
Collateral posted by a Fund to a counterparty in connection with uncleared derivatives transactions is generally held for the benefit of the counterparty in a segregated tri-party account at a third-party custodian to protect the counterparty against non-payment by the Fund. In the event of a default by a Fund where the counterparty is owed money in the uncleared swap transaction, such counterparty will seek withdrawal of this collateral from the segregated account.
Collateral posted by the counterparty to a Fund is typically held for the benefit of the Fund in a segregated tri-party account at a third-party custodian. In the event of a default by the counterparty where the Fund is owed money in the uncleared swap transaction, the Fund will seek withdrawal of this collateral from the segregated account. The Fund may incur certain costs exercising its right with respect to the collateral.
Notwithstanding the use of collateral arrangements, to the extent any collateral provided to a Fund is insufficient or there are delays in accessing the collateral, a Fund will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.
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Off-Balance Sheet Arrangements and Contractual Obligations
As of September 30, 2024, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in futures, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2024.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short- term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
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Derivatives (e.g., futures contracts, options, swap agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreement valuations are typically categorized as Level II in the fair value hierarchy. 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. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts exceed variable create/redeem fees collected by more than 0.02% of the Fund’s average net assets annually.
Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure
Equity Market Volatility Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each Fund is exposed to equity market volatility risk through its holdings of Financial Instruments.
The tables below provide information about each Fund’s Financial Instruments. As of September 30, 2024 (Unaudited) and December 31, 2023, each of the Fund’s positions were as follows:
-1x Short VIX Futures ETF
As of September 30, 2024, SVIX was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2024 (Unaudited) and December 31, 2023, which were sensitive to equity market volatility risk.
| Futures Positions as of September 30, 2024 (Unaudited) | ||||||||||||||||||||
| Contract | Long or Short | Expiration Date | Contracts Sold | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
| CBOE Volatility Index | Short | 10/16/2024 | (9,419 | ) | $ | 18.88 | 1,000 | $ | (177,830,720 | ) | ||||||||||
| CBOE Volatility Index | Short | 11/20/2024 | (7,707 | ) | 18.14 | 1,000 | (139,804,980 | ) | ||||||||||||
| Futures Positions as of December 31, 2023 | ||||||||||||||||||||
| Contract | Long or Short | Expiration Date | Contracts Sold | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
| CBOE Volatility Index | Short | 1/17/2024 | (5,055 | ) | $ | 14.04 | 1,000 | $ | (70,972,200 | ) | ||||||||||
| CBOE Volatility Index | Short | 2/14/2024 | (3,538 | ) | 15.29 | 1,000 | (54,096,020 | ) | ||||||||||||
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The short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have -$1.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
2x Long VIX Futures ETF
As of September 30, 2024, UVIX was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and December 31, 2023, which were sensitive to equity market volatility risk.
| Futures Positions as of September 30, 2024 (Unaudited) | ||||||||||||||||||||
| Contract | Long or Short | Expiration Date | Contracts Sold | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
| CBOE Volatility Index | Long | 10/16/2024 | 9,907 | $ | 18.88 | 1,000 | $ | 187,044,160 | ||||||||||||
| CBOE Volatility Index | Long | 11/20/2024 | 8,106 | 18.14 | 1,000 | 147,042,840 | ||||||||||||||
| Futures Positions as of December 31, 2023 | ||||||||||||||||||||
| Contract | Long or Short | Expiration | Contracts Sold | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
| CBOE Volatility Index | Long | 1/17/2024 | 5,633 | $ | 14.04 | 1,000 | $ | 79,087,320 | ||||||||||||
| CBOE Volatility Index | Long | 2/14/2024 | 3,943 | 15.29 | 1,000 | 60,288,470 | ||||||||||||||
The futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.
The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K.
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of September 30, 2022, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2024 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
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Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
b) Not applicable.
| Title of Securities Registered | Amount Registered as of September 30, 2024 | Shares Sold For the Three Months Ended September 30, 2024 (Unaudited) | Sale Price of Shares Sold For the Three Months Ended September 30, 2024 (Unaudited) | |||||||
| -1x Short VIX Futures ETF | Unlimited | 21,050,000 | $ | 546,031,939 | ||||||
| 2x Long VIX Futures ETF | Unlimited | 42,750,000 | 232,642,352 | |||||||
| Total Trust | 63,800,000 | $ | 778,674,291 | |||||||
| Title of Securities Registered | Amount Registered as of September 30, 2024 | Shares Sold For the Nine Months Ended September 30, 2024 | Sale Price of Shares Sold For the Nine Months Ended September 30, 2024 | |||||||
| -1x Short VIX Futures ETF | Unlimited | 26,050,000 | 739,964,471 | |||||||
| 2x Long VIX Futures ETF | Unlimited | 62,280,000 | 392,181,688 | |||||||
| Total Trust | 88,330,000 | 1,132,146,159 | ||||||||
Item 3. Defaults Upon Senior Securities
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
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Item 6. Exhibits.
| * | Filed herewith. |
These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VS Trust | ||
| /s/ Justin Young | ||
| By: | Justin Young | |
| Principal Executive Officer | ||
| Date: | November 13, 2024 | |
| /s/ Justin Young | ||
| By: | Justin Young | |
| Principal Financial and Accounting Officer | ||
| Date: | November 13, 2024 | |
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