Strategy. The Fund is an exchange -traded fund (ETF) that seeks to achieve its investment objective primarily through managed exposure to wheat futures contracts that trade only on an exchange registered with the CFTC (Wheat Futures Contracts), and cash, cash -like instruments or high -quality securities that serve as collateral to the Funds investments in Wheat Futures Contracts (Collateral Investments). In this manner, the Fund seeks to provide investment results that correspond to twice the performance of the price of wheat for future delivery for a single day. For the purpose of the Funds investment objective, under normal circumstances, the Fund will use the price of wheat that is reflected in the next, or second to next, expiring Wheat Futures Contract. … Show more… The Fund is an exchange -traded fund (ETF) that seeks to achieve its investment objective primarily through managed exposure to wheat futures contracts that trade only on an exchange registered with the CFTC (Wheat Futures Contracts), and cash, cash -like instruments or high -quality securities that serve as collateral to the Funds investments in Wheat Futures Contracts (Collateral Investments). In this manner, the Fund seeks to provide investment results that correspond to twice the performance of the price of wheat for future delivery for a single day. For the purpose of the Funds investment objective, under normal circumstances, the Fund will use the price of wheat that is reflected in the next, or second to next, expiring Wheat Futures Contract. If the Fund is invested in other Wheat -Linked Instruments, the value of wheat will be determined by an average of how wheat is valued in the financial instruments in which the Fund invests. The Fund does not intend to take physical delivery of wheat associated with the Wheat Futures Contracts. Instead, the Fund seeks to benefit from increases in the price of Wheat Futures Contracts for a single day. Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Wheat -Linked Instruments. For purposes of this policy, Wheat -Linked Instruments means Wheat Futures Contracts and (i) shares of other wheat -linked exchange traded investment products not registered under the as investment companies (Wheat -Linked ETPs) under the Investment Company Act of 1940, as amended (the 1940 Act); and (ii) swap agreement transactions that reference wheat, Wheat -Linked ETPs, Wheat Futures Contracts, or wheat -referenced indexes The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the Adviser). The Adviser oversees the Fund and implements the day -to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends. The Fund is classified as a non -diversified company under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term concentrate is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in investments that provide exposure to wheat and/or Wheat Futures Contracts. Wheat Futures Contracts In order to obtain 2x daily exposure to wheat, the Fund intends to typically enter into cash -settled Wheat Futures Contracts as the buyer, except as detailed below. In simplest terms, in a cash -settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its 2x daily exposure to wheat, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called contango. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter term contract at a relatively lower price and buying a longer -dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called backwardation. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter term contract at a relatively higher price and buying a longer -dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Funds Wheat Futures Contracts may differ from that of wheat due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Funds returns. Standard Wheat Futures Contracts trade on the Chicago Board of Trade (the CBOT) in units of 5,000 bushels. There are several types of wheat grown in the U.S., which are classified in terms of color, hardness and growing season. CBOT Wheat Futures Contracts call for the delivery of #2 soft red winter wheat, which is generally grown in the eastern third of the United States. However, other types and grades of wheat may also be delivered (Grade #1 soft red winter wheat, Hard Red Winter, Dark Northern Spring and Northern Spring wheat may be delivered at 3 cents premium per bushel over the contract price and #2 soft red winter wheat, Hard Red Winter, Dark Northern Spring and Northern Spring wheat may be delivered at the contract price). Winter wheat is planted in the fall and is harvested in the late spring or early summer of the following year, while spring wheat is planted in the spring and harvested in late summer or fall of the same year. The Fund invests in Wheat Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Funds investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Funds investment in the Subsidiary will not exceed 25% of the Funds total assets at or around each quarter end of the Funds fiscal year. At other times of the year, the Funds investments in the Subsidiary will significantly exceed 25% of the Funds total assets. The Subsidiarys custodian is U.S. Bank, N.A.. If circumstances occur where market prices for Wheat Futures Contracts were not readily available, the Fund would fair value its Wheat Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; supply, demand, and open interest in Wheat Futures Contracts; and comparison to other major commodity futures. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation. Wheat Wheat is used to produce flour, the key ingredient for breads, pasta, crackers, and many other food products, as well as several industrial products such as starches and adhesives. Wheat by -products are used in livestock feeds. Wheat is a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case. Wheat is the principal food grain produced in the United States, and the United States output of wheat is typically exceeded only by that of China, the European Union, Russia, and India. The United States Department of Agriculture (USDA) publishes weekly, monthly, quarterly, and annual updates for U.S. domestic and worldwide wheat production and consumption. If the global demand of wheat is not equal to global supply, this may have an impact on the price of wheat. Global wheat consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, international trade policy. As a general matter, the occurrence of a severe weather event, natural disaster, terrorist attack, geopolitical events, outbreak, or public health emergency as declared by the World Health Organization, the continuation or expansion of war or other hostilities, or a prolonged government shutdown may have significant adverse effects on the Fund and its investments and alter current assumptions and expectations. Generally, these adverse effects may cause continued volatility in the price of wheat, wheat futures, and the price of Shares. Collateral Investments The Fund will invest assets in Collateral Investments. The Collateral Investments may consist of high -quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high -quality securities; and/or (3) corporate debt securities, such as commercial paper and other short -term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, investment grade is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organizations ( e.g. , BBB- or higher from S&P Global Ratings or Baa3 or higher from Moodys Investors Service, Inc.). The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiarys investments in Wheat Futures Contracts. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are securities, as such term is defined under the 1940 Act. Other Investments In order to help the Fund meet its daily investment objective by maintaining the daily desired level of leveraged exposure to wheat, maintain its tax status as a regulated investment company on days in and around quarter -end , help the Fund maintain its desired exposure to Wheat Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following: Reverse Repurchase Agreements The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed -upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions. As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Funds investment in the Subsidiary will not exceed 25% of the Funds total assets at or around each quarter end of the Funds fiscal year (the Asset Diversification Test). At other times of the year, the Funds investments in the Subsidiary will significantly exceed 25% of the Funds total (or gross) assets. When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short -term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f -4 under the 1940 Act (Rule 18f -4 ), including as applicable, the value -at-risk based limit on leverage risk. Wheat-Linked ETPs The Fund may invest in shares of Wheat -Linked ETPs, which are exchange -traded investment products not registered under the 1940 Act that seek to match the daily changes in the price of wheat for future delivery, and trade intra -day on a national securities exchange. Wheat -Linked ETPs are passively managed and do not pursue active management investment strategies, and their sponsors do not actively manage the exposure to wheat held by the ETP. This means that the sponsor of the ETP does not sell wheat futures contracts at times when its price is high or acquire wheat futures contracts at low prices in the expectation of future price increases. Swaps that reference wheat, Wheat-Linked ETPs, Wheat Futures Contracts, or wheat-referenced indexes. The Fund may invest in cash -settled swap agreements referencing wheat, Wheat -Linked ETPs, Wheat Futures Contracts or wheat -referenced indexes. Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or swap payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be shares of wheat, shares of Wheat -Linked ETPs, Wheat Futures Contracts, or wheat -referenced indexes. Show less