Strategy. The Fund is an actively managed exchange-traded fund (ETF) that seeks to pay weekly distributions by selling put options on the Underlying Leveraged ETF, which provides exposure to 2 times the daily performance of the Underlying Asset. It is expected that the implied volatility on the Underlying Leveraged ETF to be twice the level of the Underlying Assets implied volatility and selling options on the Underlying Leveraged ETF to generate, over the same time horizon and for the same strike levels, twice the premium generated by selling options on the Underlying Asset. The premium received by the Fund from selling options will be distributed at least partially before the maturity of the options. This allows the Fund to make distributions … Show more… The Fund is an actively managed exchange-traded fund (ETF) that seeks to pay weekly distributions by selling put options on the Underlying Leveraged ETF, which provides exposure to 2 times the daily performance of the Underlying Asset. It is expected that the implied volatility on the Underlying Leveraged ETF to be twice the level of the Underlying Assets implied volatility and selling options on the Underlying Leveraged ETF to generate, over the same time horizon and for the same strike levels, twice the premium generated by selling options on the Underlying Asset. The premium received by the Fund from selling options will be distributed at least partially before the maturity of the options. This allows the Fund to make distributions on a weekly basis even if the options sold have longer maturity (such as monthly maturity for instance). This approach may result in the distributions being treated fiscally as return of capital (see Distribution Risk under the section Principal Risks of Investing in the Fund). There is no guarantee that the Fund will generate twice the level of premium that would be generated by selling options on the Underlying Asset. The Fund is subject to the losses from the Underlying Leveraged ETF, which would likely be 2 times the losses compared to the Underlying Asset. In case a Put Spread Strategy (as defined under the section The Funds Use of the Underlying Leveraged ETF Derivatives Contracts) is implemented, the Fund may benefit from a limited downside protection against a negative price variation in the Underlying Leveraged ETF. Such protection will negatively affect the Funds overall income level. A put spread strategy with a narrow spread (the difference between the strikes of the put option sold and put option bought) may provide better protection but will have a higher negative impact on the Funds income level. A put spread strategy with a large spread will provide a lower protection but may have less negative impact on the Funds income level. The Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in derivatives contracts that utilize the Underlying Leveraged ETF as their reference asset. For purposes of compliance with this investment policy, derivative contracts will be valued at their notional value. For more information, see section The Funds Use of the Underlying Leveraged ETF Derivatives Contracts below. The Funds cash balance may be invested in the following instruments: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; (3) short term bond ETFs; (4) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or of comparable quality as collateral for the Funds swap agreements; (5) repurchase transactions, which are transactions under which the purchaser ( i.e. , the Fund) acquires securities and the seller agrees, at the time of the sale, to repurchase the securities at a mutually agreed-upon time and price, thereby determining the yield during the purchasers holding period, and/or; (6) US large cap equities listed on a national security exchange, sovereign fixed income securities with a credit rating at least equal to the United States Federal Government, or corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade for the purposes of entering into swap agreements with the Funds swap counterparties. The Fund may enter into such swap agreements to improve its operational efficiency. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund will be subject to regulatory constraints relating to the level of value at risk that the Fund may incur through its derivatives portfolio. To the extent the Fund exceeds these regulatory thresholds over an extended period, the Fund may determine that it is necessary to make adjustments to the Funds investment strategy and the Fund may not achieve its investment objective. The Funds investment objective has not been adopted as a fundamental investment policy and therefore the Funds investment objective along with its respective 80% investment policy may be changed without the consent of that Funds shareholders upon approval by the Board of Trustees (the Board) of GraniteShares ETF Trust (the Trust) and 60 days written notice to shareholders. There is no guarantee that the Funds investment strategy will be properly implemented or will pay weekly distributions, and an investor may lose some or all of its investment. Even when the Fund makes a distribution it could be fiscally treated as return of capital (see Distribution Risk under the section Principal Risks of Investing in the Fund). An Investment in the Fund is not an investment in the Underlying Leveraged ETF. - The Funds strategy will cap its potential gain to the premium received from selling options on the Underlying Leveraged ETF, - he Funds strategy is exposed to all potential losses if the Underlying Leveraged ETFs share declines, subject to a potential downside protection if a Put Spread Strategy is used (as defined in ten next section). The potential losses may not be offset by the premium received by the Fund, - The Fund does not invest directly in the Underlying Leveraged ETF, - Fund shareholders are not entitled to any distribution paid by Underlying Leveraged ETF. Additional information regarding the Underlying Leveraged ETF is set forth below. The Funds Use of the Underlying Leveraged ETF Derivatives Contracts - Put Spread Strategy: The Fund will enter in put spread options contracts, either directly or through swap contracts, on the Underlying Leveraged ETF and for which the Fund will receive a net premium. Buying a put option contract results in a cost that negatively affects the Funds income level. It is unlikely for a put spread strategy to generate twice the level of income that would be obtained by selling options on the Underlying Asset directly. The Funds participation in a potential increase in the price of the Underlying Leveraged ETF only applies if the Fund sells in-the-money put options contracts. The Funds protection against a potential decrease in the price of the Underlying Leveraged ETF only applies if it falls below the strike price of the option contract bought by the Fund. The put options contracts sold by the Fund may vary in regard to their strike price from 0 to 15% above the then-current price of the Leveraged ETF. The put options contracts bought by the Fund will have a lower strike price, ranging from 50% out-of-the-money to at-the-money. The put options sold and bought by the Fund will generally have 1- month or less expiration dates. - Put Write Strategy: The Fund will sell put options contracts, either directly or through swap contracts, on the Underlying Leveraged ETF and for which it will receive a premium. The put options contracts sold by the Fund may vary in regard to their strike prices from 40% out-of-the-money to 15% in-the-money. The put options sold and bought by the Fund will generally have 1- month or less expiration dates. The Adviser will primarily employ this put write strategy when it believes that the share price of its Underlying Leveraged ETF is likely to rise significantly in the short term (e.g., following a substantial selloff or overall positive market news). Example 1 Put Write Strategy - Selling In-the-money Put Option Contract with a One-month Maturity Assume for simplicity that the Underlying Leveraged ETFs shares are trading at $100.00 at the time the Fund sells an in-the-money put option contract with a strike price of $105.00 and a one-month maturity. The Fund receives a $5.50 premium for selling the put option contract. Case 1: the Underlying Leveraged ETFs share price increases to $105.00 before expiration. The Fund would keep the $5.50 premium received. Case 2: the Underlying Leveraged ETFs share price increase exceeded $105.00 before expiration. The Fund would keep the $5.50 premium received but would not participate in any of the additional upside. Case 3: the Underlying Leveraged ETFs share price drops to $99.50 before expiration. The $5.50 premium received is equal to the drop in price in the Underlying Leveraged ETFs share price, resulting in a return of zero. Case 4: the Underlying Leveraged ETFs share price drops below $99.50, that is the strike price ($105.00) reduced by the premium received ($5.50). The Fund would lose money and be exposed to the drop in the Underlying Leveraged ETFs share price. Example 2 Put Write Strategy - Selling Out-of-the-money Put Options Contracts with a One-week Maturity Assume for simplicity that the Underlying Leveraged ETFs shares are trading at $100.00 at the time the Fund sells an out-of-the-money put option contract with a strike price of $95.00 and a one-week maturity. The Fund receives a $0.50 premium for selling the put option contract. Case 1: the Underlying Leveraged ETFs share price increases above $100.00 before expiration. The Fund would keep the $0.50 premium received but would not participate in the increased in the Underlying Leveraged ETFs share price. Case 2: the Underlying Leveraged ETFs share price drops below $94.50, that is the strike price ($95.00) reduced by the premium received ($0.50). The Fund would lose money and be exposed to the drop in the Underlying Leveraged ETFs share price. Example 3 Put Spread Strategy - Selling At-the-money Put Options Contracts and buy an Out-of-the-money Put Options Contracts with both with a One-month Maturity Assume for simplicity that the Underlying Leveraged ETFs shares are trading at $100.00 at the time the Fund sells an in-the-money put option contract with a strike price of $105.00 and buy an out-of-the-money put option contract with a strike price of $95.00 both with a one-month maturity. The Fund receives a $5.50 premium for selling the put option contract and pays $0.50 premium for buying the put option contract. Hence the Fund receives a $5.00 net premium. Case 1: the Underlying Leveraged ETFs share price increases to $105.00 before expiration. The Fund would keep the $5.00 net premium received. Case 2: the Underlying Leveraged ETFs share price increase exceeded $105.00 before expiration. The Fund would keep the $5.00 net premium received but would not participate in any of the additional upside. Case 3: the Underlying Leveraged ETFs share price drops below $100.00, that is the strike price of the option sold ($105.00) reduced by the net premium received ($5.00) but remains above $95.00 before expiration. The Fund would lose up to $5.00, which is the difference between the 2 strike levels reduced by the net premium received. Case 4: the Underlying Leveraged ETFs share price drops below $95.00 The Fund would lose $5.00, which is the difference between the 2 strike levels reduced by the net premium received. The comparison between the Put Write Strategy in Example 1 and the Put Spread Strategy in Example 3, shows that the Put Spread Strategy has a narrower range of outcomes. It has limited participation in a potential increase or decrease in the Underlying Leveraged ETFs share price. In all examples 1 and 2, if the Underlying Leveraged ETFs price were to drop to zero, the Funds NAV would be equal, before fees and costs, to the value of premium received. Types of Options Contracts Used by the Fund As part of the Funds strategy, the Fund may sell Flexible Exchange (FLEX) put options contracts that are based on the value of the price returns of the Underlying Leveraged ETF. The Fund will only sell options contracts that are listed for trading on regulated U.S. exchanges. Traditional exchange-traded options contracts have standardized terms, such as the type (call or put), the reference asset, the strike price and expiration date. Exchange-listed options contracts are guaranteed for settlement by the Options Clearing Corporation (OCC). FLEX Options are a type of exchange-listed options contract with uniquely customizable terms that allow investors to customize key terms like type, strike price and expiration date that are standardized in a typical options contract. FLEX Options are also guaranteed for settlement by the OCC. In general, an option is a contract that gives the purchaser (holder) of the option, in return for a premium, the right to buy from (call) or sell to (put) the seller (writer) of the option the security or currency underlying (in this case, the Underlying Leveraged ETF) the option at a specified exercise price. The writer of an option has the obligation upon exercise of the option to deliver the underlying security or currency upon payment of the exercise price (call) or to pay the exercise price upon delivery of the underlying security or currency (put). An option is said to be European Style when it can be exercised only at expiration whereas an American Style option can be exercised at any time prior to expiration. The Fund might use either European or American style options. The Fund intends to primarily utilize European style options. Swap agreements Used by the Fund As part of the Funds strategy, the Fund may enter into swap agreements with major financial institutions that provide the same exposure as to selling put options contracts on the Underlying Leveraged ETF. The swap agreements may reference standardized exchange-traded, FLEX, European Style or American Style put options contracts that are based on the values of the price returns of the Underlying Leveraged ETF. All put options contracts referenced in a swap agreement will be listed for trading on regulated U.S. exchanges. The swap performance will settle in cash only irrespective of the types of the put options contracts referenced in the swap agreement. Underlying Leveraged ETF The Underlying Leveraged ETF seeks daily investment results, before fees and expenses, that correspond to two times (2x) the return of bitcoin (the Underlying Asset) for a single day, not for any other period. The Underlying Leveraged ETF will not invest directly in bitcoin. The Underlying Leveraged ETF will generally achieve their investment strategy by investing in bitcoin futures or in swap contracts that provide exposure to bitcoin futures. Bitcoin futures held or referenced by the Underlying Leveraged ETF are standardized, cash-settled bitcoin futures contracts traded on commodity exchanges registered with the CFTC. To maintain its exposure to bitcoin futures, the Underlying Leveraged ETF must roll over its position before expiration. 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 Underlying Leveraged ETF will sell the expiring contract at a relatively lower price and buy a longer-dated contract at a relatively higher price. 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 futures contracts that are in backwardation, the Underlying Leveraged ETF will sell the expiring contract at a relatively higher price and buy a longer-dated contract at a relatively lower price. The Underlying Leveraged ETF may also invest in money market instruments and U.S. government to provide liquidity, serve as margin or collateralize the Underlying Leveraged ETFs investments in bitcoin futures contracts or in swap contracts. The Underlying Leveraged ETF expects to gain exposure to bitcoin by investing in bitcoin futures contracts or swaps through a wholly-owned subsidiary of the fund organized under the laws of the Cayman Islands. Because the Underlying Leveraged ETF intends to qualify for treatment as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986 (the Code), the Underlying Leveraged ETF intends to invest no more than 25% of its total assets in the subsidiary at each quarter end of the funds tax year. Due to the high margin requirements that are unique to bitcoin futures contracts and certain tests that must be met in order to qualify as a RIC, the Underlying Leveraged ETF may also utilize reverse repurchase agreements during certain times of the year to help maintain the desired level of exposure to bitcoin futures contracts. The Underlying Leveraged ETF may not always achieve its intended investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the bitcoin and may return substantially less than that on days at or around quarter end when the Underlying Leveraged ETF must reduce its exposure to qualify for tax treatment as a RIC. The Underlying Leveraged ETFs are subject to the information requirements of the federal securities laws, and in accordance therewith, file reports and other information with the SEC. The SEC maintains an internet website, www.sec.gov, that contains reports and other info regarding the Underlying Leveraged ETFs that are filed electronically with SEC. The Fund intends to reference the following Underlying Leveraged ETF: (1) 2x Bitcoin Strategy ETF (CBOE BZX: BITX). Investors can access information about BITX, including its prospectus and the most recent shareholder reports, online through the SECs website, using Registration Statement Nos. 333-263619 and 811-23785. This information, derived from BITXs filings with the SEC, is essential for investors to understand BITXs operations, investment strategy, and financial prospects. The description of BITXs principal investment strategies as outlined here is directly sourced from its prospectus. (2) ProShares Ultra Bitcoin ETF (NYSE ARCA: BITU). Investors can access information about BITU, including its prospectus and the most recent shareholder reports, online through the SECs website, using Registration Statement Nos. 333-89822 and 811-21114. This information, derived from BITUs filings with the SEC, is essential for investors to understand BITUs operations, investment strategy, and financial prospects. The description of BITUs principal investment strategies as outlined here is directly sourced from its prospectus. (3) CoinShares Bitcoin Leverage ETF (NASDAQ: BFTX). Investors can access information about BFTX, including its prospectus and the most recent shareholder reports, online through the SECs website, using Registration Statement Nos. 333-258722 and 811-23725. This information, derived from BFTXs filings with the SEC, is essential for investors to understand BFTXs operations, investment strategy, and financial prospects. The description of BFTXs principal investment strategies as outlined here is directly sourced from its prospectus. (4) T-Rex 2x Long Bitcoin ETF (CBOE BZX: BTCL). Investors can access information about BTCL, including its prospectus and the most recent shareholder reports, online through the SECs website, using Registration Statement Nos. 333-288436 and 811-22172. This information, derived from BTCLs filings with the SEC, is essential for investors to understand BTCLs operations, investment strategy, and financial prospects. The description of BTCLs principal investment strategies as outlined here is directly sourced from its prospectus. This document relates only to the securities offered hereby and does not relate to the Underlying Leveraged ETF. The Fund has derived all disclosures contained in this document regarding the Underlying Leveraged ETF from publicly available documents. In connection with the offering of the securities, none of the Fund, the Trust, the Adviser, or their respective affiliates has participated in the preparation of such documents or made any due diligence inquiry with respect to the Underlying Leveraged ETF. None of the Fund, the Trust, the Adviser, or their respective affiliates makes any representation that such publicly available documents or any other publicly available information regarding the Underlying Leveraged ETF is accurate or complete. Furthermore, the Fund cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the Underlying Leveraged ETF have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Underlying Leveraged ETF could affect the value received with respect to your Shares and therefore the value of your Shares. The Fund, the Trust, the Adviser, and their respective affiliates do not provide any representation regarding the performance of the Underlying Leveraged ETF. THE FUND, TRUST AND ADVISER ARE NOT AFFILIATED WITH THE UNDERLYING LEVERAGED ETF, THEIR TRUSTS, AND THEIR SERVICE PROVIDERS. Additional Information on Bitcoin Bitcoin is a digital asset that is created and transmitted through the operations of the online, peer-to-peer Bitcoin network, a decentralized network of computers that operates on cryptographic protocols. The ownership of bitcoin is determined by participants in the Bitcoin network. The Bitcoin network connects computers that run publicly accessible, or open source, software that follows the rules and procedures governing the Bitcoin network. This is commonly referred to as the Bitcoin Protocol. Bitcoin, the asset, plays a key role in the operation of the Bitcoin network, as the computers (or miners) that process transactions on the network and maintain the networks security are compensated through the issuance of new bitcoin and through transaction fees paid by users in bitcoin. No single entity owns or operates the Bitcoin network. Bitcoin is not issued by any government, by banks or similar organizations. The infrastructure of the Bitcoin network is collectively maintained by a decentralized user base. The Bitcoin network is accessed through software, and software governs the creation, movement, and ownership of bitcoin, the unit of account on the Bitcoin network ledger. The value of bitcoin is determined, in part, by the supply of, and demand for, bitcoin in the global markets for trading bitcoin, market expectations for the adoption of bitcoin as a decentralized store of value, the number of merchants and/or institutions that accept bitcoin as a form of payment and the volume of private end-user-to-end-user transactions. Bitcoin transaction and ownership records are reflected on the Bitcoin blockchain, which is a digital public record or ledger. Copies of this ledger are stored in a decentralized manner on the computers of each Bitcoin network node (a node is any user who maintains on their computer a full copy of all the bitcoin transaction records, the blockchain, as well as related software). Transaction data is permanently recorded in files called blocks, which reflect transactions that have been recorded and authenticated by Bitcoin network participants. The Bitcoin network software source code includes protocols that govern the creation of new bitcoin and the cryptographic system that secures and verifies bitcoin transactions. Show less