VS Trust
For the period ended Mar 31, 2025. Filed May 15, 2025.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2025 · Filed May 15, 2025
Extracted filing text, with the paragraph anchors used by the comparison.
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-1x Short VIX Futures ETF
| Notional Amount | Contracts | Value | |
|---|---|---|---|
| PURCHASED OPTIONS - 0.3% | |||
| Call Options - 0.3% | |||
| CBOE Volatility Index, Expiration: 05/21/2025; Exercise Price: $35.00 (a)(b) | $24,285,200 | 10,900 | 872,000 |
| TOTAL PURCHASED OPTIONS (Cost $648,843) | 872,000 | ||
| Shares | ||
|---|---|---|
| SHORT-TERM INVESTMENTS - 38.5% | ||
| Money Market Funds - 38.5% | ||
| First American Government Obligations Fund - Class X, 4.27% (c)(d) | 110,920,800 | 110,920,800 |
| TOTAL SHORT-TERM INVESTMENTS (Cost $110,920,800) | 110,920,800 | |
| TOTAL INVESTMENTS - 38.8% (Cost $111,569,643) | 111,792,800 | |
| Other Assets in Excess of Liabilities - 61.2% (e) | 176,093,800 | |
| TOTAL NET ASSETS - 100.0% | $287,886,600 | |
| (a) | Exchange-traded. |
|---|---|
| (b) | 100 shares per contract. |
| (c) | The rate shown represents the 7-day annualized effective yield as of March 31, 2025. |
| (d) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
| (e) | Includes cash of $154,592,364 that is pledged as collateral for options and futures contracts. |
| Description | Contracts Sold | Expiration Date | Notional Value | Value / Unrealized Appreciation (Depreciation) |
|---|---|---|---|---|
| CBOE Volatility Index | (7,307) | 04/16/2025 | $151,912,530 | $(3,760,957) |
| CBOE Volatility Index | (6,642) | 05/21/2025 | 135,961,740 | (6,249,182) |
| Net Unrealized Appreciation (Depreciation) | $(10,010,139) | |||
Summary of Fair Value Disclosure as of March 31, 2025 (Unaudited)
-1x Short VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The following is a summary of the fair valuation hierarchy of the Fund’s securities as of March 31, 2025:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Assets: | ||||
| Investments: | ||||
| Purchased Options | $872,000 | $– | $– | $872,000 |
| Money Market Funds | 110,920,800 | – | – | 110,920,800 |
| Total Investments | $111,792,800 | $– | $– | $111,792,800 |
| Liabilities: | ||||
| Other Financial Instruments: | ||||
| Futures Contracts* | – | (10,010,139) | – | (10,010,139) |
| Total Other Financial Instruments | $– | $(10,010,139) | $– | $(10,010,139) |
| * | The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of March 31, 2025. |
| Notional Amount | Contracts | Value | |
|---|---|---|---|
| PURCHASED OPTIONS - 0.5% | |||
| Call Options - 0.5% | |||
| CBOE Volatility Index, Expiration: 02/19/2025; Exercise Price: $28.00 (a)(b) | $24,290,000 | 14,000 | $1,484,000 |
| TOTAL PURCHASED OPTIONS (Cost $1,351,377) | 1,484,000 | ||
| Shares | ||
|---|---|---|
| SHORT-TERM INVESTMENTS - 37.5% | ||
| Money Market Funds - 37.5% | ||
| First American Government Obligations Fund - Class X, 4.41% (c)(d) | 112,622,682 | 112,622,682 |
| TOTAL SHORT-TERM INVESTMENTS (Cost $112,622,682) | 112,622,682 | |
| TOTAL INVESTMENTS - 38.0% (Cost $113,974,059) | 114,106,682 | |
| Other Assets in Excess of Liabilities - 62.0% (e) | 186,017,141 | |
| TOTAL NET ASSETS - 100.0% | $300,123,823 | |
| (a) | Exchange-traded. |
|---|---|
| (b) | 100 shares per contract. |
| (c) | The rate shown represents the 7-day annualized effective yield as of December 31, 2024. |
| (d) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
| (e) | Includes cash of $206,471,251 that is pledged as collateral for options and futures contracts. |
| Description | Contracts Sold | Expiration Date | Notional Value | Value / Unrealized Appreciation (Depreciation) |
|---|---|---|---|---|
| CBOE VIX FUTURE Feb25 | (6,959) | 02/19/2025 | $124,496,510 | $(919,561) |
| CBOE VIX FUTURE Jan25 | (10,051) | 01/22/2025 | 175,691,480 | (4,427,348) |
| Net Unrealized Appreciation (Depreciation) | $(5,346,909) | |||
Summary of Fair Value Disclosure as of December 31, 2024
-1x Short VIX Futures ETF has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The following is a summary of the fair valuation hierarchy of the Fund’s securities as of December 31, 2024:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Assets: | ||||
| Investments: | ||||
| Purchased Options | $1,484,000 | $– | $– | $1,484,000 |
| Money Market Funds | 112,622,682 | – | – | 112,622,682 |
| Total Investments | $114,106,682 | $– | $– | $114,106,682 |
| Liabilities: | ||||
| Other Financial Instruments: | ||||
| Futures Contracts* | – | (5,346,909) | – | (5,346,909) |
| Total Other Financial Instruments | $– | $(5,346,909) | $– | $(5,346,909) |
| * | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of December 31, 2024. |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.