Jefferies S&P 500 VIX Short-Term Futures ETF, the Fund, is organized as a Delaware statutory trust. The Fund will issue common units of beneficial interest, or Shares, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Shares may be purchased from the Fund only by certain eligible financial institutions, called Authorized Participants, and only in one or more blocks of 20,000 Shares, called a Basket. The Fund will issue its Shares in Baskets to Authorized Participants continuously at the net asset value of 20,000 Shares. The Fund’s Participant Agreements set forth the terms and conditions on which Authorized Participants may create or redeem Baskets. The offering of Shares will terminate on the third anniversary of the registration statement of which this Prospectus is a part unless prior thereto a new registration statement is filed.

The Shares will trade on the NYSE Arca under the symbol VIXX.

Jefferies Commodity Investment Services, LLC, a Delaware limited liability company will serve as the managing owner, or the Managing Owner, commodity pool operator and commodity trading advisor of the Fund. The Fund establishes long positions in futures contracts underlying the S&P 500 VIX Short-Term Futures ^TM Index ER, or the VIX Futures Index, with a view to tracking the changes, whether positive or negative, in the level of the VIX Futures Index over time.

The VIX Futures Index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility Index^®, or the Volatility Index, which reflects implied volatility in the S&P 500^® Index at various points along the volatility forward curve.

The Volatility Index is a benchmark index designed to estimate expected volatility in large cap U.S. stocks over 30 days in the future by averaging the weighted prices of certain put and call options on the S&P 500^® Index. Because the Volatility Index may increase in times of uncertainty, the Volatility Index is commonly known as the “fear gauge” of the broad U.S. equities market. The VIX Futures Index and the Volatility Index historically have had negative correlations to the S&P 500^® Index.

The Fund does not intend to outperform the VIX Futures Index. The Managing Owner will seek to cause the net asset value of the Fund to track the level of the VIX Futures Index during periods in which the level of the VIX Futures Index is flat or declining as well as when the VIX Futures Index is rising.

Except when aggregated in Baskets, the Shares are not redeemable securities.

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THE RISKS YOU FACE

You could lose money investing in Shares. You should consider carefully the risks described below before making an investment decision. You should also refer to the other information included in this Prospectus.

Market and Related Risks

The Shares are designed to reflect as closely as possible the changes, whether positive or negative, in the level of the VIX Futures Index, over time, through the Fund’s portfolio of VIX Futures and/or, if applicable, Futures-Linked Investments that reference the VIX Futures Index. The value of the Shares relates directly to the changes in market value, over time, whether positive or negative, of the VIX Futures, the Futures-Linked Investments (if any) and the value of the U.S. Treasury bills, generally with a maturity of less than one year, and other high credit quality short-term fixed income securities, less the liabilities (including estimated accrued but unpaid expenses) of the Fund. Fluctuations in the price of the VIX Futures and/or, if applicable, Futures-Linked Investments could materially adversely affect an investment in the Fund’s Shares.

The price of the VIX Futures may fluctuate widely. Several factors may affect the price of the VIX Futures, including, but not limited to:

Because the Volatility Index is calculated by reference to the prices of options on the securities comprising the S&P 500^® Index, all of which are large-cap U.S. equity securities, the Fund will be subject to the implied volatility of large-cap U.S. equities only. As a result, the Fund will be non-diversified in that the Fund will not gain an exposure to the implied volatility of other types of equities (e.g., mid-cap equities, small-cap equities, foreign equities, etc.). This concentrated exposure to the implied volatility of large-cap U.S. equities only may result in greater volatility in the levels of the Volatility Index, the VIX Futures Index and the value of the Shares than could be achieved through a diversified exposure to the implied volatility of the broader equity markets.

The prices of the VIX Futures and the profitability of an investment in Shares depends upon

the performance of individual companies comprising the S&P 500^® Index. Any issuer may perform poorly, causing the value of its securities to decline. Poor performance may be caused by poor management decisions, competitive pressures, changes in technology, disruptions in supply, labor problems or shortages, corporate restructurings, fraudulent disclosures or other factors. Issuers may, in times of distress or on their own discretion, decide to reduce or eliminate dividends, which may also cause their stock prices to decline, which may negatively impact the S&P 500^® Index. While historically the Volatility Index has exhibited a negative correlation to the stock market and therefore negative news about equity securities has at times tended to have a favorable impact on the Volatility Index, there can be no assurance that poor performance of an issuer in the S&P 500^® Index will have a beneficial effect on VIX Futures or the VIX Futures Index. Any adverse effect on the value of the VIX Futures will adversely affect the value of your Shares.

The Fund’s net asset value is based, in part, upon the changes in the value of the VIX Futures (and, when applicable, the Futures-Linked Investments), which in turn, react to expectations regarding securities market movements. Historically, the equities markets have moved in cycles, and the value of the VIX Futures (and, when applicable, the Futures-Linked Investments) may fluctuate significantly on a daily basis, which would affect the net asset value of your Shares.

The net asset value per Share will change as fluctuations occur in the market value of the Fund’s portfolio. Investors should be aware that the public trading price per Share may be different from the net asset value per Share. Consequently, an Authorized Participant may be able to create or redeem a Basket at a discount or a premium to the public trading price per Share. This price difference may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for Shares are closely related, but not identical, to the same forces influencing the prices of the VIX Futures comprising the VIX Futures Index, trading individually or in the aggregate at any point in time. Furthermore, any

market forces that affect the prices of the VIX Futures may in turn also affect the Futures-Linked Investments similarly. Investors also should note that the size of the Fund in terms of total assets held may change substantially over time and from time-to-time as Baskets are created and redeemed.

Authorized Participants or their clients or customers may have an opportunity to realize a riskless profit if they can purchase a Basket at a discount to the public trading price of the Shares or can redeem a Basket at a premium over the public trading price of the Shares. The Managing Owner expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price to track net asset value per Share closely over time, although there can be no assurance that this will in fact occur.

The value of a Share may be influenced by non-concurrent trading hours between the NYSE Arca and the futures exchange on which the VIX Futures are traded. While the Shares trade on the NYSE Arca from 9:30 a.m. to 4:00 p.m. Eastern Time, the VIX Futures trade on the CBOE Futures Exchange, or the CFE, from 7:30 a.m. to 2:15 p.m. Eastern Time. As a result, during periods when the NYSE Arca is open and the CFE, on which the VIX Futures are traded, is closed, liquidity in the VIX Futures market will be reduced or extremely limited, thus trading spreads and the resulting premium or discount on the Shares may widen, increasing the difference between the price of the Shares and the net asset value of such Shares.

Although the Shares will be listed and traded on the NYSE Arca, there can be no guarantee that an active trading market for the Shares will develop or will be maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, likely will be lower than the price you would receive if an active market did exist.

Although most of the shares of the issuers that comprise the S&P 500^® Index, or Portfolio Securities, are listed on national securities exchanges and are widely held, the existence of a liquid trading market for certain of the Portfolio Securities may depend upon whether dealers will make a market in such Portfolio Securities.

There can be no assurance that a market will be made for any Portfolio Securities, that any market will be maintained or that any such market will be or remain liquid with respect to the Portfolio Securities. The price at which Portfolio Securities may be sold will be adversely affected if trading markets for Portfolio Securities are limited or absent. The absence of a liquid trading market for Portfolio Securities could lead to illiquidity in the markets for options on Portfolio Securities, which, in turn, could impact the calculation of the Volatility Index, the price of VIX Futures, the levels of the VIX Futures Index, and in turn, the Fund. Because the value of the Futures-Linked Investments are linked to the price of the VIX Futures, the absence of a liquid trading market for Portfolio Securities may similarly impact the value of the Futures-Linked Investments.

Futures contracts and the Futures-Linked Investments have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment in the Fund.

The futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, government intervention and exchange regulation.

Futures positions 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. The large size of

the positions which the Fund may acquire increases the risk of illiquidity by making its positions more difficult to liquidate while increasing the losses incurred while trying to do so. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position.

In addition, U.S. futures exchanges have regulations that limit the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a futures contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular futures contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular futures contract or forcing the liquidation of futures contracts at disadvantageous times or prices.

Although the VIX Futures are not currently subject to “daily price fluctuation limits,” the CFE may impose such “daily price fluctuation limits” in the future. However, the VIX Futures are currently subject to “circuit breaker” halts. If the New York Stock Exchange becomes subject to a market wide trading halt commonly known as a circuit breaker, trading in the VIX Futures will also halt.

Market illiquidity and price limits may cause losses for the Fund, and in turn, adversely affect the value of your Shares.

Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. An investment in the Shares does not involve acquiring any asset with intrinsic value. Historically the Volatility Index has exhibited a negative correlation to the stock market and, therefore, the value of your investment in the Fund could decrease significantly, while overall stock prices are rising and the economy as a whole is prospering.

The Fund constitutes a new, and thus initially untested, type of investment vehicle. It competes with other financial vehicles, including other commodity pools, hedge funds, and other instruments offered by other managers or issuers, such as notes or other forms of debt that are linked to the returns from the volatility of the S&P 500^® Index. Market and financial conditions, and other conditions beyond the Managing Owner’s control, may make it more attractive to invest in other financial vehicles or other instruments, which could limit the market for the Shares and reduce the liquidity of the Shares.

Index Related Risks

The VIX Futures Index has a limited history which might (or might not) be indicative of the future Index results or of the future performance of the Fund. Therefore, you will have to make your decision to invest in the Fund on the basis of limited information.

It is possible that the Fund’s performance may not fully replicate the changes in the level of the VIX Futures Index, due to disruptions in the markets for the VIX Futures, the imposition of position accountability by a futures exchange or the creation and imposition of new speculative position limits, or due to other extraordinary circumstances. As the Fund approaches or reaches its position accountability limits with respect to the VIX Futures comprising the VIX Futures Index, or the Managing Owner determines in its commercially reasonable judgment that it has become impracticable or

inefficient for any reason for the Fund to gain full or partial exposure to the VIX Futures Index or to any VIX Future by investing in a specific futures contract that is a part of the VIX Futures Index, the Fund may invest in one or more Futures-Linked Investments referencing the VIX Futures Index, including forward contracts, swaps or other OTC derivative investments. In addition, the Fund is not able to replicate exactly the changes in the level of the VIX Futures Index because the total return generated by the Fund is reduced by expenses and transaction costs, including those incurred in connection with the Fund’s trading activities, and increased by interest income from the Fund’s holdings of U.S. Treasury bills and other short-term high quality fixed income securities, as applicable. Tracking the VIX Futures Index requires trading of the Fund’s portfolio with a view to tracking the VIX Futures Index over time and is dependent upon the skills of the Managing Owner and its trading principals, among other factors.

The Fund is not actively managed by traditional methods. For example, if the VIX Futures or the Futures-Linked Investments owned by the Fund are declining in value, the Fund will not close out the VIX Futures or terminate the Futures-Linked Investments, except in connection with a change in the composition or weighting of the VIX Futures Index. The Managing Owner will seek to cause the net asset value of the Fund to track the VIX Futures Index during periods in which the VIX Futures Index is rising or flat as well as when the VIX Futures Index is declining. Therefore, investors will not be protected against declines in the VIX Futures Index that can have a significantly adverse impact on the value of the Shares.

Although the S&P 500 VIX Futures Index Committee, or the Index Committee, may make certain decisions (such as discontinuing the VIX Futures Index) that may negatively affect the existence of the VIX Futures Index or the VIX

Futures Index levels, Shareholders will have no rights against the Index Committee. The Index Committee has no obligations relating to this offering or to the Shareholders.

The Index Committee and Index Sponsor calculate and maintain the VIX Futures Index. The Index Committee may add, eliminate or substitute the instruments underlying the VIX Futures Index or make other methodological changes that may change the level of the VIX Futures. You should realize that changing an underlying instrument included in the VIX Futures Index may significantly affect its results, either negatively or positively. Additionally, the Index Committee and/or the Index Sponsor may alter, discontinue or suspend calculation or dissemination of the VIX Futures Index. Any of these actions could adversely affect the value of the Shares. The Index Committee and Index Sponsor have no obligation to consider your interests in calculating or revising the VIX Futures Index.

The Index Committee and Index Sponsor calculate and maintain the VIX Futures Index. The Index Committee is entitled to exercise limited discretion in relation to the VIX Futures Index, including, but not limited to, calculating the VIX Futures Index levels should an extraordinary event (as provided by the VIX Futures Index rules) occur. Although the Index Committee will act and make all determinations in good faith, it should be noted that the policies and judgments for which the Index Committee is responsible may have an impact, positive or negative, on the VIX Futures Index levels, and in turn, the value of your Shares.

Jefferies Group, Inc. and its affiliates may publish research from time-to-time on the futures and equities markets and other matters that may influence the value of the Shares, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Shares. Jefferies Group, Inc. and its affiliates may have published or may publish in the future research or other opinions that call into question the investment view implicit in an investment in the Shares. Any research, opinions or recommendations expressed by these entities may not be consistent with each other and may be modified from time-to-time without notice. Shareholders should make their own independent investigation of the merits of investing in the Shares.

Calculation of the VIX Futures Index may not be possible or feasible under certain events or circumstances that are beyond the reasonable control of the Index Sponsor, which in turn may adversely impact both the VIX Futures Index and/or the VIX Futures (and the Futures-Linked Investments), as applicable. Additionally, Index calculations may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies, which may have an adverse effect on the value of your Shares.

The Volatility Index is a theoretical calculation and cannot be traded on a spot price basis. The settlement price of VIX Futures is based on this theoretically derived calculation. As a result, the behavior of the VIX Futures may be different from other futures contracts whose settlement price is based on a tradable asset. Therefore, the settlement price of the VIX Futures may not be as accurate as

the settlement price of a physically based futures contract, and in turn, the value of your Shares may be adversely affected.

The value of your Shares will be linked to the value of the VIX Futures Index, and your ability to benefit from any rise or fall in the level of the Volatility Index will be indirect and limited. The VIX Futures Index is based upon holding a rolling long position in the VIX Futures, which are linked to the changes in the Volatility Index. These VIX Futures will not necessarily track changes in the value of the Volatility Index. Furthermore, the performance of the Futures-Linked Investments, if any, may not accurately reflect the value of the VIX Futures. Your Shares may not benefit from increases in the level of the Volatility Index because such increases will not necessarily cause the level of either the VIX Futures or the Futures-Linked Investments, if any, to rise in a commensurate amount, or at all. Accordingly, a hypothetical investment that was linked directly to the Volatility Index could generate a higher return than your Shares, which are indirectly linked to the Volatility Index.

The Volatility Index measures the 30-day forward volatility of the S&P 500^® Index as calculated based on the prices of certain put and call options on the S&P 500^® Index. The actual volatility of the S&P 500^® Index may not conform to a level predicted by the Volatility Index or to the prices of the put and call options included in the calculation of the Volatility Index. The value of your Shares is based on the value of the VIX Futures underlying the VIX Futures Index, which in turn are linked to the changes in the levels of the Volatility Index. Additionally, the value of your Shares may be based in part on the value of the Futures-Linked Investments, which are linked to the value of the VIX

Futures. Your Shares are not linked to the realized volatility of the S&P 500^® Index and will not reflect the return you would realize if you owned the equity securities underlying the S&P 500^® Index or if you traded the put and call options used to calculate the level of the Volatility Index.

In the past, the level of the Volatility Index has typically reverted over the longer term to a historical mean, and its absolute level has been constrained within a band. It is likely that the spot level of the Volatility Index will continue to do so in the future, especially when the current economic uncertainty recedes. If this happens, the value of the VIX Futures which are linked to the Volatility Index (and the value of the Futures-Linked Investments which are linked to the value of the VIX Futures) will likely decrease, reflecting the market expectation of reduced volatility in the future, and the potential upside of your investment in the Shares will correspondingly be limited as a result.

The policies of the Index Sponsor and the CBOE concerning the calculation of the level of the S&P 500^® Index, the Volatility Index and the VIX Futures Index, respectively, and any additions, deletions or substitutions of equity securities or options contracts and the manner in which changes affecting the equity securities, options contracts or futures contracts are reflected in the S&P 500^® Index, the Volatility Index or the VIX Futures Index, respectively, could affect the value of the VIX Futures Index and, therefore, the net asset value and the market value of your Shares.

S&P may add, delete or substitute the equity securities underlying the S&P 500^® Index or make other methodological changes that could change the level of the S&P 500^® Index. S&P may also add, delete or substitute the VIX Futures with one or more futures contracts underlying the VIX Futures Index or make other methodological changes that could

change the level of the VIX Futures Index. The changing of equity securities included in the S&P 500^® Index may affect the S&P 500^® Index, as a newly added equity security may perform significantly better or worse than the equity security or securities it replaces. Such a change may also adversely affect the value of the put and call options used to calculate the level of the Volatility Index. The changing of the VIX Futures underlying the VIX Futures Index may affect the level of the VIX Futures Index in similar ways. Additionally, S&P may alter, discontinue or suspend calculation or dissemination of the S&P 500^® Index or the VIX Futures Index. Any of these actions could adversely affect the value of the VIX Futures and/or the Futures-Linked Investments, and in turn, your Shares. S&P has no obligation to consider your interests in calculating or revising the S&P 500^® Index or the VIX Futures Index.

The CBOE may make methodological changes to the calculation of the Volatility Index that could affect the value of VIX Futures, which are linked to the Volatility Index and, consequently, the value of your Shares. There can be no assurance that the CBOE will not change the Volatility Index calculation methodology in a way which may adversely affect the value of your Shares. Additionally, the CBOE may alter, discontinue or suspend calculation or dissemination of the Volatility Index and/or the exercise settlement value. Any of these actions could adversely affect the value of the VIX Futures and/or the Futures-Linked Investments, and in turn, your Shares. The CBOE has no obligation to consider your interests in calculating or revising the Volatility Index or in calculating the exercise settlement value.

The VIX Futures Index tracked by the Fund was created in December 2008 and the Index Sponsor has published limited closing levels information that covers a period prior to December 2008. In addition, the VIX Futures linked to the Volatility Index have only traded freely since March 26, 2004, and not all futures of all relevant maturities have traded at all times since that date.

Because the VIX Futures Index and the VIX Futures linked to the Volatility Index are of recent origin and only a limited amount of historical data exists with respect to them, your investment in the Shares may involve a greater risk than investing in

alternate securities linked to one or more indices with an established performance record. Although past performance is not indicative of future performance, a longer history of actual performance may, or may not be, helpful in providing additional information on which to assess the validity of the methodology that the VIX Futures Index makes use of as the basis for an investment decision.

The VIX Futures Index may be sold from time-to-time. Upon completion of a sale of the VIX Futures Index, there can be no assurance that a new index sponsor will not change the determination, valuation methodology or any other aspect of the VIX Futures Index in a manner that may be adverse to the VIX Futures Index, and ultimately, the value of your Shares.

The VIX Futures Index is administered, calculated and published by the Index Sponsor, which has the right to cease publication of such Index at its discretion at any time. If a replacement Index has been implemented, the Managing Owner may, nevertheless, determine that it may become inadvisable to invest in the VIX Futures Index Futures Contracts because of the possible change in the underlying nature of the replacement Index. Furthermore, if the Managing Owner also determined that no adequate substitute to the VIX Futures exists, the Managing Owner may ultimately decide to liquidate the Fund.

Fund Structure and Management Related Risks

The mechanisms and procedures governing the creation, redemption and offering of the Shares have been developed specifically for these securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations of the Fund and the trading of the Shares that could have a material adverse effect on an investment in the Shares. In addition, although the Fund is not actively “managed” by traditional methods, to the extent that unanticipated operational or trading problems or issues arise, the Managing Owner’s past experience and qualifications may not be suitable for solving these problems or issues.

If one or more Authorized Participants which have substantial interests in the Shares of the Fund were to withdraw from participation, the liquidity of the affected Shares may decrease, which may adversely affect the value of your Shares or lead to tracking error between the market price per Share and the net asset value per Share.

The Managing Owner was formed to be the managing owner of investment vehicles such as the Fund and has no history of past performance. The Managing Owner and its trading principals have not managed any other public commodity pool or any other commodity pool that seeks to track an index of commodity futures, although certain of the trading principals do have experience managing other types of private commodity pools, and therefore there is no indication of their ability to manage investment vehicles such as the Fund. If the experience of the Managing Owner and its trading principals is not adequate or suitable to manage investment vehicles such as the Fund, the operations of the Fund may be adversely affected.

The Fund has not commenced trading and does not have a performance history upon which to evaluate your investment in the Fund. Although past performance is not necessarily indicative of future results, if the Fund had a performance history, such performance history might (or might not) provide you with more information on which to evaluate an investment in the Fund.

Investors in the Fund will pay fees in the aggregate amount of approximately 0.89% per annum as described herein. Additionally, investors are expected to be charged a customary commission by their brokers in connection with purchases of Shares that will vary from investor to investor.

The Fund is expected to earn interest income equal to 0.16% per annum, based upon the yield of 3-month U.S. Treasury bills as of July 14, 2010.

Consequently, depending upon the interest rate environment, and the rate of inflation, the expenses of the Fund could, over time, result in losses to your investment therein. You may never achieve profits, significant or otherwise, by investing in the Fund.

The Volatility Futures Index is composed of futures contracts on the Volatility Index. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for delivery of the underlying asset or for settlement in cash based on the value of the underlying asset or the type of contract. As the futures contracts underlying the VIX Futures Index approach expiration, they are replaced by similar contracts that have a later expiration. Thus, for example, a futures contract purchased and held in August may specify an October expiration. As time passes, the contract expiring in October may be replaced by a contract for delivery in November. This

process is referred to as “rolling”. If the market for these contracts is (putting aside other considerations) in “backwardation”, which means that the prices are lower in the distant settlement months than in the nearer settlement months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a “roll yield”. The actual realization of a potential roll yield will be dependent upon the level of the Volatility Index price relative to the unwind price of the Volatility Index futures contract at the time of hypothetical sale of the contract. The contracts included in the VIX Futures Index have not historically exhibited consistent periods of backwardation, and backwardation will most likely not exist at many, if not most times. Moreover, the VIX Futures have historically traded in “contango” markets. Contango markets are those in which the prices of contracts are higher in the distant settlement months than in the nearer settlement months. VIX Futures have frequently exhibited very high contango in the past, resulting in a significant cost to “roll” the futures. The existence of contango in the futures markets could result in negative “roll yields”, which could adversely affect the value of the VIX Futures underlying your Shares. In a contango market, in order for an investment in Shares to be profitable, the Fund must achieve profits in excess of the negative roll yield.

The value of Treasuries generally moves inversely with movements in interest rates. If interest rates increase after the Fund has purchased Treasuries, the value of such Treasuries will decrease. If the Fund is required to sell Treasuries at a price lower than the price at which they were acquired, the Fund will experience a loss and the value of your Shares will decrease.

You cannot be assured that the Managing Owner will be willing or able to continue to service the Fund for any length of time. The Managing Owner may withdraw from the Fund upon 120 days’ notice, which would cause the Fund to terminate

unless a substitute managing owner were obtained. If the Managing Owner discontinues its activities on behalf of the Fund and a substitute managing owner has not been appointed, the Fund will terminate and your investment in Shares will be terminated at a time that is not of your choosing, and may adversely affect the value of your portfolio.

Owners of a majority (over 50%) of the Shares have the power to terminate the Fund. If it is so exercised, investors who may wish to continue to invest in the Index through a fund vehicle will have to find another vehicle, and may not be able to find another vehicle that offers the same features as the Fund. See “Description of the Shares; The Fund; Certain Material Terms of the Declaration of Trust – Termination Events” for a summary of termination events. Such detrimental developments could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the NFA of the Managing Owner or the Clearing Broker were revoked or suspended, such entity would no longer be able to provide services to the Fund.

The Fund may, in its discretion, suspend the right of redemption or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders of the Fund. In addition, the Fund will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the applicable Fund declines during the period of delay. The Fund and the Managing Owner disclaim any liability for any loss or damage that may result from any such suspension or postponement.

The Fund will be subject to actual and potential conflicts of interest involving the Managing Owner, various futures brokers and Authorized Participants. The Managing Owner and its trading principals, all of whom are engaged in other investment activities, are not required to devote substantially all of their time to the business of the Fund, which also presents the potential for numerous conflicts of interest with the Fund. As a result of these and other relationships, parties involved with the Fund may have a financial incentive to act in a manner other than in the best interests of the Fund and the Shareholders. The Managing Owner has not established formal procedures to resolve all of the actual and potential conflicts of interest. Consequently, investors will be dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although the Managing Owner attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Managing Owner to ensure that these conflicts do not, in fact, result in adverse consequences to the Shareholders.

The Fund may be subject to certain conflicts with respect to the Clearing Broker, including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, or purchasing opposite or competing positions on behalf of third party accounts traded through the Clearing Broker.

As beneficial interests in a Delaware statutory trust, the Shares do not have all of the statutory rights normally associated with the ownership of shares of a corporation. In addition, the Shares have limited voting and distribution rights (for example, Shareholders do not have the right to elect directors and the Fund is not required to pay regular distributions, although the Fund may pay distributions in the discretion of the Managing Owner). Therefore, an investment in Shares does not provide certain rights and protections offered by an investment in certain other investment vehicles, such as corporations.

Under the Declaration of Trust, the Trustee has the right to be indemnified for any liability or expense it incurs without its fraud, gross negligence, bad faith or willful misconduct and the Managing Owner has the right to be indemnified for any liability or expense it incurs without its fraud, gross negligence, bad faith, willful misconduct or a material breach of the Declaration of Trust. That means the Managing Owner may require the assets of the Fund to be sold in order to cover losses or liability suffered by it or by the Trustee in connection with the Fund. Any sale of that kind would reduce the net asset value of the Fund.

Calculating the net asset value of the Fund includes, in part, any unrealized profits or losses on open futures contracts. Under normal circumstances, the net asset value of the Fund reflects the settlement price of open futures contracts on the date when the net asset value is being calculated. However, if a futures contract traded on an exchange (both U.S. and, to the extent it becomes applicable, non-U.S. exchanges) could not be liquidated on such day (due to the operation of daily limits or other rules of the exchange or otherwise), the settlement price on the most recent day on which the position could have been liquidated will be the basis for determining the market value of such position for such day. In such a situation, there is a risk that the calculation of the net asset value of the Fund on such day will not accurately reflect the realizable market value of such futures contract. For example, daily limits are generally triggered in the event of a significant change in market price of a futures contract. Although the VIX Futures are not currently subject to daily limits, the VIX Futures are currently subject to “circuit breaker” halts. If the New York Stock Exchange becomes subject to a market wide trading halt commonly known as a circuit breaker, trading in the VIX Futures will also halt. Therefore, as a result of the “circuit breaker,” the current settlement price is unavailable. Because the settlement price on the most recent day on which the position could have been liquidated would be used in lieu of the actual settlement price on the date of determination, there is a risk that the resulting calculation of the net asset value of the Fund could be under or overstated, perhaps to a significant degree.

The Shares are limited liability investments; investors may not lose more than the amount that they invest plus any profits recognized on their investment. However, Shareholders could be required, as a matter of bankruptcy law, to return to the estate of the Fund any distribution they received at a time when the Fund was in fact insolvent or in violation of its Declaration of Trust. In addition, although the Managing Owner is not aware of this provision ever having been invoked in the case of any public futures fund, Shareholders will indemnify the Fund for any harm suffered by it as a result of

Regulatory Related Risks

The Fund is not registered as an investment company under the Investment Company Act of 1940, and it is not required to register under such Act. Consequently, Shareholders will not have the regulatory protections provided to investors in registered and regulated investment companies, such as, for example, the requirement that investment companies must have a board of directors comprised of disinterested directors which oversees the registered fund’s activities with respect to entering into advisory contracts and other agreements and the requirement that investment companies must establish policies and procedures that address various

conflicts of interest. Furthermore, the Investment Company Act of 1940 imposes a number of investment restrictions and diversification requirements, prohibitions against certain transactions with affiliates, and regulates a number of additional areas. Investors in Shares will not have the benefit of any of these protections.

The global financial markets have in the past few years gone through pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Such intervention has in certain cases been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition — as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action — these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to market participants from their banks, dealers and other counterparties is typically reduced in disrupted markets. Such a reduction may result in substantial losses to the affected market participants. Market disruptions may from time to time cause dramatic losses, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

In response to the recent financial crises, the Obama Administration and the U.S. Congress proposed sweeping reform of the U.S. financial regulatory system. After over a year of debate, the Dodd-Frank Wall Street Reform and Consumer

Protection Act, or the Reform Act, became law in July 2010. The Reform Act seeks to regulate markets, market participants and financial instruments that previously have been unregulated and substantially alters the regulation of many other markets, market participants and financial instruments. Because many provisions of the Reform Act require rulemaking by the applicable regulators before becoming fully effective and the Reform Act mandates multiple agency reports and studies (which could result in additional legislative or regulatory action), it is difficult to predict the impact of the Reform Act on the Fund, the Managing Owner, and the markets that affect the large cap U.S. equity markets, the option markets, the futures markets and the markets for other instruments that contribute to the level of the VIX Futures Index, the Net Asset Value of the Fund or the market price of the Shares. The Reform Act could result in the Fund’s investment strategy becoming non-viable or non-economic to implement. The Reform Act and regulations adopted pursuant to the Reform Act could have a material adverse impact on the profit potential of the Fund. See also Risk Factor (46) “The Effects of New Regulation of the Over-the-Counter Derivatives Markets is Unknown and May Have a Detrimental Effect on the Value of Your Shares” below.

The Reform Act includes provisions that comprehensively regulate the OTC derivatives markets for the first time.

The Reform Act mandates that a substantial portion of OTC derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC or CFTC mandated margin requirements. The regulators also have broad discretion to impose margin requirements on non-cleared OTC derivatives and new requirements will apply to the holding of customer collateral by OTC derivatives dealers. These requirements may increase the amount of collateral that the Fund is required to provide and the costs associated with providing it. Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called “end-users,” the Fund will not be able to rely on these exemptions.

In addition, the OTC derivative dealers with which the Fund expects to execute the majority of its OTC derivatives will not be able to rely on the end-user exemptions under the Reform Act and therefore these dealers will be subject to clearing and margin requirements irrespective of whether the Fund is subject to these requirements. OTC derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers’ trades instead of using those assets in their operations, as is currently permitted. This will increase the OTC derivative dealers’ costs, and these increased costs are expected to be passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.

The SEC and CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the OTC markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. They may also render Futures-Linked Investments in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement.

OTC derivative dealers and major OTC derivatives market participants will be required to register with the SEC and/or CFTC. The Fund or the Managing Owner may be required to register as major participants in the OTC derivatives markets. Dealers and major participants will be subject to minimum capital and margin requirements. These requirements may apply irrespective of whether the OTC derivatives in question are exchange-traded or cleared. OTC derivatives dealers will also be subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements may further increase the overall costs for OTC derivative dealers, which costs are also likely to be passed along to market participants. The overall impact of the Reform Act on the Fund is highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime.

CFTC and commodity exchange rules impose speculative position limits and position accountability levels on market participants, including the Fund, trading in certain futures contracts. Position limits prohibit any person from holding a position of more than a specific number of such futures contracts. Under the rules of a futures exchange, an investor such as the Fund that holds a certain number of futures contracts may be required by the futures exchange to limit or decrease its holdings of such futures contracts pursuant to the futures exchange’s position accountability rules.

Although the VIX Futures are not currently subject to position limits, the VIX Futures are currently subject to position accountability rules.

Under the current rules of the CFE, a person who owns or controls more than 15,000 net long or net short VIX Futures in the expiring contract months commencing on the Friday prior to the final settlement date of the expiring month would be subject to the CBOE’s accountability rules and may be required to:

Similar to the purposes of speculative position limits, position accountability rules are intend to diminish, eliminate or prevent sudden or unreasonable fluctuations or unwarranted changes in the prices of futures contracts. Subject to any relevant exemptions, traders, such as the Fund, may not exceed the number of VIX Futures that the Fund may hold under the position accountability rules, either individually, or in the aggregate with other persons with whom they are under common control

or ownership. If the Managing Owner determines that the Fund’s trading may be approaching the maximum number of VIX Futures that may be held by the Fund under the position accountability rules, the Fund may reduce its trading in the VIX Futures or trade in other instruments that the Managing Owner determines comply with the rules and goals of the VIX Futures Index. Position accountability levels are subject to change by the relevant exchange.

The Fund is subject to position accountability levels and, consequently, the Fund’s ability to issue new Baskets or to reinvest income in additional VIX Futures may be limited to the extent that these activities would cause the Fund to exceed the position accountability level, unless the Fund trades alternative futures contracts or Futures-Linked Investments, such as forward contracts, swaps or other OTC derivatives, in addition to and as a proxy for the VIX Futures. The position accountability levels and the use of alternative futures contracts or Futures-Linked Investments in addition to or as a proxy for VIX Futures may affect the correlation between changes in the net asset value per Share and changes in the level of the VIX Futures Index, and the correlation between the price of the Shares, as traded on the NYSE Arca, and the net asset value per Share.

It is possible that in the future, an exchange such as the CBOE may propose new rules with respect to position accountability for traders engaged in indexed-based trading, such as the trading engaged in by the Fund. Depending on the outcome of any future rulemaking, the rules concerning position accountability may be amended in a manner that is either detrimental or favorable to the Fund. For example, if the amended rules are detrimental to the Fund, the Fund’s ability to issue new Baskets, or its ability to reinvest income in additional VIX Futures, may be limited to the extent these activities would cause the Fund to exceed the applicable position accountability levels. Limiting the size of the Fund may affect the correlation between the price of the Shares, as traded on the NYSE Arca, and the net asset value of the Fund. That is, the inability to create additional Baskets could result in Shares trading at a premium or discount to net asset value of the Fund.

Trading in Shares may be halted due to market conditions or, in light of NYSE Arca rules and

procedures, for reasons that, in the view of the NYSE Arca, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline.

Additionally, there can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met by the Fund or will remain unchanged by the NYSE Arca. The Fund will be terminated if the Shares are delisted from the NYSE Arca and are not successfully registered on another exchange.

The Managing Owner may determine that the Fund may enter into one or more Futures-Linked Investments through a dealer market which is dominated by major money center banks and is substantially unregulated. Thus, you do not receive the same protection as provided to futures traders in United States markets by the CFTC, regulatory scheme or the statutory scheme of the Commodity Exchange Act.

Markets in which the Fund may effect a transaction in one or more Futures-Linked Investments are in the “over-the-counter” unregulated private markets. The participants and dealers in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of the exchange-based markets. This exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a credit or liquidity problem or a dispute over the terms of the contract (whether or not bona fide), thus causing the Fund to suffer a loss. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or in instances where the Fund has concentrated its transactions with a single or small group of counterparties. Recent events surrounding the bankruptcies or similar proceedings of various counterparties and dealers have demonstrated certain risks of the Fund engaging in these “over-the-counter” transactions in unregulated private markets. Therefore, the Fund faces the risk of non-performance by the counterparties to the Futures-Linked Investments and

such non-performance may cause some or all of the Fund’s gain, if any, on its Futures-Linked Investments to be unrealized.

The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding from a counterparty and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

The Futures-Linked Investments have terms that make them less marketable than VIX Futures. Futures-Linked Investments are less marketable because they are not traded on an exchange, do not have uniform terms and conditions, and are 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.

Tax Related Risks

Shareholders will be subject to U.S. federal income taxation and, in some cases, state, local, or foreign income taxation on their allocable share of the Fund’s taxable income, whether or not they receive cash distributions from the Fund. Shareholders may not receive cash distributions equal to their share of the Fund’s taxable income or even the tax liability that results from such income.

U.S. federal income tax rules applicable to partnerships are complex and often difficult to apply to publicly traded partnerships. The Fund will apply certain assumptions and conventions in an attempt to comply with applicable rules and to report income, gain, deduction, loss and credit to Shareholders in a manner that reflects Shareholders’ beneficial shares of partnership items, but these assumptions and conventions may not be in compliance with all aspects of applicable tax requirements. It is possible that the IRS will successfully assert that the conventions and assumptions used by the Fund do not satisfy the technical requirements of the Code and/or Treasury Regulations and could require that

items of income, gain, deduction, loss or credit be adjusted or reallocated in a manner that adversely affects you.

Under current law, long-term capital gains are taxed to non-corporate investors at a maximum U.S. federal income tax rate of 15%. This tax treatment may be adversely affected, changed or repealed by future changes in tax laws at any time and is currently scheduled to expire for tax years beginning after December 31, 2010.

PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISERS AND COUNSEL WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN THE SHARES; SUCH TAX CONSEQUENCES MAY DIFFER WITH RESPECT TO DIFFERENT INVESTORS.

Other Risks

The Commodity Exchange Act requires a clearing broker to segregate all funds received from customers from such broker’s proprietary assets. If the Clearing Broker fails to do so, the assets of the Fund might not be fully protected in the event of the Clearing Broker’s bankruptcy. Furthermore, in the event of the Clearing Broker’s bankruptcy, the Fund could be limited to recovering either a pro-rata share of all available funds segregated on behalf of the Clearing Broker’s combined customer accounts or the Fund may not recover any assets at all, even though certain property specifically traceable to the Fund was held by the Clearing Broker. The Clearing Broker may, from time-to-time, have been the subject of certain regulatory and private causes of action. Such material actions, if any, are described under “The Futures Brokers.”

In the event of a bankruptcy or insolvency of any exchange or a clearing house, the Fund could experience a loss of the funds deposited through its Clearing Broker as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the loss of unrealized profits on its closed positions on the exchange.

The Managing Owner has consulted with counsel, accountants and other advisers regarding the formation and operation of the Fund. No counsel has been appointed to represent you in connection with the offering of the Shares. Accordingly, you should consult your own legal, tax and financial advisers regarding the desirability of an investment in the Shares.

While the Managing Owner believes that all intellectual property rights needed to operate the Fund are either owned by or licensed to the Managing Owner or have been obtained, third parties may allege or assert ownership of intellectual property rights which may be related to the design, structure and operations of the Fund. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the negotiation, litigation or settlement of such claims, or the ultimate disposition of such claims in a court of law if a suit is brought, may adversely affect the Fund and an investment in the Shares, for example, resulting in expenses or damages or the termination of the Fund.

CAUTIONARY NOTE REGARDING

FORWARD-LOOKING STATEMENTS

This Prospectus includes forward-looking statements that reflect the Managing Owner’s current expectations about the future results, performance, prospects and opportunities of the Fund. The Managing Owner has tried to identify these

forward-looking statements by using words such as “may,” “will,” “expect,” “anticipate,” “believe,” “intend,” “should,” “estimate” or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the Managing Owner and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in this Summary, in “The Risks You Face” and elsewhere in this Prospectus, and unknown, that could cause the actual results, performance, prospects or opportunities of the Fund to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws, the Managing Owner undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Prospectus, as a result of new information, future events or changed circumstances or for any other reason after the date of this Prospectus.

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INVESTMENT OBJECTIVE OF THE FUND

Investment Objective

The Fund seeks to track changes, whether positive or negative, in the level of the VIX Futures Index, over time. The Fund will pursue its investment objective primarily by maintaining long futures positions corresponding to the futures contracts underlying the VIX Futures Index, with an aggregate notional amount equal to the Fund’s total capital. The Fund may use alternative futures contracts or Futures-Linked Investments under certain circumstances. The Fund’s performance also will reflect the difference, positive or negative, between its interest income from its holdings of U.S. Treasury bills, generally with a maturity of less than one year, and other high credit quality short-term fixed income securities, over the expenses of the Fund.

The VIX Futures Index is designed to provide an exposure to one or more maturities of futures contracts on the CBOE Volatility Index^®, or the Volatility Index, which reflect implied volatility in the S&P 500^® Index at various points along the volatility forward curve, or VIX Futures. VIX Futures trade on the CBOE Futures Exchange, or the CFE. The Volatility Index is a benchmark index designed to estimate expected volatility in large cap U.S. stocks over 30 days in the future by averaging the weighted prices of certain put and call options on the S&P 500^® Index. During periods of market instability, the implied level of volatility of the S&P 500^® Index typically increases and, consequently, the prices of options linked to the S&P 500^® Index typically increase (assuming all other relevant factors remain constant or have negligible changes). This, in turn, causes the level of the Volatility Index to increase. Because the Volatility Index may increase in times of uncertainty, the Volatility Index is commonly known as the “fear gauge” of the broad U.S. equities market. The Volatility Index has historically had negative correlations to the S&P 500^® Index.

The VIX Futures Index measures the return from a daily rolling long position in the first and second month VIX Futures, targeting a constant weighted average futures maturity of one month. The Fund will acquire and roll long positions in the first and second month VIX Futures with a view to tracking the level of the VIX Futures Index over time. Unlike equities, which typically entitle the

holder to a continuing stake in a corporation, futures contracts normally specify a certain date for delivery of the underlying asset or for settlement in cash based on the level of the underlying asset. As the futures contracts underlying the VIX Futures Index approach expiration, they are replaced by similar contracts that have a later expiration. Thus, for example, a futures contract purchased and held in August may specify an October expiration. As time passes, the contract expiring in October may be replaced by a contract for delivery in November. This process is referred to as “rolling”.

The Fund will both roll and rebalance its holdings of VIX Futures in a manner that is consistent with the method described under “Description of the VIX Futures Index.” The Fund will rebalance its holding of VIX Futures in order to ensure that its portfolio of VIX Futures will accurately reflect the composition of the VIX Futures Index.

The VIX Futures Index was created by the Index Sponsor.

The Fund does not intend to outperform the VIX Futures Index. The Managing Owner will seek to cause the net asset value of the Fund to track the VIX Futures Index during periods in which the VIX Futures Index is flat or declining as well as when the VIX Futures Index is rising. For the avoidance of doubt, the Fund does not seek to track the Volatility Index.

Advantages of investing in the Shares include:

If the Managing Owner determines in its commercially reasonable judgment that it has become impracticable or inefficient for any reason for the Fund to gain a full or a partial exposure to the VIX Futures Index or any VIX Future by investing in a specific futures contract that is a part of the VIX Futures Index, the Fund may:

if, in the commercially reasonable judgment of the Managing Owner, such instruments tend to exhibit

trading prices or returns that correlate with the VIX Futures Index or any VIX Future. Investing in Futures-Linked Investments exposes the Fund to counterparty risk, or the risk that a Futures-Linked Investment counterparty will default on its obligations under the Futures-Linked Investment.

The Index Sponsor obtains information for inclusion in, or for use in the calculation of, the VIX Futures Index from sources the Index Sponsor considers reliable. None of the Index Sponsor, the Managing Owner, the Fund or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of the VIX Futures Index or any data included in the VIX Futures Index.

The intra-day indicative value per Share is based on the prior day’s final net asset value, adjusted once every fifteen seconds throughout the trading day to reflect the percentage price changes of the Fund’s futures contracts and holdings of United States Treasuries and other high credit quality short-term fixed income securities to provide a continuously updated estimated net asset value per Share. The final net asset value of the Fund and the final net asset value per Share will be calculated as of the closing time of the NYSE Arca or the CFE, the exchange on which the Fund’s futures contracts are traded, whichever is latest, and posted in the same manner. Although a time gap may exist between the close of the NYSE Arca and the CFE, the exchange on which the VIX Futures are traded, there is no effect on the net asset value calculations as a result.

The Shares are intended to provide investment results that generally correspond to the changes, whether positive or negative, in the level of the VIX Futures Index, over time. The Fund does not intend to outperform the VIX Futures Index. The Managing Owner will seek to cause the net asset value of the Fund to track the level of the VIX Futures Index during periods in which the level of the VIX Futures Index is flat or declining as well as when the VIX Futures Index is rising.

The value of the Shares is expected to fluctuate in relation to changes in the net asset value of the Fund. The market price of the Shares may not be identical to the net asset value per Share, but these two valuations are generally expected to be very close. See “The Risks You Face – (6) Net Asset Value May Not Always Correspond to Market Price and, as a Result, Baskets May Be Created or Redeemed at a Value that Differs From the Market Price of the Shares.”

There can be no assurance that the Fund will achieve its investment objective or avoid substantial losses. The Fund has no performance history. The value of the Shares on the secondary market is expected to fluctuate generally in relation to changes in the net asset value of the Fund.

Role of Managing Owner

The Managing Owner is registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission and is a member of the NFA.

The Managing Owner will serve as the commodity pool operator and commodity trading advisor of the Fund.

Specifically, the Managing Owner:

The principal office of the Managing Owner is located at One Station Place, Three North, Stamford, CT 06902. The telephone number of the Managing Owner is (203) 708-6500.

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DESCRIPTION OF the VIX Futures Index

“STANDARD & POOR’S^®”, “S&P^®”, “S&P 500^®”, “STANDARD & POOR’S 500™” AND “S&P 500 VIX SHORT-TERM FUTURES™” ARE TRADEMARKS OF S&P AND HAVE BEEN LICENSED FOR USE BY THE MANAGING OWNER. “VIX” IS A REGISTERED TRADEMARK OF THE CBOE AND HAS BEEN LICENSED FOR USE BY S&P.

DISCLAIMERS

THE FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY STANDARD & POOR’S AND ITS AFFILIATES (“S&P”). S&P MAKES NO REPRESENTATION, CONDITION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND PARTICULARLY OR THE ABILITY OF THE VIX FUTURES INDEX TO TRACK THE PERFORMANCE OF CERTAIN FINANCIAL MARKETS AND/OR SECTIONS THEREOF AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES. S&P’S ONLY RELATIONSHIP TO THE MANAGING OWNER IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES AND OF THE VIX FUTURES INDEX WHICH IS DETERMINED, COMPOSED AND CALCULATED BY S&P WITHOUT REGARD TO THE MANAGING OWNER OR THE FUND. S&P HAS NO OBLIGATION TO TAKE THE NEEDS OF THE MANAGING OWNER OR THE OWNERS OF THE FUND INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE VIX FUTURES INDEX. S&P IS NOT RESPONSIBLE FOR AND HAS NOT PARTICIPATED IN THE DETERMINATION OF THE PRICES AND AMOUNT OF THE FUND OR THE TIMING OF THE ISSUANCE OR SALE OF THE FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE FUND SHARES ARE TO BE CONVERTED INTO CASH. S&P HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING, OR TRADING OF THE FUND.

NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE VIX FUTURES

INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, CONDITION OR REPRESENTATION, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE MANAGING OWNER, OWNERS OF THE FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE VIX FUTURES INDEX OR ANY DATA INCLUDED THEREIN. S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, REPRESENTATIONS OR CONDITIONS, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OR CONDITIONS OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AND ANY OTHER EXPRESS OR IMPLIED WARRANTY OR CONDITION WITH RESPECT TO THE VIX FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS) RESULTING FROM THE USE OF THE VIX FUTURES INDEX OR ANY DATA INCLUDED THEREIN, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

GENERAL INFORMATION

We have derived the following description of the S&P 500 VIX Short-Term Futures^TM Index ER, or the VIX Futures Index, from the S&P U.S. Index Committee Rules, which governs the management and calculation of the VIX Futures Index and is published by the Index Sponsor. We have also derived certain information about the VIX Futures Index, the S&P 500^® Index and the CBOE Volatility Index^®, or the Volatility Index, from public sources without independent verification.

The VIX Futures Index seeks to provide investors with exposure to one or more maturities of futures contracts on the Volatility Index, which reflects forward implied volatility in the S&P 500^® Index at various points along the volatility forward curve. The Volatility Index is calculated based on the prices of put and call options on the S&P 500^® Index. The VIX Futures Index is intended to reflect the returns that are potentially available through an unleveraged investment in the relevant futures

contract or contracts on the Volatility Index. The VIX Futures Index measures the return from a daily rolling long position in the first and second month VIX Futures, targeting a constant weighted average futures maturity of one month.

Information contained on certain websites mentioned below is not incorporated by reference, and should not be considered to be a part of this Prospectus or any future supplement.

Publication of Index Values

The value of the VIX Futures Index in real time and at the close of trading on each Index business day will be published by Standard & Poor’s or a successor under the ticker symbol SPVXSP.

The level of the VIX Futures Index is calculated as described below under “—Composition of the VIX Futures Index” and “— Calculation of the VIX Futures Index.” We will first describe the S&P 500^® Index and the Volatility Index and provide an overview of the futures markets generally before describing the VIX Futures Index in detail.

The S&P 500^® Index

The Index Sponsor publishes the S&P 500^® Index. The S&P 500^® Index is intended to provide a broad performance benchmark for the U.S. equity markets. The daily calculation of the value of the S&P 500^® Index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. The 500 companies are not the 500 largest companies listed on the New York Stock Exchange and not all 500 companies are listed on such exchange. The Index Sponsor chooses companies for inclusion in the S&P 500^® Index with the objective of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equity market. The Index Sponsor may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500^® Index to achieve the objectives stated above. Relevant criteria employed by the Index Sponsor include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company’s common stock is widely held and the market value and trading activity of the common stock of that company.

The Volatility Index

We have derived all information contained in this Prospectus regarding the Volatility Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, the CBOE. We make no representation or warranty as to the accuracy or completeness of such information. The Volatility Index was developed by the CBOE and is calculated, maintained and published by the CBOE. The CBOE has no obligation to continue to publish, and may discontinue the publication of, the Volatility Index. The Volatility Index is reported by Bloomberg L.P. under the ticker symbol “VIX.” The Volatility Index is a benchmark index designed to estimate expected volatility in large cap U.S. stocks over 30 days in the future by averaging the weighted prices of certain put and call options on the S&P 500^® Index. During periods of market instability, the implied level of volatility in the S&P 500^® Index typically increases and, consequently, the prices of options linked to the S&P 500^® Index typically increase (assuming all other relevant factors remain constant or have negligible changes). This, in turn, causes the level of the Volatility Index to increase. Because the Volatility Index may increase in times of uncertainty, the Volatility Index is commonly known as the “fear gauge” of the broad U.S. equities market. The Volatility Index has historically had negative correlations to the S&P 500^® Index.

The calculation of the Volatility Index involves a formula that uses the prices of a weighted series of out-of-the money put and call options on the level of the S&P 500^® Index, or SPX Options, with two adjacent expiry terms to derive a constant 30-day forward measure of market volatility. The Volatility Index is calculated independent of any particular option pricing model and in doing so seeks to eliminate any biases which may otherwise be included in using options pricing methodology based on certain assumptions.

Although the Volatility Index measures the 30-day forward volatility in the S&P 500^® Index as implied by the SPX Options, 30-day options are only available once a month. To arrive at the VIX Index level, a broad range of out-of-the money SPX Options expiring on the two closest nearby months

(“near term options” and “next term options,” respectively) are selected in order to bracket a 30-day calendar period. SPX Options having a maturity of less than eight days are excluded at the outset and, when the near term options have eight days or less left to expiration, the Volatility Index rolls to the second and third contract months in order to minimize pricing anomalies that occur close to expiration. The model-free implied volatility using prices of the near term options and next term options are then calculated on a strike price weighted average basis in order to arrive at a single average implied volatility value for each month. The results of each of the two months are then interpolated to arrive at a single value with a constant maturity of 30 days to expiration. Futures on the Volatility Index were first launched for trading by the CBOE in 2004. VIX Index futures have expirations ranging from the front month consecutively out to the tenth month. Futures on the Volatility Index allow investors the ability to invest in forward market volatility based on their view of the future direction or movement of the Volatility Index. Investors that believe the implied volatility in the S&P 500^® Index will increase may buy VIX futures, expecting that the level of the Volatility Index will increase. Conversely, investors that believe that the implied volatility in the S&P 500^® Index will decline may sell VIX futures, expecting that the level of the Volatility Index will fall.

VIX Index futures are reported by Bloomberg L.P. under the ticker symbol “VX.”

Futures Markets

The VIX Futures Index is composed of one or more futures contracts on the Volatility Index. Futures contracts on the Volatility Index are traded on regulated futures exchanges. Additionally, forward contracts, swaps or other over-the-counter derivatives and various types of electronic trading facilities and markets may offer investments linked to the Volatility Index. At present, all of the contracts included in the VIX Futures Index are exchange-traded futures contracts. An exchange-traded futures contract provides for the purchase and sale of a specified type and quantity of an underlying asset or financial instrument during a stated delivery month for a fixed price. Because the Volatility Index is not a tangible item that can be purchased and sold directly, a futures contract on the Volatility Index provides for the payment and receipt of cash based on the level of the Volatility Index at settlement or liquidation of the contract. A futures contract provides for a specified

settlement month in which the cash settlement is made or in which the underlying asset or financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser (whose position is therefore described as “long”).

There is no purchase price paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as “initial margin”. This amount varies based on the requirements imposed by the exchange clearing houses, but may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in futures contracts. The market participant normally makes to, and receives from, the broker subsequent daily payments as the price of the futures contract fluctuates. These payments are called “variation margin” and are made as the existing positions in the futures contract become more or less valuable, a process known as “marking to the market”.

Futures contracts are traded on organized exchanges, known as “designated contract markets” in the United States. At any time prior to the expiration of a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the position. This operates to terminate the position and fix the trader’s profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures commission merchant”, which is a member of the clearing house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do not guarantee the performance by clearing members of their obligations to their customers. Unlike equity securities, futures contracts, by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures contract on a particular asset or financial instrument with the

nearest expiration must close out its position in the expiring contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling”. For example, a market participant with a long position in November VIX Index futures that wishes to maintain a position in the nearest delivery month will, as the November contract nears expiration, sell November futures, which serves to close out the existing long position, and buy December futures. This will “roll” the November position into a December position, and, when the November contract expires, the market participant will still have a long position in the nearest delivery month.

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodities Futures Trading Commission. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures markets outside the United States are generally subject to regulation by comparable regulatory authorities. The structure and nature of trading on non-U.S. exchanges, however, may differ from this description.

Composition of the VIX Futures Index

The S&P 500 VIX Short-Term Futures™ Index ER is composed of futures contracts on the Volatility Index with a daily rolling long position in futures contracts of specified maturities and are intended to reflect the returns that are potentially available through an unleveraged investment in those futures contracts.

The VIX Futures Index is a rolling Index, which rolls on a daily basis. One of the effects of daily rolling is to maintain a constant weighted average maturity for the underlying futures contracts. The VIX Futures Index is composed of rolling first and second month futures contracts on the Volatility Index. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for the delivery of the underlying asset or financial instrument or, in the case of futures contracts relating to indices such as the Volatility Index, a certain date for payment in cash of an amount determined by the level of the underlying index. As described in more detail below, the VIX Futures Index operates by selling futures contracts on the Volatility Index on a

daily basis, specifying cash settlement on a nearby date and purchasing futures contracts on the Volatility Index on a daily basis specifying cash settlement on a later date. The roll for each futures contract occurs on each index business day according to a pre-determined schedule that has the effect of keeping constant the weighted average maturity of the relevant futures contracts. This process is known as “rolling” a futures position, and the VIX Futures Index is a “rolling index”. The constant weighted average maturity for the futures contracts underlying the S&P 500 VIX Short-Term Futures™ Index ER is one month.

Calculation of the VIX Futures Index

The VIX Futures Index models returns from a long VIX futures position that is rolled continuously throughout the period between futures expiration dates. The S&P 500 VIX Short-Term Futures™ Index measures the return from a rolling long position in the first and second month VIX futures contracts. The VIX Futures Index rolls continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract. The Index is calculated to reflect either an excess return or a total return. The excess return version of the Index is calculated to reflect the change in market value, whether positive or negative, of the underlying index component only. The total return version of the Index is calculated to reflect the change in market value, whether positive or negative, of the underlying index component and incorporates interest accrual on the notional value of the Index based on the 3-month U.S. Treasury rate and reinvestment into the Index. The Fund seeks to track the excess return version of the VIX Futures Index.

On any S&P 500 VIX Futures Business Date, t, the VIX Futures Excess Return Index will equal the product of the VIX Futures Index Return value on the preceding business day, t-1, and the sum of 1 plus the Contract Daily Return (defined below) on the current business day, t. Mathematically, this can be represented as follows:

IndexER_t = IndexER_t-1 * (1+ CDR_t )

where:

IndexER_t-1 = The VIX Futures Index ER on the preceding business day, defined as any date on which the VIX Futures Index is calculated.

The Contract Daily Return value for any given day will equal the value of Total Dollar Weight Obtained on the current business day divided by the Total Dollar Weight Obtained (defined below) as of the preceding business day this quotient reduced 1.

CDR_t = Contract Daily Return, as determined by the following formula:

The Total Dollar Weight Obtained on business day, t, or TDWO_t, will equal the sum of the product of the Contract Roll Weight on date t-1 (defined below) and the price for the first VIX futures contract on date t and the product of the Contract Roll Weight on date t-1 and the price for the second VIX futures contract on date t. Similarly, the Total Dollar Weight Obtained on the previous business day, t-1, will equal the sum of the product of the Contract Roll Weight and the price of the first VIX futures contract on the previous business day, t-1, and the product of the Contract Roll Weight and price of the second VIX futures contract on the previous business day, t-1. Mathematically, this can be represented as follows:

TDWO_t = Total Dollar Weight Obtained on t, as determined by the following formula for each of the indices:

TDWI_t-1 = Total Dollar Weight Invested on t-1, as determined by the following formula for each of the indices:

where:

CRW_i,t = Contract Roll Weight of the i^th VIX Futures Contract on date t.

DCRP_i,t = Daily Contract Reference Price of the i^th VIX Futures Contract on date t.

m = 1.

n = 2.

Contract Rebalancing

The Roll Period starts on the Tuesday prior to the monthly CBOE VIX Futures Settlement Date (the Wednesday falling 30 calendar days before the S&P 500 option expiration for the following month), and runs through the Tuesday prior to the subsequent month’s CBOE VIX Futures Settlement Date. Thus, the indices are rolling on a continual basis. On the business date after the current Roll Period ends the following Roll Period will begin.

The Contract Roll Weights in each of the contracts in the VIX Futures Index represents a pro-rata portion of the total number of business days remaining within a roll period. The Contract Roll Weight for the first VIX Futures Contract on any business day, t, will equal the product of 100 and the total number of business days remaining within a roll period divided by the total number of days within a roll period. Similarly, the Contract Roll Weight for the second VIX Futures Contract on any business day, t, will equal the product of 100 and the sum of the total number of business days within a roll period less the total number of days remaining within a roll period divided by the total number of days within a roll period. Mathematically, the above is represented as follows:

In calculating the Excess Return of each of the indices, the Contract Roll Weights (CRWi,t) of each of the contracts in the VIX Futures Index, on a given day, t, are determined as follows:

S&P 500 VIX Short-Term Futures™ Index

where:

dt = The total number of business days in the current Roll Period beginning with and including, the starting CBOE VIX Futures Settlement Date and ending with, but excluding, the following CBOE VIX Futures Settlement Date. The number of business days stays constant in cases of a new holiday introduced intra-month or an unscheduled market closure.

dr = The total number of business days within a roll period beginning with, and including the following business day and ending with, but

excluding, the following CBOE VIX Futures Settlement Date. The number of business days includes a new holiday introduced intra-month up to the business day preceding such a holiday.

At the close on the Tuesday, corresponding to the start of the Roll Period, all of the weight is allocated to the first month contract. Then on each subsequent business day a fraction of the first month VIX futures holding is sold and an equal notional amount of the second month VIX futures is bought. The fraction, or quantity, is proportional to the number of first month VIX futures contracts as of the previous index roll day, and inversely proportional to the length of the current Roll Period. In this way the initial position in the first month contract is progressively moved to the second month contract over the course of the month, until the following Roll Period starts when the old second month VIX futures contract becomes the new first month VIX futures contract and is sold everyday afterward as the process begins again.

In addition to the transactions described above, the weight of each Index component is also adjusted every day to ensure that the change in total dollar exposure for the VIX Futures Index is only due to the price change of each contract and not due to using a different weight for a contract trading at a higher price.

Base Date

The base date of the S&P 500 VIX Short-Term Futures™ Index is December 20, 2005 at a base value of 100,000.

Index Governance

The S&P 500 VIX Futures Index Committee, or the Index Committee, maintains the VIX Futures Index. The Index Committee meets regularly. At each meeting, the Index Committee reviews any significant market events. In addition, the Index Committee may revise Index policy for timing of rebalancings or other matters.

Standard & Poor’s considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential.

Historical Closing Levels of the VIX Futures Index

The following graph illustrates the changes in the closing levels of the VIX Futures Index from December 20, 2005 to June 14, 2010. Data from December 20, 2005 to the commencement date in December 2008 represents hypothetical values as if the VIX Futures Index had been established on December 20, 2005 and calculated according to the methodology described above since that date. Data for dates since and including the commencement date in December 2008 represent the actual values of the VIX Futures Index as calculated on such date. The historical closing levels of the VIX Futures Index shown below should not be taken as an indication of future closing levels.

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LICENSE AGREEMENT

The Managing Owner has entered into an agreement with S&P that provides it and its affiliates with a non-transferable, limited, nonexclusive and worldwide license, for a fee, with the right to use the VIX Futures Index in connection with the Fund.

MODIFICATIONS TO THE VIX FUTURES

INDEX

The Index Sponsor may revise Index policy for timing of rebalancings or other matters as described above under “Description of The VIX Futures Index—Index Governance”. The Index Sponsor or the calculation agent may also make determinations relating to market disruption and force majeure events as described below.

Market Disruption and Force Majeure Events Relating to the VIX Futures Index

If the Index Sponsor determines, in its sole discretion, that an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, the Index Sponsor will calculate the value of the VIX Futures Index based on the most recent prior closing futures prices published by the CBOE and the roll of the VIX Futures Index for that day will be carried to the next CBOE business day as described above under “—Composition of the VIX Futures Index,” “—Calculation of the VIX Futures Index,” and “—Contract Rebalancing”. If an exchange fails to open due to unforeseen circumstances, the Index Sponsor may determine not to publish an Index for that day.

If an exchange introduces a holiday during the month of an Index calculation, the VIX Futures Index will not be published on that holiday and the roll for that day will be carried to the next CBOE business day as described above under “—Composition of the VIX Futures Index,” “—Calculation of the VIX Futures Index,” and “—Contract Rebalancing”.

Disclaimer

The Shares are not sponsored, endorsed, sold or promoted by S&P or the CBOE. S&P and CBOE make no representation, condition or warranty, express or implied, to the owners of the Shares or any member of the public regarding the advisability of

investing in securities generally or in the Shares or in the ability of the VIX Futures Index to track market performance. S&P’s and CBOE’s only relationship to the Managing Owner is the licensing of certain trademarks and trade names of S&P, CBOE and the VIX Futures Index which are determined, composed and calculated by S&P without regard to the Managing Owner or the Shares. S&P has no obligation to take the needs of the Managing Owner or the owners of the Shares into consideration in determining, composing or calculating the VIX Futures Index. S&P and CBOE are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Shares to be issued or in the determination or calculation of the equation by which the Shares is to be converted into cash. S&P and CBOE have no obligation or liability in connection with the administration, marketing or trading of the Shares.

NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE VIX FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE VIX FUTURES INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.

“Standard & Poor’s^®”, “S&P^®”, “S&P 500^®”, “Standard & Poor’s 500™” and “S&P 500 VIX Short Term Futures™” are trademarks of S&P and have been licensed for use by the Managing Owner. “VIX” is a registered trademark of the CBOE and has been licensed for use by S&P.

The Index Sponsor does not guarantee the accuracy and/or completeness of the VIX Futures Index, any data included therein, or any data from which it is based, and the Index Sponsor shall have no liability for any errors, omissions, or interruptions therein.

The Index Sponsor makes no warranty, express or implied, as to the results to be obtained from the use of the VIX Futures Index. The Index Sponsor makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the VIX Futures Index or any data included therein. Without limiting any of the foregoing, in no event shall the Index Sponsor have liability for any special, punitive, indirect or consequential damages, lost profits, loss of opportunity or other financial loss, even if notified of the possibility of such damages.

Neither the Index Sponsor nor any of its affiliates or subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents shall have any responsibility to any person (whether as a result of negligence or otherwise) for any determination made or anything done (or omitted to be determined or done) in respect of the VIX Futures Index or publication of the VIX Futures Index level (or failure to publish such value) and any use to which any person may put the VIX Futures Index or their respective levels. In addition, although the Index Sponsor reserves the right to make adjustments to correct previously incorrectly published information, including but not limited to the VIX Futures Index level, the Index Sponsor is under no obligation to do so and shall have no liability in respect of any errors or omissions. Nothing in this disclaimer shall exclude or limit liability to the extent such exclusion or limitation is not permitted by law.

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MANAGEMENT’S DISCUSSION AND

ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

The Managing Owner believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s financial instruments, including VIX Futures and, if applicable, Futures-Linked Investments such as forward contracts, swaps or OTC derivatives. The Fund will hold a significant portion of its assets in futures contracts and U.S. Treasury bills, generally with a maturity of less than one year, both of which will be accounted for at fair value.

The fair value of a financial instruments 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). In determining fair value, the Fund maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the financial instrument based on market data obtained from independent sources. Unobservable inputs reflect the Managing Owner’s assumptions that market participants would use in pricing the financial instrument developed based on the best information available in the circumstances. Greater use of management judgment is required in determining fair value when inputs are less observable or unobservable in the marketplace.

At the inception of trading, the Managing Owner expects that the majority of the Fund’s financial instruments will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. U.S. Treasury

bills are measured based on quoted market prices. Thus, the Managing Owner expects that substantially all of the Fund’s assets will be valued on a daily basis at fair value using objective measures.

Fair value pricing with respect to the Futures-Linked Investments may require subjective determinations about the value of the Futures-Linked Investments. Valuation in these instances is based on consideration of available information including market data obtained from independent sources. Prices or quotes are weighted when estimating fair value with greater reliability placed on information from transactions that are considered to be representative of orderly market transactions.

Liquidity and Capital Resources

As of the date of this Prospectus, the Fund has not begun trading activities. Once the Fund begins trading activities, it is anticipated that all of its total net assets will be allocated to futures trading, unless the Fund commences trading in one or more Futures-Linked Investments such as forward contracts, swaps or OTC derivatives. If the Fund trades in Futures-Linked Investments, a portion of its proceeds of the offering may be used to collateralize the Futures-Linked Investments in accordance with normal practices in the over-the-counter derivatives markets.

A significant portion of the net asset value of the Fund will be held in U.S. Treasury bills, generally with a maturity of less than one year, and cash which will be used as margin for the Fund’s trading in futures contracts and collateral for Futures-Linked Investments. The percentage that the U.S. Treasury bills bears to the total net assets of the Fund varies from period to period as the market values of the futures contracts and the Futures-Linked Investments change. The balance of the Fund’s cash and U.S. Treasury bills will be held in its account with the Custodian. Interest earned on the Fund’s interest-bearing funds will be paid to the Fund.

The Fund’s futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, trading in VIX Futures will be halted whenever a market-wide trading halt commonly known as a “circuit breaker” is in effect on the New York Stock Exchange in response to extraordinary market conditions. Therefore, as a result of the

“circuit breaker”, the current settlement price is unavailable. Because the settlement price on the most recent day on which the position could have been liquidated would be used in lieu of the actual settlement price on the date of determination, there is a risk that the resulting calculation of the net asset value of the Fund could be under or overstated, perhaps to a significant degree.

The Fund’s Futures-Linked Investments, if any, may also be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, certain over-the-counter derivatives are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. Entry into Futures-Linked Investments may further impact liquidity because these contractual agreements are executed between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

Because the Fund will trade futures contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Additionally, if the Fund trades in Futures-Linked Investments, its capital would be at risk due to changes in the value of these Futures-Linked Investments (market risk) or the inability of counterparties to perform under the terms of the Futures-Linked Investments (credit risk).

Market Risk

Trading in futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular financial contract at a specified date and price. The market risk to be associated with the Fund’s long exposure to futures contracts will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of the Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

Credit Risk

When the Fund enters into futures contracts or Futures-Linked Investments, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on a United States exchange is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk.

Futures-Linked Investments are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

Swap agreements do not generally involve the delivery of the underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to a swap agreement defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering the collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of the underlying assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration (particularly, for example, in the case of forwards). Thus, prior to settlement, if the counterparty to a forward contract defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any.

The Managing Owner will attempt to minimize these market and credit risks by requiring the Fund to abide by various trading limitations and policies, which will include limiting margin accounts and trading only in liquid markets. The Managing Owner will also attempt to mitigate the Fund’s credit risk by transacting only with large, well-capitalized institutions using measures designed to determine the creditworthiness of a counterparty. The Managing Owner will take various steps to limit counterparty credit risk, which steps may include some or all of the following (but will not necessarily be limited to the following) depending upon circumstances:

The Clearing Broker, when acting as the Fund’s futures commission merchant in accepting orders for the purchase or sale of domestic futures contracts, will be required by CFTC regulations to separately account for and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures trading and the Clearing Broker will not be allowed to commingle such assets with other assets of the Clearing Broker.

OFF-BALANCE SHEET ARRANGEMENTS

AND CONTRACTUAL OBLIGATIONS

As of the date of this Prospectus, the Fund has not utilized, nor does it expect to utilize 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 Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

The Fund’s contractual obligations are with the Managing Owner and the Fund’s services providers, including the Administrator, the Transfer Agent, the Custodian, the Trustee and the Clearing Broker. Management Fee payments made to the Managing

Owner are calculated as a fixed percentage of the Fund’s Net Asset Value, as are fees paid to certain other service providers. However, the fees and expenses of certain service providers are not calculated based on a fixed percentage of the Fund’s net asset value. As such, the Managing Owner cannot anticipate with certainty the payments that will be required to be paid under these arrangements. These agreements generally are effective for one year terms, renewable automatically for additional one year terms unless terminated. However, these contracts may be terminated earlier by either party for various reasons.

USE OF PROCEEDS

A substantial amount of proceeds of the offering of the Shares will be used by the Fund to engage in the trading of exchange-traded futures on the VIX Futures Index with a view to tracking the changes, whether positive or negative, in the level of the VIX Futures Index, over time, less the expenses of the operations of the Fund. The Fund’s portfolio also holds U.S. Treasury bills, generally with a maturity of less than one year, and other high credit quality short-term fixed income securities for deposit with the Fund’s Clearing Broker as margin. The Fund may also hold Futures-Linked Investments, such as forward contracts, swaps or OTC derivatives.

To the extent that the Fund trades in futures contracts on United States exchanges, the assets deposited by the Fund with its Clearing Broker 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 the extent that the Fund trades in futures on markets other than regulated United States futures exchanges, funds deposited to margin positions held on such exchanges will be invested in bank deposits or in instruments of a credit standing generally comparable to those authorized by the CFTC for investment of “customer segregated funds,” although applicable CFTC rules prohibit funds employed in trading on foreign exchanges from being deposited in “customer segregated fund accounts.”

Although the percentages set forth below may vary substantially over time, as of the date of this Prospectus, the Fund estimates:

(i) up to approximately 35% of the net asset value of the Fund will be placed in segregated

accounts in the name of the Fund with the Clearing Broker in the form of cash or U.S. Treasury bills, generally with a maturity of less than one year, to margin positions of all futures contracts combined. Such funds will be segregated pursuant to CFTC rules;

(ii) the remainder of the net asset value of the Fund will be maintained in segregated accounts in the name of the Fund in bank deposits or United States Treasury and United States Government Agencies issues.

Should the Fund invest in Futures-Linked Investments, such as forward contracts, swaps or other OTC derivatives, the Fund will deposit collateral with Futures-Linked Investment counterparties in order to initiate and maintain positions in Futures-Linked Investments. Such collateral provided will be held in U.S. government securities or in cash, for which the Fund will receive interest credits at short-term rates. The Futures-Linked Investment counterparties may receive a benefit as a result of the deposit of such cash in the form of a reduction in their outstanding overnight borrowing, despite such cash belonging to the Fund, not the Futures-Linked Investment counterparties.

The Managing Owner is a registered commodity pool operator and commodity trading advisor and will be responsible for the cash management activities of the Fund, including investing in U.S. Treasury bills, generally with a maturity of less than one year, and other high credit short-term fixed income securities.

In addition, assets of the Fund not required to margin positions may be maintained in United States bank accounts opened in the name of the Fund and may be held in U.S. Treasury bills, generally with a maturity of less than one year, (or other securities approved by the CFTC for investment of customer funds).

The Fund receives 100% of the interest income earned on its fixed income assets on deposit with the Clearing Broker or the Custodian.

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CHARGES

See “Summary — Breakeven Amounts” and “Summary — Breakeven Table” for additional breakeven related information.

Management Fee

The Fund will pay the Managing Owner a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of the daily net asset value of the Fund and will not be subject to the Overall Expense Cap. The Management Fee will be paid in consideration of the Managing Owner’s futures trading advisory services.

Organization and Offering Expenses

The Fund will be responsible for paying, or for reimbursing the Managing Owner or its affiliates for paying, all of the expenses incurred in connection with organizing the Fund as well as the expenses incurred in connection with the offering of the Fund’s Shares (whether incurred prior to or after the commencement of the Fund’s trading operations), subject to the Overall Expense Cap described below.

Organization and offering expenses relating to the Fund means those expenses incurred in connection with its formation, the qualification and registration of the Shares and in offering, distributing and processing the Shares under applicable federal law, and any other expenses actually incurred and, directly or indirectly, related to the organization of the Fund or the offering of the Shares, including, but not limited to, expenses such as:

The Managing Owner will not allocate to the Fund the indirect expenses of the Managing Owner.

The aggregate amount of the organization and offering expenses of the Fund accrued through June 11, 2010 by the Managing Owner are $201,109. The Managing Owner currently estimates that the aggregate amount of the organization and offering expenses will be approximately $500,000.

Brokerage Commissions and Fees

The Fund will pay to the Clearing Broker all brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities, which we refer to collectively as Brokerage Expenses, subject to the Overall Expense Cap.

Give-up fees are the fees paid in connection with give-up transactions. A broker gives up a transaction when the broker executes a contract for the client of another broker and the client order is turned over to the second broker. The broker accepting the order from the customer collects a fee from the carrying broker for the use of the facilities. Give ups are often used to consolidate many small orders or to disperse large ones.

Pit brokerage fees are the fees paid to the pit broker, the person with exchange trading privileges who, in any pit, ring, post, or other place provided by a futures exchange for the meeting of persons similarly engaged, executes for another person any orders for the purchase or sale of any commodity for future delivery.

On average, total charges paid to the Clearing Broker are expected to be less than $3.50 per round-turn trade, although the Clearing Broker’s brokerage commissions and fees will be determined on a contract-by-contract, or round-turn basis. A round-turn trade is a completed transaction involving both a purchase and a liquidating sale, or a sale followed by a covering purchase. The Managing Owner does not expect brokerage commissions and fees to exceed 0.08% of the net asset value of the Fund in any year, although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater.

Routine Operational, Administrative and Other Ordinary Expenses

The Fund will be responsible for paying, or for reimbursing the Managing Owner or its affiliates for paying, all of the routine operational, administrative and other ordinary expenses of the Fund, including, but not limited to, computer services, the fees and expenses of the Trustee, distribution and marketing fees, legal and accounting fees and expenses, audit fees and expenses, tax preparation fees and expenses, filing fees, and printing, mailing and duplication costs, subject to the Overall Expense Cap described below. The Managing Owner expects that all of the routine operational, administrative and other ordinary expenses of the Fund will be approximately 0.04% per annum of the Fund’s net asset value.

Overall Expense Cap

The Managing Owner has agreed to pay the expenses incurred in connection with organizing the Fund as well as the expenses incurred in connection with the offering of the Fund’s Shares (whether incurred prior to or after the commencement of the Fund’s trading operations), the Brokerage Expenses, and the routine operational, administrative and other ordinary expenses of the Fund, which we refer to as Covered Expenses, to the extent that, in the aggregate, they exceed 0.14% per annum of the daily net asset value of the Fund in any month, or the Overall Expense Cap. Any such amounts paid by the Managing Owner will be subject to reimbursement by the Fund, without interest. Any expense reimbursement payment during any month will be counted toward the 0.14% per annum overall expense cap in respect of such month. The 0.75% per annum Management Fee described above and the extraordinary fees and expenses described below are not subject to the Overall Expense Cap. If in any month the Fund’s Covered Expenses are lower than

the cap, the entire difference between the Covered Expenses for such month and the cap for such month will be available to reimburse the Managing Owner for unreimbursed expenses paid by the Managing Owner. If the Fund terminates before the Managing Owner has been fully reimbursed for any of the foregoing expenses, the Managing Owner will forfeit the unreimbursed portion of such expenses outstanding as of such time.

Extraordinary Fees and Expenses

The Fund will be responsible for paying, or for reimbursing the Managing Owner or its affiliates for paying, all the extraordinary fees and expenses, if any, of the Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses will not be subject to the Overall Expense Cap. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.

Management Fee and Expenses to be Paid First out of Interest Income

The Management Fee, all expenses incurred in connection with organizing the Fund as well as the expenses incurred in connection with the offering of Shares, Brokerage Expenses, and the routine operational, administrative and other ordinary expenses of the Fund (including reimbursement payments to the Managing Owner) will be paid first out of interest income from the Fund’s holdings of U.S. Treasury bills, generally with a maturity of less than one year, and other high credit quality short-term fixed income securities.

To the extent interest income is not sufficient to cover the fees and expenses of the Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Fund’s fixed income securities.

Selling Commission

Investors may purchase and sell Shares through traditional brokerage accounts. Investors are expected to be charged a customary commission by their brokers in connection with purchases of Shares that will vary from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.

WHO MAY SUBSCRIBE

Baskets may be created or redeemed only by Authorized Participants, except that the initial Baskets in the Fund will be created by the Initial Purchaser. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a direct participant in DTC, and (3) have entered into an agreement with the Fund and the Managing Owner, or a Participant Agreement.

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

CREATION AND REDEMPTION OF BASKETS

The Fund will create and redeem Shares from time-to-time, but only in one or more Baskets. A Basket is a block of 20,000 Shares. Baskets may be created or redeemed only by Authorized Participants, except that the initial Baskets in the Fund will be created by the Initial Purchaser. Except when aggregated in Baskets, the Shares are not redeemable securities. Authorized Participants pay a transaction fee of $500 in connection with each order to create or redeem a Basket. Authorized Participants may sell the Shares included in the Baskets they purchase from the Fund to other investors.

The Participant Agreement sets forth the procedures for the creation and redemption of Baskets and for the payment of cash required for such creations and redemptions. The Managing Owner may delegate its duties and obligations under the Participant Agreement to ALPS Distributors or the Administrator without consent from any Shareholder or Authorized Participant. The Participant

Agreement and the related procedures attached thereto may be amended by the Managing Owner without the consent of any Shareholder or Authorized Participant. To compensate the Transfer Agent for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $500 per order to create or redeem Baskets. Authorized Participants who purchase Baskets receive no fees, commissions or other form of compensation or inducement of any kind from either the Managing Owner or the Fund, and no such person has any obligation or responsibility to the Managing Owner or the Fund to effect any sale or resale of Shares.

Authorized Participants are cautioned that some of their activities will result in their being deemed participants in a distribution in a manner which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act of 1933, or the Securities Act, as described in “Plan of Distribution.”

Authorized Participants may act for their own accounts or as agents for broker dealers, custodians and other securities market participants that wish to create or redeem Baskets.

Persons interested in purchasing Baskets who are not Authorized Participants should contact the Managing Owner or the Administrator to obtain the contact information for the Authorized Participants. Shareholders who are not Authorized Participants will only be able to redeem their Shares through an Authorized Participant.

Under the Participant Agreement, the Managing Owner has agreed to indemnify the Authorized Participants against certain liabilities, including liabilities under the Securities Act, and to contribute to the payments the Authorized Participants may be required to make in respect of those liabilities. The Managing Owner has agreed to reimburse the Authorized Participants, solely from and to the extent of the Fund’s assets, for indemnification and contribution amounts due from the Managing Owner in respect of such liabilities to the extent the Managing Owner has not paid such amounts when due.

The following description of the procedures for the creation and redemption of Baskets is only a summary and an investor should refer to the relevant provisions of the Declaration of Trust and the form of Participant Agreement for more detail. The Declaration of Trust and the form of Participant Agreement will be filed as exhibits to the registration statement of which this Prospectus is a part.

Creation Procedures

On any business day, an Authorized Participant may place an order with the Managing Owner to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Purchase orders must be placed by noon, Eastern time. The day on which the Managing Owner receives a valid purchase order is the purchase order date. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account will be charged the non refundable transaction fee due for the purchase order.

Determination of Required Payment

The total payment required to create each Basket is the net asset value of 20,000 Shares as of the closing time of the NYSE Arca or the CFE, the exchange on which its futures contracts are traded, whichever is latest, on the purchase order date. Baskets are issued as of noon, Eastern time, on the Business Day immediately following the purchase order date at the applicable net asset value per Share as of the closing time of the NYSE Arca or the CFE, the exchange on which the Fund’s futures contracts are traded, whichever is latest, on the purchase order date, but only if the required payment has been timely received.

Because orders to purchase Baskets must be placed by noon, Eastern time, but the total payment required to create a Basket will not be determined until 4:00 p.m., Eastern time, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The net asset value of the Fund and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.

Rejection of Purchase Orders

The Managing Owner may reject a purchase order if:

The Managing Owner will not be liable for the rejection of any purchase order.

Redemption Procedures

The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by noon, Eastern time. The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 20,000 and only through an Authorized Participant.

By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than noon, Eastern time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account will be charged the non refundable transaction fee due for the redemption order.

Determination of Redemption Proceeds

The redemption proceeds from the Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number

of Baskets of the Fund requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the CFE, the exchange on which the Fund’s futures contracts are traded, whichever is latest, on the redemption order date. The Managing Owner will distribute the cash redemption amount at noon, Eastern time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.

Delivery of Redemption Proceeds

The redemption proceeds due from the Fund will be delivered to the Authorized Participant at noon, Eastern time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, Eastern time, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Managing Owner will also be authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, Eastern time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.

Suspension, Postponement or Rejection of Redemption Orders

The Managing Owner may, in its discretion, suspend the right of redemption, or postpone the redemption settlement date (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, (2) for any period during which an emergency exists as a result of which delivery, disposal or evaluation

of the Trust’s assets is not reasonably practicable, or (3) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. The Managing Owner will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.

The Managing Owner will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful.

As it relates to suspension, postponement or rejection of redemption orders, an emergency shall include, but not be limited to, the occurrence of any material adverse change in the financial markets in the United States or any outbreak of hostilities or escalation of existing hostilities or other calamity or any change or development involving a prospective change in national or international political, financial or economic conditions, in each case the effect of which is such to make it, in the Managing Owner’s judgment, impracticable or inadvisable to process redemption orders.

Creation and Redemption Transaction Fee

To compensate the Transfer Agent for services in processing the creation and redemption of Baskets, an Authorized Participant will be required to pay a transaction fee of $500 per order to create or redeem Baskets. An order may include multiple Baskets. The transaction fee may be reduced, increased or otherwise changed by the Managing Owner. The Managing Owner will notify DTC of any agreement to change the transaction fee and will not implement any increase in the fee for the redemption of Baskets until 30 days after the date of the notice.

THE FUTURES BROKERS

A variety of executing brokers will execute futures transactions on behalf of the Fund. The executing brokers will give-up all transactions to Credit Suisse Securities (USA) LLC, or CSSU, which will serve as the Fund’s clearing broker, or Clearing Broker. In its capacity as clearing broker, the Clearing Broker will execute and clear the Fund’s futures transactions and will perform certain administrative services for the Fund.

CSSU is a broker-dealer registered with the SEC and a futures commission merchant registered with the CFTC and is a member of the NFA in such capacity. CSSU, like most full-service investment banks and broker dealers, receives inquiries and is sometimes involved in investigations and has been involved in various judicial, regulatory and arbitration proceedings concerning matters arising in connection with the conduct of its business. CSSU fully cooperates with the authorities in all such matters. CSSU is a member of FINRA and information from CSSU’s Form BD can be viewed on FINRA’s website. CSSU is also an indirect, wholly owned subsidiary of Credit Suisse Group AG, or CS Group, which files periodic reports and other information with the SEC, including an Annual Report on Form 20-F. For purposes of this section, “Credit Suisse” includes CS Group and its subsidiaries.

There have been no administrative, civil or criminal actions, whether pending or concluded, against CSSU or any of its individual principals during the past five years which would be considered “material” as that term is defined in Section 4.24(l)(2) of the regulations of the CFTC, except as may be described below.

Litigation relating to IPO allocation

Since January 2001, CSSU, one of its affiliates and several other investment banks have been named as defendants in a large number of putative class action complaints filed in the U.S. District Court for the Southern District of New York, or the SDNY, concerning initial public offering, or IPO, allocation practices. In April 2002, the plaintiffs filed consolidated amended complaints alleging various violations of the federal securities laws resulting from alleged material omissions and misstatements in registration statements and prospectuses for the IPOs and, in some cases, follow-on offerings, and with respect to transactions in the aftermarket for those offerings. The complaints contain allegations that the registration statements and prospectuses either omitted or misrepresented material information about commissions paid to investment banks and aftermarket transactions by certain customers that received allocations of shares in the IPOs. The complaints also allege that misleading analyst reports were issued to support the issuers’ allegedly manipulated stock price and that such reports failed to disclose the alleged allocation practices or that analysts were allegedly subject to conflicts of interest. In September 2008, a settlement in principle was reached between the plaintiffs and the

underwriter and issuer defendants, and in October 2009, the SDNY issued an order granting final approval of the settlement. A notice of appeal has since been filed by certain members of the settlement class challenging the SDNY’s approval of the settlement.

Research-related litigation

Putative class action lawsuits were filed against CSSU in the wake of publicity surrounding the 2002 industry-wide governmental and regulatory investigations into research analyst practices. Currently, one federal class action is pending. That case, pending in the U.S. District Court for the District of Massachusetts, is brought on behalf of purchasers of shares of AOL Time Warner Inc. A motion for class certification was filed in this action in March 2007. In September 2008, the district court granted class certification; the U.S. Court of Appeals for the First Circuit has declined to hear CSSU’s appeal of that decision. CSSU filed a motion for summary judgment in November 2008, which remains pending before the district court.

Enron-related litigation and inquiries

Numerous actions have been filed against CSSU and certain affiliates relating to Enron Corp. or its affiliates, or Enron. In April 2002, CSSU and certain of its affiliates and certain other investment banks were named as defendants along with, among others, Enron, Enron executives and directors and external law and accounting firms in a putative class action complaint filed in the U.S. District Court for the Southern District of Texas (Newby, et al. v. Enron, et al.), or Newby. The Newby action was filed by purchasers of Enron securities and alleges violations of the federal securities laws. In May 2003, the lead plaintiff in Newby filed an amended complaint that, among other things, named as defendants additional Credit Suisse entities, expanded the putative class to include purchasers of certain Enron-related securities and alleged additional violations of the federal securities laws. In June 2006, the Credit Suisse entities filed a motion for summary judgment to dismiss the action. In July 2006, the court certified a class in the action. The Credit Suisse entities and other defendants appealed this class certification decision to the U.S. Court of Appeals for the Fifth Circuit, or the Fifth Circuit, and oral argument was held in February 2007. In a decision in March 2007, the Fifth Circuit reversed the class certification decision, rejected plaintiffs’ scheme liability theory and remanded the matter back to the district court “for further proceedings as appropriate.”

In light of this decision, the district court stayed all proceedings in this matter while the plaintiffs pursued a petition for writ of certiorari in the U.S. Supreme Court. In January 2008, the U.S. Supreme Court denied plaintiffs’ certiorari petition, and thus left standing the Fifth Circuit’s ruling and remanded the case to the district court. In February 2008, the district court ordered the parties to file supplemental briefs on the pending summary judgment motions, addressing the impact of the Fifth Circuit’s ruling and of a recent decision by the U.S. Supreme Court in a similar but unrelated case in which the U.S. Supreme Court also rejected plaintiffs’ scheme liability theory. The last of these supplemental briefs was submitted in June 2008. In January 2009, two plaintiffs in the Newby action moved for leave to amend the Newby complaint to add Texas state law claims on behalf of only those two plaintiffs against affiliates of CSSU and other defendants. In March 2009, the district court granted summary judgment in favor of all Credit Suisse entities, dismissing all pending claims and denying plaintiffs’ motion to amend the putative class action complaint, and ordered that certain motions then pending, including the motion for leave to amend the Newby complaint, were rendered moot. In December 2009, the district court entered an order and final judgment dismissing with prejudice all claims against all remaining defendants in the Newby case.

Three actions filed against CSSU and/or certain of its affiliates and other parties that were consolidated or coordinated with the Newby action remain pending; all other coordinated and consolidated cases in which CSSU and/or certain of its affiliates were named as defendants have been dismissed and/or settled. The proceedings in all three of these pending cases were stayed by the district court pending resolution of the summary judgment motions in the Newby action. In two of these remaining cases, CSSU and its affiliates have moved to dismiss the complaints. Those motions are fully briefed and await decision. In the third remaining case, an amended complaint was filed in September 2006, but no motion to dismiss has yet been filed; counsel for plaintiffs in that case have indicated that they will be moving to further amend their complaint in light of the U.S. Supreme Court’s ruling in the Stoneridge case, but no such motion has been filed.

National Century Financial Enterprises, Inc. litigation

Since February 2003, lawsuits have been filed against CSSU and certain affiliates with respect to services that it provided to National Century

Financial Enterprises, Inc. and its affiliates, or NCFE. From January 1996 to May 2002, CSSU acted as a placement agent for bonds issued by NCFE that were to be collateralized by health-care receivables and, in July 2002, as a placement agent for a sale of NCFE preferred stock. NCFE filed for bankruptcy protection in November 2002. In these lawsuits, which have since been consolidated in the U.S. District Court for the Southern District of Ohio, or SDO, and are known as the MDL cases, investors in NCFE’s bonds and preferred stock have sued numerous defendants, including the founders and directors of NCFE, the trustees for the bond issuances, NCFE’s auditors and law firm, the rating agencies that rated NCFE’s bonds and NCFE’s placement agents, including CSSU. The allegations include claims for breach of contract, negligence, fraud and violation of federal and state securities laws. CSSU and its affiliates filed motions to dismiss these cases. In December 2007, the SDO denied, in large part, CSSU’s and its affiliates’ motions to dismiss, allowing most of the investor claims to proceed. In February 2009, CSSU and its affiliates filed motions for summary judgment seeking to dismiss the bond investors’ remaining claims, and certain of the bond investors filed summary judgment motions seeking judgment on certain of their claims. In June 2009, one of the bond investors agreed to settle its lawsuit against CSSU and its affiliates. In November 2009, the SDO heard oral argument on the summary judgment motions.

In addition, in November 2004, the trust created through NCFE’s confirmed bankruptcy plan commenced two actions against CSSU and certain affiliates. The trust filed an action in the SDO asserting common law claims similar to those asserted in the MDL cases against several of the same defendants, and it also alleged statutory claims under the Ohio Corrupt Practices Act, claims for professional negligence and claims under the U.S. Bankruptcy Code. CSSU and its affiliates filed a motion to dismiss that action in March 2005. In March 2009, the SDO issued a decision in large part denying that motion. In May 2009, CSSU and its affiliates moved for summary judgment, and the SDO heard oral argument on that motion in November 2009. The trust also filed an action in the U.S. Bankruptcy Court for the Southern District of Ohio objecting to the proofs of claim filed by CSSU and its affiliates in NCFE’s bankruptcy and seeking disgorgement of amounts previously distributed to CSSU and its affiliates under the bankruptcy plan. CSSU and its affiliates have answered that complaint.

Refco-related litigation

In October 2005, CSSU was named, along with other financial services firms, accountants, officers, directors and controlling persons, as a defendant in several federal class action lawsuits filed in the SDNY relating to Refco, Inc., or Refco. The actions allege violations of the disclosure requirements of the federal securities laws in connection with a Refco notes offering in August 2004 and Refco’s IPO in August 2005. The actions have been consolidated into the matter In re Refco, Inc. Securities Litigation. In July 2006, CSSU and certain other defendants filed a motion to dismiss plaintiffs’ claims related to the Refco notes offering in 2004. The SDNY subsequently granted that motion and dismissed those claims. In December 2007, the plaintiffs filed an amended complaint in which they named additional defendants and again alleged, against CSSU and others, violations of the disclosure requirements of the federal securities laws in connection with the August 2004 notes offering and the August 2005 IPO. In February 2008, CSSU and certain other defendants moved to dismiss portions of the amended complaint. In August 2008, the SDNY granted that motion to dismiss. In September 2008, CSSU and certain other defendants filed an answer to the remaining claims in the amended complaint.

In August 2007, CSSU was named, along with other financial services firms, accountants, officers, directors and controlling persons, as a defendant in a lawsuit filed in Illinois state court on behalf of the estate of Refco and certain of its affiliates. The lawsuit asserts claims against CSSU for aiding and abetting breaches of fiduciary duty by Refco insiders in connection with Refco’s August 2004 notes offering and August 2005 IPO. The lawsuit also asserts claims against CSSU for professional malpractice and negligent misrepresentation in connection with CSSU’s role as a financial advisor to Refco. CSSU and certain other defendants removed this action to Illinois federal district court and the case has now been transferred (by the Judicial Panel on Multi-District Litigation) to the SDNY. In May 2008, CSSU and certain other defendants filed a motion to dismiss plaintiffs’ claims. In April 2009, the SDNY granted CSSU’s and other defendants’ motion to dismiss. In December 2009, following an appeal by the plaintiffs to the U.S. Court of Appeals for the Second Circuit, or the Second Circuit, the Second Circuit certified certain questions of law to the New York Court of Appeals. The Second Circuit will resume consideration of plaintiffs’ appeal after disposition of certification by the New York Court of Appeals.

In March 2008, CSSU was named, along with other financial services firms, accountants, officers, directors and controlling persons, as a defendant in an action filed in New York state court by the Joint Official Liquidators of various Sphinx Funds and the trustee of the Sphinx Trust. The lawsuit asserts claims against CSSU for aiding and abetting breaches of fiduciary duty by Refco insiders in connection with Refco’s August 2004 notes offering and Refco’s August 2005 IPO, aiding and abetting fraud, and interference with contract/prospective contract. CSSU and certain other defendants have removed the action to the SDNY. In November 2008, CSSU and certain other defendants filed a motion to dismiss plaintiffs’ claims, which remains pending.

CSSU and certain of its affiliates have received subpoenas and requests for information from certain regulators, including the SEC, regarding Refco. CSSU and its affiliates have cooperated with such inquiries and requests.

Residential mortgage inquiries

CSSU and certain of its affiliates have received subpoenas and/or requests for information from certain regulators regarding the origination, purchase, securitization and servicing of subprime and non-subprime residential mortgages and related issues. CSSU and its affiliates are cooperating with such inquiries and requests. CSSU and certain of its affiliates have also been named as defendants in various civil litigation matters related to the residential mortgage business.

Bank loan litigation

On January 3, 2010, Credit Suisse AG and other affiliates were named as defendants in a lawsuit filed in the U.S. Federal Court in Idaho by homeowners in four real estate developments: Tamarack Resort, Yellowstone Club, Lake Las Vegas and Ginn Sur Mer. Credit Suisse AG arranged, and was the agent bank for, syndicated loans provided for all four developments, which are now in bankruptcy or foreclosure. The complaint generally alleges that Credit Suisse AG and other affiliates committed fraud by using an unaccepted appraisal method to overvalue the properties with the intention to have the borrowers take out loans they could not repay because it would allow Credit Suisse AG and other affiliates to later push the borrowers into bankruptcy and take ownership of the properties. The claims include Racketeer Influenced and Corrupt Organizations, or RICO, fraud, negligent misrepresentation, breach of fiduciary duty, tortious

interference and conspiracy, among others. The complaint demands USD $24 billion in damages (USD $8 billion tripled under the RICO statute). An amended complaint was filed January 25, 2010, adding six new homeowner plaintiffs in the same four real estate developments. A response to the amended complaint was due March 29, 2010. Credit Suisse AG believes the amount demanded in the claim is baseless and that the lawsuit is without merit and intends to defend itself vigorously.

Huntsman litigation

Huntsman Corporation, or Huntsman, sued CSSU, along with another lender, in Texas state court alleging tortious interference in connection with the merger agreement between Hexion Specialty Chemicals, or Hexion, and Huntsman and a prior merger agreement between Huntsman and Basell that was terminated in favor of the Hexion deal. Huntsman has also asserted causes of action for fraud, negligent misrepresentation and civil conspiracy. In June 2009, CSSU and the other lender entered into a settlement agreement with Huntsman to end the litigation among the parties. CSSU and the other lender each paid Huntsman USD $316 million in cash and provided USD $550 million of senior debt financing to a subsidiary of Huntsman, to be repaid over seven years.

Auction Rate Securities

CSSU is responding to a number of customer demands and defending against litigation and FINRA arbitrations relating to the sale of certain auction rate securities, or ARS.

In February 2008, ST Microelectronics, or ST, brought a FINRA arbitration against CSSU concerning the purchase and sale of USD $415 million notional amount of ARS. The brokers of record for ST, who are no longer employed by CSSU, have since been criminally convicted. In February 2009, the FINRA arbitration panel awarded ST USD $406 million in damages in exchange for CSSU taking possession of the ARS. ST subsequently filed an action in the SDNY to confirm this award, which on March 23, 2010 was granted. CSSU disagrees with the decision and is evaluating an appeal. Separately, in 2008, ST filed an action in the U.S. District Court for the Eastern District of New York against CSSU and CS Group alleging violations of the federal securities laws and various common law causes of action relating to this ARS portfolio. The Credit Suisse entities moved to dismiss that action. On March 16, 2010, ST moved to file an amended complaint.

In October 2009, Roche International Ltd. filed an action in the SDNY against CS Group alleging violations of the federal securities laws and various common law causes of action relating to its ARS portfolio. In January 2010, the parties entered into a settlement agreement, covered by existing litigation reserves, pursuant to which CSSU agreed to repurchase the remaining ARS in the portfolio.

In September 2008, CSSU, along with many other Wall Street firms, agreed to a settlement in principle with the New York Attorney General and the North American Securities Administrators Association Task Force whereby Credit Suisse agreed to repurchase up to USD $550 million par value of ARS from individual customers.

ADR litigation

A putative class action was filed on April 21, 2008 in the SDNY against CS Group and certain executives by certain purchasers of American Depositary Receipts, or ADRs, and shares alleging violations of Sections 10 and 20 of the Securities Exchange Act of 1934 and Rule 10b-5 thereunder. Plaintiffs in this action allege that Credit Suisse’s stock price was artificially inflated as a result of allegedly misleading disclosures relating to the company’s business and financial results. A second putative class action complaint making similar allegations was filed in May 2008. These actions were consolidated in an amended complaint against CS Group and certain executives in October 2008. In December 2008, CS Group and defendant executives filed a motion to dismiss the amended complaint. In October 2009, the SDNY issued a decision dismissing the case for lack of subject matter jurisdiction. In November 2009, plaintiffs filed a motion for leave to amend their complaint, and CS Group and defendant executives opposed that motion. On February 11, 2010, the SDNY denied in part and granted in part plaintiffs’ motion. The SDNY found that the U.S. purchaser plaintiffs could proceed with their proposed amended claims but that the foreign purchaser plaintiffs could not. On March 10, 2010, the U.S. purchaser plaintiffs filed their second amended complaint.

US economic sanctions matter

In December 2009, Credit Suisse AG announced that it had reached a settlement with the New York County District Attorney’s Office, the

U.S. Department of Justice, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York and the Office of Foreign Assets Control, or OFAC, of their investigation into U.S. dollar payments during the period April 2002 to 2007 involving parties that are subject to U.S. economic sanctions. As part of the settlement, Credit Suisse AG entered into deferred prosecution agreements and an agreement with OFAC and agreed to pay a total of USD $536 million, for which reserves were recorded in 2009. Credit Suisse AG has taken a series of actions designed to prevent practices of this type from occurring in the future, including: (i) the termination of business with all OFAC-sanctioned parties by 2007, a process largely completed in 2006, including closing our representative office in Tehran; (ii) enhancing our global compliance program, including appointing a global sanctions compliance officer, establishing competency centers and designating individuals responsible for coordinating and monitoring compliance with sanctions programs and enhancing our global policies, procedures and employee training programs, which will continue to be regularly reviewed for effectiveness; and (iii) implementing enhanced sanctions filters screening designed to cover incoming and outgoing transactions. CS Group has received a request for information from the SEC regarding activities involving certain sanctioned countries. CS Group is cooperating with such request.

German data matter

The media has reported that German authorities have initiated an investigation into 1,100 Credit Suisse clients for possible tax evasion. The information about the clients is reported by the media to have come from a CD-rom acquired by the German authorities. Based on information the German authorities have provided to certain of our clients, we now have reason to believe Credit Suisse is one of the firms that has been the victim of a data theft or otherwise had certain client information acquired. We are conducting an internal review to determine how this information was obtained. We believe our data security and other similar controls are effective.

We take this matter very seriously and will deal with the issues in an appropriate manner reflecting our legal obligations and the interests of our clients, employees and the firm. We intend to cooperate with all relevant governmental authorities in any investigation. Credit Suisse has filed criminal charges against the individuals who committed the data theft, who are currently unknown. We have no reason to believe the German authorities are investigating Credit Suisse.

The Fund will pay to the Clearing Broker all brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities, which we refer to collectively as Brokerage Expenses, subject to the Overall Expense Cap. For a more detailed explanation of the Brokerage Expenses, see pages 47-48. On average, total charges paid to the Clearing Broker are expected to be less than $3.50 per round-turn trade, although the Clearing Broker’s brokerage commissions and trading fees will be determined on a contract-by-contract, or round-turn basis.

A round-turn trade is a completed transaction involving both a purchase and a liquidating sale, or a sale followed by a covering purchase.

Additional or replacement Clearing Brokers may be appointed in respect of the Fund in the future.

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FUTURES-LINKED INVESTMENT COUNTERPARTIES

The Fund may enter into Futures-Linked Investments with counterparties selected by the Managing Owner. The Managing Owner may select Futures-Linked Investment counterparties giving due consideration to such factors as it deems appropriate, including, without limitation, creditworthiness, familiarity with the VIX Futures Index and the Volatility Index, and price. Under no circumstances will the Fund enter into Futures-Linked Investments with any counterparty whose credit rating is lower than investment-grade as determined by a nationally recognized statistical rating organization (e.g., BBB- and above as determined by Standard & Poor’s, Baa3 and above as determined by Moody’s) at the time the Futures-Linked Investment is entered into or, if the counterparty is not rated, the Managing Owner reasonably determines not to pose a greater counterparty credit risk. The Managing Owner anticipates that the counterparties to these Futures-Linked Investments are likely to be banks, broker dealers and other financial institutions. The Managing Owner expects that these Futures-Linked Investments may be on terms that are consistent with standard custom and practice in the market for such Futures-Linked Investments.

CONFLICTS OF INTEREST

General

The Managing Owner has not established formal procedures to resolve all potential conflicts of interest. Consequently, investors may be dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although the Managing Owner attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Managing Owner to ensure that these conflicts do not, in fact, result in adverse consequences to the Fund.

Prospective investors should be aware that the Managing Owner presently intends to assert that Shareholders have, by subscribing for Shares of the Fund, consented to the following conflicts of interest in the event of any proceeding alleging that such conflicts violated any duty owed by the Managing Owner to investors.

The Managing Owner

The Managing Owner may have a conflict of interest in allocating its own limited resources among different clients and potential future business ventures, to each of which it owes fiduciary duties. Additionally, the professional staff of the Managing Owner also service other affiliates of the Managing Owner and their respective clients. Although the Managing Owner and its professional staff cannot and will not devote all of its or their respective time or resources to the management of the business and affairs of the Fund, the Managing Owner intends to devote, and to cause its professional staff to devote, sufficient time and resources to manage properly the business and affairs of the Fund consistent with its or their respective fiduciary duties to the Fund and others.

The Clearing Broker

The Clearing Broker may act from time-to-time as a commodity broker for other accounts with which it is affiliated or in which it or one of its affiliates has a financial interest. The compensation received by the Clearing Broker from such accounts may be more or less than the compensation received for brokerage services provided to the Fund. In addition, various accounts traded through the Clearing Broker (and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to those of the Fund or may compete with the Fund for the same positions. The Clearing Broker may have a conflict of interest in its execution of trades for the Fund and for other customers. The Managing Owner will, however, not retain any futures broker for the Fund which the Managing Owner has reason to believe would knowingly or deliberately favor any other customer over the Fund with respect to the execution of futures trades.

The Clearing Broker will benefit from executing orders for other clients, whereas the Fund may be harmed to the extent that the Clearing Broker has fewer resources to allocate to the Fund’s accounts due to the existence of such other clients.

Certain officers or employees of the Clearing Broker may be members of United States commodities exchanges and/or serve on the governing bodies and standing committees of such exchanges, their clearing houses and/or various other industry organizations. In such capacities, these officers or employees may have a fiduciary duty to

the exchanges, their clearing houses and/or such various other industry organizations which could compel such employees to act in the best interests of these entities, perhaps to the detriment of the Fund.

Proprietary Trading/Other Clients

The Managing Owner, its affiliates, and its and their trading principals may trade in the equity, equity options and equity futures markets for their own accounts and for the accounts of their clients, and in doing so may take positions opposite to those held by the Fund or may compete with the Fund for positions in the marketplace. Among other things, the Managing Owner’s trading principals may trade in the equity, equity options and equity futures markets on behalf of affiliates of the Managing Owner and for the accounts of other clients. Such trading may create conflicts of interest on behalf of one or more such persons in respect of their obligations to the Fund. Records of proprietary trading and trading on behalf of other clients will not be available for inspection by Shareholders.

Because the Managing Owner, its affiliates, and its and their trading principals and affiliates may trade for their own or other client accounts at the same time that they are managing the account of the Fund, prospective investors should be aware that — as a result of, among other things, a neutral allocation system, testing a new trading system, trading their proprietary accounts more aggressively or other activities not constituting a breach of fiduciary duty — such persons may from time-to-time take positions in proprietary accounts or other client accounts which are opposite, or ahead of, the positions taken for the Fund.

Transactions By The Index Sponsor Involving The VIX Futures

The Index Sponsor and their affiliates may from time-to-time engage in transactions involving the VIX Futures (and/or sub-components thereof) for their proprietary accounts and for accounts under their management. Such transactions may have a positive or negative effect on the value or level of the VIX Futures (and/or sub-components thereof) and consequently upon the VIX Futures Index level, and in engaging in such transactions, none of the Index Sponsor nor any of their affiliates will be under any obligation to act in the interests of users of the VIX Futures Index and/or parties exposed to products referencing the VIX Futures Index.

Index Sponsor Acting In Other Capacities

The Index Sponsor and its affiliates may from time-to-time act in multiple capacities with regard to the VIX Futures Index or any products referencing the VIX Futures Index. Potential conflicts of interest may exist between the Index Sponsor and its affiliates and any users of the VIX Futures Index and/or parties exposed to products referencing the VIX Futures Index.

Issuing Of Other Derivative Instruments In Respect Of The VIX Futures

The Managing Owner and its affiliates may issue derivative instruments in respect of the VIX Futures Index or VIX Futures (and/or sub-components thereof) and the introduction of such products into the marketplace may affect the VIX Futures Index level.

Market-Making For Futures Contracts Linked To The VIX Futures Index Or To The VIX Futures

The Managing Owner and its affiliates may, in certain cases, act as a market-maker or sponsor for additional futures contracts linked to the VIX Futures Index or to the VIX Futures (or sub-components thereof). By such sponsoring or market-making, such entity may, to some extent, determine the price of the VIX Futures Index or the VIX Futures (or sub-components thereof), and consequently influence the VIX Futures Index level. The prices quoted by the Managing Owner or its affiliates in its sponsoring or market-making function will not always correspond to the prices which would have prevailed without such sponsoring or market-making and in a liquid market.

Obtaining Of Non-Public Information With Respect To The VIX Futures Index

The Managing Owner, the Index Sponsor and/or its or their respective affiliates may acquire non-public information with respect to the VIX Futures (or sub-components thereof), and none of them undertakes to disclose any such information to any user of the VIX Futures Index. In addition, one or more of such parties may publish research reports with respect to the VIX Futures (or sub-components thereof). Such activities could present conflicts of interest and may affect the VIX Futures Index level.

DESCRIPTION OF THE SHARES; THE FUND;

CERTAIN MATERIAL TERMS OF THE

DECLARATION OF TRUST

The following summary describes in brief the Shares and certain aspects of the operation of the Fund and the respective responsibilities of the Trustee and the Managing Owner concerning the Fund and the material terms of the Declaration of Trust. Prospective investors should carefully review the Form of Declaration of Trust filed as an exhibit to the registration statement of which this Prospectus is a part and consult with their own advisers concerning the implications to such prospective subscribers of investing in a Delaware statutory trust. Capitalized terms used in this section and not otherwise defined shall have such meanings assigned to them under the Declaration of Trust.

Description Of The Shares

The Fund will issue common units of beneficial interest, or Shares, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Shares will be listed on the NYSE Arca under the symbol VIXX.

The Shares may be purchased or redeemed from the Fund on a continuous basis, but only by Authorized Participants and only in blocks of 20,000 Shares, or Baskets. Individual Shares may not be purchased or redeemed from the Fund. Shareholders that are not Authorized Participants may not purchase from the Fund or redeem Shares or Baskets.

The Fund; Principal Office; Location Of Records

The Fund is organized as a statutory trust under the Delaware Statutory Trust Act. The Fund is managed by the Managing Owner, whose office is located at One Station Place, Three North, Stamford, CT 06902, telephone: (203) 708-6500.

The books and records of the Fund will be maintained as follows: all marketing materials will be maintained at the offices of ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, Colorado 80203; telephone number (303) 623-2577; Basket creation and redemption books and records, accounting and certain other financial books and records (including Fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the register, transfer journals and related details) and trading and related documents received

from futures commission merchants are maintained by The Bank of New York Mellon, 2 Hanson Place, 12^th Floor, Brooklyn, New York 11217, telephone number (718) 315-4412. All other marketing materials, books and records of the Fund (including minute books and other general corporate records, trading records and related reports and other items received from the Fund’s Clearing Brokers) are maintained at the Fund’s principal office, c/o Jefferies Commodity Investment Services, LLC, One Station Place, Three North, Stamford, CT 06902; telephone number (203) 708-6500.

The books and records of the Fund will be located at the foregoing addresses, and available for inspection and copying (upon payment of reasonable reproduction costs) by Shareholders or their representatives for any purposes reasonably related to a Shareholder’s interest as a beneficial owner of the Fund during regular business hours as provided in the Declaration of Trust. The Managing Owner will maintain and preserve the books and records of the Fund for a period of not less than six years.

The Trustee

Wilmington Trust Company, a Delaware banking corporation, is the sole Trustee of the Fund. The Trustee’s principal offices are located at Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890-0001. The Trustee is unaffiliated with the Managing Owner. The Trustee’s duties and liabilities with respect to the offering of the Shares and the management of the Fund will be limited to its express obligations under the Declaration of Trust.

The rights and duties of the Trustee, the Managing Owner and the Shareholders are governed by the provisions of the Delaware Statutory Trust Act and by the Declaration of Trust.

The Trustee will serve in a passive role as the sole trustee of the Fund in the State of Delaware. The Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. To the fullest extent permitted by applicable law, the Trustee does not owe any other duties to the Fund, the Managing Owner or the Shareholders. The Trustee is permitted to resign upon at least sixty (60) days’ notice to the Fund, provided, that any such resignation will not be effective until a successor Trustee is appointed by the Managing Owner. The Declaration of Trust provides that the Trustee is

compensated by the Fund, as appropriate, and is indemnified by the Fund, as appropriate, against any expenses it incurs relating to or arising out of the formation, operation or termination of the Fund, as appropriate, or the performance of its duties pursuant to the Declaration of Trust, except to the extent that such expenses result from fraud, gross negligence, bad faith or willful misconduct of the Trustee. The Managing Owner has the discretion to replace the Trustee.

Only the Managing Owner has signed the registration statement of which this Prospectus is a part, and only the assets of the Fund and the Managing Owner are subject to issuer liability under the federal securities laws for the information contained in this Prospectus and under federal securities laws with respect to the issuance and sale of the Shares. Under such laws, neither the Trustee, either in its capacity as Trustee or in its individual capacity, nor any director, officer or controlling person of the Trustee is, or has any liability as, the issuer or a director, officer or controlling person of the issuer of the Shares. The Trustee’s liability in connection with the issuance and sale of the Shares is limited solely to the express obligations of the Trustee set forth in the Declaration of Trust.

Under the Declaration of Trust, the Managing Owner has the exclusive management, authority and control of all aspects of the business of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability for the acts or omissions of the Managing Owner. The Shareholders have no voice in the day to day management of the business and operations of the Fund, other than certain limited voting rights as set forth in the Declaration of Trust. In the course of its management of the business and affairs of the Fund, the Managing Owner may, in its sole discretion, appoint an affiliate or affiliates of the Managing Owner as additional managing owners (except where the Managing Owner has been notified by the Shareholders that it is to be replaced as the managing owner or if the concurrence of owners of a majority (over 50%) of the Shares is not obtained) and retain such persons, including affiliates of the Managing Owner, as it deems necessary for the efficient operation of the Fund, as appropriate.

Because the Trustee has no management authority with respect to the Fund it is not registered in any capacity with the CFTC.

The existence of a trustee should not be taken as an indication of any additional level of management or supervision over the Fund. The Trustee’s only duties are to satisfy the requirements of the Delaware Statutory Trust Act that a Delaware statutory trust have at least one trustee with its principle place of business in Delaware. The Declaration of Trust provides that the management authority with respect to the Fund is vested directly in the Managing Owner.

The Managing Owner

Background

Jefferies Commodity Investment Services, LLC, a Delaware limited liability company, will serve as Managing Owner of the Fund. The Managing Owner was formed on December 2, 2009. The Managing Owner will serve as the commodity pool operator and commodity trading advisor of the Fund. The Managing Owner has been registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission, or the CFTC, and has been a member of the NFA since December 22, 2009. Its principal place of business is One Station Place, Three North, Stamford, CT 06902, telephone number (203) 708-6500.

In its capacity as a commodity pool operator, the Managing Owner is an organization which operates or solicits funds for commodity pools; that is, an enterprise in which funds contributed by a number of persons are combined for the purpose of trading futures contracts. In its capacity as a commodity trading advisor, the Managing Owner is an organization which, for compensation or profit, advises others as to the value of or the advisability of buying or selling futures contracts.

The Managing Owner was formed to be the managing owner of investment vehicles such as the Fund and has no history of past performance. The Managing Owner and its trading principals have not managed any other public commodity pool or any other commodity pool that seeks to track an index of commodity futures, although certain of the trading principals do have experience managing other types of private commodity pools, and therefore there is no indication of their ability to manage investment vehicles such as the Fund. If the experience of the Managing Owner and its trading principals is not adequate or suitable to manage investment vehicles such as the Fund, the operations of the Fund may be adversely affected.

Principals and Key Employees

The following principals serve in the below capacities on behalf of the Managing Owner: