TSLY

About TSLY

TheFund is an actively managed exchange-traded fund (“ETF”) that seeks current income while providing indirect exposureto the share price (i.e., the price returns) of the common stock of Tesla, Inc. (“TSLA”), subject to a limiton potential investment gains. The Fund will employ its investment strategy as it relates to TSLA regardless of whether thereare periods of adverse market, economic, or other conditions and will not take temporary defensive positions during such periods.As further described below, the Fund uses a synthetic covered call strategy to provide income and indirect exposure to the shareprice returns of TSLA, subject to a limit on potential investment gains as a result of the nature of the options strategy it employs.That is, the Fund not only seeks to generate income from its options investments but also aims to derive gains when the valueof TSLA increases. The Fund’s options contracts provide: ●indirect exposure to the share price returns of TSLA,●current income from the option premiums, and●a limit on the Fund’s participation in gains, if any, of the share price returns of TSLA. Formore information, see sections “The Fund’s Use of TSLA Option Contracts” and “Synthetic Covered Call Strategy”below.  TheFund’s investment adviser is Tidal Investments LLC (the “Adviser”) and the investment sub-adviser is ZEGA Financial,LLC (“ZEGA” or the “Sub-Adviser”). Whyinvest in the Fund? ●The Fund seeks to participate in a portion of the gains experienced by TSLA.●The Fund seeks to generate monthly income, which is not dependent on the price appreciation of TSLA. Thatis, although the Fund may not fully participate in gains in TSLA’s stock price, the Fund’s portfolio is designed togenerate income. AnInvestment in the Fund is not an investment in TSLA ●The Fund’s strategy will cap its potential gains if TSLA shares increase in value.●The Fund’s strategy is subject to all potential losses if TSLA shares decrease in value, which may not be offset by income received by the Fund. ●The Fund does not invest directly in TSLA.●Fund shareholders are not entitled to any TSLA dividends. Additionalinformation regarding TSLA is also set forth below. TheFund’s Use of TSLA Option Contracts Aspart of the Fund’s synthetic covered call strategy, the Fund will purchase and sell a combination of standardized exchange-tradedand FLexible EXchange® (“FLEX”) call and put option contracts that are based on the value of the price returnsof TSLA. ●In general, an option contract gives the purchaser of the option contract the right to purchase (for a call option) or sell (for a put option) the underlying asset (like shares of TSLA) at a specified price (the “strike price”).●If exercised, an option contract obligates the seller to deliver shares (for a sold or “short” call) or buy shares (for a sold or “short” put) of the underlying asset at a specified price (the “strike price”).●Options contracts must be exercised or traded to close within a specified time frame, or they expire. See the chart in section “Fund Portfolio” below for a description of the option contracts utilized by the Fund. Standardizedexchange-traded options include standardized terms. FLEX options are also exchange-traded, but they allow for customizable terms(e.g., the strike price can be negotiated). For more information on FLEX options, see “Additional Information about theFunds – Exchange Traded Options Portfolio.” TheFund’s options contracts are based on the value of TSLA, which gives the Fund the right or obligation to receive or delivershares of TSLA on the expiration date of the applicable option contract in exchange for the stated strike price, depending onwhether the option contract is a call option or a put option, and whether the Fund purchases or sells the option contract. SyntheticCovered Call Strategy Inseeking to achieve its investment objective, the Fund will implement a “synthetic covered call” strategy usingthe standardized exchange-traded and FLEX options described above. ●A traditional covered call strategy is an investment strategy where an investor (the Fund) sells a call option on an underlying security it owns.●A synthetic covered call strategy is similar to a traditional covered call strategy in that the investor sells a call option that is based on the value of the underlying security. However, in a synthetic covered call strategy, the investor (the Fund) does not own the underlying security, but rather seeks to synthetically replicate 100% of the price movements of the underlying security through the use of various investment instruments. TheFund’s synthetic covered call strategy consists of the following three elements, each of which is described in greater detailfarther below: ●Synthetic long exposure to TSLA, which allows the Fund to seek to participate in the changes, up or down, in the price of TSLA’s stock.●Covered call writing (where TSLA call options are sold against the synthetic long portion of the strategy), which allows the Fund to generate income.●U.S. Treasuries, which are used for collateral for the options, and which also generate income. 1.Synthetic Long Exposure Toachieve a synthetic long exposure to TSLA, the Fund will buy TSLA call options and, simultaneously, sell TSLA put options to tryto replicate the price movements of TSLA. The call options purchased by the Fund and the put options sold by the Fund will generallyhave one-month to six-month terms and strike prices that are approximately equal to the then-current share price of TSLA at thetime the contracts are purchased and sold, respectively. The combination of the long call options and sold put options providesthe Fund with indirect investment exposure equal to approximately 100% of TSLA for the duration of the applicable options exposure.  2.Covered Call Writing Aspart of its strategy, the Fund will write (sell) call option contracts on TSLA to generate income. Since the Fund does not directlyown TSLA, these written call options will be sold short (i.e., selling a position it does not currently own). The Fund will seekto participate in the share price appreciation of TSLA, if any. However, due to the nature of covered call strategies, the Fund’sparticipation may be subject to a cap (as described below). In this strategy, the call options written (sold) by the Fund willgenerally have an expiration of one month or less (the “Call Period”) and generally have a strike price that is approximately0%-15% above the then-current TSLA share price.  Itis important to note that the sale of the TSLA call option contracts will limit the Fund’s participation in the appreciationin TSLA’s stock price. If the stock price of TSLA increases, the above-referenced synthetic long exposure alone would allowthe Fund to experience similar percentage gains. However, if TSLA’s stock price appreciates beyond the strike price of oneor more of the sold (short) call option contracts, the Fund will lose money on those short call positions, and the losses will,in turn, limit the upside return of the Fund’s synthetic long exposure. As a result, the Fund’s overall strategy (i.e.,the combination of the synthetic long exposure to TSLA and the sold (short) TSLA call positions) will limit the Fund’s participationin gains in the TSLA stock price beyond a certain point. 3.U.S. Treasuries TheFund will hold short-term U.S. Treasury securities as collateral in connection with the Fund’s synthetic covered call strategy. TheFund intends to continuously maintain indirect exposure to TSLA through the use of options contracts. As the options contractsit holds are exercised or expire it may enter into new options contracts, a practice referred to as “rolling.” TheFund’s practice of rolling options may result in high portfolio turnover. Fund’sMonthly Distributions  TheFund will seek to provide monthly income in the form of cash distributions. The Fund will seek to generate such income in thefollowing ways: ●Writing (selling) call option contracts on TSLA as described above. The income comes mainly from the option premiums received from these option sales. A premium, in this context, refers to the price the option buyer pays to the option seller (the Fund) for the rights granted by the option. The amount of these premiums is largely affected by the fluctuations in TSLA stock prices. However, other elements like interest rates can also influence the income level.●Investing in short-term U.S. Treasury securities. The income generated by these securities will be influenced by interest rates at the time of investment. Fund’sReturn Profile vs TSLA Forthe reasons stated above, the Fund’s performance will differ from that of TSLA’s stock price. The performance differenceswill depend on, among other things, the price of TSLA, changes in the value of the TSLA options contracts the Fund holds, andchanges in the value of the U.S. Treasuries.  FundPortfolio TheFund’s principal holdings are described below:  YieldMax™ TSLA Option Income Strategy ETF – Principal Holdings Portfolio Holdings  (All options are based on the value of TSLA)  Investment Terms Expected Target Maturity Purchased call option contracts   “at-the-money” (i.e., the strike price is equal to the then-current share price of TSLA at the time of purchase) to provide indirect exposure to positive price returns of TSLA.   If the TSLA share price increases, these options will generate corresponding increases to the Fund.   1-month to 6-month expiration dates Sold put option contracts   “at-the-money” (i.e., the strike price is equal to the then-current share price of TSLA at the time of sale).   They are sold to help pay for the purchased call options described above.   However, the sold put option contracts provide exposure to the full extent of any share price losses experienced by TSLA.   1-month to 6-month expiration dates Sold (short) call option contracts   The strike price is approximately 0%-15% more than the then-current share price of TSLA at the time of sale.   They generate current income. However, they also limit some potential positive returns that the Fund may have otherwise experienced from gains in the TSLA share price.   1-month or less expiration dates U.S Treasury Securities and Cash Multiple series of U.S. Treasury Bills supported by the full faith and credit of the U.S. government.   These instruments are used as collateral for the Fund’s derivative investments.   They will also generate income.   6-month to 2-year maturities Themarket value of the cash and treasuries held by the Fund is expected to be between 50% and 100% of the Fund’s net assetsand the market value of the options package is expected to be between 0% and 50% of the Fund’s net assets. In terms of notionalvalue, the combination of these investment instruments provides investment exposure to TSLA equal to at least 100% of the Fund’stotal assets. TheFund is classified as “non-diversified” under the 1940 Act. Thereis no guarantee that the Fund’s investment strategy will be properly implemented, and an investor may lose some or all ofits investment.  Tesla,Inc. Tesla,Inc. is an operating company that designs develops, manufactures, leases and sells high performance fully electric vehicles, solarenergy generation systems and energy storage products. Tesla, Inc. operates two segments: (i) automotive and (ii) energy generationand storage. The automotive segment includes the design, development, manufacturing, sales and leasing of electric vehicles aswell as sales of automotive regulatory credits. The energy generation and storage segment includes the design, manufacture, installation,sales and leasing of solar energy generation and energy storage products and related services and sales of solar energy systemsincentives. Tesla, Inc. is listed on Nasdaq. The aggregate market value of voting stock held by non-affiliates of Tesla, Inc.,as of June 30, 2023, was approximately $722.5 billion (based on the closing price for shares of Tesla, Inc.’s common stockas reported by Nasdaq on June 30, 2023). Tesla,Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information providedto or filed with the SEC by Tesla, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-34756through the SEC’s website at www.sec.gov. In addition, information regarding Tesla, Inc. may be obtained from other sourcesincluding, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Thisdocument relates only to the securities offered hereby and does not relate to TSLA or other securities of Tesla, Inc. The Fundhas derived all disclosures contained in this document regarding Tesla, Inc. from the publicly available documents. None of theFund, the Trust, the Adviser, the Sub-Adviser, or their respective affiliates has participated in the preparation of such publiclyavailable offering documents or made any due diligence inquiry regarding such documents with respect to Tesla, Inc. None of theFund, the Trust, the Adviser, the Sub-Adviser, or their respective affiliates makes any representation that such publicly availabledocuments or any other publicly available information regarding Tesla, Inc. is accurate or complete. Furthermore, the Fund cannotgive any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completenessof the publicly available documents described above) that would affect the trading price of Tesla, Inc. (and therefore the priceof Tesla, Inc. at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events orthe disclosure of or failure to disclose material future events concerning Tesla, Inc. could affect the value received with respectto the securities and therefore the value of the securities.   Noneof the Fund, the Trust, the Adviser, the Sub-Adviser, or their respective affiliates makes any representation to you as to theperformance of TSLA. THEFUND, TRUST, ADVISER, AND SUB-ADVISER ARE NOT AFFILIATED WITH TESLA, INC. Dueto the Fund’s investment strategy, the Fund’s investment exposure is concentrated in (or substantially exposed to)the same industry as that assigned to TSLA. As of the date of the Prospectus, TSLA is assigned to the auto manufacturing industry.