The Fund is an actively managed exchange-traded fund (“ETF”) that seeks current income while maintaining the opportunity for an indirect exposure to the share price of one or more ETFs whose shares trade on a U.S.-regulated securities exchange and that seeks daily leverage investment results of 2 times (200%) the daily percentage change of the Underlying Stock (the “Underlying TSLA ETF”), subject to a limit on potential gains from increases in the price of the Underlying TSLA ETF’s shares. The Fund will seek to employ its investment strategy as it relates to the Underlying TSLA ETF regardless of whether there are periods of adverse market, economic, or other conditions and will not seek to take temporary defensive positions during such periods. The Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in derivatives contracts that utilize the Underlying TSLA ETF as the reference asset. For purposes of compliance with this investment policy, derivative contracts will be valued at their notional value. The Fund’s derivatives contracts provide:

For more information, see section “The Fund’s Use of the Underlying TSLA ETF Derivatives Contracts” below.

The Fund may invest in (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; (3) short term bond ETFs and/or (4) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade. The Fund will carry a cash balance.

The Fund is classified as “non-diversified” under the Investment Company Act of 1940 (the “1940 Act”).

The Fund will be subject to regulatory constraints relating to the level of value at risk that the Fund may incur through its derivatives portfolio. To the extent the Fund exceeds these regulatory thresholds over an extended period, the Fund may determine that it is necessary to make adjustments to the Fund’s investment strategy and the Fund may not achieve its investment objective.

No Fund’s investment objective has been adopted as a fundamental investment policy and therefore each Fund’s investment objective along with its respective 80% investment policy may be changed without the consent of that Fund’s shareholders upon approval by the Board of Trustees (the “Board”) of GraniteShares ETF Trust (the “Trust”) and 60 days’ written notice to shareholders.

There is no guarantee that the Fund’s investment strategy will be properly implemented, and an investor may lose some or all of its investment.

An Investment in the Fund is not an investment in the Underlying TSLA ETF

Additional information regarding the Underlying TSLA ETF is set forth below.

The Fund’s Use of the Underlying TSLA ETF Derivatives Contracts

The Fund will sell put options contracts, either directly or through swap contracts, on the Underlying TSLA ETF and for which it will receive a premium. The Fund’s participation in a potential increase in the price of the Underlying TSLA ETF’s only applies if the Fund sells in-the-money put options contracts. The put options contracts sold by the Fund may vary in regard to their strike prices from 40% out-of-the-money to 10% in-the-money and their maturity from 1-week to 1-month.

Example 1 – Selling In-the-money Put Option Contract with a One-month Maturity

Assume for simplicity that the Underlying TSLA ETF’s shares are trading at $100.00 at the time the Fund sells an in-the-money put option contract with a strike price of $105.00 and a one-month maturity. The Fund receives a $5.50 premium for selling the put option contract. If the Underlying TSLA ETF’s share price increases to $105.00 before expiration, the Fund would benefit from the increase in the Underlying TSLA ETF’s share price up to $105.00 through the receipt of the premium which was earned through the sale of the put option contract. However, if the Underlying TSLA ETF’s share price increase exceeded $105.00, the Fund would not participate in any of the additional upside. Further, if the Underlying TSLA ETF’s share price drops below $99.50 before expiration, that is the strike price ($105.00) reduced by the premium received ($5.50), the Fund would lose money.

Example 2 – Selling Out-of-the-money Put Options Contracts with a One-week Maturity

Assume for simplicity that the Underlying TSLA ETF’s shares are trading at $100.00 at the time the Fund sells an out-of-the-money put option contract with a strike price of $95.00 and a one-week maturity. The Fund receives a $0.50 premium for selling the put option contract. Even if the Underlying TSLA ETF’s share price rises above $100.00 before expiration, the Fund would not benefit from the increase in the Underlying TSLA ETF’s share price. Instead, the Fund gain would be limited to the value of premium received. Further, if the Underlying TSLA ETF’s share price drops below $94.50 before expiration, that is the strike price ($95.00) reduced by the premium received ($0.50) the Fund would lose money.

In both examples, if the Underlying TSLA ETF’s price were to drop to zero, the Fund’s NAV would be equal, before fees and costs, to the value of premium received.

Types of Options Contracts Used by the Fund

As part of the Fund’s strategy, the Fund may sell FLexible EXchange® (“FLEX”) put options contracts that are based on the value of the price returns of the Underlying TSLA ETF. The Fund will only sell options contracts that are listed for trading on regulated U.S. exchanges. Traditional exchange-traded options contracts have standardized terms, such as the type (call or put), the reference asset, the strike price and expiration date. Exchange-listed options contracts are guaranteed for settlement by the Options Clearing Corporation (“OCC”). FLEX Options are a type of exchange-listed options contract with uniquely customizable terms that allow investors to customize key terms like type, strike price and expiration date that are standardized in a typical options contract. FLEX Options are also guaranteed for settlement by the OCC.

In general, an option is a contract that gives the purchaser (holder) of the option, in return for a premium, the right to buy from (call) or sell to (put) the seller (writer) of the option the security or currency underlying (in this case, the Underlying TSLA ETF) the option at a specified exercise price. The writer of an option has the obligation upon exercise of the option to deliver the underlying security or currency upon payment of the exercise price (call) or to pay the exercise price upon delivery of the underlying security or currency (put). An option is said to be “European Style” when it can be exercised only at expiration whereas an “American Style” option can be exercised at any time prior to expiration. The Fund might use either European or American style options. The Fund intends to primarily utilize European style options.

Swap agreements Used by the Fund

As part of the Fund’s strategy, the Fund may enter into swap agreements with major financial institutions that provide the same exposure as to selling put options contracts on the Underlying ETF. The swap agreements may reference standardized exchange-traded, FLEX, European Style or American Style put options contracts that are based on the values of the price returns of the Underlying ETF. All put options contracts referenced in a swap agreement will be listed for trading on regulated U.S. exchanges.

The swap performance will settle in cash only irrespective of the types of the put options contracts referenced in the swap agreement.

Underlying TSLA ETF

The Underlying TSLA ETF seeks daily leverage investment results of 2 times (200%) the daily percentage of the Underlying Stock by entering into swap agreements on the Underlying Stock. The Underlying TSLA ETF aims to generate 2 times the daily performance of the Underlying Stock for a single day. A “single day” is defined as being calculated “from the close of regular trading on one trading day to the close on the next trading day.”

Because of daily rebalancing and the compounding of each day’s return over time, the return of the Underlying TSLA ETF for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 200% of the return of the Underlying Stock over the same period. The Underlying TSLA ETF will lose money if the Underlying Stock’s performance is flat over time, and as a result of daily rebalancing, the Underlying Stock volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Underlying Stock’s performance increases over a period longer than a single day.

The Fund intends to initial reference the following products as Underlying TSLA ETF:

The Fund may reference additional products as Underlying TSLA ETF as market and liquidity develop.

Due to the Underlying TSLA ETF’s investment exposure to the Underlying Stock, the Fund’s investment exposure is concentrated in the automotive industry.

This document relates only to the securities offered hereby and does not relate to the Underlying TSLA ETF or the Underlying Stock.

This document relates only to the securities offered hereby and does not relate to the Underlying TSLA ETF or the Underlying Stock. The Fund has derived all disclosures contained in this document regarding the Underlying TSLA ETF from publicly available documents. TSLR is affiliated with the Fund and both funds are issued under GraniteShares ETF Trust. The Trust and the Adviser have been directly involved in the preparation of the disclosure of TSLR’s publicly available documents. In connection to TSLL and TSLT, none of the Fund, the Trust, the Adviser, or their respective affiliates has participated in the preparation of such documents or made any due diligence inquiry with respect to either fund. None of the Fund, the Trust, the Adviser, or their respective affiliates makes any representation that such publicly available documents or any other publicly available information regarding TSLL and TSLT is accurate or complete. Furthermore, the Fund cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the Underlying TSLA ETF have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Underlying TSLA ETF could affect the value received with respect to your Shares and therefore the value of your Shares.

The Fund, the Trust, the Adviser, and their respective affiliates do not provide any representation regarding the performance of TSLL and TSLT.

THE FUND, TRUST AND ADVISER ARE NOT AFFILIATED WITH TSLL AND TSLT, THEIR TRUSTS, AND THEIR SERVICE PROVIDERS.

THE FUND, TRUST AND ADVISER ARE AFFILIATED WITH TSLR.