XBOX

1. Summary

• XBOX is not a long/short stock fund. It is a cash or T-bill substitute. It buys box spreads on SPY (and may use QQQ). A box spread is a set of four options with a fixed payoff at expiry, so it earns a set interest-like rate.
• It runs no stock leverage. Each box pairs a synthetic long with a synthetic short on the same ETF, so stock exposure nets to about zero. The fund holds the boxes; it does not borrow through them (my inference).
• Its short side is the written options inside each box. There are no short sales of stock, no prime broker named, and no swaps.
• Most relevant for us: XBOX is the lender side of the box spread trade that Tidal mentioned as a financing route. It shows a 40 Act ETF can hold SPY box spreads at scale ($316.15 million), cleared through the OCC and a clearing member. It does not show how a fund that sells boxes to borrow would be treated (my inference).

2. Key facts

Other trading data: 30-day median bid/ask spread 0.02%, as of November 9, 2026. Options trade on XBOX shares ("ETF Options Yes") (XBOX-FS, page 3, "Performance"; XBOX-FS, page 1, "Fund Details").

3. Service providers

4. Strategy

• Objective and benchmark. The prospectus objective is "to seek capital appreciation" (XBOX-PR, page 4, "Investment Objective"). The fact sheet says the fund "seeks to generate fixed income-like returns by investing in box spreads" (XBOX-FS, page 1, "Overview"). No benchmark is named. The fact sheet pitches it as a "T-Bill Replacement" (XBOX-FS, page 1, "Why XBOX?"). SEC staff asked how capital appreciation fits a box strategy. Roundhill replied that profit from capturing the gap between a box's cost and its expiry value "will contribute to the Fund's objective of capital appreciation" (XBOX-CORR1, page 2, Response to Comment 2).
• How a box works. The synthetic long is a bought call plus a sold put at one strike. The synthetic short is a bought put plus a sold call at a higher strike, same expiry. Together they create "a market-neutral position with a fixed payoff at expiration" (XBOX-PR, page 5, "Principal Investment Strategies"). Profit is about the gap between the price paid and the expiry value, less trading costs (XBOX-PR, page 5). Roundhill told SEC staff that profit comes mainly from the strike gap less the net cost of the box. Premiums received on the written legs are part of that net cost, but "the profit is not solely derived from those premiums" (XBOX-CORR1, page 2, Response to Comment 3).
• Universe. Options listed on U.S. exchanges only, standard or FLEX (customizable listed options) (XBOX-PR, page 5). European style, exercisable only at expiry (XBOX-PR, page 6). Reference assets: the fund "intends to use options that reference SPDR® S&P 500® ETF Trust and Invesco QQQ TrustSM, Series 1" (XBOX-PR, page 19, "Additional Information About the Fund's Principal Investment Strategy"). Holdings on November 10, 2026 show SPY only (XBOX-FS, page 2). Roundhill told SEC staff it would use options "primarily" on SPY and QQQ, but "may also purchase or sell Box Spreads using exchange-listed option contracts on other ETFs" (XBOX-CORR1, page 4, Response to Comment 8). One box may mix standard listed options and FLEX options (XBOX-CORR1, page 2, Response to Comment 4). Roundhill told SEC staff it had deleted the draft's reference to "other types of securities" (XBOX-CORR1, page 3, Response to Comment 7). The final prospectus still keeps a narrower version: the fund "has the ability to use options that reference other types of securities if the Adviser determines such an investment is to the benefit of the Fund and its shareholders" (XBOX-PR, pages 6 and 19). It does not use the letter's "other ETFs" wording.
• Maturities. One to six months when bought; zero to six months remaining (XBOX-PR, page 5). Positions are layered and rolled (XBOX-PR, page 6, "Box Spread Portfolio Layering").
• Holding period. The fund "expects to maintain Box Spread positions for the duration of each option's term". It may need to trade part of a box "in certain cases, such as redemptions in-kind" (XBOX-CORR1, page 4, Response to Comment 9). The later letter says the fund "is not expected to trade out of portions of a Box Spread under normal circumstances", and that such trades "could potentially call the Fund's name into question under Section 35(d)" (XBOX-CORR2, page 2, Response to Comment 2). Section 35(d) is the 40 Act rule against misleading fund names. Holding to maturity is meant to avoid early exercise, "increasing the likelihood that the Fund will capture the intended payoff" (XBOX-CORR2, page 1, Response to Comment 1). That wording replaced "can reliably" after staff said "reliably" may imply a guarantee (XBOX-CORR1, page 3, Comment 5). The final prospectus uses this revised wording (XBOX-PR, page 6).
• How it picks positions. Not stock picking. The adviser chooses box maturities and roll timing. It may trade boxes of different maturities "To gain exposure to the forward rate implied by Box Spreads with varying maturities" (XBOX-PR, page 6).
• Neutrality targets. Each box is designed to be market neutral (XBOX-PR, page 5). No beta, dollar or sector target is stated beyond that.
• Net exposure. Not stated as a number. About zero by design of each box (my inference).
• Names-rule policy (added October 1, 2026). At least 80% of net assets in options "that implement one or more Box Spreads", with options "valued at their notional value" (XBOX-PR, page 1, supplement dated September 17, 2026).
• Limits on position size. Non-diversified (XBOX-PR, page 7). No more than 25% of total assets in one industry (XBOX-PR, page 7; XBOX-SAI, page 10). No more than 15% of net assets in illiquid investments (XBOX-SAI, page 13, "Illiquid Investments"). No numeric limit per box.

5. Exposure and leverage

• Measured exposure. Long, short, gross and net exposure are not stated in any document.
• Holdings, as of November 11, 2026 (XBOX-HOLD; XBOX-WEB, page 3, "Top Holdings"):
  • SPY 12/30/2026 10000.06 put: +318 contracts, $291,956,165, 92.33%
  • SPY 12/30/2026 1.06 call: +318 contracts, $24,060,236, 7.61%
  • SPY 12/30/2026 10000.06 call: -318 contracts, $0, 0.00%
  • SPY 12/30/2026 1.06 put: -318 contracts, -$228, 0.00%
  • First American Government Obligations Fund (FGXXX): 73,291 shares, $73,291, 0.02%. The CSV names it "First American Government Obligations Fund 12/01/2031". A money market fund has no maturity date, so the date is likely a data quirk (my inference).
  • Cash and other: $127,244, 0.04%.
  • The box legs total $316,016,173 and all holdings total $316,216,708 (my arithmetic). The total matches "AUM $316.22MM" (XBOX-WEB, page 2).
  • The negative contract counts confirm the two 0.00% legs are written. They are almost worthless at these strikes (my inference). On November 10, 2026 the held legs were 92.42% and 7.51% (XBOX-FS, page 2).
• What the holdings imply. Each contract covers 100 SPY shares (my inference: only a 100-share multiplier fits the box's value; see Strike width). Per share, the 1.06 call is worth $756.61, which is about SPY's price minus $1.06 (my arithmetic). So the synthetic long and the synthetic short are each about $24.06 million of SPY, about 7.6% of net assets. That is about 15.2% gross (0.15x) and about 0% net in stock terms (my arithmetic). The rest of the value is the fixed payoff, which behaves like a zero-coupon bill (my inference). None of these exposure figures is stated in the documents.
• Strike width. The box pays the strike gap of 9,999.00 per share at expiry, December 30, 2026 (my arithmetic, from XBOX-FS, page 2). The strikes 1.06 and 10000.06 are not standard listed strikes, so these are likely FLEX options (my inference). At 318 contracts of 100 shares, the box pays $317,968,200 at expiry. Against the legs' value of $316,016,173 on November 11, 2026, that is 0.62% over 49 days: about 4.60% a year simple, or 4.69% compounded, before fees (my arithmetic, from XBOX-HOLD).
• How it gets exposure above 100%. It does not. The fund buys boxes. Box Spread Risk says success depends on "market participants who are willing to sell Box Spreads to the Fund" (XBOX-PR, page 7, "Box Spread Risk"). Buying a box is lending cash at the box's implied rate (my inference).
• Leverage inside derivatives. The prospectus says generally that "Derivative contracts ordinarily have leverage inherent in their terms" (XBOX-PR, page 10, "Derivatives Risk"). No leverage target or figure is given.
• Borrowing limits. The fund may borrow from a bank "in an amount up to 33 1/3% of its total assets" (XBOX-PR, pages 19 and 20, "Non-Principal Strategies"). It must keep "asset coverage of at least 300%" on any bank borrowing (XBOX-SAI, page 15, "Borrowing and Leverage Risk"; also XBOX-SAI, page 11). No line of credit is named.

6. Shorting, financing and collateral

• How it shorts. No short sales of stock. The only short exposure is the synthetic short in each box: "the purchase of a put option and sale of a call option" (XBOX-PR, page 5, "Principal Investment Strategies").
• Who lends the stock and who holds collateral. No stock is borrowed (my inference). Options are held "through accounts at clearing members" and the fund makes "payments (including margin payments)" through them (XBOX-PR, pages 8 and 9, "Clearing Member Default Risk"). Margin with a clearing member sits "in a commingled omnibus account" (XBOX-PR, page 9). For written calls, OCC rules require the writer to deposit "in escrow the underlying asset or other assets" (XBOX-SAI, page 12, "Options Contracts").
• What is posted. "The Fund may hold collateral, such as cash, cash equivalents or securities issued or guaranteed by the U.S. government, that may be used to pay costs related to implementing the Fund's investment strategy" (XBOX-PR, page 6). The amount of margin is not stated. On November 11, 2026, cash plus FGXXX was $200,535, 0.06% of net assets (my arithmetic, from XBOX-HOLD). So little cash is visible for option margin (my inference).
• Proceeds of written options. "The net proceeds that the Fund receives pursuant to its short sale of options contracts may be retained by the Fund's prime broker(s) (or by the Fund's custodian in a special custody account), to the extent necessary to meet margin requirements" (XBOX-SAI, page 28, "Custodian"). No prime broker is named.
• Short sale proceeds used to buy longs. Not applicable. In a bought box, premium from the written legs offsets part of the cost of the held legs (my inference).
• Segregated or tri-party account. Only the "special custody account" above. The SAI also says a fund "might be required to maintain segregated accounts and/or make margin payments" on derivatives (XBOX-SAI, page 17, "Derivatives Risk"). No tri-party account is named.
• Securities lending. Permitted, with U.S. Bank as agent (XBOX-SAI, page 29). Loans are capped at 33-1/3% of total assets (XBOX-SAI, page 11). Whether XBOX lends is not stated.
• Conflict on lending collateral. The prospectus says collateral of "at least 102% (105% for non-U.S. securities)" (XBOX-PR, page 20, "Securities Lending"). The SAI says the agent keeps collateral at "no less than 100%" (XBOX-SAI, page 29).

7. Derivatives and Rule 18f-4

• Derivatives used. Exchange-listed options and FLEX options, European style, cleared by the OCC (XBOX-PR, pages 5 and 6). The SAI says the fund "may buy and write (sell) options on diversified securities" (XBOX-SAI, page 12, "Options Contracts").
• Permitted only. The commodities policy "shall not prevent the Fund from purchasing or selling options, futures contracts, forward contracts or other derivative instruments" (XBOX-SAI, page 10, "Investment Objective and Policies"). The SAI's derivatives risk text mentions futures and interest rate swaps in general terms (XBOX-SAI, page 16). Neither is a stated use.
• Limited derivatives user or full program. Not stated. Searches for "18f-4", "limited derivatives user", "derivatives risk manager" and "risk management program" found only the liquidity risk program (XBOX-SAI, page 14).
• VaR test and reference portfolio. Not stated. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
• Commodity pool status (CFTC Rule 4.5). Not stated.
• Counterparty. "the Fund's counterparty is a clearinghouse, such as the OCC, rather than a bank or broker" (XBOX-PR, page 8, "Clearing Member Default Risk").
• SEC review. Neither SEC correspondence letter mentions Rule 18f-4, Section 18, VaR, a derivatives risk manager, clearing members or margin (XBOX-CORR1, pages 1 to 5; XBOX-CORR2, pages 1 and 2).

8. Costs

• Who pays what. The fund pays the 0.1949% unitary fee less the waiver. It also pays excluded items: interest on borrowings, short sale dividends, taxes, brokerage commissions, acquired fund fees, deferred tax liability, extraordinary expenses and distribution fees (XBOX-PR, page 4, footnote 1). The SAI adds net account fees charged by futures commission merchants and securities lending fees (XBOX-SAI, page 25). Roundhill pays the sub-adviser: "The Funds do not directly pay the Sub-Adviser" (XBOX-SAI, page 26, "Investment Sub-Adviser"). Roundhill also pays the administrator and the custodian (XBOX-SAI, page 28).
• Expense example. $15 for 1 year and $58 for 3 years per $10,000 (XBOX-PR, page 4).
• Brokerage commissions. Not stated. Commissions matter here: "the commissions charged to implement the four options trades necessary to establish a Box Spread may have a material impact on the Fund's return" (XBOX-PR, page 7, "Box Spread Risk").
• Portfolio turnover. Not available: "Because the Fund has not yet commenced operations, portfolio turnover information is unavailable at this time" (XBOX-PR, page 5, "Portfolio Turnover"). The fund "may engage in active and frequent trading" (XBOX-PR, page 6).
• Gap between expense ratio and management fee. 0.1449% minus 0.1949% is -0.05% (my arithmetic). The waiver explains it. Commissions and option bid/ask costs sit outside the ratio (my inference).

9. Performance and risk

• The fact sheet says "Returns less than one year are not annualized." (XBOX-FS, page 3). So 2.26% covers about 6.5 months. Annualized, it is about 4.25% (my arithmetic, 196 days).
• Benchmark returns. None given.
• Calendar-year returns. None. "the Fund has not yet commenced operations and therefore does not have a performance history" (XBOX-PR, page 16, "Performance").
• Risk statistics. None given (no beta, correlation, volatility, Sharpe ratio, drawdown or capture figures).
• Daily data, November 9, 2026. Closing price $101.59, up $0.06 or 0.06% (XBOX-FS, page 3).
• Daily data, November 11, 2026. Closing price $101.55, down $0.08 or 0.08%. 30-day median bid/ask spread 0.02%. The since-inception return is still 2.26% to September 30, 2026 (XBOX-WEB, page 4, "Performance").
• Premium and discount. The section is collapsed ("Show +"), so no data is shown (XBOX-FS, page 4).

10. History and structural changes

• Predecessor funds. None stated. Searches for "predecessor", "reorganiz" and "351" found nothing about this fund.
• Reorganizations and 351 conversions. None stated.
• Name change. From Roundhill Ultra Short Duration No Dividend Target ETF to Roundhill Box Spread ETF. The supplement says "on or about October 1, 2026" and that the ticker and objective don't change (XBOX-PR, page 1, supplement dated September 17, 2026). The fact sheet says "Effective upon the open of trading on October 1, 2026" (XBOX-FS, page 2).
• Original name. The draft registration statement filed October 17, 2025 "relates to Roundhill Box Spread ETF" (XBOX-CORR1, page 1; XBOX-CORR2, page 1). So the fund was registered as Roundhill Box Spread ETF, launched March 18, 2026 as Roundhill Ultra Short Duration No Dividend Target ETF, and took back its original name on October 1, 2026. Why it launched under a different name is not stated. The staff's Section 35(d) comment on partial box trades may be related (my inference; see below).
• SEC review of the registration statement. SEC staff (Eileen Smiley) commented on the October 17, 2025 filing. Fund counsel answered 11 comments on January 15, 2026 (XBOX-CORR1) and 2 follow-up comments on January 27, 2026 (XBOX-CORR2). File Nos. 333-273052 and 811-23887. Changes made in response:
  • "Reliably" removed from the payoff sentence, replaced with "increasing the likelihood" (XBOX-CORR1, page 3, Comment 5; XBOX-CORR2, page 1, redline).
  • Layering text revised to state maturities of one to six months when established (XBOX-CORR1, page 3, Response to Comment 6).
  • "Other types of securities": the letter says this was deleted from the principal strategy (XBOX-CORR1, page 3, Response to Comment 7). It was narrowed, not deleted. The final prospectus still lets the fund use "options that reference other types of securities" (XBOX-PR, pages 6 and 19).
  • Reference assets named as SPY and QQQ. The letter says options on "other ETFs" are allowed (XBOX-CORR1, page 4, Response to Comment 8). The final prospectus says "other types of securities" instead (XBOX-PR, pages 6 and 19).
  • Warning added that commissions on the four option trades "may have a material impact on the Fund's return" (XBOX-CORR1, page 4, Comment 10). It appears in the final prospectus (XBOX-PR, page 7).
  • Cross-reference added to the box spread diagram (XBOX-CORR1, page 5, Response to Comment 11). The final prospectus points to "an illustration of the value of a Box Spread at expiration" (XBOX-PR, page 5).
  • On partial box trades, staff asked for disclosure or an explanation under Section 35(d). Roundhill gave no new disclosure. It said such trades are not expected under normal circumstances, and it would reconsider disclosure or the name if practice changed (XBOX-CORR2, page 2, Comment 2 and Response).
  • Response to Comment 7 refers to "the Registrant's response to Comment 7" for the revised text, which points to itself (XBOX-CORR1, page 3).
• New 80% policy. Adopted with the name change (XBOX-PR, page 1). See section 4.
• Creation and redemption text replaced. By an SAI supplement dated April 22, 2026 that covers XBOX and Roundhill Memory ETF (XBOX-SAI, pages 2 to 6).
• Document dates. The prospectus and SAI are dated March 16, 2026, two days before launch (my arithmetic). They still use the old name. The September 17, 2026 supplement updates them. The fact sheet lists a semi-annual report and financial statements, which were not attached (XBOX-FS, page 3, "Fund Documents"). The November 11 web page names them: XBOX_Semi-Annual_TSR.pdf (Semi-Annual Shareholder Report) and Roundhill_Trust_SemiAnnual_Financial_Statements_Other_Information.pdf (covering the whole Trust). It also links proxy votes on EDGAR under CIK 1976517 (XBOX-WEB, page 5, "Fund Documents"). That CIK is likely Roundhill ETF Trust's EDGAR ID, usable to search for N-PORT and N-CSRS filings (my inference).
• Other differences between documents.
  • Objective: "seek capital appreciation" (XBOX-PR, page 4) versus "fixed income-like returns" (XBOX-FS, page 1). Roundhill's explanation to SEC staff: profit from box spreads "will contribute to the Fund's objective of capital appreciation" (XBOX-CORR1, page 2, Response to Comment 2).
  • Reference assets: SPY and QQQ intended (XBOX-PR, page 19); only SPY in the top holdings (XBOX-FS, page 2). Roundhill told SEC staff "primarily" SPY and QQQ, with other ETFs allowed (XBOX-CORR1, page 4).
  • Layering: the fund "expects to regularly buy, hold, and sell several Box Spreads" (XBOX-PR, page 6); the top holdings show one box (XBOX-FS, page 2).
  • Lending collateral: 102% (XBOX-PR, page 20) versus 100% (XBOX-SAI, page 29).

11. Principal risks

Summary list: XBOX-PR, pages 7 to 15, "Principal Risks". Longer text from XBOX-PR, page 20 on, "Additional Risks of Investing in the Fund".

• Market Risk (page 7).
• Options Risk (page 7). Flag: the written legs are short options.
• Box Spread Risk (pages 7 and 8). Flag: shorting and counterparties. If legs are closed separately, the box may stop working, and the fund "could become exposed to the underlying reference asset". It also depends on others willing to sell boxes. Roundhill told SEC staff it expects to trade parts of a box only in cases such as in-kind redemptions (XBOX-CORR1, page 4, Response to Comment 9), and not under normal circumstances (XBOX-CORR2, page 2, Response to Comment 2).
• FLEX Options Risk (page 8). Flag: liquidity of the custom options used.
• U.S. Government Securities Risk (page 8).
• Active Management Risk (page 8).
• Asset Class Risk (page 8).
• Clearing Member Default Risk (pages 8 and 9). Flag: counterparties and collateral. Margin sits in an omnibus account and may be used for other clients' losses. Few clearing members may be willing to act for the fund.
• Current Market Conditions Risk (pages 9 and 10).
• Cybersecurity Risk (page 10).
• Debt Securities Risk (page 10).
• Derivatives Risk (pages 10 and 11). Flag: leverage and counterparties. Names counterparty default and leverage "inherent in their terms".
• Early Close/Late Close/Trading Halt Risk (page 11).
• Inflation Risk (page 11).
• Interest Rate Risk (page 11).
• Large Shareholder Risk (pages 11 and 12).
• Liquidity Risk (page 12).
• New Fund Risk (page 12).
• Non-Diversification Risk (page 12).
• Operational Risk (page 12). Flag: counterparties and custody (third parties).
• Structural ETF Risks (pages 12 to 14): Cash Transactions Risk, Market Participants Risk, Active Market Risk, Premium/Discount Risk, Trading Risks.
• Tax Risk (pages 14 and 15). Includes Code Section 1258: gains could be treated as ordinary income if the trade is a "conversion transaction". The web page adds that the sponsor has represented it won't market or sell the trade as producing capital gains from a straddle position, and that the IRS has not identified the fund's structure as a conversion transaction (XBOX-WEB, page 7, "Risk of Ordinary Income").
• Valuation Risk (page 15).

No principal risk names a prime broker, stock borrow or short squeeze, because the fund doesn't short stock (my inference).

12. Relevance to our fund

• How close is its structure and leverage? Not close (my inference). XBOX holds no stock book. Its stock exposure is about 7.5% per side in SPY terms, about 0.15x gross, versus our 150/150 at 3.0x. It is in the peer set because it uses box spreads, not because it is a long/short equity fund.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • Tidal named FLEX options and box spreads as a possible path (S10 in fund_context.md). XBOX shows a 40 Act ETF can run SPY FLEX box spreads at $316.15 million, cleared through the OCC.
  • But XBOX is the lender. It buys boxes and earns the implied rate. To reach 150 long on $100, our fund would sell boxes to borrow $50. That is the other side of XBOX's trade.
  • XBOX's documents say nothing about Rule 18f-4. So they give no precedent on whether a sold box counts as derivatives exposure under 18f-4 or as borrowing under Section 18. Our counsel would need to settle that.
  • The SEC's review of XBOX dealt with disclosure: the objective, wording, maturities, partial box trades and the name. Neither letter mentions Rule 18f-4 or Section 18 (XBOX-CORR1; XBOX-CORR2). So the review sets no precedent for a fund that sells boxes to borrow. Staff not raising a point is not approval of it; staff's Comment 1 says the fund stays responsible for its disclosure "notwithstanding any review, comments, action, or absence of action by the Staff" (XBOX-CORR1, page 1).
• What does it show about financing, collateral, custody and costs? (my inference)
  • Rate: the fact sheet pitches boxes as able "to outperform treasury bills" (XBOX-FS, page 1). If buyers earn more than T-bills, a box seller pays more than T-bills. So k in our formula is likely above zero over the T-bill base. Our box route would cost about $50 × k + $150 × c + $150 × b per $100 a year, above the base rate.
  • XBOX's since-inception return, about 4.25% a year before checking against T-bills (my arithmetic), gives a rough view of box rates in 2026. On November 11, 2026, the box XBOX held implied about 4.60% a year simple to December 30, 2026, before fees (my arithmetic, from XBOX-HOLD; see section 5). No T-bill figure is in the documents, so k can't be worked out from them.
  • Collateral: option margin sits with a clearing member in an OCC omnibus account. A box seller would post margin the same way. That is a fourth place collateral sits, beside the custodian, the stock lender and any broker.
  • Custody: the SAI allows option sale proceeds to stay with a prime broker "or by the Fund's custodian in a special custody account" (XBOX-SAI, page 28). A special custody account at U.S. Bank is a possible model for keeping margin with the main custodian.
  • Costs: four legs per box mean commissions and bid/ask spreads on every roll. XBOX calls commissions potentially "material" (XBOX-PR, page 7). Rolling a borrowing box every one to six months would repeat these costs.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• The clearing member's name, and how much margin OCC and the clearing member require on a box.
• The implied rate on XBOX's boxes versus T-bills and SOFR, net of commissions.
• Whether any ETF sells boxes to borrow, and how its board and counsel treated it under Rule 18f-4 and Section 18.
• XBOX's Rule 18f-4 status: limited derivatives user or full program, VaR test, reference portfolio and derivatives risk manager. Neither SEC correspondence letter addresses it (XBOX-CORR1; XBOX-CORR2).
• Measured exposure as a stated figure. Full holdings are now known for November 11, 2026: one SPY box, plus FGXXX and cash (XBOX-HOLD). Holdings over time, and whether QQQ boxes have ever been held, are not.
• Single-issuer exposure. SEC staff asked whether the fund "will have significant exposure to any single issuer." Roundhill named SPY and QQQ but did not answer yes or no (XBOX-CORR1, page 4, Comment 8 and Response).
• The SEC staff's own comment letters are not among the 12 EDGAR search results for Roundhill ETF Trust reviewed on November 11, 2026. The staff's comments are known only as restated in Roundhill's replies.
• Commissions and turnover. The semi-annual report listed on the fact sheet should show these, but it wasn't attached. Next documents to get: XBOX_Semi-Annual_TSR.pdf and Roundhill_Trust_SemiAnnual_Financial_Statements_Other_Information.pdf (XBOX-WEB, page 5), and N-PORT filings under CIK 1976517.
• Whether the fund uses the special custody account or a prime broker in practice.

Questions to ask:

• To Roundhill or ETC: Which clearing member clears XBOX's FLEX boxes? What margin is posted per box, and where?
• To Roundhill or ETC: Does XBOX treat its written legs as derivatives exposure under Rule 18f-4? Is it a limited derivatives user?
• To Roundhill or ETC: What spread to T-bills have XBOX's boxes earned since launch, after commissions?
• To Tidal: Would Tidal's board approve selling SPY FLEX boxes to borrow the extra 50% for our longs? How would Tidal count that under Section 18 and Rule 18f-4?
• To Tidal or U.S. Bank: Can option margin for a box sale sit in a special custody account at the main custodian?

Search terms tried for fields left "Not stated":

• Exposure and leverage: leverage, gross, net, notional, borrow, asset coverage, line of credit.
• Shorting and prime broker: short sale, sold short, prime broker, margin, Regulation T, portfolio margin, clearing member, futures commission.
• Swaps and other methods: swap, counterparty, futures, reverse repurchase.
• Rule 18f-4: 18f-4, value at risk, VaR, derivatives risk manager, limited derivatives user, derivatives exposure, risk management program.
• Commodity pool: commodity pool, 4.5, CFTC, Commodity Exchange.
• Costs and history: brokerage commission, portfolio turnover, fiscal year, predecessor, reorganiz, 351.
• Fund data: CUSIP, Morningstar, beta, Sharpe, volatility.

14. Documents used

Page numbering.

• XBOX-FS: a web page printout with no printed page numbers. Content runs across page breaks; for example, Fund Details starts on page 1 and ends on page 2.
• XBOX-PR: PDF page 1 is the supplement, page 2 the cover, page 3 the contents. From PDF page 4 on, PDF page = printed page + 3. PDF page 40 is the back cover. The prospectus covers only XBOX.
• XBOX-SAI: PDF page 1 is the September 17 supplement. PDF pages 2 to 6 are the April 22 supplement. PDF page 7 is the cover, page 8 the contents. From PDF page 9 on, PDF page = printed page + 8. The SAI covers only XBOX; the April 22 supplement also covers Roundhill Memory ETF.
• XBOX-WEB: a web page printout with no printed page numbers, like XBOX-FS. Fund Details is on page 2; Top Holdings on page 3; Performance on pages 3 and 4; Fund Documents on page 5; risk text on pages 7 and 8.
• XBOX-HOLD: a CSV with a header row and six data rows; cited by file, not by row.
• XBOX-CORR1 and XBOX-CORR2: PDF page = printed page. The redline in XBOX-CORR2 is visible only in the page image; the text layer runs deleted and added words together ("reliablywill").

15. Snapshot sources

• Ticker: XBOX-FS, page 1, "Fund Details".
• Fund name: XBOX-FS, page 1, header and "Overview". The prospectus and SAI use the old name; the change is in XBOX-PR, page 1, supplement dated September 17, 2026.
• As of date: the "Top Holdings" and "Performance" headings are each marked "As of 11/11/2026" (XBOX-WEB, page 3). The full holdings are in XBOX-HOLD. The earlier value, November 10, 2026, came from XBOX-FS, page 2.
• Adviser: XBOX-PR, page 16, "Management"; XBOX-FS, page 6.
• Platform: (my inference) the fund is a series of Roundhill ETF Trust (XBOX-PR, page 2, cover), whose President and Chairman are Roundhill's co-founders (XBOX-SAI, page 25, "Investment Adviser and Other Service Providers").
• Exchange: "Primary Exchange Cboe BZX" (XBOX-FS, page 1, "Fund Details").
• Inception: "Launch 3/18/2026" (XBOX-FS, page 2, "Fund Details", heading on page 1).
• Net assets: "AUM $316.22MM" (XBOX-WEB, page 2, "Fund Details"). No date is printed with it. It matches the November 11, 2026 holdings total of $316,216,708 (my arithmetic, from XBOX-HOLD). The earlier value, $316.15MM, came from XBOX-FS, page 2.
• Strategy type: (my inference) from "a market-neutral position with a fixed payoff at expiration" (XBOX-PR, page 5, "Principal Investment Strategies"). None of the six types fits well. In substance the fund is a T-bill substitute.
• Long %: Not stated. Section 5 gives about 7.6% in SPY terms on November 11, 2026 (my arithmetic, from XBOX-HOLD), which is not a document figure.
• Short %: Not stated, as above.
• Gross: Not stated.
• Above 2.0x: Not stated, because no gross figure is given. Each box nets to about zero, so the fund is far below 2.0x (my inference).
• Net: Not stated.
• Short method: "synthetic short position is created through the purchase of a put option and sale of a call option" (XBOX-PR, page 5). None of Direct, Swaps, Futures or Mix fits, so the value names the method.
• Prime broker or counterparty: "the Fund's counterparty is a clearinghouse, such as the OCC" (XBOX-PR, page 8, "Clearing Member Default Risk"). No clearing member or prime broker is named.
• Custodian: XBOX-SAI, page 28, "Custodian"; XBOX-PR, page 39, "Fund Service Providers".
• Management fee: XBOX-PR, page 4, "Fees and Expenses of the Fund"; XBOX-SAI, page 26. It is a unitary fee (XBOX-PR, page 32, "Management Fee").
• Total expense ratio: "Net Annual Fund Operating Expenses 0.1449%" (XBOX-PR, page 4); "Net Expense Ratio" of 0.1449% (XBOX-FS, page 2, "Fund Details" (heading on page 1)). Net of a contractual waiver until February 18, 2027.
• Short costs in expense ratio: the unitary fee excludes "dividends and other expenses on securities sold short" (XBOX-PR, page 4, footnote 1). The fee table has no line for them.
• 3-month return: not given. The fact sheet shows only since-inception and "-" for 1, 3 and 5 years, to September 30, 2026 (XBOX-FS, page 3). No period end applies.
• 1-year return: shown as "-" for 1 year to September 30, 2026; the fund launched March 18, 2026 (XBOX-FS, page 3).
• Beta: not given in any of the three documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: "The Fund's synthetic long position is created though the purchase of a call option and sale of a put option" (XBOX-PR, page 5). Holdings show one SPY box (XBOX-FS, page 2). Note: the key describes a fund that sells boxes to borrow. XBOX buys them ("willing to sell Box Spreads to the Fund", XBOX-PR, page 7), so it lends rather than borrows (my inference).
• Leverage cost: no interest, borrowing or financing spread is reported. No annual or semi-annual report was attached. The fund earns the box rate rather than paying it (my inference).
• Short dividend expense: no short sales of stock are described. Not stated.
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 27 of 27, as of November 11, 2026.
• Long/short: No. A box spread fund with no stock book; each box pairs a synthetic long with a synthetic short on SPY (XBOX-PR, page 5).
• Portfolio margin: NO. No short sales of stock; the only short exposure is the written options inside each box (XBOX-PR, page 5).
• Cross-collateral: Not stated. Option margin sits with an unnamed clearing member in an omnibus account (XBOX-PR, page 9).
• Outside Reg T: No. The fund holds listed options, not a stock margin account (XBOX-PR, pages 5 and 6) (my inference).
• Short costs (includes dividends): Not stated. The fund buys boxes and earns their rate rather than paying it (XBOX-PR, page 7) (my inference).
• Over 2.0x: Not stated. No gross figure is given in any document.
• Tidal: No. The fund is a series of Roundhill ETF Trust (XBOX-PR, page 2, cover).
• Score: 0 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI