UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended September 30, 2014.

¨	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from to .

Commission file number: 001-36392

DIREXION SHARES ETF TRUST II

(Exact name of registrant as specified in its charter)

Delaware

27-6710917

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

1301 Avenue of the Americas (6^th Ave,), 35^th Floor

New York, New York 10019

(Address of principal executive offices) (Zip code)

(866) 476-7523

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. x Yes ¨ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). x Yes ¨ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ¨ Yes x No

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Condensed Financial Statements.		1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		32

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		39

Item 4. Controls and Procedures.		43

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		44

Item 1A. Risk Factors.		44

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		45

Item 3. Defaults Upon Senior Securities.		45

Item 4. Mine Safety Disclosures.		45

Item 5. Other Information.		45

Item 6. Exhibits.		45

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


Documents	Page
Schedules of Investments		2
Statements of Financial Condition		6
Combined Statement of Financial Condition		9
Statements of Income and Expenses		10
Combined Statement of Income and Expenses		13
Statements of Changes in Shareholders’ Equity		14
Combined Statement of Changes in Shareholders’ Equity		17
Statements of Cash Flows		18
Combined Statement of Cash Flows		21
Financial Highlights		22
Notes to Financial Statements		23

Direxion Daily Gold Bull 3X Shares

Schedule of Investments

September 30, 2014 (Unaudited)


Shares			Value
	SHORT TERM INVESTMENTS - 92.1%
	Money Market Funds - 92.1%
	2,791,109	Fidelity Institutional Money Market Government Portfolio, 0.01%^(a)	$	2,791,109

		TOTAL SHORT TERM INVESTMENTS (Cost $2,791,109)	$	2,791,109

		Total Investments (Cost $2,791,109) - 92.1%	$	2,791,109
		Other Assets in Excess of Liabilities - 7.9%^(b)		240,198

		TOTAL NET ASSETS - 100.0%	$	3,031,307

Percentages are stated as a percent of net assets.

^(a)	Represents annualized seven-day yield at September 30, 2014.

^(b)	$1,072,714 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

September 30, 2014 (Unaudited)


Contracts			Unrealized Appreciation/ (Depreciation)
	72	Gold Futures Expiring December 2014 (Underlying Face Amount at Market Value $8,706,960)	$	(745,010	)

	10	Mini Gold Futures Expiring December 2014 (Underlying Face Amount at Market Value $401,687)		(14,120	)

			$	(759,130	)

The accompanying notes are an integral part of these financial statements.

Direxion Daily Gold Bull 3X Shares

Schedule of Investments

June 30, 2014


Shares			Value
	SHORT TERM INVESTMENTS - 84.6%
	Money Market Funds - 84.6%
	3,482,297	Fidelity Institutional Money Market Government Portfolio, 0.01%^(a)	$	3,482,297

		TOTAL SHORT TERM INVESTMENTS (Cost $3,482,297)	$	3,482,297

		Total Investments (Cost $3,482,297) - 84.6%	$	3,482,297
		Other Assets in Excess of Liabilities - 15.4%^(b)		632,395

		TOTAL NET ASSETS - 100.0%	$	4,114,692

Percentages are stated as a percent of net assets.

^(a)	Represents annualized seven-day yield at June 30, 2014.

^(b)	$335,311 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

June 30, 2014


Contracts			Unrealized Appreciation/ (Depreciation)
	88	Gold Futures Expiring August 2014 (Underlying Face Amount at Market Value $11,704,880)	$	312,900
	14	Mini Gold Futures Expiring August 2014 (Underlying Face Amount at Market Value $618,184)		22,599

			$	335,499

The accompanying notes are an integral part of these financial statements.

Direxion Daily Gold Bear 3X Shares

Schedule of Investments

September 30, 2014 (Unaudited)


Shares			Value
	SHORT TERM INVESTMENTS - 87.9%
	Money Market Funds - 87.9%
	4,276,419	Fidelity Institutional Money Market Government Portfolio, 0.01%^(a)	$	4,276,419

		TOTAL SHORT TERM INVESTMENTS (Cost $4,276,419)	$	4,276,419

		Total Investments (Cost $4,276,419) - 87.9%	$	4,276,419
		Other Assets in Excess of Liabilities - 12.1%		591,422

		TOTAL NET ASSETS - 100.0%	$	4,867,841

Percentages are stated as a percent of net assets.

^(a)	Represents annualized seven-day yield at September 30, 2014.

Short Futures Contracts

September 30, 2014 (Unaudited)


Contracts			Unrealized Appreciation/ (Depreciation)
	116	Gold Futures Expiring December 2014 (Underlying Face Amount at Market Value $14,027,880)	$	899,780

	14	Mini Gold Futures Expiring December 2014 (Underlying Face Amount at Market Value $562,362)		25,488

			$	925,268

The accompanying notes are an integral part of these financial statements.

Direxion Daily Gold Bear 3X Shares

Schedule of Investments

June 30, 2014


Shares			Value
	SHORT TERM INVESTMENTS - 88.6%
	Money Market Funds - 88.6%
	3,308,208	Fidelity Institutional Money Market Government Portfolio, 0.01%^(a)	$	3,308,208

		TOTAL SHORT TERM INVESTMENTS (Cost $3,308,208)	$	3,308,208

		Total Investments (Cost $3,308,208) - 88.6%	$	3,308,208
		Other Assets in Excess of Liabilities - 11.4%^(b)		425,718

		TOTAL NET ASSETS - 100.0%	$	3,733,926

Percentages are stated as a percent of net assets.

^(a)	Represents annualized seven-day yield at June 30, 2014.

^(b)	$833,277 of cash is pledged as collateral for futures contracts.

Short Futures Contracts

June 30, 2014


Contracts			Unrealized Appreciation/ (Depreciation)
	80	Gold Futures Expiring August 2014 (Underlying Face Amount at Market Value $10,640,800)	$	(349,900	)
	13	Mini Gold Futures Expiring August 2014 (Underlying Face Amount at Market Value $574,028)		(19,278	)

			$	(369,178	)

The accompanying notes are an integral part of these financial statements.

Statements of Financial Condition


	Direxion Daily Gold Bull 3X Shares				Direxion Daily Gold Bear 3X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Investments, at market value (Cost $2,791,109, $3,482,297, $4,276,419 and $3,308,208, respectively)	$	2,791,109	$	3,482,297	$	4,276,419	$	3,308,208
Cash		—		—		—		—
Dividends and interest receivable		25		26		33		30
Variation margin receivable		—		16,851		84,043		—
Deposit at broker for futures		1,072,714		335,311		—		833,277
Due from broker for futures		—		318,648		842,852		—
Due from investment adviser, net		13,831		50,327		13,740		50,327
Prepaid expenses and other assets		4,620		2,903		4,613		2,903

Total assets		3,882,299		4,206,363		5,221,700		4,194,745

Liabilities and shareholder’s equity:
Liabilities
Deposit from broker for futures		—		—		262,103		—
Due to broker for futures		703,958		—		—		349,441
Variation margin payable		55,172		—		—		19,737
Accrued expenses and other liabilities		91,862		91,671		91,756		91,641

Total liabilities		850,992		91,671		353,859		460,819

Shareholder’s equity
Shareholder’s equity		3,031,307		4,114,692		4,867,841		3,733,926

Total liabilities and shareholders’ equity	$	3,882,299	$	4,206,363	$	5,221,700	$	4,194,745

Calculation of Net Asset Value Per Share:
Net assets	$	3,031,307	$	4,114,692	$	4,867,841	$	3,733,926
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		100,025		100,025		100,025		100,025
Net asset value, redemption and offering price per share	$	30.31	$	41.14	$	48.67	$	37.33


	Direxion Daily Silver Bull 3X Shares				Direxion Daily Silver Bear 3X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Cash	$	1,000	$	1,000	$	1,000	$	1,000

Total assets		1,000		1,000		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities
Total liabilities		—		—		—		—

Shareholder’s equity
Shareholder’s equity		1,000		1,000		1,000		1,000

Total liabilities and shareholders’ equity	$	1,000	$	1,000	$	1,000	$	1,000

Calculation of Net Asset Value Per Share:
Net assets	$	1,000	$	1,000	$	1,000	$	1,000
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		25		25		25		25
Net asset value, redemption and offering price per share	$	40.00	$	40.00	$	40.00	$	40.00

The accompanying notes are an integral part of these financial statements.

Statements of Financial Condition


	Direxion Daily Japanese Yen Bull 3X Shares				Direxion Daily Japanese Yen Bear 3X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Cash	$	1,000	$	1,000	$	1,000	$	1,000

Total assets		1,000		1,000		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities
Total liabilities		—		—		—		—

Shareholder’s equity
Shareholder’s equity		1,000		1,000		1,000		1,000

Total liabilities and shareholders’ equity	$	1,000	$	1,000	$	1,000	$	1,000

Calculation of Net Asset Value Per Share:
Net assets	$	1,000	$	1,000	$	1,000	$	1,000
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		25		25		25		25
Net asset value, redemption and offering price per share	$	40.00	$	40.00	$	40.00	$	40.00


	Direxion Daily Dollar Bull 3X Shares				Direxion Daily Dollar Bear 3X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Cash	$	1,000	$	1,000	$	1,000	$	1,000

Total assets		1,000		1,000		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities
Total liabilities		—		—		—		—

Shareholder’s equity
Shareholder’s equity		1,000		1,000		1,000		1,000

Total liabilities and shareholders’ equity	$	1,000	$	1,000	$	1,000	$	1,000

Calculation of Net Asset Value Per Share:
Net assets	$	1,000	$	1,000	$	1,000	$	1,000
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		25		25		25		25
Net asset value, redemption and offering price per share	$	40.00	$	40.00	$	40.00	$	40.00

The accompanying notes are an integral part of these financial statements.

Statements of Financial Condition


	Direxion Daily Euro Bull 3X Shares				Direxion Daily Euro Bear 3X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Cash	$	1,000	$	1,000	$	1,000	$	1,000

Total assets		1,000		1,000		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities
Total liabilities		—		—		—		—

Shareholder’s equity
Shareholder’s equity		1,000		1,000		1,000		1,000

Total liabilities and shareholders’ equity	$	1,000	$	1,000	$	1,000	$	1,000

Calculation of Net Asset Value Per Share:
Net assets	$	1,000	$	1,000	$	1,000	$	1,000
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		25		25		25		25
Net asset value, redemption and offering price per share	$	40.00	$	40.00	$	40.00	$	40.00


	Direxion Daily Gold Bear 1X Shares				Direxion Daily Silver Bear 1X Shares
	September 30, 2014 (Unaudited)		June 30, 2014		September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Cash	$	1,000	$	1,000	$	1,000	$	1,000

Total assets		1,000		1,000		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities
Total liabilities		—		—		—		—

Shareholder’s equity
Shareholder’s equity		1,000		1,000		1,000		1,000

Total liabilities and shareholders’ equity	$	1,000	$	1,000	$	1,000	$	1,000

Calculation of Net Asset Value Per Share:
Net assets	$	1,000	$	1,000	$	1,000	$	1,000
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		25		25		25		25
Net asset value, redemption and offering price per share	$	40.00	$	40.00	$	40.00	$	40.00

The accompanying notes are an integral part of these financial statements.

Direxion Shares ETF Trust II

Combined Statements of Financial Condition


	September 30, 2014 (Unaudited)		June 30, 2014
Assets:
Investments, at market value (Cost $7,067,528 and $6,790,505, respectively)	$	7,067,528	$	6,790,505
Cash		10,000		10,000
Dividends and interest receivable		58		56
Variation margin receivable		84,043		16,851
Deposit at broker for futures		1,072,714		1,168,588
Due from broker for futures		842,852		318,648
Due from investment adviser, net		27,571		100,654
Prepaid expenses and other assets		2,502		5,806

Total assets		9,107,268		8,411,108

Liabilities and shareholder’s equity:
Liabilities
Deposit from broker for futures		262,103		—
Due to broker for futures		703,958		349,441
Variation margin		55,172		19,737
Accrued expenses and other liabilities		176,887		183,312

Total liabilities		1,198,120		552,490

Shareholder’s equity
Shareholder’s equity		7,909,148		7,858,618

Total liabilities and shareholders’ equity	$	9,107,268	$	8,411,108

Calculation of Net Asset Value Per Share:
Net assets	$	7,909,148	$	7,858,618
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		200,300		200,300

The accompanying notes are an integral part of these financial statements.

Statements of Income and Expenses


	Direxion Daily Gold Bull 3X Shares^(a)			Direxion Daily Gold Bear 3X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)			Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Interest income	$	83		$	93

Total investment income		83			93

Expenses:
Investment advisory fees		8,811			9,852
Licensing fees		1,260			1,260
Custody fees		1,539			1,539
Professional fees		54,010			54,010
Pricing fees		3,844			3,844
Administration fees		70			78
Accounting fees		1,771			1,779
Transfer agent fees		1,582			1,590
Reports to shareholders		11,973			11,973
Exchange listing fees		1,652			1,652
Miscellaneous fees		1,287			1,287
Broker commissions		1,110			1,414

Total expenses before reimbursement		88,909			90,278
Less: Expenses waived by Adviser		(64,812	)		(65,772	)

Net Expenses		24,097			24,506

Net investment loss		(24,014	)		(24,413	)

Realized and unrealized gain (loss) on futures:
Net realized gain (loss) on futures		35,258			(136,118	)

Change in net unrealized appreciation (depreciation) on futures		(1,094,629	)		1,294,446

Net realized and unrealized gain (loss) on futures		(1,059,371	)		1,158,328

Net income (loss)	$	(1,083,385	)	$	1,133,915


	Direxion Daily Silver Bull 3X Shares^(b)			Direxion Daily Silver Bear 3X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)			Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Total investment income	$	—		$	—

Expenses:
Total expenses		—			—

Net investment income (loss)		—			—

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on futures		—			—

Change in net unrealized appreciation (depreciation) on futures		—			—

Net realized and unrealized gain (loss) on investments		—			—

Net income (loss)	$	—		$	—

^(a)	The Fund commenced operations on April 10, 2014.

^(b)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Statements of Income and Expenses


	Direxion Daily Japanese Yen Bull 3X Shares^(a)		Direxion Daily Japanese Yen Bear 3X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Total investment income	$	—	$	—

Expenses:
Total expenses		—		—

Net investment income (loss)		—		—

Realized and unrealized gain (loss) on futures:
Net realized gain (loss) on futures		—		—

Change in net unrealized appreciation (depreciation) on futures		—		—

Net realized and unrealized gain (loss) on futures		—		—

Net income (loss)	$	—	$	—


	Direxion Daily Dollar Bull 3X Shares^(a)		Direxion Daily Dollar Bear 3X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Total investment income	$	—	$	—

Expenses:
Total expenses		—		—

Net investment income (loss)		—		—

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on futures		—		—

Change in net unrealized appreciation (depreciation) on futures		—		—

Net realized and unrealized gain (loss) on investments		—		—

Net income (loss)	$	—	$	—

^(a)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Statements of Income and Expenses


	Direxion Daily Euro Bull 3X Shares^(a)		Direxion Daily Euro Bear 3X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Total investment income	$	—	$	—

Expenses:
Total expenses		—		—

Net investment income (loss)		—		—

Realized and unrealized gain (loss) on futures:
Net realized gain (loss) on futures		—		—

Change in net unrealized appreciation (depreciation) on futures		—		—

Net realized and unrealized gain (loss) on futures		—		—

Net income (loss)	$	—	$	—


	Direxion Daily Gold Bear 1X Shares^(a)		Direxion Daily Silver Bear 1X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Total investment income	$	—	$	—

Expenses:
Total expenses		—		—

Net investment income (loss)		—		—

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on futures		—		—

Change in net unrealized appreciation (depreciation) on futures		—		—

Net realized and unrealized gain (loss) on investments		—		—

Net income (loss)	$	—	$	—

^(a)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Direxion Shares ETF Trust II

Combined Statement of Income and Expenses


	Three Months Ended September 30, 2014 (Unaudited)
Investment Income:
Interest income	$	176

Total investment income		176

Expenses:
Investment advisory fees		18,663
Licensing fees		2,520
Custody fees		3,078
Professional fees		108,020
Pricing fees		7,688
Administration fees		148
Accounting fees		3,550
Transfer agent fees		3,172
Reports to shareholders		23,946
Exchange listing fees		3,304
Insurance fees		2,574
Broker commissions		2,524

Total expenses before reimbursement		179,187
Less: Expenses waived by Adviser		(130,584	)

Net Expenses		48,603

Net investment income (loss)		(48,427	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on futures		(100,860	)

Change in net unrealized appreciation (depreciation) on futures		199,817

Net realized and unrealized gain (loss) on investments		98,957

Net income	$	50,530

The accompanying notes are an integral part of these financial statements.

Statements of Changes in Shareholders’ Equity


	Direxion Daily Gold Bull 3X Shares^(a)			Direxion Daily Gold Bear 3X Shares^(a)
	Three Months Ended September 30, 2014 (Unaudited)			Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (100,025 shares each, respectively)	$	4,114,692		$	3,733,926
Sale of shares		—			—
Net income (loss):
Net investment loss		(24,014	)		(24,413	)
Net realized gain (loss) on investments		35,258			(136,118	)
Change in net unrealized appreciation (depreciation) on investments		(1,094,629	)		1,294,446

Net income (loss)		(1,083,385	)		1,133,915

Shareholders’ equity, end of quarter (100,025 shares each, respectively)	$	3,031,307		$	4,867,841


	Direxion Daily Silver Bull 3X Shares^(b)			Direxion Daily Silver Bear 3X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)			Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (25 shares each, respectively)	$	1,000		$	1,000
Sale of shares		—			—
Net income (loss):
Net investment loss		—			—
Net realized gain (loss) on investments		—			—
Change in net unrealized appreciation (depreciation) on investments		—			—

Net income (loss)		—			—

Shareholders’ equity, end of quarter (25 shares each, respectively)^(c)	$	1,000		$	1,000

^(a)	The Fund commenced operations on April 10, 2014.

^(b)	The Fund had not commenced operations as of September 30, 2014.

^(c)	Represents the Fund’s initial capital contribution.

The accompanying notes are an integral part of these financial statements.

Statements of Changes in Shareholders’ Equity


	Direxion Daily Japanese Yen Bull 3X Shares^(b)		Direxion Daily Japanese Yen Bear 3X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (25 shares each, respectively)	$	1,000	$	1,000
Sale of shares		—		—
Net income (loss):
Net investment loss		—		—
Net realized gain (loss) on investments		—		—
Change in net unrealized appreciation (depreciation) on investments		—		—

Net income (loss)		—		—

Shareholders’ equity, end of quarter (25 shares each, respectively)^(a)	$	1,000	$	1,000


	Direxion Daily Dollar Bull 3X Shares^(b)		Direxion Daily Dollar Bear 3X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (25 shares each, respectively)	$	1,000	$	1,000
Sale of shares		—		—
Net income (loss):
Net investment loss		—		—
Net realized gain (loss) on investments		—		—
Change in net unrealized appreciation (depreciation) on investments		—		—

Net income (loss)		—		—

Shareholders’ equity, end of quarter (25 shares each, respectively)^(a)	$	1,000	$	1,000

^(a)	Represents the Fund’s initial capital contribution.

^(b)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Statements of Changes in Shareholders’ Equity


	Direxion Daily Euro Bull 3X Shares^(b)		Direxion Daily Euro Bear 3X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (25 shares each, respectively)	$	1,000	$	1,000
Sale of shares		—		—
Net income (loss):
Net investment loss		—		—
Net realized gain (loss) on investments		—		—
Change in net unrealized appreciation (depreciation) on investments		—		—

Net income (loss)		—		—

Shareholders’ equity, end of quarter (25 shares each, respectively)^(a)	$	1,000	$	1,000


	Direxion Daily Gold Bear 1X Shares^(b)		Direxion Daily Silver Bear 1X Shares^(b)
	Three Months Ended September 30, 2014 (Unaudited)		Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (25 shares each, respectively)	$	1,000	$	1,000
Sale of shares		—		—
Net income (loss):
Net investment loss		—		—
Net realized gain (loss) on investments		—		—
Change in net unrealized appreciation (depreciation) on investments		—		—

Net income (loss)		—		—

Shareholders’ equity, end of quarter (25 shares each, respectively)^(a)	$	1,000	$	1,000

^(a)	Represents the Fund’s initial capital contribution.

^(b)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Direxion Shares ETF Trust II

Combined Statement of Changes in Shareholders’ Equity


	Three Months Ended September 30, 2014 (Unaudited)
Shareholders’ equity, beginning of quarter (200,300 shares)	$	7,852,618
Sale of shares		—
Net income (loss)
Net investment loss		(48,427	)
Net realized gain (loss) on investments		(100,860	)
Change in net unrealized appreciation (depreciation) on investments		199,817

Net income (loss)		50,530

Shareholders’ equity, end of quarter (200,300 shares)	$	7,903,148

The accompanying notes are an integral part of these financial statements.

Statements of Cash Flows


	Direxion Daily Gold Bull 3X Shares^(a)			Direxion Daily Gold Bear 3X Shares^(a)
	Three months ended September 30, 2014 (Unaudited)			Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net income (loss)	$	(1,083,385	)	$	1,133,915
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in deposit at broker for futures contracts		(737,403	)		833,277
Net sales (purchases) of investments		691,188			(968,211	)
Decrease (Increase) in unrealized appreciation on futures contracts		335,499			(926,895	)
Increase (Decrease) in accrued expenses and other liabilities		(1,526	)		(1,595	)
Increase (Decrease) in due from investment adviser		36,496			36,587
Increase (Decrease) in deposit from broker for futures contracts		—			262,103
Increase (Decrease) in unrealized depreciation on futures contracts		759,130			(369,178	)
Increase (Decrease) in dividends and interest		1			(3	)

Net cash provided by (used in) operating activities		—			—
Cash flow from financing activities:
Proceeds from addition of shares		—			—
Payment on shares redeemed		—			—

Net cash provided by (used in) financing activities		—			—

Net increase (decrease) in cash		—			—

Cash, beginning of period		—			—

Cash, end of period	$	—		$	—


	Direxion Daily Silver Bull 3X Shares^(b)			Direxion Daily Silver Bear 3X Shares^(b)
	Three months ended September 30, 2014 (Unaudited)			Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net cash provided by (used in) operating activities	$	—		$	—
Cash flow from financing activities:
Net cash provided by (used in) financing activities		—			—

Net increase (decrease) in cash		—			—
Cash, beginning of period		1,000			1,000

Cash, end of period	$	1,000		$	1,000

^(a)	The Fund commenced operations on April 10, 2014.

^(b)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Statements of Cash Flows


	Direxion Daily Japanese Yen Bull 3X Shares^(a)		Direxion Daily Japanese Yen Bear 3X Shares^(a)
	Three months ended September 30, 2014 (Unaudited)		Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net cash provided by (used in) operating activities	$	—	$	—
Cash flow from financing activities:
Net cash provided by (used in) financing activities		—		—

Net increase (decrease) in cash		—		—

Cash, beginning of period		1,000		1,000

Cash, end of period	$	1,000	$	1,000


	Direxion Daily Dollar Bull 3X Shares^(a)		Direxion Daily Dollar Bear 3X Shares^(a)
	Three months ended September 30, 2014 (Unaudited)		Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net cash provided by (used in) operating activities	$	—	$	—
Cash flow from financing activities:
Net cash provided by (used in) financing activities		—		—

Net increase (decrease) in cash		—		—

Cash, beginning of period		1,000		1,000

Cash, end of period	$	1,000	$	1,000

^(a)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Statements of Cash Flows


	Direxion Daily Euro Bull 3X Shares^(a)		Direxion Daily Euro Bear 3X Shares^(a)
	Three months ended September 30, 2014 (Unaudited)		Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net cash provided by (used in) operating activities	$	—	$	—
Cash flow from financing activities:
Net cash provided by (used in) financing activities		—		—

Net increase (decrease) in cash		—		—

Cash, beginning of period		1,000		1,000

Cash, end of period	$	1,000	$	1,000


	Direxion Daily Gold Bear 1X Shares^(a)		Direxion Daily Silver Bear 1X Shares^(a)
	Three months ended September 30, 2014 (Unaudited)		Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net cash provided by (used in) operating activities	$	—	$	—
Cash flow from financing activities:
Net cash provided by (used in) financing activities		—		—

Net increase (decrease) in cash		—		—

Cash, beginning of period		1,000		1,000

Cash, end of period	$	1,000	$	1,000

^(a)	The Fund had not commenced operations as of September 30, 2014.

The accompanying notes are an integral part of these financial statements.

Direxion Shares ETF Trust II

Combined Statement of Cash Flows


	Three months ended September 30, 2014 (Unaudited)
Cash flow from operating activities:
Net income (loss)	$	50,530
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in deposit at broker for future contracts		95,874
Net sales (purchases) of investments		(277,023	)
Decrease (Increase) in unrealized appreciation on futures contracts		(591,396	)
Increase (Decrease) expenses and other liabilities		(3,121	)
Increase (Decrease) in due from investment adviser		73,083
Increase (Decrease) in deposit from broker for futures contracts		262,103
Increase (Decrease) in unrealized depreciation on future contracts		389,952
Increase (Decrease) in dividends and interest		(2	)
Net cash provided by (used in) operating activities		—
Cash flow from financing activities:
Proceeds from addition of shares		—
Payment on shares redeemed		—

Net cash provided by (used in) financing activities		—

Net increase (decrease) in cash		—

Cash, beginning of period		10,000

Cash, end of period	$	10,000

The accompanying notes are an integral part of these financial statements.

Financial Highlights

September 30, 2014


	Net Asset Value, Beginn ing of Year/ Period		Net Invest ment Income (Loss)^1,2			Net Invest ment Income (Loss)^1,3			Net Realized and Unreali zed Gain (Loss) on Invest ments			Net Increase (Decrease) in Net Asset Value Resulting from Opera tions			Total Distribu tions		Net Asset Value, End of Year/ Period		Total Return at Net Asset Value⁴			Net Assets, End of Year/ Period (000’s omitted)		Net Expenses^2,5,6			Total Expenses^2,6			Net Invest ment Income (Loss) after Expense Reimburse ment^2,5,6			Net Expenses^3,5,6			Total Expenses^3,6			Net Invest ment Income (Loss) after Expense Reimburse ment^3,6			Portfolio Turnover Rate⁷
Direxion Daily Gold Bull 3X Shares
Three Months Ended September 30, 2014 (Unaudited)	$	41.14	$	(0.24	)	$	(0.23	)	$	(10.59	)	$	(10.83	)	$	—	$	30.31		(26.32	)%	$	3,031		2.60	%		9.59	%		(2.59	%)		2.48	%		9.47	%		(2.47	%)		—	%
For the Period April 10, 2014⁸ through June 30, 2014	$	40.00		(0.21	)		(0.20	)		1.35			1.14			—	$	41.14		2.85	%	$	4,115		2.49	%		13.10	%		(2.48	%)		2.32	%		12.93	%		(2.31	%)		—	%
Direxion Daily Gold Bear 3X Shares
Three Months Ended September 30, 2014 (Unaudited)	$	37.33	$	(0.24	)	$	(0.23	)	$	11.58		$	11.34		$	—	$	48.67		30.38	%	$	4,868		2.36	%		8.71	%		(2.35	%)		2.23	%		8.57	%		(2.22	%)		—	%
For the Period April 10, 2014⁸ through June 30, 2014	$	40.00		(0.21	)		(0.20	)		(2.46	)		(2.67	)		—	$	37.33		(6.68	)%	$	3,734		2.31	%		12.05	%		(2.30	%)		2.11	%		11.86	%		(2.10	%)		—	%

¹	Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.

²	Including brokerage commissions.

³	Excluding brokerage commissions.

⁴

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor.

⁵	Net expenses include effects of any reimbursement or recoupment.

⁶	For periods less than a year, these ratios are annualized.

⁷	Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Portfolio turnover rate does not include effects of turnover of the futures contracts.

⁸	Commencement of investment operations. As of September 30, 2014, no other Fund had commenced operations.

The accompanying notes are an integral part of these financial statements.

DIREXION SHARES ETF TRUST II

NOTES TO THE FINANCIAL STATEMENTS

September 30, 2014 (Unaudited)

1. ORGANIZATION

Direxion Shares ETF Trust II (the “Trust”) was organized as a Delaware statutory trust on July 12, 2010. A registration statement on Form S-1 pertaining to the shares of the Trust has been filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933. The Trust is organized into twelve separate series (each a “Fund” and collectively, the “Funds”): Direxion Daily Gold Bull 3X Shares, Direxion Daily Gold Bear 3X Shares, Direxion Daily Silver Bull 3X Shares, Direxion Daily Silver Bear 3X Shares, Direxion Daily Japanese Yen Bull 3X Shares, Direxion Daily Japanese Yen Bear 3X Shares, Direxion Daily Dollar Bull 3X Shares, Direxion Daily Dollar Bear 3X Shares, Direxion Daily Euro Bull 3X Shares, Direxion Daily Euro Bear 3X Shares, Direxion Daily Gold Bear 1X Shares and Direxion Daily Silver Bear 1X Shares. The Funds with the word “3X” in their names are referred to as the Leveraged Funds. Each series of the Trust listed above issues common units of beneficial interest, which represent units of fractional undivided beneficial interest in and ownership of that respective Fund (“Shares”). Each Fund’s Shares will be offered separately. The Shares of each Fund will be listed on the New York Stock Exchange Archipelago (“NYSE Arca”). On April 10, 2014, the Direxion Daily Gold Bull 3X Shares and the Direxion Daily Gold Bear 3X Shares commenced operations. The remaining ten Funds are non-operational. The non-operational Funds have seed capital of $1,000. Direxion Asset Management, LLC (the “Sponsor”) has subscribed for 25 Units of each of these Funds in exchange for a capital contribution of $1,000 to each Fund.

The Sponsor serves as the Trust’s commodity pool operator and commodity trading advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). In its capacity as a commodity pool operator, the Sponsor is an organization which operates or solicits funds for commodity pools, 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 Sponsor is an organization which, for compensation or profit, advises others as to the value of or the advisability of buying or selling futures contracts. Rafferty Asset Management, LLC is the parent and the sole owner of the Sponsor. The Trust and each series of the Trust have fiscal years ending on June 30.

Each Fund seeks to provide daily leveraged investment results (before fees and expenses) which correspond to the performance of a particular index, commodity or currency on a given day. The Funds with the word “Bull” in their name attempt to provide daily leveraged investment results (before fees and expenses) that correlate positively to the return of an index or benchmark. The Funds with the word “Bear” in their name attempt to provide daily leveraged investment results that correlate negatively to the return of an index or benchmark.


Fund	Index or Benchmark	Daily Target
Direxion Daily Gold Bull 3X Shares	Daily performance of COMEX gold futures		300	%

Direxion Daily Gold Bear 3X Shares	Daily performance of COMEX gold futures		-300	%

Direxion Daily Silver Bull 3X Shares	Daily performance of COMEX silver futures		300	%

Direxion Daily Silver Bear 3X Shares	Daily performance of COMEX silver futures		-300	%

Direxion Daily Japanese Yen Bull 3X Shares	U.S. Dollar price of the Japanese Yen		300	%

Direxion Daily Japanese Yen Bear 3X Shares	U.S. Dollar price of the Japanese Yen		-300	%



Direxion Daily Dollar Bull 3X Shares	U.S. Dollar Index	300	%

Direxion Daily Dollar Bear 3X Shares	U.S. Dollar Index	-300	%

Direxion Daily Euro Bull 3X Shares	U.S. Dollar price of the Euro	300	%

Direxion Daily Euro Bear 3X Shares	U.S. Dollar price of the Euro	-300	%

Direxion Daily Gold Bear 1X Shares	Daily performance of COMEX gold futures	-100	%

Direxion Daily Silver Bear 1X Shares	Daily performance of COMEX silver futures	-100	%

The Bull 3X Funds attempt to provide daily leveraged investment results (before fees and expenses) that correlate positively to three times (300%) the daily return of its target benchmark. The Bear 3X Funds attempt to provide daily leveraged investment results (before fees and expenses) that correlate to three times the inverse (-300%) of the daily return of its target benchmark. The Bear 1X Funds attempt to provide daily investment results (before fees and expenses) that correlate negatively to the return of an index or benchmark. These Bear Funds seek -100% of the returns of their benchmark indices. None of the Funds seek to achieve their stated objective over a period greater than one day.

Each Fund intends to obtain exposure to its benchmark by taking long or short positions in futures contracts on its underlying commodity or currency, as applicable. In the event position accountability rules or position limits are reached with respect to the futures contracts, the Sponsor may, in its commercially reasonable judgment, cause the effected Fund to obtain exposure to its benchmark through cash-settled, exchange-traded swaps and other over-the-counter transactions that are based on the price of the futures contracts (“Financial Instruments”), if such instruments tend to exhibit trading prices or returns that correlate with the related futures contract and will further the investment objective of such Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”).

a) Basis of Accounting

Pursuant to rules and regulations of the SEC, financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of one Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. The accompanying financial statements have been prepared in conformity with GAAP.

b) Investment Valuation

The Net Asset Value (“NAV”) per share of each Fund will be determined daily, as of the close of regular trading on the NYSE Arca (normally at 4:00 p.m. Eastern time), each day the NYSE Arca is open for business (“Valuation Time”). Futures contracts will be valued at the settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used.

c) Futures Contracts

Each Fund will enter into futures contracts to gain exposure to changes in the values of a commodity, an underlying index or a foreign currency. Upon entering into a contract, the Fund will deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and will be recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund will record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Due to timing differences as to when these gains or losses are recorded as opposed to when such gains or losses are received from or paid to the broker, an amount on the Statement of Financial Condition referred to as “Due from/to broker for futures” may be presented. As collateral for futures contracts, a Fund will maintain assets consisting of cash and cash equivalents (highly liquid investments with original maturities of less than three months). This collateral will be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.

The risks inherent in the use of futures contracts include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of futures contracts and movements in the price of the underlying commodity, index or foreign currency; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible nonperformance by the counterparty under the terms of the contract.

d) Guarantees and Indemnifications

In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon the occurrence of specified events. The Funds’ maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.

e) Use of Estimates

The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses and related disclosure of contingent assets and liabilities during the reporting period of the financial statements. Actual results could differ from those estimates.

f) Federal Income Taxes

The Funds will be classified as partnerships for United States federal income tax purposes. Accordingly, the Funds will not incur United States federal income taxes. No provisions for federal income taxes have been made in the accompanying financial statements, as investors are individually responsible for their own income taxes, if any, on their allocable share of a Fund’s income, gain, loss, deductions and other items. Each Fund will furnish shareholders every year with tax information on IRS Schedule K-1 (Form 1065) and each U.S. shareholder is required to report on its U.S. federal income tax return its allocable share of income, gain, loss and deduction of a Fund.

3. OFFERING OF SHARES

Each Fund will continuously offer and redeem in blocks of 50,000 Shares (“Creation Units”). Only an authorized participant, an entity that has entered into an Authorized Participant Agreement with one or more of the Funds (“Authorized Participant”), may purchase and redeem Shares of the Fund and then only in Creation Units. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective net asset value per Share (“NAV”). Authorized Participants may then offer to the public, from time to time, Shares from any Creation

Unit they create at a per share market price that varies depending on, among other factors, the trading price of the Share of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based on the above factors. Authorized Participants will not receive from any Fund, Sponsor, or any of their affiliates, any fee or other compensation with their sale of Shares to the public. The difference between the price paid by the Authorized Participant for a Share and the price paid to such Authorized Participant by an investor purchasing such Share may be deemed underwriting compensation.

Transaction fees payable to the Trust are imposed to compensate the Trust for the transfer and other transaction costs of a Fund associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is applicable to each creation or redemption transaction, regardless of the number of creation units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each creation unit purchased or redeemed is applicable to each creation or redemption transaction.

4. FEES AND EXPENSES

a) Organization and Offering Expenses

Expenses incurred in connection with organizing the Funds and the offering of the Shares upon commencement of its trading operations are paid by Rafferty Asset Management, LLC, the parent and sole owner of the Sponsor. Expenses incurred in connection with the continuous offering of Shares of the Funds after the commencement of its trading operations will be paid by the Funds. Rafferty Asset Management, LLC will also pay all expenses incurred by the Sponsor in connection with its organization and operation until the commencement of each Fund’s trading operations.

b) Expenses

Expenses directly attributable to a Fund are charged to that Fund, while expenses attributable to more than one series of the Trust will be allocated among the respective operational Funds and are based on relative net assets or another appropriate basis.

c) Management Fee

Each Fund will pay the Sponsor a management fee, monthly in arrears, in an amount equal to 0.95% per annum of the average daily net asset value. The management fee will be paid in consideration of the Sponsor’s services as commodity pool operator, commodity trading advisor, and for managing the business and affairs of the Fund.

d) The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed U.S. Bancorp Fund Services LLC (“USBFS”) as the administrator of the Funds, Sponsor, and the Trust on its own behalf and on behalf of each Fund. Under the supervision and direction of the Sponsor and the Trust, USBFS will prepare and file certain regulatory filings on behalf of the Funds. USBFS may also perform other services for the Funds as mutually agreed upon by the Sponsor, the Trust and USBFS from time to time. USBFS will also serve as the fund accountant and transfer agent of the Funds.

e) The Custodian

U.S. Bank N.A. (“U.S. Bank”) will serve as custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund. U.S. Bank will be responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to U.S. Bank by the Funds.

f) The Distributor

Foreside Fund Services, LLC (“Foreside”), will serve as distributor of the Shares and will assist the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including reviewing and approving marketing materials. Foreside will retain all marketing materials separately for each Fund. The Sponsor, on behalf of each Fund, will enter into a Distribution Services Agreement with Foreside.

g) Brokerage Commissions and Fees

Each Fund will pay to Jefferies Bache Commodities, LLC, which will serve as each Fund’s Futures Commission Merchant (“FCM” or “the Commodity Broker”), all brokerage commissions, including applicable exchange fees, National Futures Association fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in CFTC regulated investments. The Funds will bear other transaction costs including the effects of trading spreads and financing costs associated with the use of financial instruments, and costs relating to the purchase of U.S. Treasury Securities or similar high credit quality short-term fixed-income or similar securities. The Funds intend for their Shares to be offered in highly liquid markets and therefore expect costs relating to trading spreads will be low.

h) Routine Operational, Administrative and Other Ordinary Expenses

The Funds will be responsible to pay all of the routine operational, administrative and other ordinary expenses, including, but not limited to, fees and expenses of the administrator, custodian, transfer agent, fund accountant, audit, tax preparation, license fees, legal fees, ongoing SEC registration fees related to future required filings, filing fees, individual K-1 preparation and mailing fees, report preparation and mailing and expected expenses incurred in connection with the continuous offering of Shares of each Fund. The Sponsor may choose to waive a portion of these fees at their discretion. For the quarter ended September 30, 2014, the Sponsor waived $64,812 and $65,772 of fees in the Direxion Daily Gold Bull 3X Shares and Direxion Daily Gold Bear 3X Shares, respectively.

i) Non-Recurring Fees and Expenses

Each Fund will pay all of its non-recurring and extraordinary fees and expenses, if any, as determined by the Sponsor. Non-recurring and extraordinary fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Funds. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses.

5. FAIR VALUE MEASUREMENTS

The Funds follow authoritative fair value accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes of valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:

•

Level 1 – Quoted prices in active markets for identical securities

•

Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the credit risk associated with investing in those securities.

The follow is a summary of the inputs used to value the Funds’ investments as of September 30, 2014 and June 30, 2014:


Direxion Daily Gold Bull 3X Shares
	September 30, 2014			June 30, 2014
Short-Term Investments (Level 1)	$	2,791,109		$	3,482,297
*Other Financial Instruments (Level 1)**		(759,130	)		335,499

Direxion Daily Gold Bear 3X Shares
	September 30, 2014			June 30, 2014
Short-Term Investments (Level 1)	$	4,276,419		$	3,308,208
Other Financial Instruments*		925,268			(369,178	)

For further detail on each asset class, see Schedule of Investments.

There were no Level 2 or Level 3 securities as of September 30, 2014 or June 30, 2014.

*	Other financial instruments are futures contracts not reflected in the Schedule of Investments.

Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

6. ACCOUNTING FOR DERIVATIVE INSTRUMENTS

The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivatives instruments, how derivatives instruments are accounted for and how derivative instruments affect a fund’s financial position and results of operations.

The Funds use futures contracts as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with futures contracts refer to Note 2. As of September 30, 2014, the Funds were invested in futures contracts.

At September 30, 2014 and June 30, 2014, the fair value of derivatives instruments, by primary risk, were as follows:


Asset derivatives¹
	Commodity risk
	September 30, 2014		June 30, 2014
Direxion Daily Gold Bear 3X Shares
Futures contracts*	$	84,043	$	335,499


Liability derivatives²
	Commodity risk
	September 30, 2014		June 30, 2014
Direxion Daily Gold Bull 3X Shares
Futures contracts*	$	55,172	$	369,178

¹	Statement of Financial Condition location: Variation margin receivable.

²	Statement of Financial Condition location: Variation margin payable.

*	Cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin, if any, is reported within the Statement of Financial Condition.

Transactions in derivative instruments during the quarter ended September 30, 2014, by primary risk, were as follows:


		Commodity risk			Total
Direxion Daily Gold Bull 3X Shares	Net Realized gain (loss)¹
	Futures contracts	$	35,258		$	35,258
	Change in net unrealized appreciation (depreciation)²
	Futures contracts		(1,094,629	)		(1,094,629	)
Direxion Daily Gold Bear 3X Shares	Net Realized gain (loss)¹
	Futures contracts		(136,118	)		(136,118	)
	Change in net unrealized appreciation (depreciation)²

	Futures contracts		1,294,446			1,294,446

¹	Statement of Income and Expenses location: Net realized gain (loss) on futures.

²	Statement of Income and Expense location: Change in net unrealized appreciation (depreciation) on futures.

For the quarter ended September 30, 2014, the average volume of the derivatives held by the Funds were as follows:


	Quarterly Average Gross Notional Amount
	Long Futures Contracts		Short Futures Contracts
Direxion Daily Gold Bull 3X Shares	$	10,927,671	$	—
Direxion Daily Gold Bear 3X Shares		—		13,180,580

For the period ended June 30, 2014, the average volume of the derivatives held by the Funds were as follows:


	Quarterly Average Gross Notional Amount
	Long Futures Contracts		Short Futures Contracts
Direxion Daily Gold Bull 3X Shares	$	5,993,974	$	—
Direxion Daily Gold Bear 3X Shares		—		5,422,651

¹	Commenced operations April 10, 2014.

7. OFFSETTING ASSETS AND LIABILITIES

The Funds may enter into master netting agreements or similar arrangements that allow for amounts owed between a Fund and the counterparty to be netted upon an early termination. However, a Fund does not offset the fair value amounts of the futures contract and the related collateral on the Statement of Financial Condition arising from futures contracts executed with the same counterparty under such master netting agreements or similar arrangement. The following table presents assets and liabilities available for offset represented in the Statement of Financial Condition to show the potential effect of master netting agreements or similar arrangements on a Fund’s financial condition as of September 30, 2014:


Assets:

Description: Futures Contract							Gross Amounts not offset in the Statement of Financial Condition
Fund Name	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts Presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged (Received)		Net Amount
Direxion Daily Gold Bear 3X Shares	$	925,268	$	—	$	925,268	$	—	$	—	$	925,268

Liabilities:

Description: Futures Contract							Gross Amounts not offset in the Statement of Financial Condition
Fund Name	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts Presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged (Received)		Net Amount
Direxion Daily Gold Bull 3X Shares	$	759,130	$	—	$	759,130	$	—	$	759,130	$	—


As of June 30, 2014:
Assets:

Description: Futures Contract							Gross Amounts not offset in the Statement of Financial Condition
Fund Name	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts Presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged (Received)		Net Amount
Direxion Daily Gold Bull 3X Shares	$	335,499	$	—	$	335,499	$	—	$	335,311	$	188

Liabilities:

Description: Futures Contract							Gross Amounts not offset in the Statement of Financial Condition
Fund Name	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts Presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged (Received)		Net Amount
Direxion Daily Gold Bear 3X Shares	$	369,178	$	—	$	369,178	$	—	$	369,178	$	—

8. RISKS

Below are some of the principal risks of investing in the Funds. Please refer to the Funds’ prospectus for a full discussion.

Intra-Day Investment Risk: The Funds seek daily investment results, which should not be equated with seeking an investment goal for shorter than a day. Thus, an investor who purchases Fund shares after the close of the markets on one trading day and before the close of the markets on the next trading day will likely have more, or less, than the target investment exposure to the benchmark, depending upon the movement of the benchmark from the end of one trading day until the time of purchase. If the benchmark moves in a direction favorable to the Fund, the Fund’s net assets will rise by the same amount as the Fund’s exposure. Conversely, if the benchmark moves in a direction adverse to the Fund, the Fund’s net assets will decline by the same amount as the Fund’s exposure. Since each Fund starts each trading day with exposure to the benchmark equal to its target (i.e. 300% or -300%, as applicable), a change in both exposure and the net assets of a Fund by the same amount results in a change in the comparative relationship of the two.

Compounding and Market Volatility Risk: There can be no guarantee that a Fund will achieve a high degree of correlation with its investment objective relative to its benchmark. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the Funds’ use of leveraged investment techniques, income items and accounting standards. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Each Leveraged Fund seeks to rebalance its portfolio daily to keep leverage consistent with each Fund’s daily investment objective. Each Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of its benchmark for periods other than a single day. Each Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding for the Funds. It also means that the return of a benchmark over a period of time greater than one day multiplied by the Fund’s daily target generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying benchmark due to the compounding effect of losses and gains on the returns of the Fund. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility.

Counterparty Risk: The Funds may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular commodity or currency. The Funds will use counterparty agreements to exchange the returns (or differentials in rates of return) earned or realized in particular predetermined investments or instruments. The Funds will not enter into any agreement involving a counterparty unless the Sponsor believes that the other party to the transaction is creditworthy. The use of swap agreements involves risks that are different from those associated with ordinary futures transactions. For example, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. In addition, the Funds may enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. Swap agreements and other counterparty instruments also may be considered to be illiquid. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Funds and, as a result, the Funds may not be able to achieve their investment objectives.

Leverage Risk: The Leveraged Funds use leveraged investment techniques in seeking to achieve their respective investment objectives. Leverage should cause a Leveraged Fund to lose more money in market environments adverse to its daily investment objectives than a Fund that does not employ leverage, which could result in the total loss of an investor’s investment.

Commodity Risk: An investment in a commodity fund is subject to risks associated with its applicable benchmark commodity. Changes in the commodity markets due to new commodity-linked instruments being available, large purchases or sales of commodities by world governments, supply and demand for a commodity or other market or political factors may affect the price of a commodity. Such price movement may, in turn, negatively affect the performance of a commodity fund.

Currency Risk: An investment in a currency fund is subject to risks associated with its applicable benchmark currency. Debt and trade deficit levels of relevant foreign countries, interest rates, inflation rates or other market or political factors may affect the price of a currency-related investment. Such price movement may, in turn, negatively affect the performance of a currency fund.

9. TERMINATION

Each Fund’s Shares will be offered on a continuous basis and the offering is not expected to terminate until three years from the date of the prospectus, unless suspended or terminated at any earlier time for certain reasons specified in the prospectus or extended as permitted under the rules under the Securities Act of 1933. The Trust or a Fund may be dissolved at any time and for any reason by the Sponsor with written notice to the shareholders.

10. SUBSEQUENT EVENTS

The Funds have adopted authoritative standards for accounting for and disclosure of events that occur after the statement of financial condition date but before the statement of financial condition are issued or are available to be issued. These standards require the Funds to recognize in the statement of financial condition the effects of all recognized subsequent events that provide additional evidence about conditions that existed at the date of the statement of financial condition. For nonrecognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Funds are required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. The Funds have evaluated subsequent events through the issuance of each Fund’s financial statements and have determined there is no impact to any Fund’s financial statements.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations.

The following discussion should be read in conjunction with the condensed financial statements and the notes thereto of the Direxion ETF Trust II (the “Trust”) included elsewhere in this quarterly report on Form 10-Q.

Forward-Looking Information

This quarterly report on Form 10-Q, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Funds’ or the Trust’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Funds’ or the Trust’s future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Trust cannot assure investors that the projections included in these forward-looking statements will come to pass. None of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results. The Funds’ and the Trust’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

The Funds and the Trust have based the forward-looking statements included in this quarterly report on Form 10-Q on information available to it on the date of this quarterly report on Form 10-Q, and the Funds and the Trust assumes no obligation to update any such forward-looking statements. Although the Trust and the Funds undertakes no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, investors are advised to consult any additional

disclosures that the Funds and the Trust may make directly to them or through reports that the Funds and the Trust in the future files with the U.S. Securities and Exchange Commission (the “SEC”), including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

Introduction

Direxion Shares ETF Trust II was organized as a Delaware statutory trust on July 12, 2010 and is currently organized into twelve separate series (each a “Fund” and collectively, the “Funds”): Direxion Daily Gold Bull 3X Shares, Direxion Daily Gold Bear 3X Shares, Direxion Daily Silver Bull 3X Shares, Direxion Daily Silver Bear 3X Shares, Direxion Daily Japanese Yen Bull 3X Shares, Direxion Daily Japanese Yen Bear 3X Shares, Direxion Daily Dollar Bull 3X Shares, Direxion Daily Dollar Bear 3X Shares, Direxion Daily Euro Bull 3X Shares, Direxion Daily Euro Bear 3X Shares, Direxion Daily Gold Bear 1X Shares and Direxion Daily Silver Bear 1X Shares. Each series of the Trust listed above issues common units of beneficial interest which represent units of fractional undivided beneficial interest in and ownership of that respective Fund (“Shares”).

Each Fund’s Shares will be offered separately. The Shares of each Fund will be listed on the New York Stock Exchange (“NYSE Arca”). As of September 30, 2014, each of the Funds had seed capital of $1,000, but only two of the Funds, Direxion Daily Gold Bull 3X Shares, Direxion Daily Gold Bear 3X Shares (“Gold 3X Funds”), commenced trading on the NYSE Arca on April 10, 2014. For the quarter ended September 30, 2014 other than the Gold 3X Funds no other Funds had commenced operations.

Direxion Asset Management, LLC (the “Sponsor”) serves as the Trust’s commodity pool operator with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”) and the applicable regulations of the CFTC are operated by the Sponsor. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended. Each Fund seeks to provide daily leveraged investment results (before fees and expenses) which correspond to the performance of a particular index, commodity or currency on a given day. Groups of Funds are collectively referred to in the quarterly report on Report 10-Q in several different ways. The Funds with the word “Bull” in their name attempt to provide daily leveraged investment results (before fees and expenses) that correlate positively to the return of an index or benchmark. The Funds with the word “Bear” in their name attempt to provide daily leveraged investment results that correlate negatively to the return of an index or benchmark.

Each Fund intends to obtain exposure to its benchmark by taking long or short positions in futures contracts on its underlying commodity or currency, as applicable. In the event position accountability rules or position limits are reached with respect to the futures contracts, the Sponsor may, in its commercially reasonable judgment, cause the effected Fund to obtain exposure to its benchmark through cash-settled, exchanged-traded swaps and other over-the-counter transactions that are based on the price of the futures contracts (“Financial Instruments”), if such instruments tend to exhibit trading prices or returns that correlate with the related futures contract and will further the investment objective of such Fund.

Each Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1 time, -3 times or 3 times of the return of the index to which

such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Fund’s return for the period as the return of the benchmark. These Funds are riskier than similarly benchmarked exchange-traded funds that are not leveraged or inversed. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

Each Fund continuously offers and redeems its Shares in blocks of 50,000 Shares. Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

A significant portion of the NAV of each Fund is likely to be held in cash and/or U.S. Treasury Securities or other high credit quality short-term fixed-income or similar securities as described above. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as margin for each Fund’s trading in futures. Margin requirements in respect of swap agreements are the subject of pending rule proposals issued by the CFTC and the U.S. bank regulators. It is possible that increased margin will apply to swap agreements upon adoption of the new requirements by these regulators. The percentage that U.S. Treasury bills and other short-term fixed-income securities will bear to the total net assets of each Fund will vary from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the quarter ended September 30, 2014, each of the Funds earned interest income as follows:


	Interest Income Quarter Ended September 30, 2014
Direxion Daily Gold Bull 3X Shares*	$	83
Direxion Daily Gold Bear 3X Shares*		93

Each Fund’s underlying futures and swaps, as the case may be, will be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps are not presently traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. Additionally, at the present time, most swaps are not centrally cleared and vary in terms of standardization, which may further contribute to their lack of liquidity. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, such positions can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into non-cleared swap agreements or forward contracts will further impact liquidity because these contractual agreements are executed on a principal-to-principal basis between private parties and therefore, the time required to offset or “unwind” these positions may be greater than that for cleared and/or exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund will enter trade futures and may enter into swap agreements, its capital will be 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). Credit risk is greater for non-cleared swaps than for futures or cleared swaps.

Market Risk

Trading in futures contracts will involve each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it would be required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Each Fund’s exposure to market risk will be influenced by a number of factors including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each 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. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this quarterly report on Form 10-Q.

Credit Risk

When a Fund enters into futures contracts, swap agreements or forward contract, 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 exchanges 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. In cases where the clearing house is not backed by the clearing members, it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

Swap agreements do not generally involve the delivery of securities or other 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.

The Sponsor will attempt to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties of the Funds;

•

not posting margin directly with a counterparty;

•

limiting the amount of margin or premium posted at the FCM; and

•

ensuring that deliverable contracts are not held to such a date when delivery of an underlying asset could be called for.

The FCM for each Fund, 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 FCM will not be allowed to commingle such assets with other assets of the FCM.

On November 14, 2012, the CFTC proposed new regulations that would require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures, and auditing and examination programs for FCMs. The proposed rules are intended to afford greater assurances to market participants that: customer segregated funds and secured amounts are protected; customers are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business; FCMs are monitoring and managing risks in a robust manner; the capital and liquidity of FCMs are strengthened to safeguard their continued operations; and the auditing and examination programs of the CFTC and the self-regulatory organizations (“SROs”) are monitoring the activities of FCMs in a thorough manner. The final regulations have not yet been adopted.

Off-Balance Sheet Arrangements and Contractual Obligations

As of September 30, 2014 and June 30, 2014, the Funds have not utilized, nor do they 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 Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Each Fund’s contractual obligations are with the Sponsor, certain service providers and with any counterparty to a Financial Instrument. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. Historical expenses are shown in the Statement of Income and Expenses. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Sponsor’s application of these policies involves judgments and actual results may differ from the estimates used. Each Fund expects to have significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in futures, swaps or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial

statements, with changes in fair value reported in the Statement of Income and Expenses. Assets of each Fund not invested in Financial Instruments will be invested in cash and/or U.S. Treasury Securities or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. or the applicable foreign currency with respect to a Currency Fund) or other interest-bearing securities approved by the CFTC for investment of customer funds, each of which will be held at fair value.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument 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). For financial reporting purposes, the Gold, Silver, Yen and Euro Funds value transactions based upon the daily last sale price value occurring on or before 4:00 p.m. E.T. of a standard futures contract for the current active month published by the CME on or before 4:00 p.m. E.T. The Dollar Funds value transactions based upon the daily last sale price value occurring on or before 4:00 p.m. E.T. of a standard futures contract for the current active month published by the ICE on or before 4:00 p.m. E.T. (the “Daily Last Sale Value”). Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of the Funds’ final creation/redemption NAV.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures, swaps and forward agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Yen, Euro and Dollar Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 5 in the Financial Statements in this quarterly report on Form 10-Q for further information. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statement of Income and Expenses. Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statement of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective 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 trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.

Section 107 of the JOBS Act provides that an emerging growth company can take advantage of an extended transition period provided in Section 7(a)(2)(B) of the 1933 Act for complying with new or revised accounting standards. In other words, an “emerging growth company” can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies. The Trust has elected to take advantage of the benefits of this extended transition period. The Trust and the Funds’ financial statements may therefore not be comparable to those of companies that comply with such new or revised accounting standards.

Results of Operations for the Quarter Ended September 30, 2014

Fund Performance

The following table provides summary performance information for the Gold 3X Funds for the quarter ended September 30, 2014:


	Direxion Daily Gold Bull 3X Shares		Direxion Daily Gold Bear 3X Shares
NAV beginning of quarter	$	4,114,692	$	3,733,926
NAV end of quarter	$	3,031,307	$	4,867,841
Shares outstanding beginning of period		100,025		100,025
Shares outstanding end of period		100,025		100,025
Shares created		—		—
Shares redeemed		—		—
Per share NAV beginning of period	$	41.14	$	37.33
Per share NAV end of period	$	30.31	$	48.67

Direxion Daily Gold Bull 3X (“Gold Bull 3X Fund”)

During the quarter ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 300% of the daily performance of the Gold Benchmark Future Contract. Specifically, the benchmark for the Gold Funds is the daily last sale price value occurring on or before 4:00 p.m. E.T. of a standard futures contract for the current active month for 100 troy ounces of gold, specified by the CME to be of a grade and quality that shall assay to a minimum of 995 fineness, as measured in U.S. Dollars and cents per troy ounce with a minimum fluctuation of $0.10 per troy ounce. For the quarter ended September 30, 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

The Fund’s per Share NAV decrease of -26.32% for the quarter ended September 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the quarter. During the quarter ended September 30, 2014, the Fund’s per Share NAV reached its high for the quarter on July 11, 2014 at $41.90 per Share and reached its low for the quarter on September 30, 2014 at $30.31 per Share. During the quarter ended September 30, 2014, the Gold Bull 3X Fund returned -26.32% while the benchmark’s return decreased 9.08%. This is a result of the Gold Bull 3X Fund attempt to provide daily leveraged investment results (before fees and expenses) that correlate to three times (300%) of the daily return of its target benchmark.

Direxion Daily Gold Bear 3X (“Gold Bear 3X Fund”)

During the quarter ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to -300% of the daily performance of the Gold Benchmark Future Contract. Specifically, the benchmark for the Gold Funds is the daily last sale price value occurring on or before 4:00 p.m. E.T. of a standard futures contract for the current active month for 100 troy ounces of gold, specified by the CME to be of a grade and quality that shall assay to a minimum of 995 fineness, as measured in U.S. Dollars and cents per troy ounce with a minimum fluctuation of $0.10 per troy ounce. For the quarter ended September 30, 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

The Fund’s per Share NAV increase of 30.38% for the quarter ended September 30, 2014, was primarily due to appreciation in the value of the assets of the Fund during the period. During the quarter ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $48.67 per Share and reached its low for the period on July 11, 2014 at $36.55 per Share. During

the quarter ended September 30, 2014, the Gold Bear 3X Fund returned 30.38% while the benchmark’s return decreased 9.08%. This is a result of the Gold Bear 3X Fund attempt to provide daily leveraged investment results (before fees and expenses) that correlate to three times the inverse (-300%) of the daily return of its target benchmark.

Net Income/Loss

The following table provides summary income information for the Gold 3X Funds for the quarter ended September 30, 2014:


	Direxion Daily Gold Bull 3X Shares			Direxion Daily Gold Bear 3X Shares
Net investment loss	$	(24,014	)	$	(24,413	)
Management fee		8,811			9,852
Net realized gain (loss)		35,258			(136,118	)
Change in net unrealized appreciation (depreciation)		(1,094,629	)		1,294,446
Net income (loss)		(1,083,385	)		1,133,915

The Gold Bull 3X Fund’s net income decreased for the quarter ended September 30, 2014 primarily due to a decrease in the price of spot gold in U.S. dollar terms. The Gold Bear 3X Fund’s net income increased for the quarter ended September 30, 2014 primarily due to a decrease in the price of spot gold in U.S. dollar terms.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

For the quarter ended September 30, 2014 other than the Gold 3X Funds no other Funds had commenced operations.

Commodity Price Sensitivity

The Gold Bull 3X and Gold Bear 3X Funds are exposed to commodity price risk through its holdings of Financial Instruments. The following table provides information about each Fund which were sensitive to commodity price risk. As of September 30, 2014, each of the Fund’s positions were as follows:

Futures Positions as of September 30, 2014

Direxion Gold Bull 3X Fund


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2014		72	$	1,209.30		100	$	8,706,960
Mini Gold Futures (ICE)	Long	December 2014		10	$	1,209.90		33.2	$	401,687

Direxion Gold Bear 3X Fund


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2014		116	$	1,209.30		100	$	14,027,880
Mini Gold Futures (ICE)	Long	December 2014		14	$	1,209.90		33.2	$	562,362

Gold Bull 3X Fund

The September 30, 2014 long futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The long notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increase (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of long exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by three.

Gold Bear 3X Fund

The September 30, 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative three.

See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Qualitative Disclosure

As described above in Item 2 of this quarterly report on Form 10-Q, it is the investment objective of each Bull and Bear Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. The Bull 3X Funds attempt to provide daily leveraged investment results (before fees and expenses) that correlate positively to three times (300%) the daily return of its target benchmark. The Bear 3X Funds attempt to provide daily leveraged investment results (before fees and expenses) that correlate to three times the inverse (-300%) of the daily return of its target benchmark. None of the Funds seek to achieve their stated objective over a period greater than one day.

Each Fund intends to obtain exposure to its benchmark by taking long or short positions in futures contracts on its underlying commodity or currency, as applicable. In the event position accountability rules or position limits are reached with respect to the futures contracts, the Sponsor may, in its commercially reasonable judgment, cause the effected Fund to obtain exposure to its benchmark through cash-settled, exchanged-traded swaps and other over-the-counter transactions that are based on the price of the futures contracts (“Financial Instruments”), if such instruments tend to exhibit trading prices or returns that correlate with the related futures contract and will further the investment objective of such Fund.

Each Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -3 times or 3 times of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark

may be at least as important to a Fund’s return for the period as the return of the benchmark. These Funds are riskier than similarly benchmarked exchange-traded funds that are not leveraged or inversed. Accordingly, these funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark as described above in the Primary Investment Strategies. Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each 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.

Trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-3x, or 3x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

The Funds seek daily investment results, which should not be equated with seeking an investment goal for shorter than a day. Thus, an investor who purchases Fund shares after the close of the markets on one trading day and before the close of the markets on the next trading day will likely have more, or less, than the target investment exposure to the benchmark, depending upon the movement of the benchmark from the end of one trading day until the time of purchase. If the benchmark moves in a direction favorable to the Fund the Fund’s net assets will rise by the same amount as the Fund’s exposure. Conversely, if the benchmark moves in a direction adverse to the Fund, the Fund’s net assets will decline by the same amount as the Fund’s exposure. Since each Fund starts each trading day with exposure to the benchmark equal to its target (i.e. 300%, -300%), a change in both exposure and the net assets of a Fund by the same amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if a Leveraged Bull Fund had $100 in net assets at the market close on Day 1, it would seek $300 of exposure to the next-trading-day’s benchmark performance. If the benchmark rose by 1% on the following trading day, the exposure of the Fund will have risen by 1% to $303 and the net assets will have risen by that $3 gain to $103. With net assets of $103 and exposure of $303, an investor at that point would be receiving 294% exposure of her investment instead of 300%.

There can be no guarantee that a Fund will achieve a high degree of correlation with its investment objective relative to its benchmark. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the Funds’ use of leveraged investment techniques, income items and accounting standards. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-

exposed to its benchmark. Each Leveraged Fund seeks to rebalance its portfolio daily to keep leverage consistent with each Fund’s daily investment objective. Each Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of its benchmark for periods other than a single day. Each Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding for the Funds. It also means that the return of a benchmark over a period of time greater than one day multiplied by the Fund’s daily target generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying benchmark due to the compounding effect of losses and gains on the returns of the Fund. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility.

The Funds may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular commodity or currency. The Funds will use counterparty agreements to exchange the returns (or differentials in rates of return) earned or realized in particular predetermined investments or instruments. The Funds will not enter into any agreement involving a counterparty unless the Sponsor believes that the other party to the transaction is creditworthy. The use of swap agreements involves risks that are different from those associated with ordinary futures transactions. For example, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. In addition, the Funds may enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. Swap agreements and other counterparty instruments also may be considered to be illiquid. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Funds and, as a result, the Funds may not be able to achieve their investment objectives.

Each Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. A 3X Bull Fund typically would lose value on a day when its underlying benchmark declines. A 3X Bear Fund typically would lose value on a day when its underlying benchmark increases.

Commodity Price Sensitivity

With regard to the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund, including, but not limited to:

•

The recent proliferation of commodity linked exchange traded products and their unknown effect on the commodity markets.

•

Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and related institutions. If one or more of these institutions decides to buy or sell any commodity in amounts large enough to cause a change in world prices, the price of Shares based upon a benchmark related to that commodity will be affected.

•

Other political factors. In addition to the organized political and institutional trading-related activities described above, peaceful political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection and/or war may greatly influence commodities prices.

•

Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, processing equipment and methods, or decreases caused by failure or unavailability of processing equipment, also materially influence the supply of commodities.

•

Significant increases or decreases in the demand for a physical commodity due to various factors. Factors would include jewelers’ use of gold in their items, or technological factors that include such developments as substitutes for industrial commodities.

•

A significant increase or decrease in commodity hedging activity by commodity producers. Should there be an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, it could cause a change in world prices of any given commodity, causing the price of Shares based upon a benchmark related to that commodity to be affected.

•

A significant change in the attitude of speculators and investors towards a commodity. Should the speculative community take a negative or positive view towards any given commodity, it could cause a change in world prices of any given commodity, the price of Shares based upon a benchmark related to that commodity will be affected.

The impact of changes in the price of a physical commodity will affect investors differently depending upon the Fund in which investors invest. Decreases in the price of an underlying commodity will negatively impact the performance of Shares of a 3X Bull Fund and increases in the price of an underlying commodity will negatively impact the performance of Shares of a 3X Bear Fund.

Item 4.

Controls and Procedures.

Disclosure Controls and Procedures

The Trust and each Fund maintain disclosure controls and procedures that are designed to ensure that material information required to be disclosed in the Trust’s periodic reports filed or submitted by Rule 13a – 15(e) of the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time period specified in the SEC’s rules and forms.

The duly appointed officers of the Trust, including its principal executive officer and principal financial officer, who perform functions equivalent to those of a principal executive officer and principal financial officer of the Trust and Funds have evaluated the effectiveness of the Trust’s and each Fund’s disclosure controls and procedures and have concluded that the disclosure controls and procedures of the Trust and each Fund have been effective as of September 30, 2014 covered by this quarterly report on Form 10-Q. Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure information required to be disclosed in the reports under the Securities Exchange Act of 1934 is accumulated and communicated to management, as appropriate to allow timely decisions regarding required disclosure. Management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving their objectives, and management necessarily applies its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2014, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 906 of the Sarbanes-Oxley Act of 2002, which are furnished as exhibits to this quarterly report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

There have been no material administrative, civil or criminal action, existing or concluded filed against the Trust as of the quarter end. Also there have been no material administrative, civil or criminal action, existing or concluded, as of the quarter end of the Trust, that have been filed against the Sponsor. Daniel D. O’Neill, a principal of the Sponsor, was named as a defendant in a purported class action lawsuit filed on September 17, 2009. The plaintiff, Evan Stoopler, filed a putative class action against several defendants, including Direxion Shares ETF Trust (“ETF Trust”) and Rafferty Asset Management, LLC (“Rafferty”) – both affiliates of the Sponsor – and the Sponsor’s Managing Director, Daniel D. O’Neill. The action was filed in the United States District Court for the Southern District of New York. Stoopler, on Behalf of Himself and All Other Similarly Situated v. Direxion Shares ETC Trust et al., 09-CV-8011-RJH. Two other largely identical lawsuits have since been filed by other plaintiffs, Milton Pfeiffer, on Behalf of Himself and All Other Similarly Situated v. Direxion Shares ETF Trust, et al., S.D.N.Y. 09-CV-8375 (RJH), and Thomas C. Longman on Behalf of Himself and All Other Similarly Situated v. Direxion Shares ETF Trust, et al., S.D.N.Y. 09-CV-8459 (RJH).

The lawsuits are purportedly brought on behalf of persons or entities who purchased or otherwise acquired shares in the Direxion Daily Financial Bear 3X Shares, a series of the ETF Trust. The complaints allege that the defendants violated Sections 11 and 15 of the Securities Act of 1933, 15 U.S.C. § 77k and 15 U.S.C. § 77o, respectively.

More particularly, the complaints allege that the ETF Trust’s registration statement contained incomplete and/or misleading information in that it failed to clearly disclose that, while the fund is designed to generate returns that approximate three times the inverse of the performance of its target benchmark on a daily basis, for longer time horizons, the fund’s performance differs substantially and unpredictably from three times the inverse of the performance of the target benchmark. The complaints additionally appear to suggest that the fund’s registration statement failed adequately to disclose that the fund may be unsuitable for most retail investors. The complaints allege that, as a result of these alleged disclosure deficiencies, investors suffered considerable damages.

On January 13, 2010, and February 17, 2010, respectively, plaintiffs Howard Schwack and William Lee filed putative class actions against the ETF Trust, Rafferty and Mr. O’Neill in the United States District Court for the Southern District of New York. Schwack v. Direxion Shares ETF Trust et al., 10-cv-00271-RJH; Lee v. Direxion Shares ETF Trust et al., 10-cv-01273-UA. Each of these complaints raises allegations generally similar to those that were made in the earlier lawsuits except that they concern the Direxion Daily Energy Bear 3X Shares, a different series of the ETF Trust than the Direxion Daily Financial Bear 3X Shares that was the subject of earlier lawsuits.

On behalf of the putative class, the lawsuits sought various forms of relief against all defendants, including joint and several liability for compensatory damages, interest, punitive damages, costs and expenses plaintiffs incur in the action, including counsel fees and expert fees, recissory relief, and such equitable/injunctive or other relief as deemed appropriate by the Court.

On January 31, 2013, a settlement was filed with the Court. The settlement was between the ETF Trust, Rafferty, Mr. O’Neill and the other defendants and the plaintiffs including all those that qualified for the class definition defined in the settlement. The Court accepted the settlement on May 11, 2013.

Item 1A. Risk Factors.

There have been no material changes to the risk factors previously disclosed in the Post-Effective Amendment No. 2 to the Trust’s Registration Statement on Form S-1, which was declared effective by the SEC on October 31, 2014.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

Not applicable.

Item 3.

Defaults Upon Senior Securities.

Not applicable.

Item 4.

Mine Safety Disclosures.

Not applicable.

Item 5.

Other Information.

Monthly Account Statements

Pursuant to the requirement under Rule 4.22 under the Commodity Exchange Act, each month the Trust and each Fund will publish account statements for each Fund’s unitholders, which include Statements of Income (Loss) and Statements of Changes in Net Asset Value. The account statements will be furnished to the SEC on a current report on Form 8-K pursuant to Section 13 or 15(d) of the Exchange Act and posted each month on each Trust website at www.direxioninvestments.com.

Item 6.

Exhibits.


Exhibit No.		Description of Document

32.1		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)

32.2		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)

101.INS		XBRL Instance Document(2)

101.SCH		XBRL Taxonomy Extension Schema(2)

101.CAL		XBRL Taxonomy Extension Calculation Linkbase(2)

101.DEF		XBRL Taxonomy Extension Definition Linkbase(2)

101.LAB		XBRL Taxonomy Extension Label Linkbase(2)

101.PRE		XBRL Taxonomy Extension Presentation Linkbase(2)

(1)	Filed herewith.

(2)

In accordance with Rule 406T of Regulation S-T, the information in these exhibits is furnished and deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

DIREXION SHARES ETF TRUST II

/s/ Daniel D. O’Neill

By: Daniel D. O’Neill

Principal Executive Officer

Date: November 14, 2014

/s/ Patrick J. Rudnick

By: Patrick J. Rudnick

Principal Financial Officer

Date: November 14, 2014

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Direxion Shares ETF Trust II 10-Q