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 March 31, 2015.

¨	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

Direxion Daily Gold Bull 3X Shares

Schedule of Investments

March 31, 2015 (Unaudited)


Shares			Value
	SHORT TERM INVESTMENTS – 91.9%
	Money Market Funds – 91.9%
	2,443,157	Fidelity Institutional Money Market Government Portfolio, 0.01%^(a)	$	2,443,157

		TOTAL SHORT TERM INVESTMENTS (Cost $2,443,157)	$	2,443,157

		Total Investments (Cost $2,443,157) – 91.9%	$	2,443,157
		Other Assets in Excess of Liabilities – 8.1%^(b)		215,267

		TOTAL NET ASSETS – 100.0%	$	2,658,424

Percentages are stated as a percent of net assets.

^(a)	Represents annualized seven-day yield at March 31, 2015.

^(b)	$371,906 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

March 31, 2015 (Unaudited)


Contracts			Unrealized Appreciation/ (Depreciation)
	63	Gold Futures
		Expiring June 2015 (Underlying Face Amount at Market Value $7,459,830)	$	(76,968	)
	9	Mini Gold
		Futures Expiring June 2015 (Underlying Face Amount at Market Value $532,800)		(6,083	)

			$	(83,051	)

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

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^(a)
	March 31, 2015 (Unaudited)		June 30, 2014		June 30, 2014
Assets:
Investments, at market value (Cost $2,443,157, $3,482,297 and $3,308,208, respectively)	$	2,443,157	$	3,482,297	$	3,308,208
Interest receivable		20		26		30
Variation margin receivable		—		16,851		—
Deposit at broker for futures		371,906		335,311		833,277
Due from broker for futures		—		318,648		—
Due from investment adviser, net		23,588		50,327		50,327
Prepaid expenses and other assets		9,628		2,903		2,903

Total assets		2,848,299		4,206,363		4,194,745

Liabilities and shareholder’s equity:
Liabilities
Due to broker for futures		68,876		—		349,441
Variation margin payable		14,175		—		19,737
Accrued expenses and other liabilities		106,824		91,671		91,641

Total liabilities		189,875		91,671		460,819

Shareholder’s equity
Shareholder’s equity		2,658,424		4,114,692		3,733,926

Total liabilities and shareholders’ equity	$	2,848,299	$	4,206,363	$	4,194,745

Calculation of Net Asset Value Per Share:
Net assets	$	2,658,424	$	4,114,692	$	3,733,926
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		100,025		100,025		100,025
Net asset value, redemption and offering price per share	$	26.58	$	41.14	$	37.33



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

Total assets		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities

Total liabilities		—		—

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

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

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

^(a)	The Fund commenced liquidation procedures on December 26, 2014 and fully liquidated its assets on April 28, 2015.

^(b)	The Fund terminated its registration as of December 29, 2014.

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

Statements of Financial Condition


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

Total assets		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities

Total liabilities		—		—

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

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

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


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

Total assets		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities

Total liabilities		—		—

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

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

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

^(a)	The Fund terminated its registration on December 29, 2014.

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

Statements of Financial Condition


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

Total assets		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities

Total liabilities		—		—

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

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

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


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

Total assets		1,000		1,000

Liabilities and shareholder’s equity:
Liabilities

Total liabilities		—		—

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

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

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

^(a)	The Fund terminated its registration on December 29, 2014.

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

Direxion Shares ETF Trust II

Combined Statements of Financial Condition


	March 31, 2015 (Unaudited)^(a)		June 30, 2014
Assets:
Investments, at market value (Cost $2,443,157 and $6,790,505, respectively)	$	2,443,157	$	6,790,505
Cash		—		10,000
Interest receivable		20		56
Variation margin receivable		—		16,851
Deposit at broker for futures		371,906		1,168,588
Due from broker for futures		—		318,648
Due from investment adviser, net		23,588		100,654
Prepaid expenses and other assets		9,628		5,806

Total assets		2,848,299		8,411,108

Liabilities and shareholder’s equity:
Liabilities
Due to broker for futures		68,876		349,441
Variation margin payable		14,175		19,737
Accrued expenses and other liabilities		106,824		183,312

Total liabilities		189,875		552,490

Shareholder’s equity
Shareholder’s equity		2,658,424		7,858,618

Total liabilities and shareholders’ equity	$	2,848,299	$	8,411,108

Net assets	$	2,658,424	$	7,858,618
Weighted shares outstanding (unlimited shares of beneficial interest authorized, no par value)		100,025		200,300

^(a)	The March 31, 2015 Combined Statement of Financial Condition represents only the Direxion Daily Gold Bull 3X Shares. The remaining eleven Funds were terminated or liquidated as of March 31, 2015.

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

Statements of Income and Expenses (Unaudited)


	Direxion Daily Gold Bull 3X Shares^(a)						Direxion Daily Gold Bear 3X Shares^(a)
	Three Months Ended March 31, 2015			Nine Months Ended March 31, 2015			Period from July 1, 2014 to December 26, 2014 (liquidation date)
Investment Income:
Interest income	$	67		$	216		$	202

Total investment income		67			216			202

Expenses:
Investment advisory fees		6,913			22,714			21,252
Licensing fees		1,232			3,753			2,493
Custody fees		870			3,804			2,904
Professional fees		47,935			161,844			113,056
Pricing fees		1,135			6,943			5,769
Administration fees		54			179			168
Accounting fees		1,719			5,246			3,534
Transfer agent fees		1,534			4,684			3,160
Reports to shareholders		16,359			40,305			23,685
Exchange listing fees		856			4,014			3,158
Miscellaneous fees		2,643			5,828			3,126
Broker commissions		1,673			3,878			4,136

Total expenses before reimbursement		82,923			263,192			186,441
Less: Expenses waived by Adviser		(64,860	)		(198,536	)		(136,716	)

Net Expenses		18,063			64,656			49,725

Net investment loss		(17,996	)		(64,440	)		(49,523	)

Realized and unrealized gain (loss) on futures:
Net realized gain (loss) on futures		(93,628	)		(973,278	)		702,733

Change in net unrealized appreciation (depreciation) on futures		41,940			(418,550	)		369,178

Net realized and unrealized gain (loss) on futures		(51,688	)		(1,391,828	)		1,071,911

Net income (loss)	$	(69,684	)	$	(1,456,268	)		1,022,388

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

No other Fund had operations during the quarter of March 31, 2015. Therefore no Statements of Income and Expenses are presented for those Funds.

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

Direxion Shares ETF Trust II

Combined Statement of Income and Expenses (Unaudited)


	Three Months Ended March 31, 2015			Nine Months Ended March 31, 2015^(a)
Investment Income:
Interest income	$	67		$	418

Total investment income		67			418

Expenses:
Investment advisory fees		6,913			43,966
Licensing fees		1,232			6,246
Custody fees		870			6,708
Professional fees		47,935			274,900
Pricing fees		1,135			12,712
Administration fees		54			347
Accounting fees		1,719			8,780
Transfer agent fees		1,534			7,844
Reports to shareholders		16,359			63,990
Exchange listing fees		856			7,172
Insurance fees		2,643			8,954
Broker commissions		1,673			8,014

Total expenses before reimbursement		82,923			449,633
Less: Expenses waived by Adviser		(64,860	)		(335,252	)

Net Expenses		18,063			114,381

Net investment loss		(17,996	)		(113,963	)

Realized and unrealized loss on investments:
Net realized loss on futures		(93,628	)		(270,545	)

Change in net unrealized appreciation (depreciation) on futures		41,940			(49,372	)

Net realized and unrealized loss on investments		(51,688	)		(319,917	)

Net loss	$	(69,684	)	$	(433,880	)

^(a)	Includes the income and expenses of the Direxion Daily Gold Bear 3X Shares for the period from July 1, 2014 to December 26, 2014, the liquidation date.

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

Statements of Changes in Shareholders’ Equity (Unaudited)


	Direxion Daily Gold Bull 3X Shares^(a)
	Three Months Ended March 31, 2015			Nine Months Ended March 31, 2015
Shareholders’ equity, beginning of period (100,025 shares each, respectively)	$	2,728,108		$	4,114,692
Sale of shares		—			—
Net income (loss):
Net investment loss		(17,996	)		(64,440	)
Net realized loss on futures		(93,628	)		(973,278	)
Change in unrealized appreciation (depreciation) on futures		41,940			(418,550	)

Net loss		(69,684	)		(1,456,268	)

Shareholders’ equity, end of period (100,025 shares each, respectively)	$	2,658,424		$	2,658,424



	Direxion Daily Gold Bear 3X Shares^(a)
	Period from July 1, 2014 to December 26, 2014 (liquidation date)
Shareholders’ equity, beginning of period (100,025 shares)	$	3,733,926
Liquidation of shares (100,025 shares)		(4,756,314	)
Net income (loss):
Net investment loss		(49,523	)
Net realized gain on futures		702,733
Change in unrealized appreciation (depreciation) on futures		369,178

Net income		1,022,388

Shareholders’ equity, end of period (0 shares)	$	—

^(a)	Commenced operations on April 10, 2014.

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

Statements of Changes in Shareholders’ Equity (Unaudited)


	Direxion Daily Silver Bull 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Silver Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Japanese Yen Bull 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Japanese Yen Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—

^(a)	The Fund never commenced operations.

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

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

Statements of Changes in Shareholders’ Equity (Unaudited)


	Direxion Daily Dollar Bull 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Dollar Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Euro Bull 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Euro Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—

^(a)	The Fund never commenced operations.

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

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

Statements of Changes in Shareholders’ Equity (Unaudited)


	Direxion Daily Gold Bear 1X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—


	Direxion Daily Silver Bear 1X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)
Shareholders’ equity, beginning of period (25 shares)^(b)	$	1,000
Liquidation of shares (25 shares)		(1,000	)

Shareholders’ equity, end of period (0 shares)	$	—

Direxion Shares ETF Trust II

Combined Statement of Changes in Shareholders’ Equity (Unaudited)


	Three Months Ended March 31, 2015			Nine Months Ended March 31, 2015^(c)
Shareholders’ equity, beginning of period (100,025 and 200,300 shares each, respectively)	$	2,728,108		$	7,858,618
Liquidation of shares (0 and 100,275 shares each, respectively)		—			(4,766,314	)
Net income (loss):
Net investment loss		(17,996	)		(113,963	)
Net realized loss on futures		(93,628	)		(270,545	)
Change in unrealized appreciation (depreciation) on futures		41,940			(49,372	)

Net loss		(69,684	)		(433,880	)

Shareholders’ equity, end of period (100,025 shares each, respectively)	$	2,658,424		$	2,658,424

^(a)	The Fund never commenced operations.

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

^(c)

Includes the change in shareholders’ equity for the nine months ended March 31, 2015 for the Direxion Daily Gold Bull 3X Shares, the change in shareholders’ equity for the period from July 1, 2014 to December 26, 2014, the liquidation date, for the Direxion Daily Gold Bear 3X Shares, and the changes in shareholders’ equity for the period from July 1, 2014 to December 29, 2014, the termination date, for the remaining ten Funds.

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

Statements of Cash Flows (Unaudited)


	Direxion Daily Gold Bull 3X Shares^(a)			Direxion Daily Gold Bear 3X Shares^(a)
	Nine Months Ended March 31, 2015			Period from July 1, 2014 to December 26, 2014 (liquidation date)
Cash flow from operating activities:
Net income (loss)	$	(1,456,268	)	$	1,022,388
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in deposit at broker for futures contracts		(36,595	)		833,277
Net sales of investments		1,039,140			3,308,208
Decrease in unrealized appreciation on futures contracts		335,499			—
Increase in payable to Sponsor		—			51,138
Increase (Decrease) in accrued expenses and other liabilities		8,428			(88,738	)
Decrease in due from investment adviser, net		26,739			50,327
Increase (Decrease) in unrealized depreciation on futures contracts		83,051			(369,178	)
Decrease in interest receivable		6			30

Net cash provided by (used in) operating activities		1,456,268			3,785,064
Cash flow from financing activities:
Proceeds from addition of shares		—			—
Liquidation of shares		—			(4,756,314	)

Net cash used in financing activities		—			(4,756,314	)

Net increase in cash		—			51,138

Cash, beginning of period		—			—

Cash, end of period	$	—		$	51,138	^(c)


	Direxion Daily Silver Bull 3X Shares^(b)			Direxion Daily Silver Bear 3X Shares^(b)
	Period from July 1, 2014 to December 29, 2014 (termination date)			Period from July 1, 2014 to December 29, 2014 (termination date)
Cash flow from operating activities:
Increase in payable to Sponsor	$	1,000		$	1,000

Net cash provided by operating activities	$	1,000		$	1,000
Cash flow from financing activities:
Liquidation of shares		(1,000	)		(1,000	)

Net cash used in financing activities		(1,000	)		(1,000	)

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

Cash, end of period^(d)	$	1,000		$	1,000

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

^(b)	The Fund never commenced operations.

^(c)	This amount was liquidated on April 28, 2015.

^(d)	This amount is pending liquidation as of the date of this filing.

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

Statements of Cash Flows (Unaudited)


	Direxion Daily Japanese Yen Bull 3X Shares^(a)			Direxion Daily Japanese Yen Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)			Period from July 1, 2014 to December 29, 2014 (termination date)
Cash flow from operating activities:
Increase in payable to Sponsor	$	1,000		$	1,000

Net cash provided by operating activities	$	1,000		$	1,000
Cash flow from financing activities:
Liquidation of shares		(1,000	)		(1,000	)

Net cash used in financing activities		(1,000	)		(1,000	)

Net increase (decrease) in cash		—			—

Cash, beginning of period		1,000			1,000

Cash, end of period^(b)	$	1,000		$	1,000


	Direxion Daily Dollar Bull 3X Shares^(a)			Direxion Daily Dollar Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)			Period from July 1, 2014 to December 29, 2014 (termination date)
Cash flow from operating activities:
Increase in payable to Sponsor	$	1,000		$	1,000

Net cash provided by operating activities	$	1,000		$	1,000
Cash flow from financing activities:
Liquidation of shares		(1,000	)		(1,000	)

Net cash used in financing activities		(1,000	)		(1,000	)

Net increase (decrease) in cash		—			—

Cash, beginning of period		1,000			1,000

Cash, end of period^(b)	$	1,000		$	1,000

^(a)	The Fund never commenced operations.

^(b)	This amount is pending liquidation as of the date of this filing.

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

Statements of Cash Flows (Unaudited)


	Direxion Daily Euro Bull 3X Shares^(a)			Direxion Daily Euro Bear 3X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)			Period from July 1, 2014 to December 29, 2014 (termination date)
Cash flow from operating activities:
Increase in payable to Sponsor	$	1,000		$	1,000

Net cash provided by operating activities	$	1,000		$	1,000
Cash flow from financing activities:
Liquidation of shares		(1,000	)		(1,000	)

Net cash used in financing activities		(1,000	)		(1,000	)

Net increase (decrease) in cash		—			—

Cash, beginning of period		1,000			1,000

Cash, end of period^(b)	$	1,000		$	1,000


	Direxion Daily Gold Bear 1X Shares^(a)			Direxion Daily Silver Bear 1X Shares^(a)
	Period from July 1, 2014 to December 29, 2014 (termination date)			Period from July 1, 2014 to December 29, 2014 (termination date)
Cash flow from operating activities:
Increase in payable to Sponsor	$	1,000		$	1,000

Net cash provided by operating activities	$	1,000		$	1,000
Cash flow from financing activities:
Liquidation of shares		(1,000	)		(1,000	)

Net cash used in financing activities		(1,000	)		(1,000	)

Net increase (decrease) in cash		—			—

Cash, beginning of period		1,000			1,000

Cash, end of period^(b)	$	1,000		$	1,000

^(a)	The Fund never commenced operations.

^(b)	This amount is pending liquidation as of the date of this filing.

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

Direxion Shares ETF Trust II

Combined Statement of Cash Flows (Unaudited)


	Nine months ended March 31, 2015^(a)
Cash flow from operating activities:
Net loss	$	(433,880	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease in deposit at broker for future contracts		796,682
Net sales of investments		4,347,348
Decrease in unrealized appreciation on futures contracts		335,499
Decrease in accrued expenses and other liabilities		(80,310	)
Decrease in due from investment adviser, net		77,066
Decrease in unrealized depreciation on future contracts		(286,127	)
Increase in payable to Sponsor		61,138
Decrease in interest receivable		36

Net cash provided by operating activities		5,251,332
Cash flow from financing activities:
Proceeds from addition of shares		—
Liquidation of shares		(4,827,452	)

Net cash used in financing activities		(4,827,452	)

Net decrease in cash		(10,000	)

Cash, beginning of period		10,000

Cash, end of period	$	—

^(a)

Includes the cash flows for the nine months ended March 31, 2015 for the Direxion Daily Gold Bull 3X Shares, the cash flows for the period from July 1, 2014 to December 26, 2014, the liquidation date, for the Direxion Daily Gold Bear 3X Shares, and the cash flows for the period from July 1, 2014 to December 29, 2014, the termination date, for the remaining ten Funds.

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

Financial Highlights (Unaudited)


	Direxion Daily Gold Bull 3X Shares⁽⁸⁾
	Three Months Ended March 31, 2015			Nine Months Ended March 31, 2015
Net Asset Value, Beginning of Period	$	27.27		$	41.14
Net Investment Loss^1,2		(0.18	)		(0.64	)
Net Realized and Unrealized Loss on Futures		(0.51	)		(13.92	)

Net Decrease in Net Asset Value Resulting from Operations		(0.69	)		(14.56	)

Net Asset Value, End of Period	$	26.58		$	26.58

Total Return at Net Asset Value⁴		(2.53	)%		(35.39	)%

Ratios to Average Net Assets:
Net Expenses^2,5,6		2.48	%		2.70	%
Total Expenses^2,6		11.40	%		11.01	%
Net Investment Loss after Expense Reimburesment^2,5,6		(2.47	)%		(2.69	)%
Net Expenses^3,5,6		2.25	%		2.54	%
Total Expenses^3,6		11.17	%		10.85	%
Net Investment Loss after Expense Reimburesment^3,6		(2.24	)%		(2.53	)%
Portfolio Turnover⁷		0	%		0	%

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

⁽²⁾	Including brokerage commissions of $0.02 and $0.04 per share respectively.

⁽³⁾	Excluding brokerage commissions.

⁽⁴⁾

Total return is calculated assuming and initial investment made at the net asset value at the beginning of 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. 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 one year, these ratios are annualized.

⁽⁷⁾	Portfolio turnover rate is not annualized and does not include the effects of turnover of futures contracts.

⁽⁸⁾	The Fund commenced operations on April 10, 2014.

As of March 31, 2015, no other Fund had commenced operations. Effective December 26, 2014, the Direxion Daily Gold Bear 3X Shares ceased trading and subsequently began liquidation of its assets.

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

DIREXION SHARES ETF TRUST II

NOTES TO THE FINANCIAL STATEMENTS

March 31, 2015 (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 was filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933 and became effective on December 23, 2013. The Trust organized as 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”). On April 10, 2014, the Direxion Daily Gold Bull 3X Shares and the Direxion Daily Gold Bear 3X Shares commenced operations and were listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Trust filed an amendment to the registration statement on Form S-1 that became effective on December 29, 2014 to remove from registration all of the securities of the following eleven series: 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 (“Terminated Series”). No sales of common units of beneficial interest of any Terminated Series, expect for the Direxion Daily Gold Bear 3X Shares, were made to the public at any time. On December 26, 2014, the Direxion Daily Gold Bear 3X Shares ceased trading and began the process of liquidating its net assets. On April 28, 2015, the Direxion Daily Gold Bear 3X Shares fully liquidated its assets. The remaining ten Terminated Series were never operational. Direxion Asset Management, LLC (the “Sponsor”) had subscribed for 25 Shares 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.

The Direxion Daily Gold Bull 3X Shares seeks to provide daily leveraged investment results (before fees and expenses) that correlate positively to three times (300%) the return of its target benchmark: the daily performance of COMEX gold futures. The Direxion Daily Gold Bull 3X Shares intends to obtain exposure to its benchmark by taking long position in COMEX gold futures contracts. 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 Trust 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 a 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. Money market instruments are valued at the reported net asset value.

c) Futures Contracts

A 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 Fund enters into contracts that contain a variety of indemnification provisions pursuant to which the Fund agrees to indemnify third parties upon the occurrence of specified events. The Fund’s maximum exposure relating to these indemnification agreements is unknown. However, the Fund has 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 Fund is classified as partnerships for United States federal income tax purposes. Accordingly, the Fund does 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 Fund are offered to Authorized Participants in Creation Units at the 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 the 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 the 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 the 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.

Effective December 29, 2014, the Trust terminated the offering of Shares of each Fund with the exception of the Direxion Daily Gold Bull 3X Shares of these eleven terminated Funds, only Shares of the Direxion Daily Gold Bear 3X Shares were made to the public at any time.

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 were 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 are paid by the Funds.

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 Fund, 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”) serves as custodian of the Fund, 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 Fund, and performing various administrative duties in accordance with instructions delivered to U.S. Bank by the Fund.

f) The Distributor

Foreside Fund Services, LLC (“Foreside”), serves 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 Fund 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 Fund intends 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 Fund is responsible for paying 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 March 31, 2015, the Sponsor waived $64,860 of fees in the Direxion Daily Gold Bull 3X Shares.

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 a Fund. 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 March 31, 2015 and June 30, 2014:

Direxion Daily Gold Bull 3X Shares


	March 31, 2015			June 30, 2014
Short-Term Investments (Level 1)	$	2,443,157		$	3,482,297
*Other Financial Instruments (Level 1)**		(83,051	)		335,499

Direxion Daily Gold Bear 3X Shares


	June 30, 2014
Short-Term Investments (Level 1)	$	3,308,208
*Other Financial Instruments (Level 1)**		(369,178	)

The Direxion Daily Gold Bear 3X Shares ceased trading and began liquidating its assets on December 26, 2014.

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

There were no Level 2 or Level 3 securities as of March 31, 2015 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 March 31, 2015, the Direxion Daily Gold Bull 3X Shares was invested in futures contracts.

At March 31, 2015 and June 30, 2014, the fair value of derivatives instruments, by primary risk, were as follows:

Asset derivatives¹


	Commodity risk
	March 31, 2015		June 30, 2014
Direxion Daily Gold Bull 3X Shares
Futures contracts*	$	—	$	335,499

Liability derivatives²


	Commodity risk
	March 31, 2015		June 30, 2014
Direxion Daily Gold Bull 3X Shares
Futures contracts*	$	83,051	$	—

Direxion Daily Gold Bear 3X Shares³
Futures contracts*		N/A	$	369,178

¹	Statement of Financial Condition location: Variation margin receivable.

²	Statement of Financial Condition location: Variation margin payable.

³	The Direxion Daily Gold Bear 3X Shares ceased trading and began liquidating its assets on December 26, 2014.

*	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 March 31, 2015, by primary risk, were as follows:

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 March 31, 2015, 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	$	9,559,500	$	—

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 Shares¹	$	5,993,974	$	—
Direxion Daily Gold Bear 3X Shares¹		—		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 March 31, 2015:

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	$	83,051	$	—	$	83,051	$	—	$	83,051	$	—

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 Fund. Please refer to the Fund’s prospectus for a full discussion.

Intra-Day Investment Risk: The Fund seeks 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 Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular commodity or currency. The Fund will use counterparty agreements to exchange the returns (or differentials in rates of return) earned or realized in particular predetermined investments or instruments. The Fund 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 Fund bears 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 Fund 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 Fund and, as a result, the Fund may not be able to achieve their investment objectives.

Leverage Risk: The Fund use leveraged investment techniques in seeking to achieve their respective investment objectives. Leverage should cause the 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 the 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.

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.

The Trust filed an amendment to the registration statement on Form S-1 to remove from registration all of the securities of the following eleven series: 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 (“Terminated Series”). No sales of common units of beneficial interest of any Terminated Series, expect for the Direxion Daily Gold Bear 3X Shares, were made to the public at any time. The offering of each Terminated Series was terminated on December 29, 2014.

10. SUBSEQUENT EVENTS

The Trust has 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 Trust 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 Trust is 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 Trust has evaluated events for potential disclosure through the date the financial statements were issued. This evaluation did not result in any subsequent events that required disclosure.

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

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 was filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933 and became effective on December 23, 2013. The Trust organized as 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”). On April 10, 2014, the Direxion Daily Gold Bull 3X Shares and the Direxion Daily Gold Bear 3X Shares commenced operations and were listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Trust filed an amendment to the registration statement on Form S-1 that became effective on December 29, 2014 to remove from registration all of the securities of the following eleven series: 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 (“Terminated Series”). No sales of common units of beneficial interest of any Terminated Series, expect for the Direxion Daily Gold Bear 3X Shares, were made to the public at any time. On December 26, 2014, the Direxion Daily Gold Bear 3X Shares ceased trading and began the process of liquidating its net assets. The remaining ten Terminated Series were never operational and began the process of liquidating their assets. Direxion Asset Management, LLC (the “Sponsor”) had subscribed for 25 Shares 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 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. 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.

Daily Gold Bull 3X Shares intends to obtain exposure to its benchmark by taking long position in COMEX gold futures contracts. 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.

A 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.

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 March 31, 2015, each of the Funds earned interest income as follows:


	Interest Income Quarter Ended March 31, 2015
Direxion Daily Gold Bull 3X Shares	$	67

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 March 31, 2015 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 and Nine Months Ended March 31, 2015

Fund Performance

The following table provides summary performance information for the quarter ended March 31, 2015:


	Direxion Daily Gold Bull 3X Shares
Net assets beginning of quarter	$	2,728,108
Net assets end of quarter	$	2,658,424
Shares outstanding beginning of quarter		100,025
Shares outstanding end of quarter		100,025
Shares created		—
Shares redeemed		—
Shares liquidated		—
Per share NAV beginning of quarter	$	27.27
Per share NAV end of quarter	$	26.58

The following table provides summary performance information for the nine months ended March 31, 2015:


	Direxion Daily Gold Bull 3X Shares		Direxion Daily Gold Bear 3X Shares¹
Net assets beginning of period	$	4,114,692	$	3,733,926
Net assets end of period	$	2,658,424	$	—
Shares outstanding beginning of period		100,025		100,025
Shares outstanding end of period		100,025		—
Shares created		—		—
Shares redeemed		—		—
Shares liquidated		—		(100,025	)
Per share NAV beginning of period	$	41.14	$	37.33
Per share NAV end of period	$	26.58	$	—

^1.	Represents the period from July 1, 2014 to December 26, 2014 (liquidation date).

Direxion Daily Gold Bull 3X Shares

During the quarter and nine months ended March 31, 2015, 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 and nine months ended March 31, 2015, 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 -2.53% for the quarter ended March 31, 2015, was primarily due to depreciation in the value of the assets of the Fund during the quarter. During the quarter ended March 31, 2015, the Fund’s per Share NAV reached its high for the quarter on January 22, 2015 at $36.29 per Share and reached its low for the quarter on March 17, 2015 at $24.33 per Share. During the quarter ended March 31, 2015, the Gold Bull 3X Fund returned -2.53% while the benchmark’s return increased 0.12%. 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.

The Fund’s per Share NAV decrease of -35.39% for the nine months ended March 31, 2015, was primarily due to depreciation in the value of the assets of the Fund during the quarter. During the nine months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on July 11, 2014 at $41.90 per Share and reached its low for the quarter on March 17, 2015 at $24.33 per Share. During the six months ended March 31, 2015, the Gold Bull 3X Fund returned -35.39% while the benchmark’s return decreased 10.98%. 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 Shares

The Direxion Daily Gold Bear 3X Shares commenced liquidation procedures on December 26, 2014. Prior to the Fund’s liquidation, the Fund sought 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 nine months ended March 31, 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

Net Income/Loss

The following table provides summary income information for the quarter ended March 31, 2015:


	Direxion Daily Gold Bull 3X Shares
Net investment loss	$	(17,996	)
Investment advisory fee		6,913
Net realized gain (loss)		(93,628	)
Change in net unrealized appreciation (depreciation)		41,940
Net income (loss)		(69,684	)

The following table provides summary income information for the nine months ended March 31, 2015:


	Direxion Daily Gold Bull 3X Shares			Direxion Daily Gold Bear 3X Shares¹
Net investment loss	$	(64,440	)	$	(49,523	)
Investment advisory fee		22,714			21,252
Net realized gain (loss)		(973,278	)		702,733
Change in net unrealized appreciation (depreciation)		(418,550	)		369,178
Net income (loss)		(1,456,268	)		1,022,388

^1.	Represents the period from July 1, 2014 to December 26, 2014 (liquidation date).

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

For the quarter ended March 31, 2015 other than the Direxion Daily Gold Bull 3X Shares and Direxion Daily Gold Bear 3X Shares no other Funds had commenced operations. Effective December 26, 2014, the Direxion Daily Gold Bear 3X Shares liquidated its assets.

Commodity Price Sensitivity

The Direxion Daily Gold Bull 3X Shares 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 March 31, 2015, the Fund’s positions were as follows:

Futures Positions as of March 31, 2015

Direxion Gold Bull 3X Fund


Contract	Long or Short	Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long		June 2015		63	$	1,184.10		100	$	7,537,035
Mini Gold Futures (ICE)	Long		June 2015		9	$	1,184.00		50	$	538,916

Gold Bull 3X Fund

The March 31, 2015 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.

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 the Fund were effective as of March 31, 2015 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 March 31, 2015, 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 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or 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

31.1		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

31.2		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

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

101.SCH		XBRL Taxonomy Extension Schema

101.CAL		XBRL Taxonomy Extension Calculation Linkbase

101.DEF		XBRL Taxonomy Extension Definition Linkbase

101.LAB		XBRL Taxonomy Extension Label Linkbase

101.PRE		XBRL Taxonomy Extension Presentation Linkbase

(1)	Filed herewith.

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:		May 15, 2015

/s/ Patrick J. Rudnick
By:		Patrick J. Rudnick
Principal Financial Officer

Date:		May 15, 2015

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Direxion Shares ETF Trust II 10-Q