Company: DEFI
Filing Date: 2025-02-21
Form Type: POS AM
Source: 0001839882-25-010345
Chunk: 130

Company: Tidal Commodities Trust I
Filing Date: 2025-02-21
Form: POS AM
Chunk 130
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, Volatility k is its realized volatility (calculated as
the square roots of the sum of squared log-returns calculated for each minute in the pricing window), and Med volatilityand σ pricevolatility are
the median and standard deviation of the realized volatility across all the Core Exchanges.

| - | Step 4: Calculate abnormal volume penalty factor for exchange weighting |

A penalty factor for abnormal volume series
resulting from market effects of large traded positions, or the opposite effect, low volumes as a result of exchange technical
problems, is calculated to delineate anomalous trading activity.

This adjustment is based on normalized volume,
defined as the trade volume during the pricing window divided by the regular volume (from Step 1). When examining Core Exchanges,
those with normalized volume within one standard deviation from the median normalized volume (across all the Core Exchanges) are
not penalized (penalty factor equals one). For exchanges with normalized volumes outside one standard deviation, a penalty factor
is calculated proportionate to its absolute distance to the median point.

For example, if one exchange is 2.5 standard
deviations from the median normalized volume (across all the Core Exchanges), the penalty factor will be a 1/2.5 multiplier. The
abnormal volume adjustment factor is defined as:

where VolumeNorm kis the traded volume
on the k-th exchange during the pricing window divided by its regular volume RV k, and Med VolumeNormand σ VolumeNorm are the median and standard deviation of this metric across all the Core Exchanges.

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| - | Step 5: Calculate final exchange weightings |

Given the regular volumes
and the penalty factor adjustments of all the Core Exchanges, the final exchange weightings are calculated as follow:

Note that the denominator is the sum of
the numerator across the Core Exchanges. This guarantees exchange weights will sum up to exactly one (1.00). Further, each individual
adjustment factor is mathematically proven to achieve a minimum of , where K is the variable number of Core
Exchanges. For example, if there are four Core Exchanges and one exchange substantively diverges from the field in the three penalty
factor metrics, its final weight will arrive at of its respective base weight. This example shows perspective on the penalty
factor adjustments, in that if a large player moves prices, the player would also increase traded volume and volatility, thus reducing
the exchange to a fraction of its base weight