UNITED STATES DISTRICT COURT

SOUTHERN DISTRICT OF NEW YORK

COMMODITY FUTURES TRADING 

COMMISSION, 

Plaintiff,

v. 

JAMES ROBERT VELISSARIS, 

Defendant.

Case No. 1:22-cv-01347 

ECF Case

COMPLAINT FOR INJUNCTIVE 

AND OTHER EQUITABLE RELIEF 

AND FOR CIVIL MONETARY 

PENALTIES UNDER THE 

COMMODITY EXCHANGE ACT 

AND COMMISSION REGULATIONS

JURY TRIAL DEMANDED

Plaintiff Commodity Futures Trading Commission (the “CFTC” or “Commission”), by 

and through its undersigned attorneys, hereby alleges as follows: 

I. SUMMARY

1. From at least January 1, 2018 through at least February 28, 2021 (the “Relevant 

Period”), Defendant James Robert Velissaris, by and through Infinity Q Capital Management, 

LLC (“Infinity Q”), the company he founded, controlled, and of which he was the Chief 

Investment Officer (“CIO”) and majority owner, engaged in a multimillion-dollar fraudulent 

valuation scheme to show false gains on hundreds of swaps held by two commodity pools 

managed by Infinity Q, a Commission-registered Commodity Pool Operator (“CPO”). Although 

Velissaris first engaged in this fraud prior to the Covid-19 global pandemic, the scope and scale 

of the fraud increased as he tried simultaneously to mitigate against, and also take advantage of, 

the unprecedented market volatility it caused. 

2. Velissaris executed his scheme by intentionally corrupting the independent, thirdparty pricing service models that Infinity Q used to value the swaps, which were held by two 

commodity pools operated by Infinity—the Infinity Q Diversified Alpha Fund (the “Diversified 

Fund”) and the Infinity Q Volatility Alpha Fund (the “Volatility Fund”) (together the “Funds”). 

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Velissaris accomplished his scheme by, among other ways, surreptitiously inputting false 

information into the models, changing the models’ underlying computer code, and using 

improper pricing templates to guarantee the pricing service would return whatever artificial 

values Velissaris wanted rather than the values that the independent pricing service models 

would produce without Velissaris’s actions. The counterparties to the swaps had not agreed to, 

and there was no economic justification for, any of Velissaris’s changes.

3. Using these fraudulent valuations, Velissaris successfully caused Infinity Q to 

show hundreds of millions of dollars in false, exaggerated gains, creating a false record of 

success that Infinity Q in turn used to charge inflated fees, induce existing pool participants to 

commit additional monies, and lure in new participants. 

4. In connection with the fraudulent scheme, Velissaris made materially false and 

misleading statements to existing and prospective participants in the Funds, the Funds’ 

administrator, and the Funds’ auditor about, among other things: (1) the value of certain swaps 

in the Funds; (2) the Funds’ gains and losses; (3) Infinity Q’s use of third-party pricing services; 

and (4) Infinity Q’s valuation policies generally. 

5. Velissaris took steps to conceal his fraud by, among other ways, providing 

falsified swap term sheets to Infinity Q’s auditors, surreptitiously making retroactive changes to 

Infinity Q’s written valuation policy (“Valuation Policy”), and creating phony minutes for 

meetings of Infinity Q’s valuation committee (“Valuation Committee”) that never took place. 

6. The impact of Velissaris’s fraudulent scheme was massive. His actions resulted 

in the overvaluation of the Funds in certain months by more than $1 billion. 

7. Showing false gains in the Funds benefited Velissaris in at least two ways. First, 

as an owner of Infinity Q, Velissaris benefitted from Infinity Q’s receipt of inflated management 

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and performance fees paid by the Funds’ participants. Rather than calculate fees based on 

genuine gains and the genuine value of the Funds’ positions as promised, Infinity Q calculated 

those fees using the fraudulent valuations Velissaris had contrived. 

8. Second, Velissaris was able to use the false valuations to make the Funds look 

profitable, even during the uncertain market conditions experienced during the global pandemic 

when other funds with similar strategies were failing, to entice current participants to pour more 

money into the Funds and to entice new participants to the Funds. For example, between 

January 2020 and January 2021, using Velissaris’s inflated valuations that showed false gains, 

Infinity Q took in more than $250 million from current and new participants in the Volatility 

Fund alone. As an owner of Infinity Q, Velissaris stood to gain from any additional money 

participants contributed to the Funds. 

9. Like the Funds’ existing participants, new participants were also charged everincreasing, artificially high fees. As an owner of Infinity Q, Velissaris benefitted from these 

artificially high fees.

10. Velissaris’s conduct alleged herein violated the following anti-fraud provisions of 

the Commodity Exchange Act (the “Act”) and Commission Regulations (“Regulations”): 

Sections 4b(a)(2)(A)-(C), 4b(e), 4o(1)(A), 4o(1)(B), and 6(c)(1) of the Act, 7 U.S.C. 

§§ 6b(a)(2)(A)-(C), 6b(e), 6o(1)(A)-(B), 9(1), and Regulation 180.1, 17 C.F.R. § 180.1 (2021).

11. Defendant Velissaris committed the acts and omissions alleged herein within the 

scope of his employment or office at Infinity Q. 

12. As the CIO and majority owner of Infinity Q, Velissaris controlled Infinity Q 

throughout the Relevant Period and failed to act in good faith or knowingly induced Infinity Q’s 

conduct that constituted violations of Sections 4b(a)(2)(A)-(C), 4b(e), 4o(1)(A), 4o(1)(B), and 

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6(c)(1) of the Act, 7 U.S.C. §§ 6b(a)(2)(A)-(C), 6b(e), 6o(1)(A)-(B), 9(1), and 17 C.F.R. § 180.1. 

13. Accordingly, the Commission brings this action pursuant to Section 6c of the Act, 

7 U.S.C. § 13a-1, to enjoin Velissaris’s violative acts and practices and to compel Velissaris’s

compliance with the Act and Regulations. In addition, the Commission seeks civil monetary 

penalties, and remedial ancillary relief, including, but not limited to, trading and registration 

bans, restitution, disgorgement, pre- and post-judgment interest, and such other and further relief 

as this Court deems necessary and appropriate.

14. Unless restrained and enjoined by this Court, Velissaris is likely to continue to 

engage in the acts and practices alleged in this Complaint and similar acts and practices, as more 

fully described below. 

II. JURISDICTION AND VENUE 

15. Jurisdiction. This Court has jurisdiction over this action under 

28 U.S.C. § 1331 (federal question jurisdiction) and 28 U.S.C. § 1345 (district courts have 

original jurisdiction over civil actions commenced by the United States or by any agency

expressly authorized to sue by Act of Congress). In addition, Section 6c(a) of the Act, 

7 U.S.C. § 13a-1(a), authorizes the Commission to seek injunctive and other relief against any 

person whenever it appears to the Commission that such person has engaged, is engaging, or is 

about to engage in any act or practice constituting a violation of any provision of the Act or any 

rule, regulation, or order thereunder. 

16. Venue. Venue properly lies with the Court pursuant to Section 6c(e) of the Act, 

7 U.S.C. § 13a-1(e), because Velissaris is found in, inhabits, or transacts business in this District, 

and because acts and practices in violation of the Act occurred, are occurring, or are about to 

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occur, within this District. 

III. THE PARTIES

17. Plaintiff Commodity Futures Trading Commission (“Commission” or 

“CFTC”) is an independent federal regulatory agency that is charged by Congress with the 

administration and enforcement of the Act and the Regulations. The Commission maintains its 

principal office at Three Lafayette Centre, 1155 21st Street, N.W. Washington, D.C. 20581. 

18. Defendant James Robert Velissaris is a natural person with a last known 

residence in Atlanta, Georgia. Velissaris was the founder, majority owner, and CIO of Infinity 

Q. Velissaris has been registered with the Commission as an Associated Person (“AP”) of 

Infinity Q since September 24, 2014. 

IV. OTHER RELEVANT ENTITIES

19. Infinity Q Capital Management, LLC is a Delaware limited liability company 

located in New York, New York. Infinity Q operates the Funds and is the investment advisor to 

the Diversified Fund and the general partner and investment advisor to the Volatility Fund. 

Infinity Q’s principal owners are Infinity Q Management Equity, LLC and another limited 

partnership. Infinity Q Management Equity, LLC is principally owned by Defendant Velissaris. 

Infinity Q has been registered with the Commission as a CPO since September 23, 2014. Infinity 

Q is also registered with the Securities and Exchange Commission (“SEC”) as an investment 

adviser under the Investment Advisers Act of 1940 (“the 1940 Act”). 

20. The Infinity Q Diversified Alpha Fund is a Delaware statutory trust and a 

commodity pool under the Act. Infinity Q is the investment advisor to and operates the 

Diversified Fund. The Diversified Fund is also registered as a diversified open-end investment 

company under the 1940 Act. Additionally, the Diversified Fund is a series of the Trust for 

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Advised Portfolios, which is registered with the SEC under the 1940 Act as an open-end 

management investment company. 

21. The Infinity Q Volatility Alpha Fund, L.P. is a Delaware limited partnership 

and a commodity pool under the Act. Infinity Q operates the Volatility Fund and is the general 

partner and investment advisor to the fund. 

V. FACTS

Background on Infinity Q, Velissaris, and the Funds

22. In 2014, Defendant Velissaris founded Infinity Q, which purported to be a 

“pioneering” hedge fund firm that combined analytics, research, and trading to manage its 

investment strategies and generate positive absolute returns by providing exposure to alternative 

strategies including volatility. Since its founding and throughout the Relevant Period, Velissaris 

had a controlling and majority ownership stake in Infinity Q. 

23. In or about September 2014, Infinity Q launched the Diversified Fund. As of 

January 31, 2021, Infinity Q claimed to have approximately $1.8 billion in assets under 

management in the Diversified Fund. 

24. In or about February 2017, Infinity Q launched the Volatility Fund. As of January 

31, 2021, Infinity Q claimed to have approximately $1.2 billion in assets under management in 

the Volatility Fund.

25. Generally, during the Relevant Period, Infinity Q charged participants in the 

Diversified Fund a monthly management fee equal to twelve and one-half basis points (or 1.5% 

on an annual basis) multiplied by the average daily value of the participant’s share of the fund’s 

net assets during the preceding month. 

26. Generally, during the Relevant Period, Infinity Q charged participants in the 

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Volatility Fund two types of fees: (a) a monthly management fee equal to twelve and one-half 

basis points (or 1.5% on an annual basis) multiplied by the average daily value of the 

participant’s share of the fund’s net assets during the preceding month and (b) a performance fee 

equal to 15% of the net capital appreciation (i.e., profits) Infinity Q generated in the fund. 

27. As the majority owner of Infinity Q, Defendant Velissaris stood to share in the 

revenue Infinity Q generated from the fees it charged the Funds’ participants.

28. During the Relevant Period, Velissaris was the majority owner and CIO of 

Infinity Q, and directed, managed, and controlled Infinity Q’s operations. Velissaris developed 

and implemented the firm’s trading strategies and led the research, trading, and portfolio 

management team responsible for operating the Funds. 

A Portion of the Funds’ Assets Were Invested in Variance Swaps and Corridor Variance 

Swaps

29. Defendant Velissaris’s and Infinity Q’s investment strategy for the Funds was to 

give pool participants exposure to volatility-based strategies that provided exposure to a 

diversified portfolio of derivatives across stocks, bonds, interest rates, and commodities markets. 

The strategy sought to profit from the mispricing of volatility-related instruments across those 

markets. 

30. Infinity Q and Velissaris marketed these volatility strategies as a way for pool 

participants to generate positive absolute returns over time in both positive and negative 

environments for equities, fixed income, and credit markets. That is, Infinity Q and Velissaris 

marketed the Funds as market-neutral as they were designed to profit regardless of whether the 

underlying market was up or down. 

31. As a part of the volatility strategy, the Funds’ assets included, but were not 

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limited to, variance swaps and corridor variance swaps, both of which are “swaps” under the Act. 

32. A variance swap is an over-the-counter (“OTC”) financial derivative contract that 

allows a party to speculate on the magnitude of the change in value over time (i.e., the volatility) 

of an underlying asset, such as a stock, stock index, or commodity. One party to the swap will 

pay an amount based on the actual variance of changes of the underlying asset. The other party 

will pay a fixed amount, called the strike (also known as the projected volatility), specified at the 

start of the contract. Generally, the net payoff to each counterparty, which usually is settled in 

cash at the contract’s expiration, will be the difference between the actual variance and strike 

amount multiplied by some notional value the parties determined at the start of the contract. 

33. In general, the return a party stands to earn on a variance swap depends on how 

accurately that party predicts the future volatility of the particular asset underlying the swap. For 

example, generally, if the party projects that the volatility of the S&P 500 Index over the next 

twelve months will be low, but the actual volatility during those twelve months turns out to be 

high, the party will lose money.

34. A party can buy or sell a variance swap. A party who buys a variance swap has 

established a “long” position in that swap. Conversely, a party who sells a variance swap has 

established a “short” position. Generally, buying a variance swap is profitable when the actual 

level of volatility in the relevant market is higher than the level of volatility projected (i.e., the 

strike). Conversely, selling a variance swap generally is profitable when the actual level of 

volatility is lower than the level of volatility projected.

35. A corridor variance swap is a type of variance swap that accumulates variance 

only when the value of the underlying asset is within a predetermined range. Whereas ordinary 

variance swaps will track all values contributing to the volatility calculation, a corridor variance 

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swap will have minimum and maximum thresholds; if the daily observed value is within this 

range it will be included in the volatility tabulation, and if it is either too high (above the 

maximum threshold) or too low (below the minimum threshold), it will be excluded. As a result, 

generally, swaps with wider ranges have higher prices than swaps with narrow ranges given that 

the likelihood of a value falling within the range increases as the range widens.

Infinity Q Falsely Represented to the Funds’ Participants That It Would Use an 

Independent Third-Party Valuation Service to Value the Funds’ Variance Swaps

36. Infinity Q set forth the terms of the management of the Funds in the Diversified 

Fund’s prospectus (“Prospectus”) and the Volatility Fund’s private placement memorandum 

(“PPM”), among other documents, which Infinity Q provided to prospective and current 

participants in the Funds. 

37. Defendant Velissaris, who controlled Infinity Q, was ultimately responsible for 

the contents of the PPM and Prospectus. 

38. During the Relevant Period, prospective and current participants in the Funds 

received and reviewed the Prospectus and/or PPM. 

39. Prospective and current participants in the Funds considered the statements in the 

Prospectus and/or PPM material to their decisions to participate in and contribute money to the 

Funds. 

40. The Prospectus stated that when reliable market quotations were not readily 

available for an asset, Infinity Q would value that asset at fair value in accordance with certain 

valuation policies, which provided for use of third-party pricing services. 

41. The PPM stated that the firm’s Valuation Committee was responsible for 

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determining the fair valuation of the fund’s assets pursuant to Infinity Q’s Valuation Policy. 

42. The PPM and Valuation Policy stated that Infinity Q valued the Funds’ positions 

in accordance with the Funds’ offering documents and Generally Accepted Accounting 

Principles in the United States (“GAAP”), specifically, ASC 820 Fair Value Measurement. 

43. The PPM and Valuation Policy stated that GAAP requires the use of “fair value” 

in determining the value of the asset and that fair value is the price that would be received in an 

orderly transaction between market participants at the valuation date. 

44. The PPM and Valuation Policy stated that in situations where no market 

quotations are available, Infinity Q used “independent third-party valuation providers.” As setforth below, these statements were false or misleading. 

45. During the Relevant Period, Velissaris was a member of Infinity Q’s Valuation 

Committee.

46. As represented in the PPM and Valuation Policy, Infinity Q, as a fiduciary of the 

Funds, had an obligation to value the investments held by each participant account in a manner 

that was fair, consistent, and in the best interest of each participant. 

47. As of at least August 1, 2018, the PPM stated that once a price is established for a 

portfolio security, it shall be used for all Infinity Q funds that hold the security. As demonstrated 

below, Infinity Q, by and through Velissaris, failed to adhere to this requirement, and therefore 

this statement was false. 

48. The PPM also stated that Infinity Q calculated the fund’s performance and the 

fees Infinity Q charged participants based on the fair value of the fund’s positions. Infinity Q 

acknowledged in the PPM that an incorrect valuation of assets may result in overcharges of fees 

to clients and/or overstatement of performance information, which in each case may be a 

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violation of the firm’s fiduciary duty and federal anti-fraud laws. 

49. In addition, on numerous occasions throughout the Relevant Period, Defendant

Velissaris falsely or misleadingly represented to existing and prospective participants, the Funds’ 

auditor, and the Funds’ administrator that Infinity Q used an “independent” third-party to value 

OTC derivatives held in the Funds. 

50. Existing and prospective participants in the Funds considered the representations 

that Infinity Q used an independent third-party to value OTC derivatives held in the Funds 

material to their decisions to participate in and contribute money to the Funds.

Infinity Q’s Use of a Purportedly Independent Third-Party Valuation Service for Variance 

Swaps

51. During the Relevant Period, Defendant Velissaris and Infinity Q used a 

purportedly independent third-party pricing service (“Pricing Service A”) to price the Funds’ 

variance swap positions. Velissaris and Infinity Q repeatedly represented to existing and 

prospective participants that the third-party pricing service it used was “independent.” These 

representations were false or misleading. 

52. For example, a 2019 due diligence report prepared by a third-party diligence 

consultant on behalf of a prospective participant in the Volatility Fund reported that Infinity Q 

represented that “[w]hen trades are completed, [Infinity Q] sends [Pricing Service A] the details 

and [Pricing Service A] will model the securities independent of [Infinity Q].” 

53. Similarly, on or about May 28, 2020, Velissaris represented to another participant 

that the “valuation and reporting for the [Diversified Fund] is conducted by [Administrator A].” 

54. Pricing Service A generated prices for variance swaps using an industry standard 

financial model and formula (“pricing model”) incorporated into a computer script (“pricing 

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script”). The pricing model required that certain terms and parameters of the variance swap, 

which were agreed-upon in advance by the parties to the swap and memorialized in the swap’s 

term sheet, be input before the script would calculate the swaps value. 

55. Pricing Service A instructed its clients, including Infinity Q, to make sure that the 

input parameters entered into the script faithfully represented the term sheet that they would like 

to price. 

56. During the Relevant Period, Velissaris was responsible for and did input the 

parameters for certain variance swaps into Pricing Service A’s models. 

57. Despite that Velissaris had input the parameters for certain swaps, Velissaris and 

Infinity Q falsely represented to the Funds’ participants that Infinity Q does not provide the 

inputs Pricing Service A used to generate prices. For example, on or about May 27, 2020, in 

response to a question from an existing participant about positions in the Volatility Fund, an 

Infinity Q employee stated in an email to that participant, “we have nothing to do with nor 

provide inputs for the valuation of the positions.” After sending this response to the participant, 

the Infinity Q employee forwarded the response to Velissaris, who did not make any changes or 

object to Infinity Q’s representation to the participant.

58. Once the terms were input, the pricing model and formula would generate a price 

for the swap. Those agreed-upon terms included (a) the underlying asset or index, (b) Vega 

notional, (c) strike price, (d) scaling factor, (e) swap start date, (f) swap end date, and for corridor 

variance swaps, (g) lower bound and (h) upper bound. 

a. The underlying asset is used by the pricing model to look up the appropriate 

traded asset and to ensure it is correctly included in the variance calculation. 

b. The Vega notional is the volume of the corridor variance swap that will be used 

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to multiply the final per unit payoff to calculate the total payoff.

c. The strike is used to calculate the payoff at deal termination; it does this by 

comparing the calculated, actual volatility versus the strike, and multiplying this 

value (which can be either positive or negative) by the Vega notional to determine 

a final profit/loss calculation.

d. The scaling factor is the number of trading days in the calendar year for the 

relevant market, and is used to annualize the actual, daily volatility that was 

observed. The average number of trading days for U.S. markets is 252 days per 

year.

e. The swap start date is the effective date of the swap.

f. The swap end date is the date on which the swap ends, indicating that final 

payment is made and no further exchanges of payments will occur. 

g. For a corridor variance swap, the lower bound is the price below which the daily 

observed value will be excluded. 

h. For a corridor variance swap, the upper bound is the price above which the daily 

observed value will be excluded.

59. During the Relevant Period, Velissaris was the only person at Infinity Q with the 

access and ability to input terms into and modify the pricing model, formula, or script. 

Velissaris Intentionally Tampered with the Pricing Scripts to Overvalue the Funds’ 

Positions 

60. On numerous days during the Relevant Period, despite repeated representations 

that Infinity Q valued the Funds’ holdings according to an “independent” third-party pricing 

service, Velissaris secretly accessed and manipulated Pricing Service A’s pricing models to 

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ensure they generated whatever false values he wanted rather than the independently derived 

values it otherwise would have generated for numerous variance swaps, including swaps based 

on broad-based security indexes. 

61. Velissaris used multiple methods to execute this fraudulent pricing scheme, 

including surreptitiously changing the pricing scripts and inputs for certain variance swaps and 

using incorrect templates for certain swaps to ensure Pricing Service A generated inflated values. 

These methods included, among others, (1) replacing in the scripts the word “and” with “or” for 

certain corridor variance swaps, effectively eliminating the corridor; (2) changing the lower 

and/or upper bounds of certain corridor variance swaps from the agreed-upon amounts to 1 and 

10,000,000, effectively eliminating the lower and/or upper bound; (3) changing the effective date 

of the swap to place more or less weight on certain periods of high or low volatility depending on 

whether the position was long or short; (4) increasing the scaling factor (i.e., the number of 

trading days in a year, typically 252) applicable to certain variance swaps; and (5) using 

templates for certain swaps that were not designed or calibrated to price those types of 

instruments. The counterparties to the swaps had not agreed to, nor was there any economic 

justification for, any of Velissaris’s changes. 

FIRST METHOD OF FRAUD EXAMPLE

62. For example, during the Relevant Period, Velissaris changed the pricing script the 

pricing model used to value a Eurostoxx 50 Index (“SX5E”) corridor variance swap entered into 

with Counterparty A with a trade date of May 14, 2019 in the Diversified Fund (“Swap A”). 

63. Pursuant to Swap A’s term sheet, Swap A had a variance strike of 17 percent; a 

corridor low of 2,333.80; a corridor high of 3,667.40; and a Vega notional of $400,000 (i.e., a 

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long position). 

64. In general, Infinity Q stood to generate a positive return from Swap A as long as 

the actual (also referred to as the realized) volatility of the SX5E was higher than the agreedupon strike (i.e., 17%). Importantly, however, the size of the return Infinity Q stood to generate

depended on the number of days the actual value of the SX5E fell within the agreed-upon 

corridor (i.e., greater than 2,333.80 and less than 3,667.40). That is, as the number of days the 

actual value fell within the corridor increased, the value of Swap A increased. 

65. At times during the Relevant Period, the actual volatility of the SX5E was such 

that the actual value of Swap A had increased and the Diversified Fund stood to gain on the 

contract. 

66. Knowing that Swap A’s actual value had increased and resulted in gains in the 

Diversified Fund and that if he widened the corridor then Swap A’s value would increase and 

generate even more gains, Velissaris secretly changed the pricing model for Swap A to increase 

Swap A’s value. 

67. To accomplish this fraud, Velissaris changed the part of the pricing script for the 

model that applied the agreed-upon corridor, effectively guaranteeing that Swap A accumulated 

variance every single day rather than only on days the value of the SX5E was within the corridor. 

68. Per Swap A’s term sheet, the original pricing script instructed the model to 

accumulate variance only when the actual value of the SX5E was greater than 2,333.80 “and” 

less than 3,667.40. 

69. Velissaris, however, changed the original pricing script by replacing the word 

“and” with “or” which effectively eliminated the boundaries given that every value (or number) 

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is either greater than 2,333 or lower than 3,667. 

70. Because the corridors generally limit the payout on corridor variance swaps, that 

is, variance only accrues to the extent the underlying asset remains within the corridor, the effect 

of Velissaris’s change was to improperly increase Swap A’s value. As a result of this change, 

the pricing model returned a false, significantly higher value given that it was accumulating 

variance each and every day during the term of Swap A rather than only when the value of the 

SX5E was within the corridor. 

71. Counterparty A had not agreed to any change to the pricing script, and there was 

no economic justification for Velissaris to change the pricing script in this manner. 

72. Velissaris knew that changing the script in this manner would artificially inflate 

the value of Swap A, and thereby artificially inflate the gains he and Infinity Q could claim they 

had generated. 

73. The amount by which Swap A was overvalued because of Velissaris’s fraudulent 

conduct changed throughout the Relevant Period. But, by way of example, as of February 12, 

2021, Infinity Q and Velissaris fraudulently valued Swap A at approximately $10.2 million. 

When independently valued shortly thereafter, however, the fair value of Swap A, based on its 

actual terms, was only approximately $2.1 million. That is, Velissaris and Infinity Q

fraudulently valued Swap A at five times fair value, overvaluing it by approximately $8 million.

74. During the Relevant Period, as part of his fraudulent scheme, Velissaris similarly 

replaced the word “and” with “or” in the pricing scripts for numerous other corridor variance 

swaps. 

SECOND METHOD OF FRAUD EXAMPLE

75. A second method Velissaris used to execute his fraudulent scheme was to secretly 

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change the lower and/or upper bounds of certain corridor variance swaps from the amounts 

stated in the applicable term sheet to 1 and 10,000,000 respectively, effectively guaranteeing a 

false, higher valuation given that the pricing model would include more instances of variance 

than it otherwise would have. 

76. For example, during the Relevant Period, Velissaris changed the corridor high 

input for a S&P 500 Index (“S&P 500”) variance swap entered into with Counterparty B with a 

trade date of March 3, 2020 and a Vega notional of $500,000 (i.e., a long position) held in the 

Volatility Fund (“Swap B”). 

77. Pursuant to Swap B’s term sheet, Swap B had a variance strike of 17.00 percent; a 

corridor low of 2853.20; and a corridor high of 3003.37. 

78. At times during the Relevant Period, the volatility of the S&P 500 was such that 

the value of Swap B had increased and the Volatility Fund stood to gain on the contract. 

79. Not content with the (unrealized) gains Swap B had returned, Velissaris 

intentionally changed the corridor high in the pricing model for Swap B from 3003.37 to 10 

million. By doing so, Velissaris widened the corridor for Swap B, effectively guaranteeing a 

false, higher value as the manipulated model accumulated variance every day the value of the 

S&P 500 was between 2853.20 and 10,000,000 rather than between 2853.20 and 3003.37. 

80. Counterparty B had not agreed to any change to the corridor high for Swap B, and 

there was no economic justification for Velissaris to change the corridor high. Velissaris knew 

that changing the corridor high to 10,000,000 would artificially inflate the value of Swap B, and 

thereby show fake, inflated gains. 

81. The amount by which Swap B was overvalued on account of Velissaris’s fraud 

changed throughout the Relevant Period. But, by way of example, as of January 31, 2021, 

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Infinity Q and Velissaris fraudulently valued Swap B at approximately $9.35 million. When 

independently valued shortly thereafter, however, the fair value of Swap B, based on its actual 

terms, was approximately $2.5 million. That is, they fraudulently valued Swap B at nearly five 

times fair value, overvaluing it by more than $6.8 million.

82. During the Relevant Period, as part of his fraudulent scheme, Velissaris similarly 

changed the corridor low and/or high from the contractually agreed-upon values to 1 and 

10,000,000 respectively for multiple other corridor variance swaps. 

THIRD METHOD OF FRAUD EXAMPLE

83. A third method Velissaris used to execute his fraudulent scheme involved 

changing the effective (i.e., start) date of certain variance swaps held in the Funds.

84. For example, during the Relevant Period, Velissaris changed the effective date for 

an MSCI EAFE variance swap entered into with Counterparty C with a Vega notional of 

$600,000 (i.e., a long position) and a contractually agreed-upon effective date of March 14, 

2019, which was held in the Volatility Fund (“Swap C”). 

85. At times during the Relevant Period, the volatility of the MSCI EAFE was such 

that the value of Swap C had increased and the Volatility Fund stood to gain on the contract. 

86. On May 12, 2020, not content with the (unrealized) gains Swap C had returned, 

Velissaris intentionally changed the effective date of Swap C from March 14, 2019, to December 

13, 2019, so that the pricing model would return an even higher, false, value and thus show even 

greater gains. 

87. Velissaris knew that by changing the effective date of Swap C in this manner the 

pricing model would return a false, higher value than it would have otherwise returned because 

the model would disregard volatility before the Covid-19 pandemic and place more weight on 

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the increased volatility at the start of the pandemic. 

88. Counterparty C had not agreed to a change to the effective date of Swap C and 

there was no economic justification for Velissaris to change Swap C’s effective date. 

89. The amount by which Swap C was overvalued on account of Velissaris’s fraud 

changed throughout the Relevant Period. But, by way of example, as of January 31, 2021, 

Infinity Q and Velissaris fraudulently valued Swap C at approximately $9.3 million. When 

independently valued shortly thereafter, however, the fair value of Swap C, based on its actual 

terms, was only approximately $3.9 million. That is, Velissaris and Infinity Q fraudulently 

valued Swap C at more than two times fair value, overvaluing it by approximately $5.4 million.

90. During the Relevant Period, as part of his fraudulent scheme, Velissaris similarly 

changed the effective date for other swaps. 

FOURTH METHOD OF FRAUD EXAMPLE 

91. A fourth method Velissaris used to execute his fraudulent scheme involved

Velissaris secretly increasing the scaling factor (i.e., number of trading days in the year) the 

pricing model applied to certain variance swaps from the agreed-upon and industry standard 252 

days. 

92. For example, during the Relevant Period, Velissaris changed the scaling factor 

applicable to a Russell 2000 Index variance swap entered into with Counterparty B with a trade 

date of July 30, 2020, variance strike of 29.5 percent, and a Vega notional of $450,000 (i.e., a 

long position) held in the Diversified Fund (“Swap D”). 

93. At times during the Relevant Period, the volatility of the Russell 2000 Index was 

such that the value of Swap D had decreased and the Diversified Fund stood to lose on the 

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contract.

94. To conceal the losses on Swap D, among other actions, Velissaris intentionally 

changed the scaling factor applicable to Swap D from the default 252 trading days per year to 

350 trading days per year, effectively guaranteeing that the pricing model would return a false, 

higher value and thus show a gain rather than a loss on the position. 

95. Velissaris knew that by increasing the scaling factor the pricing model would 

return a higher value than it would have otherwise returned. 

96. Counterparty B had not agreed to any change to the scaling factor and there was 

no economic justification for Velissaris to add 102 days to the contractually agreed-upon and 

industry standard number of trading days per year. 

97. In addition to changing the scaling factor in the pricing model for Swap D, at 

various times during the Relevant Period, Velissaris also changed the corridor high to 10,000,000 

and replaced the word “and” with “or” in the pricing script for Swap D, in the same manner 

described above.

98. The amount by which Swap D was overvalued on account of Velissaris’s fraud 

changed daily throughout the Relevant Period. But, by way of example, as of February 18, 2021, 

Infinity Q and Velissaris fraudulently valued Swap D at approximately $3.8 million. When 

independently valued shortly thereafter, however, the fair value of Swap D, based on its actual 

terms, was approximately -$65,000. That is, Velissaris and Infinity Q fraudulently valued Swap 

D to show a gain of approximately $3.8 million when in reality Swap D was showing a loss of 

approximately $65,000. 

99. During the Relevant Period, and as part of his fraudulent scheme, Velissaris 

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similarly changed the scaling factor applicable to multiple other variance swaps. 

FIFTH METHOD OF FRAUD EXAMPLE 

100. A fifth method Velissaris used to execute his fraudulent scheme was to use 

pricing templates that were not appropriate for pricing corridor variance swaps and which he 

knew would return false, artificially high values. In some instances, Velissaris selected an 

improper template to value the swap from the start date of the position. In other instances, 

Velissaris changed the template initially used to value the position to an improper template for 

future valuations. 

101. During the Relevant Period, Pricing Service A provided Infinity Q, and instructed 

Velissaris to use, a specific template for pricing corridor variance swaps. For “vanilla” variance 

swaps, Pricing Service A provided a different, basic template that did not take into account any 

corridors.

102. During the Relevant Period, however, to value certain of the Funds’ corridor 

variance swaps, Velissaris intentionally selected different, improper templates that were not 

designed or calibrated to value corridor variance swaps, including using the “vanilla” variance 

swaps template for corridor variance swaps. 

103. Velissaris knew that by using these improper templates to price corridor variance 

swaps, Pricing Service A would return false values that were higher than it otherwise would have 

returned if Velissaris had used the correct templates. 

104. For example, in November 2019, Velissaris changed the template he had used the 

prior month (October 2019) to price a specific corridor variance swap held in the Diversified 

Fund. Velissaris changed the template for this swap from a template designed for corridor 

variance swaps to a template designed for an entirely different product and not designed or 

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calibrated to price a corridor variance swap. After Velissaris changed the template, the value of 

this swap, as generated by Pricing Service A, increased by more than $1 million. 

105. During the Relevant Period, Velissaris similarly used inappropriate templates to 

value dozens of other corridor variance swaps. 

106. In addition to using improper templates, Velissaris did not use templates 

consistently and in some circumstances used different templates at different times to price the 

same swap. 

107. There was no economic justification for Velissaris to price corridor variance 

swaps using pricing templates that were not designed or calibrated to do so. 

108. Velissaris did not tell any of the Funds’ participants, auditors, or third-party 

administrator that he had used incorrect templates or had manipulated the pricing models Pricing 

Service A used to value corridor variance swaps held by the Funds. To the contrary, Velissaris 

undertook his fraud scheme in secret. 

In Certain Circumstances, Velissaris Valued the Same Exact Swap Held in the Diversified 

Fund Differently from How He Valued that Same Swap Held in the Volatility Fund

109. Throughout the Relevant Period, the Diversified Fund and the Volatility Fund 

held similar variance swaps, and at times during the Relevant Period, the Diversified Fund and 

the Volatility Fund held the exact same variance swap. 

110. For example, as of November 30, 2020, both the Diversified Fund and the 

Volatility Fund held a corridor variance swap with Counterparty E with an effective date of 

February 4, 2020, an end date of December 18, 2020, a Vega notional of 500 Euro (i.e., a long 

position), a strike price of 15.05 percent, a lower bound of 2985.82, and upper bound of 4478.74 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 22 of 39
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(“Swap E”).

111. During the Relevant Period, despite that the swaps were identical, Velissaris

valued Swap E differently in the Diversified Fund from the Volatility Fund.

112. For example, as of March 2020, Velissaris valued Swap E held in the Volatility

Fund at $29.4 million, but valued Swap E held in the Diversified Fund at $12.9 million. That is, 

he valued Swap E in the Volatility Fund at more than double the value he gave to the same exact 

swap in the Diversified Fund. There was no economic justification for Velissaris to value Swap 

E differently in this manner. 

113. On multiple occasions throughout the Relevant Period, Velissaris similarly valued 

the same exact swap held in the Diversified Fund differently from how he valued that same swap 

in the Volatility Fund. There was no economic justification for valuing the same swaps held in 

different funds differently. 

114. As of at least August 1, 2018, through the PPM, Infinity Q and Velissaris 

represented to pool participants that once a price was established for a portfolio security, it would 

be used for all Infinity Q Funds that hold the security. As demonstrated above, this 

representation was false.

Infinity Q and Velissaris Used the Fraudulent Valuations to Calculate, Falsely, the Funds’ 

Net Asset Value and Charge Participants Fraudulently High Fees

115. During the Relevant Period, Infinity Q used a third-party administrator 

(“Administrator A”) to calculate the net asset value (“NAV”) of the assets in the Funds. 

Administrator A used the NAV to prepare participant account statements showing the 

performance and value of each participant’s share of the Funds’ assets. Administrator A also 

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used the NAV to calculate the fees Infinity Q charged each participant. 

116. During the Relevant Period, Velissaris and Infinity Q represented to prospective 

and existing participants in the Funds that Administrator A fully and independently valued the 

Funds. For example, the 2019 due diligence report, referenced above in Paragraph 52, states that 

Infinity Q represented that in practice, “[Administrator A] prices the book independently using 

[Pricing Service A].” These representations were false.

117. During the Relevant Period, Administrator A calculated the Funds’ NAV, in part, 

based on the values generated by Pricing Service A. Because many of those values, however, 

were false and inflated, as a result of Velissaris’s fraudulent scheme, the Funds’ NAV was false 

and inflated throughout the Relevant Period. 

118. The amount by which the Funds’ NAV was fraudulently inflated changed 

throughout the Relevant Period. For example, as of October 31, 2020, Infinity Q overvalued the 

Diversified Fund’s NAV by approximately $515 million as a result of Velissaris’s fraud. As of 

October 31, 2020, Infinity Q over valued the Volatility Fund’s NAV by approximately 

$547 million as a result of Velissaris’s fraud. 

119. During the Relevant Period, Administrator A used the Funds’ NAV to prepare 

account statements that it sent to the Funds’ participants and to calculate the fees Infinity Q 

charged those participants. 

120. Because the NAVs that Administrator A used were false and inflated, as a result 

of Velissaris’s fraudulent scheme, the account statements Administrator A sent to fund 

participants reflected false and inflated returns and the fees it calculated were artificially high.

121. During the Relevant Period, Infinity Q overcharged pool participants millions of 

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dollars as a result of Velissaris’s fraud. 

122. As CIO and the person controlling Infinity Q, Velissaris knew that Administrator 

A would use the false, inflated values—that he had fraudulently caused Pricing Service A to 

generate—for purposes of calculating the Funds’ NAV, which Administrator A would in turn use 

to prepare participant account statements and to calculate Infinity Q’s fees. 

123. As the majority owner of Infinity Q, Velissaris knew he would benefit from the 

inflated fees Infinity Q charged the Funds’ participants. 

124. Velissaris’s fraudulent scheme enabled Velissaris and Infinity Q to tout phony, 

positive returns during the Relevant Period, and even throughout 2020, despite a global 

pandemic when other funds with similar strategies had failed, luring new and existing 

participants to participate in the Funds. Between January 1, 2020 and January 31, 2021, by 

touting these fraudulent returns, Velissaris and Infinity Q enticed hundreds of new and existing 

participants in the Funds to contribute hundreds of millions of dollars to the Funds. 

125. In fact, between January 1, 2020 and January 31, 2021, alone, as a result of 

Velissaris’s fraud, Infinity Q nearly doubled its assets under management from $1.6 billion to 

$3.0 billion, of which approximately $1.8 billion was attributable to the Diversified Fund and 

approximately $1.2 billion was attributable to the Volatility Fund. 

Velissaris Successfully Concealed his Fraud

126. During the Relevant Period, Velissaris took steps to conceal his fraud by, among 

other ways, providing altered swap term sheets to Infinity Q’s auditor (“Auditor A”) in 

connection with formal audits, surreptitiously making retroactive changes to Infinity Q’s written 

Valuation Policy, and creating phony minutes for Valuation Committee meetings that never took 

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place. 

127. For example, in connection with Auditor A’s December 2020 audit of the 

Volatility Fund, Auditor A identified a list of positions it planned to have revalued by an 

independent valuation expert and requested that Infinity Q upload to Auditor A’s client portal the 

term sheets for each of those positions. 

128. In response to Auditor A’s request, Infinity Q staff uploaded to Auditor A’s client 

portal the term sheets for those positions. Shortly thereafter, however, knowing that Auditor A 

and the independent valuation expert would rely on those term sheets and potentially uncover his 

fraudulent valuations, Velissaris engaged in a scheme to conceal his fraud from them. 

129. On or about February 7, 2021, Velissaris accessed Auditor A’s client portal and 

deleted term sheets that had been uploaded earlier that day. Velissaris then secretly altered at 

least one of those term sheets so it would show the same false terms he had used to value that 

position rather than the actual, original terms to which the counterparty had agreed. Following 

his alterations, unbeknownst to Auditor A at the time, Velissaris again accessed the client portal 

and re-uploaded term sheets, including at least one falsified term sheet. 

130. At the time he falsified the term sheet and uploaded it to the client portal, 

Velissaris knew that Auditor A and the independent valuation expert would rely on the false 

terms in the term sheet to conduct its audit and would potentially uncover his fraudulent conduct. 

Velissaris’s intent in falsifying the term sheet was to conceal his fraud from Auditor A, their 

valuation expert, and by extension everyone else. 

131. Similarly, on or about September 18, 2020, in connection with Auditor A’s 

August 2020 audit of the Diversified Fund, Velissaris caused at least one falsified term sheet to 

be uploaded to Auditor A’s client portal. In an attempt to explain why term sheets had been 

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“updated” on the portal, Velissaris falsely stated to Auditor A that Infinity Q had identified 

duplicate and missing term sheets and that the files on the portal at that time should now be 

“correct.” This statement was false or misleading. 

132. In addition to falsifying records provided to Auditor A, Velissaris also attempted 

to conceal his fraudulent conduct by surreptitiously making retroactive changes to Infinity Q’s 

written Valuation Policy and creating phony Valuation Committee meeting minutes. 

133. For example, in or around May 2020, Velissaris caused multiple material changes, 

including changes to representations regarding how Infinity would value complex derivatives 

such as variance swaps, to be made to Infinity Q’s written Valuation Policy. 

134. Despite that these changes had been made in May 2020, the effective date on the 

document remained December 2018. In effect, Velissaris orchestrated a backdating of revisions 

to the Valuation Policy, in an attempt to legitimize his fraudulent conduct. 

135. In a similar attempt to legitimize his fraudulent conduct, Velissaris created and 

stored in Infinity Q’s files phony minutes of meetings of Infinity Q’s Valuation Committee that 

never actually took place. 

136. For example, Infinity Q’s records contained minutes of at least three meetings of 

the Valuation Committee that purportedly took place during the Relevant Period. Those records 

purport to describe in detail meetings of the Valuation Committee that took place on June 11, 

2019; December 5, 2019; and June 15, 2020. The Valuation Committee, however, did not meet 

on those days, and accordingly, no minutes of those meetings exist or could exist. Velissaris 

simply manufactured minutes of meetings that never took place in an effort to conceal his 

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fraudulent scheme. 

Velissaris’s Fraud is Revealed

137. On February 18, 2021, Infinity Q informed participants in the Diversified Fund 

that it had learned that Velissaris had been altering models of an independent third-party pricing 

service Infinity Q used to value complex derivatives, including the corridor variance swaps 

discussed above. 

138. On February 19, 2021, Infinity Q informed participants in the Diversified Fund 

that it was unable to conclude that Velissaris’s alterations were reasonable and that it was unable 

to verify that the values Infinity Q had previously reported for those positions reflected fair 

value. 

139. On February 22, 2021, Infinity Q notified participants in the Volatility Fund that 

it had “independently corroborated that Velissaris did access and alter the third party’s valuation 

models.” Infinity Q also notified participants that it had “determined to immediately cease 

trading and suspend redemptions” in the Volatility Fund.

140. On or about February 22, 2021, based on its determination that Velissaris had 

accessed and altered the independent third-party pricing models, Infinity Q ceased trading and 

began liquidating the Funds’ assets. 

VI. VIOLATIONS OF THE COMMODITY EXCHANGE ACT AND REGULATIONS

COUNT ONE

Violations of Section 4o(1)(A) and (B) of the Act, 7 U.S.C. § 6o(1)(A), (B)

(Fraud and Deceit by an AP of a CPO)

141. The allegations in the preceding paragraphs are re-alleged and incorporated herein 

by reference. 

142. 7 U.S.C. § 6o(1)(A) and (B) makes it unlawful for an AP of a CPO “by use of the 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 28 of 39
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mails or any means or instrumentality of interstate commerce, directly or indirectly ... “(A) to 

employ any device, scheme, or artifice to defraud any client or participant or prospective client 

or participant; or (B) to engage in any transaction, practice, or course of business which operates 

as a fraud or deceit upon any client or participant or prospective client or participant.” 

143. During the Relevant Period, Infinity Q was registered with the Commission as a 

CPO.

144. During the Relevant Period, Velissaris was registered with the Commission as an 

AP of CPO Infinity Q.

145. During the Relevant Period, Velissaris, acting as an AP of a CPO, committed 

fraud in violation of 7 U.S.C. § 6o(1)(A) and (B) by, among other things: 

a. Making false and misleading statements to pool participants and prospective pool 

participants that Infinity Q would use an independent third-party to value variance 

swaps the Funds held; 

b. Secretly altering Pricing Service A’s pricing model to ensure it generated false, 

inflated valuations that Velissaris and Infinity Q in turn used to value certain 

variance swaps the Funds held; and

c. Overcharging pool participants fees based on fraudulently inflated valuations for 

certain variance swaps the Funds held. 

146. Velissaris knew the actual value of the variance swaps that Pricing Service A’s 

model would return if he did not secretly change the inputs, parameters, and scripts, and 

therefore knew that the valuations Pricing Service A generated were false and misleading.

147. The false and misleading statements alleged above were material, as they related 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 29 of 39
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directly to investment performance and risk. 

148. Velissaris committed the acts and omissions alleged herein within the scope of his 

employment or office at Infinity Q. 

149. As the CIO and majority owner of Infinity Q, Velissaris controlled Infinity Q 

throughout the Relevant Period and failed to act in good faith or knowingly induced Infinity Q’s 

conduct that constituted violations of 7 U.S.C. § 6o(1)(A) and (B). Therefore, Velissaris is liable 

for Infinity Q’s violations of 7 U.S.C. § 6o(1)(A) and (B) as a controlling person pursuant to 

Section 13(b) of the Act, 7 U.S.C. § 13c(b). 

150. Each misrepresentation, omission of material fact, and false statement, including 

but not limited to those specifically alleged herein, is alleged as a separate and distinct violation 

of 7 U.S.C. § 6o(1)(A) and (B). 

COUNT TWO 

Violations of Section 4b(a)(2)(A)-(C) of the Act, 7 U.S.C. § 6b(a)(2)(A)-(C)

(Fraud in Connection with Swaps) 

151. The allegations in the preceding paragraphs are re-alleged and incorporated herein 

by reference. 

152. 7 U.S.C. § 6b(a)(2)(A)-(C), makes it unlawful: 

[F]or any person, in or in connection with any order to make, or 

the making of, any ... swap ... that is made, or to be made, for or 

on behalf of, or with, any other person other than on or subject to 

the rules of a designated contract market . . . (A) to cheat or 

defraud or attempt to cheat or defraud the other person; (B) 

willfully to make or cause to be made to the other person any false 

report or statement or willfully to enter or cause to be entered for 

the other person any false record; [or] (C) willfully to deceive or 

attempt to deceive the other person by any means whatsoever in 

regard to any order or contract or the disposition or execution of 

any order or contract, or in regard to any act of agency performed, 

with respect to an order or contract for or . . . with the other person. 

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153. Velissaris directly violated 7 U.S.C. § 6b(a)(2)(A)-(C) by willfully or recklessly 

making false representations and omissions or otherwise defrauding pool participants in 

connection with swaps, including swaps based on broad-based security indexes, including but 

not limited to by: 

a. Making false and misleading statements to pool participants and prospective pool 

participants that Infinity Q would use an independent third-party to value variance 

swaps the Funds held; 

b. Secretly altering Pricing Service A’s pricing model to ensure it generated false, 

inflated valuations that Velissaris and Infinity Q in turn used to value certain 

variance swaps the Funds held; and 

c. Overcharging pool participants fees based on fraudulently inflated valuations for 

certain variance swaps the Funds held. 

154. Velissaris engaged in the acts and practices described above knowingly, willfully

or with reckless disregard for the truth. 

155. Velissaris committed the acts and omissions alleged herein within the scope of his 

employment or office at Infinity Q. 

156. As the CIO and majority owner of Infinity Q, Velissaris controlled Infinity Q 

throughout the Relevant Period and failed to act in good faith or knowingly induced Infinity Q’s 

conduct that constituted violations of 7 U.S.C. § 6b(a)(2)(A)-(C). Therefore, Velissaris is liable 

for Infinity Q’s violations of 7 U.S.C. § 6b(a)(2)(A)-(C) as a controlling person pursuant to 

Section 13(b) of the Act, 7 U.S.C. § 13c(b). 

157. Each misrepresentation, omission of material fact, and false statement, including 

but not limited to those specifically alleged herein, is alleged as a separate and distinct violation 

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of 7 U.S.C. § 6b(a)(2)(A)-(C). 

COUNT THREE

Violations of Section 4b(e)(1)-(3) of the Act, 7 U.S.C. § 6b(e)(1)-(3)

(Fraud in Connection with Swaps on a Group or Index of Securities) 

158. The allegations in the preceding paragraphs are re-alleged and incorporated herein 

by reference. 

159. 7 U.S.C. § 6b(e)(1)-(3), makes it “unlawful for any person, directly or indirectly, 

by the use of any means or instrumentality of interstate commerce, or of the mails, ... in or in 

connection with ... any swap, on a group or index of securities (or any interest therein or based 

on the value thereof) ...(1) to employ any device, scheme, or artifice to defraud; (2) to make any 

untrue statement of a material fact or to omit to state a material fact necessary in order to make 

the statements made, in light of the circumstances under which they were made, not misleading; 

or (3) to engage in any act, practice, or course of business which operates or would operate as a 

fraud or deceit upon any person.” 

160. During the Relevant Period, as described above, Velissaris directly violated 

7 U.S.C. § 6b(e)(1)-(3) by, among other things, in connection with swaps on a group or index of 

securities: 

a. Making false and misleading statements to pool participants and prospective pool 

participants that Infinity Q would use an independent third-party to value variance 

swaps the Funds held; 

b. Secretly altering Pricing Service A’s pricing model to ensure it generated false, 

inflated valuations that Velissaris and Infinity Q in turn used to value certain 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 32 of 39
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variance swaps the Funds held; and 

c. Overcharging pool participants fees based on fraudulently inflated valuations for 

certain variance swaps the Funds held. 

161. Velissaris engaged in the acts and practices described above willfully, 

intentionally, or recklessly. 

162. Velissaris committed the acts and omissions alleged herein within the scope of his 

employment or office at Infinity Q. 

163. As the CIO and majority owner of Infinity Q, Velissaris controlled Infinity Q 

throughout the Relevant Period and failed to act in good faith or knowingly induced Infinity Q’s 

conduct that constituted violations of 7 U.S.C. § 6b(e)(1)-(3). Therefore, Velissaris is liable for 

Infinity Q’s violations of 7 U.S.C. § 6b(e)(1)-(3) as a controlling person pursuant to Section 

13(b) of the Act, 7 U.S.C. § 13c(b). 

164. Each misrepresentation, omission of material fact, and false statement, including 

but not limited to those specifically alleged herein, is alleged as a separate and distinct violation 

of Section 4b(e)(1)-(3) of the Act.

COUNT FOUR

Violations of Section 6(c)(1) of the Act, 7 U.S.C. § 9(1), and Regulation 180.1(a), 

17 C.F.R. § 180.1(a) (2021) 

(Fraud by Deceptive Device or Contrivance) 

165. The allegations in the preceding paragraphs are re-alleged and incorporated herein 

by reference. 

166. 7 U.S.C. § 9(1) makes it unlawful for any person, directly or indirectly, to: 

use or employ, or attempt to use or employ, in connection with any 

swap ... in interstate commerce ... any manipulative or deceptive 

device or contrivance, in contravention of such rules and 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 33 of 39
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regulations as the Commission shall promulgate by not later than 1 

year after [July 21, 2010, the date of enactment of the Dodd-Frank 

Wall Street Reform and Consumer Protection Act] . . . . 

167. 17 C.F.R. § 180.1(a) provides: 

It shall be unlawful for any person, directly or indirectly, in 

connection with any swap ... in interstate commerce ... to 

intentionally or recklessly: 

(1) Use or employ, or attempt to use or employ, any manipulative 

device, scheme, or artifice to defraud; 

(2) Make, or attempt to make, any untrue or misleading statement 

of a material fact or to omit to state a material fact necessary in 

order to make the statements made not untrue or misleading; 

(3) Engage, or attempt to engage, in any act, practice, or course of 

business, which operates or would operate as a fraud or deceit 

upon any person . . . . 

168. During the Relevant Period, as described above, Velissaris violated

7 U.S.C. § 9(1) and 17 C.F.R. § 180.1(a) by, among other things, in connection with swaps in 

interstate commerce, making or attempting to make untrue or misleading statements of material 

fact or omitting to state or attempting to omit material facts necessary in order to make 

statements made not untrue or misleading, such as the following: 

a. Making false and misleading statements to pool participants and prospective pool 

participants that Infinity Q would use an independent third-party to value variance 

swaps the Funds held; 

b. Secretly altering Pricing Service A’s pricing model to ensure it generated false, 

inflated valuations that Velissaris and Infinity Q in turn used to value certain 

variance swaps the Funds held; and 

c. Overcharging pool participants fees based on fraudulently inflated valuations for 

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certain variance swaps the Funds held. 

169. Velissaris engaged in the acts and practices described above willfully, 

intentionally, or recklessly. 

170. Velissaris committed the acts and omissions alleged herein within the scope of his 

employment or office at Infinity Q. 

171. As the CIO and majority owner of Infinity Q, Velissaris controlled Infinity Q 

throughout the Relevant Period and failed to act in good faith or knowingly induced Infinity Q’s 

conduct that constituted violations of 7 U.S.C. § 9(1) and 17 C.F.R. § 180.1(a). Therefore, 

Velissaris is liable for Infinity Q’s violations of 7 U.S.C. § 9(1) and 17 C.F.R. § 180.1(a) as a 

controlling person pursuant to Section 13(b) of the Act, 7 U.S.C. § 13c(b). 

172. Each act of: (1) using or employing, or attempting to use or employ, a 

manipulative device, scheme, or artifice to defraud; (2) making, or attempting to make, untrue or 

misleading statements of material fact, or omitting to state material facts necessary to make the 

statements not untrue or misleading; and (3) engaging, or attempting to engage, in any act, 

practice, or course of business, which operated or would operate as a fraud or deceit upon any 

person, including but not limited to those specifically alleged herein, is alleged as a separate and 

distinct violation of 7 U.S.C. § 9(1) and 17 C.F.R. § 180.1(a). 

VII. RELIEF REQUESTED

WHEREFORE, the Commission respectfully requests that the Court, as authorized by 

Section 6c of the Act, 7 U.S.C. § 13a-1, and pursuant to its own equitable powers, enter: 

A. An order finding that Velissaris violated Sections 7 U.S.C. §§ 6b(a)(2)(A)-(C), 

6b(e), 6o(1)(A)-(B), 9(1), and 17 C.F.R. § 180.1 (2021).

B. An order of permanent injunction enjoining Velissaris and any other person or 

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36 

entity associated with him, including but not limited to affiliates, agents, servants, 

employees, assigns, attorneys, and all persons in active concert or participation 

with Velissaris, including any successor thereof, from: 

i. Engaging, directly or indirectly, in conduct in violation of 7 U.S.C. 

§§ 6b(a)(2)(A)-(C), 6b(e), 6o(1)(A)-(B), 9(1), and 17 C.F.R. § 180.1; 

ii. Trading on or subject to the rules of any registered entity (as that term is 

defined in Section 1a(40) of the Act, 7 U.S.C. § 1a(40));

iii. Entering into any transactions involving “commodity interests” (as that 

term is defined in Regulation 1.3, 17 C.F.R. § 1.3 (2021)), for his own 

personal account(s) or for any account in which Defendant Velissaris has a 

direct or indirect interest; 

iv. Having any commodity interests traded on Velissaris’s behalf; 

v. Controlling or directing the trading for or on behalf of any other person or 

entity, whether by power of attorney or otherwise, in any account 

involving commodity interests; 

vi. Soliciting, receiving, or accepting any funds from any person for the 

purpose of purchasing or selling any commodity interests;

vii. Applying for registration or claiming exemption from registration with the 

Commission in any capacity, and engaging in any activity requiring such 

registration or exemption from registration with the Commission, except 

as provided for in Regulation 4.14(a)(9), 17 C.F.R. § 4.14(a)(9) (2021); 

and/or 

viii. Acting as a principal (as that term is defined in Regulation 3.1(a), 

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37 

17 C.F.R. § 3.1(a) (2021)), agent, or any other officer or employee of any 

person (as that term is defined in 7 U.S.C. § 1a(38), registered, exempted 

from registration, or required to be registered with the Commission except 

as provided for in 17 C.F.R. § 4.14(a)(9)); 

C. An order requiring Velissaris to pay civil monetary penalties of not more than the 

civil monetary penalty prescribed by Section 6c(d)(1) of the Act, 7 U.S.C. § 13a1(d)(1), as adjusted for inflation pursuant to the Federal Civil Penalties Inflation 

Adjustment Act Improvements Act of 2015, Pub. L. 114–74, 129 Stat. 584, title 

VII, Section 701, see Regulation 143.8, 17 C.F.R. § 143.8 (2021), for each 

violation of the Act or Regulations, plus post-judgment interest; 

D. An order directing Velissaris, as well as any successors thereof, to disgorge, 

pursuant to such procedure as the Court may order, all benefits received 

including, but not limited to, trading profits, revenues, salaries, commissions, 

fees, or loans derived directly or indirectly from acts or practices which constitute 

violations of the Act and Regulations, as described herein, and pre- and postjudgment interest thereon from the date of such violations; 

E. An order directing Velissaris, as well as any successors thereof, to make full 

restitution, pursuant to such procedure as the Court may order, to every person or 

entity who sustained losses proximately caused by Defendant Velissaris’s 

violations (in the amount of such losses), as described herein, plus pre-judgment 

interest thereon from the date of such violations, plus post-judgment interest; 

F. An order requiring Velissaris, as well as any successors thereof, to pay costs and 

Case 1:22-cv-01347 Document 1 Filed 02/17/22 Page 37 of 39
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fees as permitted by 28 U.S.C. §§ 1920 and 2412(a)(2); and 

G. An order providing such other and further relief as the Court deems proper. 

* * *

VIII. DEMAND FOR JURY TRIAL

Plaintiff hereby demands a jury trial.

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39 

Dated: February 17, 2022 

COMMODITY FUTURES TRADING

 COMMISSION

By: s/ Jonah E. McCarthy 

Jonah E. McCarthy 

Senior Trial Attorney

jmccarthy@cftc.gov

Phone: (202) 418-5000 

Traci L. Rodriguez (pro hac vice 

application to be filed) 

Chief Trial Attorney

trodriguez@cftc.gov 

Phone: (202) 418-5000 

Paul G. Hayeck (pro hac vice 

application to be filed) 

Deputy Director 

phayeck@cftc.gov 

Phone: (202) 418-5000 

1155 21st Street, NW 

Washington, D.C. 20581 

Phone: (202) 418-5000 

Fax: (202) 418-5428 

ATTORNEYS FOR PLAINTIFF

COMMODITY FUTURES TRADING

COMMISSION

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