SecProbe.io

CORRESP
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filename1.htm

      August 29,
      2024

      Ms.
Michelle Beck

      Ms.
Rebecca Ament Marquigny

      U.S.
Securities and Exchange Commission

      100
F Street, NE

      Washington,
      DC 20549

            Re:
            Themes
            ETF Trust, File Nos. 333-271700; 811-23872

      Dear
      Ms. Beck and Ms. Marquigny:

      This
      correspondence responds to comments provided by telephone by the staff of the U.S. Securities and Exchange Commission (the “Staff”)
      pursuant to its review of Post-Effective Amendment No. 2 (the “Amendment”) to the registration statement of Themes
      ETF Trust (the “Registrant” or the “Trust”) with respect to Themes S&P 500 Dual Options Income ETF,
      Themes S&P 500 Enhanced Iron Condor Income ETF, Themes S&P 500 Ultra Enhanced Iron Condor Income ETF, Themes Nasdaq 100
      Dual Options Income ETF, Themes Nasdaq 100 Enhanced Iron Condor Income ETF, Themes Nasdaq 100 Ultra Enhanced Iron Condor Income
      ETF, Themes Russell 2000 Dual Options Income ETF, Themes Russell 2000 Enhanced Iron Condor Income ETF, Themes Russell 2000 Ultra
      Enhanced Iron Condor Income ETF, Themes S&P 500 Dynamic Covered Call ETF, Themes AAPL PutWrite Options Income ETF, Themes AMZN
      PutWrite Options Income ETF, Themes COIN PutWrite Options Income ETF, Themes GOOGL PutWrite Options Income ETF, Themes MSFT PutWrite
      Options Income ETF, Themes NVDA PutWrite Options Income ETF, Themes TSLA PutWrite Options Income ETF and Themes VIX PutWrite Options
      Income ETF (collectively, the “Funds”), each a series of the Trust, filed by the Registrant on Form N-1A on January 30,
      2024, and its review of correspondence filed by the Registrant on June 13, 2024 and June 18, 2024. For your convenience,
      the comments have been reproduced with responses following each comment. Responses provided to comments given pertaining to one
      section or Fund have been applied to other sections and Funds in the Amendment that contain the same or similar disclosure. In
      addition, please see Appendix A for a redline copy of the prospectus changes.

      The
      Themes S&P 500 Dual Options Income ETF, Themes Nasdaq 100 Dual Options Income ETF and Themes Russell 2000 Dual Options Income
      ETF are collectively referred to as the “Dual Options Funds.” The Themes S&P 500 Enhanced Iron Condor Income ETF,
      Themes S&P 500 Ultra Enhanced Iron Condor Income ETF, Themes Nasdaq 100 Enhanced Iron Condor Income ETF, Themes Nasdaq 100
      Ultra Enhanced Iron Condor Income ETF, Themes Russell 2000 Enhanced Iron Condor Income ETF, and Themes Russell 2000 Ultra Enhanced
      Iron Condor Income ETF are collectively referred to as the “Iron Condor Funds.” The Themes AAPL PutWrite Options Income
      ETF, Themes AMZN PutWrite Options Income ETF, Themes COIN PutWrite Options Income ETF, Themes GOOGL PutWrite Options Income ETF,
      Themes MSFT PutWrite Options Income ETF, Themes NVDA PutWrite Options Income ETF, and Themes TSLA PutWrite Options Income ETF are
      collectively referred to as the “Single Stock Funds.” All other capitalized terms not otherwise defined herein have
      the meaning given to them in the Amendment.

      PROSPECTUS

      Dual
      Options Funds and Iron Condor Funds

            1.
            Please
            revise the disclosure to state that the Funds have the potential to incur the losses described in the Prospectus on any given
            day and that shareholders that hold a Fund for multiple days can incur multiple days of such losses.

      Response:
      The disclosure has been revised accordingly.

            2.
            Revise
            the graphs provided in the discussion of the Funds’ principal investment strategies to include values on the Y axis
            in order to quantify the gain or loss depicted.

      Response:
      The disclosure has been revised accordingly.

      Iron
      Condor Funds

            3.
            Revise
               the disclosure to clarify that, since the Funds seek to maintain exposure to the value of the Index by using the leverage
               inherent in options contracts and the targeted notional value of the options to be used is greater than 100% of the Fund’s
               net assets, they are incurring leverage.

      Response:
      The disclosure has been revised accordingly.

            4.
            Please
            explain supplementally why the total Value-at-Risk (“VaR”) calculated for each Fund, as provided to the Staff,
            is less than the VaR calculated for each individual line item. Please also explain supplementally how the VaR model utilized
            satisfies the requirement of Rule 18f-4 under the 1940 Act that it cover a time horizon of 20 days, given each Fund’s
            primary use of one day to expiration options.

      Response:
      Each Fund’s VaR is lower than the sum of the individual VaRs because the positions have offsetting risk profiles. When considered
      in aggregate, the overall risk of the portfolio is reduced. The VaR model utilized satisfies the requirements of Rule 18f-4
      by calculating the 1-day VaR and then scaling it up by the square root of 20 (20 days).

      Single
      Stock Funds

            5.
            Please
            revise the disclosure to clarify that the Single Stock Funds will participate in the performance of their Underlying Stock
            if the value of the Underlying Stock declines.

      Response:
      The disclosure has been revised accordingly.

      If
      you have any questions regarding the above responses, please do not hesitate to contact me at (513) 708-6391 or Tina.Bloom@practus.com
      or Karen Aspinall at (949) 629-3928 or Karen.Aspinall@practus.com.

            Sincerely,

            /s/
            Tina H. Bloom

            Tina
            H. Bloom

            Partner

               Trust
               Counsel

APPENDIX A

 Subject to Completion - Dated __________, 2024

The information in this Prospectus is not complete and may be changed. The Trust may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This Prospectus is not an offer to sell these securities and is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.

THEMES ETF TRUST

PROSPECTUS

_________ __, 2024

    [    ]
    Themes S&P 500 Dual Options Income ETF

    [    ]
    Themes S&P 500 Dynamic Covered Call Strategy ETF

    Themes S&P 500 Enhanced Iron Condor Income ETF

    Themes AAPL PutWrite Options Income ETF

    Themes S&P 500 Ultra Enhanced Iron Condor Income ETF

    Themes AMZN PutWrite Options Income ETF

    Themes Nasdaq 100 Dual Options Income ETF

    Themes COIN PutWrite Options Income ETF

    Themes Nasdaq 100 Enhanced Iron Condor Income ETF

    Themes GOOGL PutWrite Options Income ETF

    Themes Nasdaq 100 Ultra Enhanced Iron Condor Income ETF

    Themes MSFT PutWrite Options Income ETF

    Themes Russell 2000 Dual Options Income ETF

    Themes NVDA PutWrite Options Income ETF

    Themes Russell 2000 Enhanced Iron Condor Income ETF

    Themes TSLA PutWrite Options Income ETF

    Themes Russell 2000 Ultra Enhanced Iron Condor Income ETF

each of the above is listed on [__________]

These securities have not been approved or disapproved by the Securities and Exchange Commission (“SEC”) nor has the SEC passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

The Funds offered through this Prospectus are not money market funds and do not seek to maintain a fixed or stable NAV of $1.00 per share.

INVESTMENT PRODUCTS: ■ ARE NOT FDIC INSURED ■ MAY LOSE VALUE ■ ARE NOT BANK GUARANTEED

SUMMARY SECTIONS

Themes S&P 500 Dual Options Income ETF

Investment Objective

The Themes S&P 500 Dual Options Income ETF (the “Fund”) is an exchange traded fund (“ETF”) that seeks current income.

Fees and Expenses of the Fund

The following table describes the fees and expenses you may pay if you buy, hold, and sell shares of the Fund (“Shares”). You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and Example below.

    Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

    Management Fees
    0.49%

    Distribution and/or Service (12b-1) Fees
    None

    Other Expenses*
    0.00%

    Total Annual Fund Operating Expenses
    0.49%

    *
    Estimated for the current fiscal year

Example

The following example is intended to help retail investors compare the cost of investing in the Fund with the cost of investing in other funds. It illustrates the hypothetical expenses that such investors would incur over various periods if they were to invest $10,000 in the Fund for the time periods indicated and then redeem all of the Shares at the end of those periods. This example assumes that the Fund provides a return of 5% a year and that operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be:

    1 Year
    3 Years

    $50
    $157

Portfolio Turnover

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund Shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the example, affect the Fund’s performance. Because the Fund is newly organized, portfolio turnover information is not yet available.

Principal Investment Strategies of the Fund

The Fund is an actively managed ETF that seeks current income by employing an options strategy known as a “short strangle” on the S&P 500® Index (the “S&P 500 Index” or the “Index”). More precisely, the Fund aims to generate income from its options investments when the Index experiences little or no volatility during the time period for which the options provide exposure (every business day). On days when the Index experiences volatility, the Fund has the potential to incur losses (on any given day), which may be significant. To implement its short strangle strategy, every business day, the Fund will sell (or “write”):

    (i)
    call options on the S&P 500 Index with a strike price (the price at which the option can be exercised) above the current value of the Index, and

    (ii)
    put options on the S&P 500 Index with a strike price below the current value of the Index.

    1

Each of these options will have one day to expiration and will be considered “out-of-the-money” when sold (i.e., the price of the S&P 500 is below the strike price for calls and above the strike price for puts). The put and call options will be sold daily and always in tandem, each having a notional value of approximately 100% of the Fund’s net assets at the time of sale (see below for further information on notional value). The strike price of each option sold will be as close to equidistant as possible from the value of the Index when written.

Short Strangle Strategy

The combination of these tandem put and call option positions (outlined above) creates what is known as a “short strangle,” and this combination of options transactions will be reestablished by the Fund daily. As the seller of the options, the Fund receives cash (the “premium”) from the purchaser. The Fund’s short strangle is designed to provide income in the form of option premiums when the Index experiences little or no volatility during the time period for which the options provide exposure (every business day).

The Fund will trade exchange-traded options contracts that utilize the S&P 500 Index as the reference asset. In general, an option is a contract that gives the purchaser (holder) of the option, in return for a premium, the right to buy from (call) or sell to (put) the seller (writer) of the option the security underlying the option at a specified exercise price. For cash-settled options such as those used by the Fund, the writer of the option (the Fund) has the obligation upon exercise to deliver to the purchaser the cash difference between the value of the reference asset (the Index) at expiration and the strike price of the option.

The Fund does not provide returns similar to the S&P 500 Index or participate in the returns of the Index. The Fund’s performance will differ from that of the Index’s value. The performance differences will depend on, among other things, the value of the Index, changes in the value of Index put and call options contracts the Fund has sold, and changes in the value of the U.S. Treasury securities and money market funds in which the Fund invests its cash. The income generated by the Fund, mostly in the form of option premiums received from its option sales, will be primarily influenced by the volatility of the Index’s value, although other factors, including interest rates, may also impact the level of income. When interest rates increase, call option premiums are generally higher while put option premiums are generally lower. A decrease in interest rates generally has the opposite effect on premiums.

While the Fund does
not seek leveraged exposure to the Index, the Fund seeks to achieve and maintain exposure to the value of the Index by using the
leverage inherent in options contracts. The Fund’s strategy is designed to provide approximately daily, unleveraged, 100%
downside notional exposure to the Index if the Index value falls below the strike price of the put options written or rises above
the strike price of the call options written. The call options and put options sold by the Fund will each have approximately equal
notional values of no more than 100% of the Fund’s net assets at the time they are sold. More specifically:

Notional value refers to the value that the options control. It is calculated by multiplying the price of the asset underlying the option (the Index) by the options multiplier by the number of contracts. The options multiplier is the number of shares an option contract controls. Equity options each control 100 underlying shares and therefore have a 100 options multiplier.

By way of example, assume the Fund has assets of $10 million and the Index is priced at $60. The value of one option contract would therefore be $6,000 (the $60 Index price x the 100 options multiplier). To determine the number of put and call option contracts needed to encompass approximately 100% of the Fund’s net assets, the Fund’s value is divided by the value of one contract ($10,000,000 divided by $6,000 = 1,666). Since 1,666 contracts will be written each for call options and put options, the total number of contracts needed is 3,332. The notional exposure would thus be approximately $10,000,000 ($60 x 100 x 1,666=$9,996,000) from the call options and approximately $10,000,000 ($60 x 100 x 1,666=$9,996,000) from the put options, summing to a total notional exposure of approximately $20,000,000 ($19,992,000) or 200% of the Fund’s net assets.

    2

Possible Outcomes of Short Strangle Strategy

On days when the Index
increases in value beyond the strike price of the sold call options, the potential loss on the option is essentially unlimited, as
the value of the Index can theoretically rise indefinitely. On days when the Index decreases in value beyond the strike price of the
sold put options, the potential loss on the options is the difference between the strike price of the put options and 0, as the
value of the Index can theoretically decrease to 0. These losses may be
incurred on any given day and shareholders who hold the Fund for multiple days can incur multiple days of such loss