That would be one way for it to disappear. The other way is if the Closing Indicative Value (as found on the VelocityChares DGAZ site) has a 85% or more drop from the previous day (NG futures in the index go up 28.33%) - the fund could be accelerated and you get paid the Intrinsic value and the fund shuts down after 5 business days. While you would get paid something back, you don't have much of a chance for the price to rebound.....take it from a former XIV holder.
From page 7 of the prospectus:
Acceleration Event: As discussed in more detail under “Specific Terms of the ETNs—Acceleration at Our Option or Upon an Acceleration Event” in this pricing supplement, an Acceleration Event includes any event that adversely affects our ability to hedge our obligations in connection with the ETNs, including, but not limited to, if the Intraday Indicative Value for any series of ETNs is equal to or less than 15% of the prior day’s Closing Indicative Value for such series of ETNs.
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