September 16, 2016

Strategy Shares

36 North New York Avenue

Huntington, NY 11743

Re: Strategy Shares, File Nos. 333-170750 and 811-22497

Gentlemen:

This letter is in response to your request for our opinion in connection with the filing of Post-Effective Amendment No. 18 to the Registration Statement, File Nos. 333-170750 and 811-22497 (the “Registration Statement”), of Strategy Shares (the “Trust”).

We have examined a copy of the Trust’s Agreement and Declaration of Trust, the Trust’s By-laws, the Trust’s record of the various actions by the Trustees thereof, and all such agreements, certificates of public officials, certificates of officers and representatives of the Trust and others, and such other documents, papers, statutes and authorities as we deem necessary to form the basis of the opinion hereinafter expressed. We have assumed the genuineness of the signatures and the conformity to original documents of the copies of such documents supplied to us as copies thereof.

Based upon the foregoing, we are of the opinion that the shares of the following series of the Trust: US Equity Rotation Strategy ETF, Ecological Strategy ETF and Active Alts Contrarian ETF (the “Funds”), if issued in accordance with the then-current Prospectus and Statement of Additional Information of the Funds, will be legally issued, fully paid and non-assessable.

We give you our permission to file this opinion with the Securities and Exchange Commission as an exhibit to Post-Effective Amendment No. 18 to the Registration Statement. This opinion may not be filed with any subsequent amendment, or incorporated by reference into a subsequent amendment, without our prior written consent. This opinion is prepared for the Trust and its shareholders, and may not be relied upon by any other person or organization without our prior written approval.

Very truly yours,

  /s/ Thompson Hine LLP                 

THOMPSON HINE LLP

MVW/AFB