Company: EUO
Filing Date: 2025-02-13
Form Type: S-3
Source: 0001193125-25-026201
Chunk: 36

Company: ProShares Trust II
Filing Date: 2025-02-13
Form: S-3
Chunk 36
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 performance of the Index is not directly linked to the performance of the VIX (or to any multiple thereof), to the realized volatility of the S&P500 ® or to the options that

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underlie the calculation of the VIX. As a result, the Index and each Fund should be expected to perform very differently from the VIX over all periods of time. In many cases, the Index (and thus the Funds) will underperform the VIX. Further, the performance of the Index and each Fund should not be expected to represent the realized volatility of the S&P500 ® or any multiple or inverse thereof. The VIX seeks to measure the market’s current expectation of 30-day volatility of the S&P 500 ® Index, as reflected by the prices of near-term S&P500 ® options. The market’s current expectation of the possible rate and magnitude of movements in an index is commonly referred to as the “implied volatility” of the index. Because S&P500 ® options derive value from the possibility that the S&P500 ® may experience movement before such options expire, the prices of near-term S&P 500 ® options are used to calculate the implied volatility of the S&P 500 ® . Unlike many indexes, the VIX is not an investable index. It is not practical to invest in the VIX as it is comprised of a constantly changing portfolio of options on the S&P500 ® . Rather, the VIX is designed to serve as a market volatility forecast. The Funds are not benchmarked to the performance of the VIX or the realized volatility of the S&P500 ® and, in fact, can be expected to perform very differently from the VIX and the realized volatility of the S&P500 ® over all periods of time. The prices of futures contracts based on a non-investable index such as the VIX may behave differently from the prices of futures contracts whose settlement price is based on a tradeable asset. As noted, each Fund is benchmarked against an underlying index of VIX short-term futures contracts. The value of a VIX futures contract is based on the expected value of the VIX at a future point in time, specifically the expiration date of the VIX futures contract. Therefore, a VIX futures contract represents the forward implied volatility of the VIX, and therefore the forward implied volatility of the S&P500 ® , over the 30-day period following the expiration of such contract. As a result, a change in the VIX today will not necessarily result