Company: EUO
Filing Date: 2025-03-18
Form Type: S-3/A
Source: 0001193125-25-056731
Chunk: 38

Company: ProShares Trust II
Filing Date: 2025-03-18
Form: S-3/A
Chunk 38
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 associated decrease in expected volatility, the price of VIX futures contracts has historically tended to decrease. Historically, each of these patterns have tended to reverse. These reversals may be significant and unexpected and have a

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negative impact on the performance of a Fund. For the year of 2024, VIX spiked in early August due to a sudden fall in the Japan equity markets but dissipated quickly. The ProShares VIX Short-Term Futures ETF was in contango for 80% of the year and in backwardation 20% of the time, not much different from historical norms. The ProShares Ultra VIX Short-Term Futures ETF was in contango for 80% of the year and in backwardation 20% of the time, not much different from historical norms. The ProShares Short VIX Short-Term Futures ETF was in contango for 80% of the year and in backwardation 20% of the time, not much different from historical norms. Potential negative impact from rolling futures positions; there have been extended periods in the past where the investment strategies utilized by the Funds have caused significant and sustained losses. Each Fund intends to, or may, have exposure to VIX futures contracts and each Fund is subject to risks related to “rolling” such futures contracts, which is the process by which a Fund closes out a futures position prior to its expiration month and purchases an identical futures contract with a later expiration date. The Funds do not intend to hold futures contracts through expiration, but instead intend to “roll” their respective positions as they approach expiration. The contractual obligations of a buyer or seller holding a futures contract to expiration may be satisfied by settling in cash as designated in the contract specifications. As explained further below, the price of futures contracts further from expiration may be higher (a condition known as “contango”) or lower (a condition known as “backwardation”), which can impact the Funds’ returns. When the market for these futures contracts is such that the prices are higher in the more distant delivery months than in the nearer delivery months, the sale during the course of the “rolling process” of the more nearby futures contract would take place at a price that is lower than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as “contango.” Alternatively, when the market for these futures contracts is such that the prices are higher in the nearer months than in the more distant months, the sale during the course of the “rolling