Company: EUO
Filing Date: 2025-03-18
Form Type: S-1/A
Source: 0001193125-25-056734
Chunk: 95

Company: ProShares Trust II
Filing Date: 2025-03-18
Form: S-1/A
Chunk 95
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 traded VIX futures contracts. The S&P 500 (R) VIX Mid-Term Futures Index measures the return of a daily rolling long position in the fourth, fifth, sixth and seventh month VIX (R) futures contracts. The S&P 500 VIX Mid-Term Futures Index employs rules for selecting the VIX futures contracts comprising the Mid-Term VIX Futures Index and a formula to calculate a level for that Index from the prices of these VIX futures contracts (these rules and the formula may be changed from time to time, and without notice, by S&P). Currently, the VIX futures contracts comprising the Index represent the prices of four mid-term VIX futures contracts, replicating a position that rolls the fourth month VIX futures to the seventh month VIX futures on a daily basis in equal fractional amounts, while maintaining a constant weight in the fifth and sixth month VIX futures. This results in a constant weighted average term to expiration of five months. The level of the Index will be published by Bloomberg Finance L.P. in real time and at the close of trading on each Index business day under the Bloomberg ticker: SPVXMPID. The performance of the S&P 500 (R) VIX Mid-Term Futures Index is influenced by the performance of the S&P 500 (and options thereon) and the performance of the VIX index. A description of VIX futures contracts, the VIX and the S&P 500 follows. VIX Futures Contracts The S&P 500 (R) VIX Mid-Term VIX Futures Index is comprised of VIX futures contracts. VIX futures contracts were first launched for trading by the Cboe in 2004. VIX futures contracts allow investors to invest based on their view of the forward implied market volatility of the S&P 500. Investors that believe the forward implied market volatility of the S&P 500 will increase may buy VIX futures contracts. Conversely, investors that believe that the forward implied market volatility of the S&P 500 will decline may sell VIX futures contracts. While the VIX represents a measure of the current expected volatility of the S&P 500 over the next 30 days, the prices of VIX futures contracts are based on the current expectation of the expected 30-day volatility of the S&P 500 on the expiration date of the futures contract. Since the VIX and VIX futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave quite differently. An important