Company: EUO
Filing Date: 2025-03-27
Form Type: 424B3
Source: 0001193125-25-065644
Chunk: 36

Company: ProShares Trust II
Filing Date: 2025-03-27
Form: 424B3
Chunk 36
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 that the S&P 500 ® may experience movement before such options expire, the prices of 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&P 500 ® . Rather, the VIX is designed to serve as a market volatility forecast. The VIX Futures Fund is not benchmarked to the performance of the VIX or the realized volatility of the S&P 500 ® and, in fact, can be expected to perform very differently from the VIX and the realized volatility of the S&P 500 ® over all periods of time. The prices of futures contacts 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 tradable asset. As noted, the VIX Futures Fund is benchmarked against an underlying index of VIX mid-term futures contracts. The value of VIX futures contracts is based on the expected value of the VIX at a future point in time, specifically the expiration date of the VIX futures contracts. Therefore, VIX futures contracts represent the forward implied volatility of the VIX, and therefore the forward implied volatility of the S&P 500 ® , over the 30-day period following the expiration of such contract. As a result, a change in the VIX today will not necessarily result in a corresponding movement in the price of VIX futures contracts since the price of VIX futures contracts is based on expectations of the performance of the VIX at a future point in time. For example, a VIX futures contract purchased in March that expires in May, in effect, is a forward contract on what the level of the VIX, as a measure of 30-day implied volatility of the S&P 500 ® , will be on the May expiration date. The forward volatility reading of the VIX may not correlate directly to the current volatility reading of the VIX because the implied volatility of the S&P 500 ® at a future expiration date may be different from the current implied volatility of the S&P 500 ® . As a result, the Index and the VIX Futures Fund should be expected to perform very differently from the VIX over all periods of time. It has been reported that in 2018 various U.S. regulators commenced inquiries into whether the Chicago Board Options Exchange,