Company: EUO
Filing Date: 2025-02-13
Form Type: S-1
Source: 0001193125-25-026199
Chunk: 39

Company: ProShares Trust II
Filing Date: 2025-02-13
Form: S-1
Chunk 39
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 the effects of daily rebalancing, volatility, compounding and other risk factors. An investor in the Fund could potentially lose the full value of their investment within a given day. Risks Specific to the VIX Futures Fund In addition to the risks described elsewhere in this “Risk Factors” section, the following risks could apply to the VIX Futures Fund. VIX futures contracts can be highly volatile and the Funds may experience sudden and large losses when buying, selling or holding such instruments; you can lose all or a portion of your investment within a single day. Investments linked to equity market volatility, including VIX futures contracts, can be highly volatile and may experience sudden, large and unexpected losses. For example, in 2018 the S&P 500 VIX Mid-Term Futures Index (the “VIX Mid-Term Futures Index” or “Index”), which is comprised of VIX futures contracts, had its largest one-day move ever of approximately 96%. In the future, the Index could have even larger single-day or intraday moves, up or down, that could cause investors to lose all or a substantial portion of their investment in a short period of time. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX is not directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a result, the behavior of a VIX futures contract may be different from a traditional futures contract whose settlement price is based on a specific tradable asset and may differ from an investor’s expectations. The market for VIX futures contracts may fluctuate widely based on a variety of factors including changes in overall market movements, political and economic events and policies, wars, acts of terrorism, natural disasters (including disease, epidemics and pandemics), changes in interest rates or inflation rates. High volatility may have an adverse impact on the performance of the Funds. The UltraFund’s leverage factor (1.5x) increases the potential for loss on an investment in this Fund. An investor in any of the Funds could potentially lose the full principal of his or her investment within a single day. Generally, a VIX of over 20 indicates a high degree of volatility. For the year 2024, the ProShares VIX Mid-Term Futures ETF was in contango for approximately 94% of the year, and backwardation approximately 6% of the time. However, there is no certainty that