Company: EUO
Filing Date: 2025-03-18
Form Type: S-3/A
Source: 0001193125-25-056731
Chunk: 36

Company: ProShares Trust II
Filing Date: 2025-03-18
Form: S-3/A
Chunk 36
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500 ® 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 in a corresponding movement in the price of VIX futures contracts since the price of the 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& P500 ® , 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