Company: EUO
Filing Date: 2025-03-18
Form Type: S-1/A
Source: 0001193125-25-056734
Chunk: 47

Company: ProShares Trust II
Filing Date: 2025-03-18
Form: S-1/A
Chunk 47
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 the course of the rolling process of the more nearby futures contract would take place at a price that is higher than the price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as backwardation. The presence of contango in the relevant futures contracts at the time of rolling would be expected to adversely affect the Fund. In contrast, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to positively affect the Funds. There have been extended periods in which contango or backwardation has existed in the VIX futures contract markets, and such periods can be expected to occur in the future. These extended periods have caused in the past, and may cause in the future, significant and sustained losses. Since the non-investable VIX Index is based on the price of a constantly changing portfolio of option contracts, rather than futures contracts subject to contango and backwardation, the VIX Index may experience less severe downturns or may even provide positive performance during periods where the Fund is experiencing poor performance. Additionally, because of the frequency with which the Funds may roll futures contracts, the impact of such contango or backwardation may be greater than the impact would be if a Fund experienced less rolling. In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. It is possible that the futures contracts held by the Funds also may experience periods of extraordinary contango in the future. Concentration Risk The VIX Futures Fund will typically concentrate its investments in first- and second-month VIX futures contracts. Investors should be aware that other volatility investments may be more diversified both in terms of the number and variety of instruments included and of the volatility exposure offered. Concentration exclusively in first- and second-month futures contracts may result in a greater degree of volatility and adverse performance of the VIX Futures Fund under specific market conditions and over time. Concentration in fewer futures contracts as opposed to exposure to a broader set of futures contracts may increase the risk of the VIX Futures Fund’s trading activity affecting such futures contracts and this may adversely affect the performance of the VIX Futures Fund. For example, such concentration and the large size of the positions the VIX Futures Fund may take (including positions resulting from significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity or for any other reason) may cause the daily