Company: EUO
Filing Date: 2025-03-18
Form Type: S-1/A
Source: 0001193125-25-056734
Chunk: 40

Company: ProShares Trust II
Filing Date: 2025-03-18
Form: S-1/A
Chunk 40
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ango for approximately 94% of the year, and backwardation approximately 6% of the time. However, there is no certainty that such levels will persist if other economic or political developments contribute to volatility and investor uncertainty. The VIX Futures Fund is benchmarked to the VIX Mid-Term Futures Index. It is not benchmarked to the VIX or actual realized 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. The performance of the VIX Mid-Term Futures Index is based on the value of the VIX mid-term futures contracts that comprise the Index. While there is a relationship between the performance of the Index and future levels of the VIX, the performance of the Index is not directly linked to the performance of the VIX, to the realized volatility of the S&P 500 ® or to the options that underlie the calculation of the VIX. 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. In many cases, the Index (and thus the VIX Futures Fund) will underperform the VIX. Further, the performance of the Index and the VIX Futures Fund should not be expected to represent the realized volatility of the S&P 500 ® .

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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 S&P 500 ® 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&P 500 ® options derive value from the possibility 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