Company: EUO
Filing Date: 2025-02-13
Form Type: S-1
Source: 0001193125-25-026199
Chunk: 41

Company: ProShares Trust II
Filing Date: 2025-02-13
Form: S-1
Chunk 41
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 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, Incorporated (“Cboe”) VIX Index has been manipulated by one or more financial firms and algorithmic traders, and that a number of private lawsuits have been filed against the Cboe alleging the manipulation of the Cboe VIX Index. The regulators have not yet made public any determinations. On January 27, 2020, a federal judge dismissed a private lawsuit with prejudice, but on May 19, 2020, the plaintiffs filed notice of appeal to the U.S. Court of Appeals for the Seventh Circuit. The plaintiffs voluntarily dismissed the case on September 12, 2022, and the U.S. Court of Appeals for the Seventh Circuit affirmed the District Court’s decisions in favor of Cboe. Other private actions that were part of this litigation were allowed to proceed as individual actions and remain pending against Cboe