What changed in this filing

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Item 1. Financial Statements

2022-11-08 compared with 2022-08-09 · 687 added, 418 removed, 3077 unchanged (26% of the section changed)

Financial Statements.

Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes

in Shareholders’ Equity, and Statements of Cash Flows:

Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:

ProShares Short VIX Short-Term Futures ETF

18 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

9 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

12 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires July 2022

VIX Futures - Cboe, expires August 2022

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

3 unchanged sentences

( 220,625,671

( 281,273,902

( 320,049,434

Net addition (redemption) of ( 1,750,000 ), ( 3,450,000 ), ( 250,000 ) and ( 2,750,000 ) shares, respectively

( 189,848,587

( 169,659,408

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

7 unchanged sentences

government and agency obligations

1,130,832,801

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

3 unchanged sentences

( 287,399,032

( 320,049,434

Net cash provided by (used in) financing activities

( 169,659,408

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

4 unchanged sentences

Unrealized appreciation on swap agreements

Receivable on open futures contracts

Interest receivable

1,129,976,772

Liabilities and shareholders’ equity

4 unchanged sentences

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

3 unchanged sentences

1,103,783,570

Total liabilities and shareholders’ equity

1,129,976,772

Shares outstanding (Note 1)

4 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

7 unchanged sentences

2.682 % due 11/17/22 †

3.026 % due 12/01/22 †

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires September 2022

WTI Crude Oil - NYMEX, expires December 2022

WTI Crude Oil - NYMEX, expires June 2023

WTI Crude Oil - NYMEX, expires December 2023

Total Return Swap Agreements ^

8 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index

Total Unrealized Depreciation

Total Unrealized

( 123,956,198

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

Swap agreements

( 286,550,709

Short-term U.S.

11 unchanged sentences

( 339,456,270

( 306,208,096

Net realized and unrealized gain (loss)

( 377,827,106

Net income (loss)

( 377,673,114

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

12 unchanged sentences

( 740,284,090

( 441,050,164

Net investment income (loss)

3 unchanged sentences

( 339,456,270

( 306,208,096

Net income (loss)

Shareholders’ equity, end of period

( 377,673,114

1,303,530,902

Shareholders’ equity, end of period

1,090,613,716

3 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

8 unchanged sentences

14,207,412,141

1,397,994,503

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in securities purchased payable

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

1,385,592,132

Cash flow from financing activities

13 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

10 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

5 unchanged sentences

3.026 % due 12/01/22

0.223 % due 11/03/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires September 2022

( 194,426,957

Natural Gas - NYMEX, expires November 2022

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

8 unchanged sentences

Futures contracts

( 271,251,560

( 186,220,796

Short-term U.S.

1 unchanged sentence

Change in net unrealized appreciation (depreciation)

( 271,288,469

( 186,420,725

Net realized and unrealized gain (loss)

( 106,297,775

Net income (loss)

( 106,863,848

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 6,000,000 , 1,150,000 , 15,100,000 and 5,200,000 shares, respectively

1,063,004,747

Redemption of 5,300,000 , 1,400,000 , 17,250,000 and 11,550,000 shares, respectively

7 unchanged sentences

Change in net unrealized appreciation (depreciation)

( 271,288,469

( 186,420,725

Net income (loss)

( 106,863,848

Shareholders’ equity, end of period

See accompanying notes to financial statements.

See accompanying notes

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

16 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

1 unchanged sentence

Proceeds from addition of shares

1,083,453,488

Payment on shares redeemed

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

Short-term U.S.

2 unchanged sentences

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

2 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

3 unchanged sentences

0.554 % due 11/03/22 †

Total short-term U.S.

13 unchanged sentences

Euro with UBS AG

Total Unrealized Appreciation

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

Short-term U.S.

6 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

Brokerage commissions and futures account fees payable

1 unchanged sentence

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

7 unchanged sentences

Total short-term U.S.

government and agency obligations (cost $ 208,875,314 )

government and agency obligations

(cost $ 143,646,462 )

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

Gold Futures - COMEX, expires August 2022

Gold Futures - COMEX, expires December 2022

Total Return Swap Agreements ^

5 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized Depreciation

Total Unrealized

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

19 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 900,000 , 350,000 , 2,150,000 and 1,000,000 shares, respectively

( 119,280,561

Net addition (redemption) of ( 850,000 ), ( 100,000 ), ( 500,000 ) and 250,000 shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

15 unchanged sentences

Increase (Decrease) in brokerage commissions and futures account fees payable

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

3 unchanged sentences

Payment on shares redeemed

( 119,280,561

Net cash provided by (used in) financing activities

6 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

Short-term U.S.

8 unchanged sentences

Payable for capital shares redeemed

Payable on open futures contracts

Brokerage commissions and futures account fees payable

Payable to Sponsor

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

7 unchanged sentences

3.026 % due 12/01/22

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations (cost $ 290,825,356 )

government and agency obligations

(cost $ 162,706,493 )

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

Silver Futures - COMEX, expires September 2022

Silver Futures - COMEX, expires December 2022

Total Return Swap Agreements ^

7 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Silver Subindex

Unrealized Depreciation

Total Unrealized

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

5 unchanged sentences

( 133,807,652

( 151,552,363

( 156,750,416

Short-term U.S.

2 unchanged sentences

( 147,391,314

( 201,320,030

( 186,949,626

Change in net unrealized appreciation (depreciation) on

2 unchanged sentences

( 149,513,235

( 133,882,561

Short-term U.S.

2 unchanged sentences

( 192,156,316

( 186,138,026

Net realized and unrealized gain (loss)

1 unchanged sentence

( 203,644,198

( 272,195,125

Net income (loss)

1 unchanged sentence

( 205,483,499

( 277,000,841

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

2 unchanged sentences

( 104,128,466

( 193,306,366

Net addition (redemption) of 1,200,000 , 750,000 , 750,000 and 450,000 shares, respectively

2 unchanged sentences

( 147,391,314

Change in net unrealized appreciation (depreciation)

( 201,320,030

( 186,949,626

Change in net unrealized appreciation (depreciation)

( 192,156,316

Net income (loss)

1 unchanged sentence

( 205,483,499

( 277,000,841

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

1 unchanged sentence

( 205,483,499

( 277,000,841

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

6 unchanged sentences

2,909,963,011

1,119,994,333

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

4 unchanged sentences

( 107,612,236

( 193,306,366

Net cash provided by (used in) financing activities

6 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

2 unchanged sentences

Segregated cash balances with brokers for futures contracts

Receivable from capital shares sold

Receivable on open futures contracts

Interest receivable

1,034,087,031

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

2 unchanged sentences

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

3 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

Market value per share (Note 1) (Note 2)

1,034,087,031

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

8 unchanged sentences

Total short-term U.S.

government and agency obligations (cost $ 243,860,580 )

government and agency obligations

(cost $ 273,396,698 )

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

VIX Futures - Cboe, expires July 2022

VIX Futures - Cboe, expires August 2022

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

5 unchanged sentences

( 185,968,398

( 1,650,738,359

Swap agreements

( 106,689,716

Short-term U.S.

3 unchanged sentences

( 198,380,990

( 1,757,407,418

Change in net unrealized appreciation (depreciation) on

14 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,356,204,199

1,284,373,170

1,356,204,199

Addition of 58,400,000 , 12,955,000 , 141,500,000 and 32,585,000 shares, respectively (Note 1)

Addition of 93,400,000 , 37,800,000 , 234,900,000 and 70,385,000 shares, respectively

1,064,364,417

3,035,837,360

Redemption of 74,700,000 , 5,629,671 , 140,100,000 and 15,169,671 shares, respectively (Note 1)

3,297,406,475

Redemption of 83,300,000 , 26,150,000 , 223,400,000 and 41,319,671 shares, respectively

( 916,027,068

1 unchanged sentence

( 3,255,048,847

Net addition (redemption) of ( 16,300,000 ), 7,325,329 , 1,400,000 and 17,415,329 shares, respectively (Note 1)

( 2,005,816,889

Net addition (redemption) of 10,100,000 , 11,650,000 , 11,500,000 and 29,065,329 shares, respectively

( 219,211,487

4 unchanged sentences

( 198,380,990

( 1,757,407,418

Change in net unrealized appreciation (depreciation)

3 unchanged sentences

Shareholders’ equity, end of period

1,020,845,873

See accompanying notes to financial statements.

1 unchanged sentence

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

9 unchanged sentences

4,489,474,762

1,106,989,987

Net amortization and accretion on short-term U.S.

8 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in securities purchased payable

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

12 unchanged sentences

( 362,289,675

( 431,866,344

Cash, beginning of period

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

7 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

15 unchanged sentences

Yen with Goldman Sachs International

1,186,245,517

Yen with UBS AG

2 unchanged sentences

Contracts to Sell

Yen with Goldman Sachs International

Yen with UBS AG

( 133,030,000

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 250,000 , –, 350,000 and – shares, respectively

Redemption of 50,000 , –, 50,000 and – shares, respectively

Net addition (redemption) of 200,000 , –, 300,000 and – shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

1 unchanged sentence

Proceeds from addition of shares

Payment on shares redeemed

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

Short-term U.S.

4 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

1 unchanged sentence

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

5 unchanged sentences

3.026 % due 12/01/22

0.223 % due 11/03/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires September 2022

WTI Crude Oil - NYMEX, expires December 2022

WTI Crude Oil - NYMEX, expires June 2023

WTI Crude Oil - NYMEX, expires December 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

( 142,631,216

( 209,076,101

Net realized gain (loss)

( 142,631,216

( 209,076,101

Change in net unrealized appreciation (depreciation) on

4 unchanged sentences

Net realized and unrealized gain (loss)

( 172,389,945

Net income (loss)

( 173,825,610

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 11,050,000 , 670,000 , 38,940,000 and 1,447,500 shares, respectively (Note 1)

1,051,908,930

Redemption of 20,650,000 , 310,000 , 28,561,540 and 627,734 shares, respectively (Note 1)

2 unchanged sentences

Net addition (redemption) of ( 9,600,000 ), 360,000 , 10,378,460 and 819,766 shares, respectively (Note 1)

( 276,191,619

Net investment income (loss)

1 unchanged sentence

( 142,631,216

( 209,076,101

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 173,825,610

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

Net income (loss)

( 173,825,610

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

2 unchanged sentences

( 5,037,566,739

( 117,984,270

Proceeds from sales or maturities of short-term U.S.

government and agency obligations

4,974,000,000

Net amortization and accretion on short-term U.S.

6 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 126,267,558

( 112,735,980

Cash flow from financing activities

Proceeds from addition of shares

1,051,908,930

Payment on shares redeemed

7 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

December 31, 2021

Short-term U.S.

8 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

4 unchanged sentences

0.223 % due 11/03/22

3.026 % due 12/01/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires September 2022

Natural Gas - NYMEX, expires November 2022

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

( 113,481,414

( 272,430,753

( 147,944,809

Net income (loss)

( 113,840,231

( 273,883,695

( 148,877,790

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 58,900,000 , 1,025,000 , 82,240,000 and 1,402,500 shares, respectively (Note 1)

1,734,541,781

Redemption of 49,900,000 , 265,000 , 69,251,886 and 442,500 shares, respectively (Note 1)

10 unchanged sentences

( 113,840,231

( 273,883,695

( 148,877,790

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

1 unchanged sentence

( 273,883,695

( 148,877,790

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

2 unchanged sentences

( 641,286,804

( 144,983,115

Proceeds from sales or maturities of short-term U.S.

9 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 260,889,802

( 181,305,524

Cash flow from financing activities

Proceeds from addition of shares

1,734,541,781

Payment on shares redeemed

8 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 45,894,901 and $ 46,968,288 , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable to Sponsor

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

11 unchanged sentences

Contract Amount

in Local Currency

Contract Amount

1 unchanged sentence

Contracts to Purchase

Euro with Goldman Sachs International

Euro with UBS AG

Total Unrealized

Contracts to Sell

1 unchanged sentence

Euro with UBS AG

( 144,189,199

( 141,382,682

Total Unrealized Appreciation

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

1 unchanged sentence

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

Interest receivable

4 unchanged sentences

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

4 unchanged sentences

0.223 % due 11/03/22 †

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Gold Futures - COMEX, expires August 2022

Gold Futures - COMEX, expires December 2022

Total Return Swap Agreements ^

7 unchanged sentences

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

19 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

14 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

2 unchanged sentences

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

5 unchanged sentences

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

3 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

Market value per share (Note 1) (Note 2)

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

3 unchanged sentences

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations (cost $ 12,996,113 )

government and agency obligations

(cost $ 1,999,597 )

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Silver Futures - COMEX, expires September 2022

Silver Futures - COMEX, expires December 2022

Total Return Swap Agreements ^

7 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Silver Subindex

Total Unrealized Appreciation

Total Unrealized Depreciation

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

2 unchanged sentences

See accompanying notes to financial statements.

ROSHARES ULTRASHORT SILVER

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

19 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 700,000 , 300,000 , 1,800,000 and 2,750,000 shares, respectively (Note 1)

Redemption of 750,000 , 425,415 , 1,750,000 and 2,300,415 shares, respectively (Note 1)

Net addition (redemption) of ( 50,000 ), ( 125,415 ), 50,000 and 449,585 shares, respectively (Note 1)

Addition of 1,000,000 , 1,000,000 , 2,800,000 and 3,750,000 shares, respectively

Redemption of 1,050,000 , 1,200,000 , 2,800,000 and 3,500,415 shares, respectively

Net addition (redemption) of ( 50,000 ), ( 200,000 ), – and 249,585 shares, respectively

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

14 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 4,998,992 and $ 20,990,068 , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

Unrealized appreciation on foreign currency forward contracts

3 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

4 unchanged sentences

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations (cost $ 10,994,894 )

government and agency obligations

(cost $ 4,998,992 )

Foreign Currency Forward Contracts ^

Settlement Date

Contract Amount

3 unchanged sentences

Contracts to Purchase

Yen with Goldman Sachs International

Yen with UBS AG

6 unchanged sentences

( 12,349,528,574

Total Unrealized Appreciation

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of June 30, 2022.

The positions and counterparties herein are as of September 30, 2022.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

7 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

PROSHARES VIX MID-TERM

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

4 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

1 unchanged sentence

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

7 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

PROSHARES VIX MID-TERM

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Principal Amount

5 unchanged sentences

Total short-term U.S.

government and agency obligations (cost $ 31,975,556 )

government and agency obligations

(cost $ 31,993,547 )

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

VIX Futures - Cboe, expires December 2022

VIX Futures - Cboe, expires January 2023

VIX Futures - Cboe, expires February 2023

VIX Futures - Cboe, expires March 2023

VIX Futures - Cboe, expires April 2023

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

PROSHARES VIX MID-TERM

STATEMENTS OF OPERATIONS

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

14 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

PROSHARES VIX MID-TERM

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

8 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

PROSHARES VIX MID-TERM

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

3 unchanged sentences

government and agency obligations

( 112,984,923

Proceeds from sales or maturities of short-term U.S.

9 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

5 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

1 unchanged sentence

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

3 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

Market value per share (Note 1) (Note 2)

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

SEPTEMBER 30, 2022

Short-term U.S.

5 unchanged sentences

2.682 % due 11/17/22

0.223 % due 11/03/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires July 2022

VIX Futures - Cboe, expires August 2022

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

( 304,349,667

( 252,481,234

Short-term U.S.

2 unchanged sentences

( 304,349,667

( 252,481,234

Change in net unrealized appreciation (depreciation) on

5 unchanged sentences

( 276,619,877

( 266,919,741

Net income (loss)

( 279,639,849

( 269,042,127

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 8,175,000 , 3,925,000 , 18,125,000 and 10,256,250 shares, respectively (Note 1)

Redemption of 13,800,000 , 1,992,503 , 17,200,000 and 4,280,003 shares, respectively (Note 1)

( 273,838,421

Addition of 17,775,000 , 6,300,000 , 35,900,000 and 16,556,250 shares, respectively

Redemption of 10,950,000 , 1,350,000 , 28,150,000 and 5,630,003 shares, respectively

( 171,766,742

( 510,864,572

Net addition (redemption) of ( 5,625,000 ), 1,932,497 , 925,000 and 5,976,247 shares, respectively (Note 1)

( 238,826,906

Net addition (redemption) of 6,825,000 , 4,950,000 , 7,750,000 and 10,926,247 shares, respectively

Net investment income (loss)

1 unchanged sentence

( 304,349,667

( 252,481,234

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

( 279,639,849

( 269,042,127

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

8 unchanged sentences

government and agency obligations

2,455,998,870

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

12 unchanged sentences

COMBINED STATEMENTS OF FINANCIAL CONDITION

June 30, 2022

September 30, 2022

Short-term U.S.

4 unchanged sentences

1,010,799,328

Segregated cash balances with brokers for foreign currency forward contracts

14 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

12 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

5 unchanged sentences

( 240,784,887

( 1,427,934,171

Swap agreements

( 438,845,993

( 160,769,089

Foreign currency forward contracts

9 unchanged sentences

( 213,954,485

( 131,251,444

Foreign currency forward contracts

2 unchanged sentences

Change in net unrealized appreciation (depreciation)

( 264,473,936

Net realized and unrealized gain (loss)

1 unchanged sentence

( 202,686,082

( 1,231,312,773

Net income (loss)

1 unchanged sentence

( 215,636,254

( 1,275,116,982

The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

3 unchanged sentences

4,474,251,414

Addition of 111,695,000 , 25,865,000 , 244,305,000 and

74,621,250 shares, respectively (Note 1)

Addition of 204,975,000 , 55,595,000 , 449,280,000 and 130,216,250 shares, respectively (Note 1)

3,360,951,964

1 unchanged sentence

8,989,738,725

Redemption of 134,203,304 , 33,480,323 , 245,538,426 and

87,095,323 shares, respectively (Note 1)

5,597,393,110

Redemption of 185,800,000 , 55,500,000 , 431,338,426 and 142,595,323 shares, respectively (Note 1)

( 3,379,709,104

1 unchanged sentence

( 9,509,035,162

Net addition (redemption) of ( 22,508,304 ), ( 7,615,323 ),

( 1,233,426 ) and ( 12,474,073 ) shares, respectively (Note

( 4,558,569,335

Net addition (redemption) of 19,175,000 , 95,000 , 17,941,574 and ( 12,379,073 ) shares, respectively (Note 1)

( 519,296,437

1,038,823,775

Net investment income (loss)

4 unchanged sentences

Change in net unrealized appreciation (depreciation)

( 264,473,936

Net income (loss)

1 unchanged sentence

( 215,636,254

( 1,275,116,982

Shareholders’ equity, end of period

4 unchanged sentences

The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.

See accompanying notes to financial statements.

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS*

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

20 unchanged sentences

Increase (Decrease) in payable on futures contracts

Increase (Decrease) in securities purchased payable

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

10 unchanged sentences

( 431,922,575

1,121,590,338

Net increase (decrease) in cash

10 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

June 30, 2022

September 30, 2022

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”).

As of June 30, 2022, the following sixteen series of the Trust have commenced investment operations:

(i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”);

As of September 30, 2022, the following sixteen series of the Trust have commenced investment operations:

(i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term

Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”);

(ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”);

6 unchanged sentences

The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol:

CROC) and ProShares Short Euro ETF (ticker symbol:

EUFX), together, the “liquidated funds”.

The last day the liquidated funds accepted creation orders was on May 2, 2022.

Trading in each liquidated fund was suspended prior to market open on May 3, 2022.

Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”).

From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares.

Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds:

4 unchanged sentences

References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark.

Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark.

Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half

the inverse (-0.5x)

or the inverse (-1x)

of the daily performance of its corresponding benchmark.

Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x)

of the daily performance of its corresponding benchmark.

Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half

times (1.5x) or two times (2x) the daily performance of its corresponding benchmark.

Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark.

1 unchanged sentence

The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results.

Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -1x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x,

1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the six months June 30, 2022, and during the year ended December 31, 2021.

The table below includes reverse Share splits for the Funds during the nine months September 30, 2022, and during the year ended December 31, 2021.

The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

1 unchanged sentence

(Prior to Opening

Resumed at Post-

Type of Split

Resumed at Post-

ProShares Ultra VIX Short-Term Futures ETF

26 unchanged sentences

These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S.

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q

and the rules and regulations of the U.S.

Securities and Exchange Commission (“SEC”).

1 unchanged sentence

Interim period results are not necessarily indicative of results for a full-year period.

These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on February 25, 2022.

These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K

for the year ended December 31, 2021, as filed with the SEC on February 25, 2022.

Use of Estimates & Indemnifications

9 unchanged sentences

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2022 were typically as follows.

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2022 were typically as follows.

All times are Eastern Standard Time:

1 unchanged sentence

NAV Calculation

Calculation Date

NAV Calculation Date

Ultra Silver and UltraShort Silver

June 30, 2022

September 30, 2022

Ultra Gold and UltraShort Gold

June 30, 2022

September 30, 2022

Ultra Bloomberg Crude Oil,

2 unchanged sentences

UltraShort Bloomberg Natural Gas

June 30, 2022

September 30, 2022

UltraShort Euro and

UltraShort Yen

June 30, 2022

September 30, 2022

Short VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

VIX Mid-Term Futures ETF and

Futures ETF and

VIX Short-Term Futures ETF

June 30, 2022

Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 2022.

September 30, 2022

Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets.

Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the six months ended June 30, 2022.

Investment Valuation

2 unchanged sentences

In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor.

Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades.

Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts)

are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor.

Futures contracts, except for those entered into by the Gold, Silver and Ultra Short Euro Fund, are generally valued at the last settled price on the applicable exchange on which that future trades.

Futures contracts entered into by the Gold, Silver and Ultra Short Euro Fund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined.

For financial reporting purposes, all futures contracts are generally valued at the last settled price.

Futures contracts valuations are typically categorized as Level I in the fair value hierarchy.

contracts valuations are typically categorized as Level I in the fair value hierarchy.

Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy.

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Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at June 30, 2022 using the fair value hierarchy:

The following table summarizes the valuation of investments at September 30, 2022 using the fair value hierarchy:

Level I - Quoted Prices

7 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

( 194,426,957

ProShares Ultra Euro

9 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

30 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

4 unchanged sentences

Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

There were no transf e

rs into or out of Level 3 for the fiscal year end.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

There were no transfers into or out of Level 3 for the fiscal year end.

The inputs or methodology used for valuing investment s

are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

4 unchanged sentences

Brokerage Commissions and Futures Account Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up

fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S.

Commodity Futures Trading Commission (“CFTC”) regulated investments.

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The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

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A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.

Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions.

Over-the-counter

options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments.

The over-the-counter

market for options is relatively illiquid, particularly for relatively small transactions.

The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss.

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Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position.

Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year.

Swap agreements are two-party

contracts that have traditionally been entered into primarily with institutional investors in over-the-counter

(“OTC”) markets for a specified period, ranging from a day to more than one year.

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization.

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The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds.

All of the outstanding swap agreements at June 30, 2022 contractually terminate within one month but may be terminated without penalty by either party at any time.

All of the outstanding swap agreements at September 30, 2022

contractually terminate within one month but may be terminated without penalty by either party at any time.

Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds.

As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party

account at the Custodian to protect the counterparty against non-payment

by the Funds.

The collateral held in this account is restricted as to its use.

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To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.

As of June 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S.

As of September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations.

In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

In addition, cleared derivative transactions benefit from daily marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

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Forward contracts have traditionally not been cleared or guaranteed by a third party.

As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery).

Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing.

As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable

forwards (including deliverable forwards where the parties do not take delivery).

Certain non-deliverable

forward contracts, such as non-deliverable

foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing.

Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments.

Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds.

Such collateral is held for the benefit of the counterparty in a segregated tri-party

account at a third party custodian to protect the counterparty against non-payment

by the Funds.

The collateral held in this account is restricted as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from

the segregated account and may incur certain costs in exercising its right with respect to the collateral.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding.

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To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.

As of June 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S.

As of September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

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In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

In addition, cleared derivative transactions benefit from daily marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries.

The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of June 30, 2022

Fair Value of Derivative Instruments as of September 30, 2022

Asset Derivatives

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Derivatives Not

Accounted for

as Hedging Instruments

Accounted for as

Hedging Instruments

Statements of

Financial Condition Location

Financial Condition

Statements of

Financial Condition Location

Financial Condition

VIX Futures Contracts

Receivables on open futures contracts

Payable on open futures contracts

Receivable on open futures contracts, unrealized

appreciation on swap agreements

Payable on open futures contracts, unrealized

depreciation on swap agreements

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

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ProShares Ultra Silver

ProShares UltraShort

Bloomberg Crude Oil

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

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VIX Futures Contracts

Receivables on open futures contracts, unrealized appreciation on swap agreements

Payable on open futures contracts, unrealized depreciation on swap agreements

Receivable on open futures contracts, unrealized

appreciation on swap agreements

Payable on open futures contracts, unrealized

depreciation on swap agreements

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 2022

For the three months ended September 30, 2022

Derivatives Not Accounted

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VIX Futures Contracts

Net realized gain (loss) on futures contracts/ changes in unrealized appreciation (depreciation) on futures contracts

Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

( 289,871,717

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

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ProShares Ultra Bloomberg Natural Gas

( 271,251,560

ProShares Ultra Gold

2 unchanged sentences

ProShares UltraShort Bloomberg Crude Oil

( 102,594,000

ProShares UltraShort Bloomberg Natural Gas

( 282,646,685

ProShares UltraShort Gold

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Combined Trust

( 747,144,368

Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

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The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 2022

For the nine months ended September 30, 2022

Derivatives Not Accounted

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ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

3 unchanged sentences

( 339,187,944

( 305,216,174

ProShares Ultra Bloomberg Natural Gas

( 186,220,796

ProShares Ultra Gold

14 unchanged sentences

Combined Trust:

1,178,977,575

( 260,518,605

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 2021

For the three months ended September 30, 2021

Derivatives Not Accounted

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( 198,380,990

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

( 175,846,641

Commodities Contracts

4 unchanged sentences

ProShares Ultra Silver

( 201,315,310

ProShares UltraShort Bloomberg Crude Oil

13 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 2021

For the nine months ended September 30, 2021

Derivatives Not Accounted

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VIX Futures Contracts

Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements

Net realized gain (loss) on futures contracts and/or swap

agreements/ changes in unrealized appreciation (depreciation) on

futures contracts and/or swap agreements

ProShares Short VIX Short-Term Futures ETF

1 unchanged sentence

( 1,757,428,075

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

9 unchanged sentences

ProShares UltraShort Bloomberg Natural Gas

( 112,274,576

ProShares UltraShort Gold

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( 1,372,492,604

( 54,690,965 )

Offsetting Assets and Liabilities

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For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2022.

Fair Values of Derivative Instruments as of June 30, 2022

Fair Values of Derivative Instruments as of September 30, 2022

Gross Amounts

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Statements of

ProShares Ultra Bloomberg

ProShares Ultra Bloomberg Crude Oil

Swap agreements

15 unchanged sentences

Foreign currency forward contracts

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2022.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2022.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2022

These amounts may be un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022

Amounts of Recognized Assets /

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Cash Collateral for the

Benefit of (the Funds) /

the Counterparties

Benefit of (the Funds) / the

Counterparties

ProShares Ultra Bloomberg Crude Oil

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Statements of

ProShares Ultra Bloomberg

ProShares Ultra Bloomberg Crude Oil

Swap agreements

5 unchanged sentences

Swap agreements

ProShares Ultra VIX Short-Term

ProShares Ultra VIX Short-Term Futures ETF

Swap agreements

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Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021

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Societe Generale

( 13,831,056 )

ProShares Ultra Euro

33 unchanged sentences

and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations.

Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

Fees associated with a Fund’s

trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1

preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring

Fees and Expenses

Each Fund pays all its non-recurring

and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring

and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

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Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three and six months ended June 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Transaction fees for the three and nine months ended September 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Three Months Ended

June 30, 2022

Six Months Ended

June 30, 2022

Nine Months Ended

September 30, 2022

ProShares Short VIX Short-Term Futures ETF

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ProShares UltraShort Yen

ProShares VIX Mid-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

1 unchanged sentence

NOTE 6 – FINANCIAL HIGHLIGHTS

Selected Data for a Share Outstanding Throughout the Three Months Ended June 30, 2022

For the Three Months Ended June 30, 2022 (unaudited)

Selected data for a Share outstanding throughout the three months ended September 30, 2022

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating

Net asset value, at March 31, 2022

Net asset value, at June 30, 2022

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2022

Market value per share, at March 31, 2022 †

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

For the Three Months Ended June 30, 2022 (unaudited)

Amount represents less than $ 0.005 .

Amount represents greater than $( 0.005 ).

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating

Net asset value, at March 31, 2022

Natural Gas *

Net asset value, at June 30, 2022

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2022

Market value per share, at March 31, 2022 †

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Three Months Ended June 30, 2022 (unaudited)

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

Amount represents greater than $( 0.005 ).

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating

Net asset value, at March 31, 2022

Net asset value, at June 30, 2022

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2022

Market value per share, at March 31, 2022 †

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

Selected data for a Share outstanding throughout the three months ended June 30, 2021

For the Three Months Ended June 30, 2021 (unaudited)

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded.

Amount represents greater than $( 0.005 ).

Selected data for a Share outstanding throughout the three months ended September 30, 2021

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating

Net asset value, at March 31, 2021

Net asset value, at June 30, 2021

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2021

Market value per share, at March 31, 2021 †

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

For the Three Months Ended June 30, 2021 (unaudited)

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating

Futures ETF *

Net asset value, at March 31, 2021

Natural Gas *

Net asset value, at June 30, 2021

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2021

Market value per share, at March 31, 2021 †

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

For the Three Months Ended June 30, 2021 (unaudited)

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating

Net asset value, at March 31, 2021

Net asset value, at June 30, 2021

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2021

Market value per share, at March 31, 2021 †

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded.

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022

For the Six Months Ended June 30, 2022 (unaudited)

Amount represents greater than ( 0.05 )%.

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2022

Net asset value, at September 30, 2022

Market value per share, at December 31, 2021 †

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

For the Six Months Ended June 30, 2022 (unaudited)

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating

Futures ETF *

Natural Gas *

3 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2022

Net asset value, at September 30, 2022

Market value per share, at December 31, 2021 †

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Six Months Ended June 30, 2022 (unaudited)

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2022

Net asset value, at September 30, 2022

Market value per share, at December 31, 2021 †

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2021

For the Six Months Ended June 30, 2021 (unaudited)

Percentages are not annualized for the period ended September 30, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded.

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2021

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating

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Change in net asset value from operations

Net asset value, at June 30, 2021

Net asset value, at September 30, 2021

Market value per share, at December 31, 2020 †

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

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Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Six Months Ended June 30, 2021 (unaudited)

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring

fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating

Futures ETF *

Natural Gas *

3 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2021

Net asset value, at September 30, 2021

Market value per share, at December 31, 2020 †

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Six Months Ended June 30, 2021 (unaudited)

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring

fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2021

Net asset value, at September 30, 2021

Market value per share, at December 31, 2020 †

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

7 unchanged sentences

Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

Percentages are not annualized for the period ended June 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

Percentages are not annualized for the period ended September 30, 2021.

The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring

fees and expenses, and brokerage commissions and futures account fees were excluded.

NOTE 7 – RISK

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The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period.

the inverse (-0.5x),

the inverse (-1x),

two times the inverse (-2x),

one and one-half

times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period.

A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors.

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Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark.

For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.

The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark.

For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half

or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.

The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of

the return that would be expected of a fund with an objective of matching the same benchmark.

The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds.

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(2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(3) bid-ask spreads on such Financial Instruments;

spreads on such Financial Instruments;

(4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs;

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Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -1x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x,

1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

Each Geared Fund seeks to rebalance its portfolio on a daily basis.

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These agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement.

The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the

agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund.

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This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

In addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

In addition, cleared derivatives benefit from daily marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

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The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half

times multiplier) include a two times the inverse (-2x),

or a two times (2x) multiplier, a single-day

movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement.

This would be the case with downward single-day

or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day

or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

27 unchanged sentences

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses.

have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments.

7 unchanged sentences

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19.

The onset of the novel coronavirus (COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased.

2 unchanged sentences

financial markets in March 2020.

Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil.

Contemporaneous with the onset of the COVID-19

pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil.

This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts.

2 unchanged sentences

The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses.

These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

These and other global economic shocks as a result of the COVID-19

pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

NOTE 8 – SUBSEQUENT EVENTS

2 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements