ProShares Trust II 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. Introduction 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 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”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”. 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: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended. Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. 125 Table of Contents As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds. 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. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. 126 Table of Contents Forward and Reverse Split On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits. On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits. On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2022 and 2021, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended September 30, 2022 Interest Income Three Months Ended September 30, 2021 Interest Income Nine Months Ended September 30, 2022 Interest Income Nine Months Ended September 30, 2021 ProShares Short VIX Short-Term Futures ETF 1,006,499 8,152 1,325,976 75,729 ProShares Ultra Bloomberg Crude Oil 2,391,191 86,370 3,964,082 365,778 ProShares Ultra Bloomberg Natural Gas 909,204 7,355 1,095,255 32,714 ProShares Ultra Euro 36,856 393 47,965 1,415 ProShares Ultra Gold 678,282 14,338 1,092,549 70,259 ProShares Ultra Silver 824,171 44,511 1,386,134 208,169 ProShares Ultra VIX Short-Term Futures ETF 3,945,136 11,979 4,471,067 328,504 ProShares Ultra Yen 25,362 260 29,299 923 ProShares UltraShort Bloomberg Crude Oil 1,748,548 6,891 2,091,754 36,069 ProShares UltraShort Bloomberg Natural Gas 953,050 9,879 1,131,063 25,512 ProShares UltraShort Euro 230,824 5,008 285,240 17,814 ProShares UltraShort Gold 72,261 3,075 101,921 9,213 ProShares UltraShort Silver 63,222 3,100 90,885 8,895 ProShares UltraShort Yen 115,191 2,392 151,503 9,558 ProShares VIX Mid-Term Futures ETF 220,211 8,914 296,960 27,487 ProShares VIX Short-Term Futures ETF 1,400,201 11,739 1,678,813 91,187 127 Table of Contents Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. 128 Table of Contents Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to • market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a FCM; and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of November 8, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). 129 Table of Contents For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2022. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. 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 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 valued at last settled price. Futures 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. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account 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 regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 130 Table of Contents Results of Operations for the Three Months Ended September 30, 2022 Compared to the Three Months Ended September 30, 2021 ProShares Short VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 403,644,956 $ 588,615,946 NAV end of period $ 321,831,051 $ 388,523,845 Percentage change in NAV (20.3 )% (34.0 )% Shares outstanding beginning of period 8,384,307 10,584,307 Shares outstanding end of period 6,634,307 7,134,307 Percentage change in shares outstanding (20.9 )% (32.6 )% Shares created 450,000 550,000 Shares redeemed 2,200,000 4,000,000 Per share NAV beginning of period $ 48.14 $ 55.61 Per share NAV end of period $ 48.51 $ 54.46 Percentage change in per share NAV 0.8 % (2.1 )% Percentage change in benchmark (5.7 )% (5.6 )% Benchmark annualized volatility 51.0 % 69.6 % During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (90,304 ) $ (1,466,273 ) Management fee 914,054 1,055,823 Brokerage commission 152,661 208,885 Futures account fees 23,966 209,717 Non-recurring fees and expenses 6,122 — Net realized gain (loss) 27,694,574 34,572,603 Change in net unrealized appreciation (depreciation) (17,470,190 ) (43,349,844 ) Net Income (loss) $ 10,134,080 $ (10,243,514 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to greater decrease in the value of futures prices during the three months ended September 30, 2022. ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 1,060,867,238 $ 1,303,530,902 NAV end of period $ 724,595,262 $ 1,090,613,716 Percentage change in NAV (31.7 )% (16.3 )% Shares outstanding beginning of period 25,493,096 66,643,096 Shares outstanding end of period 27,643,096 51,643,096 Percentage change in shares outstanding 8.4 % (22.5 )% Shares created 10,400,000 3,800,000 Shares redeemed 8,250,000 18,800,000 Per share NAV beginning of period $ 41.61 $ 19.56 Per share NAV end of period $ 26.21 $ 21.12 Percentage change in per share NAV (37.0 )% 8.0 % Percentage change in benchmark (18.6 )% 5.4 % Benchmark annualized volatility 42.8 % 30.9 % During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 66,643,096 outstanding Shares at June 30, 2021 to 51,643,096 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . 132 Table of Contents For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 153,992 $ (3,130,493 ) Management fee 2,118,088 2,775,351 Brokerage commission 85,906 198,498 Futures account fees 19,466 215,514 Non-recurring fees and expenses 13,739 27,500 Net realized gain (loss) (344,578,932 ) 106,325,821 Change in net unrealized appreciation (depreciation) (33,248,174 ) (16,878,588 ) Net Income (loss) $ (377,673,114 ) $ 86,316,740 The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. 133 Table of Contents ProShares Ultra Bloomberg Natural Gas Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 187,297,842 $ 70,213,227 NAV end of period $ 289,386,097 $ 145,038,381 Percentage change in NAV 54.5 % 106.6 % Shares outstanding beginning of period 4,737,527 1,987,527 Shares outstanding end of period 5,437,527 1,737,527 Percentage change in shares outstanding 14.8 % (12.6 )% Shares created 6,000,000 1,150,000 Shares redeemed 5,300,000 1,400,000 Per share NAV beginning of period $ 39.53 $ 35.33 Per share NAV end of period $ 53.22 $ 83.47 Percentage change in per share NAV 34.6 % 136.3 % Percentage change in benchmark 25.3 % 58.6 % Benchmark annualized volatility 76.6 % 48.6 % During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 104,679 $ (212,510 ) Management fee 658,525 161,130 Brokerage commission 97,589 40,472 Futures account fees 43,620 18,263 Non-recurring fees and expenses 4,791 — Net realized gain (loss) (5,893,297 ) 33,925,723 Change in net unrealized appreciation (depreciation) 97,221,527 25,135,708 Net Income (loss) $ 91,432,909 $ 58,848,921 134 Table of Contents The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to lesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2022. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 9,415,626 $ 3,668,741 NAV end of period $ 13,869,371 $ 3,479,104 Percentage change in NAV 47.3 % (5.2 )% Shares outstanding beginning of period 850,000 250,000 Shares outstanding end of period 1,450,000 250,000 Percentage change in shares outstanding 70.6 % — % Shares created 700,000 — Shares redeemed 100,000 — Per share NAV beginning of period $ 11.08 $ 14.67 Per share NAV end of period $ 9.57 $ 13.92 Percentage change in per share NAV (13.7 )% (5.1 )% Percentage change in benchmark (6.0 )% (2.3 )% Benchmark annualized volatility 10.53 % 4.5 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.0% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022. 135 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 5,288 $ (8,271 ) Management fee 31,331 8,664 Non-recurring fees and expenses 237 — Net realized gain (loss) (1,618,381 ) (254,219 ) Change in net unrealized appreciation (depreciation) (95,012 ) 72,853 Net Income (loss) $ (1,708,105 ) $ (189,637 ) The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 239,938,853 $ 243,456,703 NAV end of period $ 160,022,292 $ 230,917,847 Percentage change in NAV (33.3 )% (5.2 )% Shares outstanding beginning of period 4,250,000 4,250,000 Shares outstanding end of period 3,400,000 4,150,000 Percentage change in shares outstanding (20.0 )% (2.4 )% Shares created 50,000 250,000 Shares redeemed 900,000 350,000 Per share NAV beginning of period $ 56.46 $ 57.28 Per share NAV end of period $ 47.07 $ 55.64 Percentage change in per share NAV (16.6 )% (2.9 )% Percentage change in benchmark (7.9 )% (1.0 )% Benchmark annualized volatility 13.4 % 13.8 % During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. 136 Table of Contents The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 191,709 $ (596,194 ) Management fee 475,457 582,103 Brokerage commission 8,176 9,421 Non-recurring fees and expenses 2,940 — Net realized gain (loss) (39,826,294 ) (21,858,089 ) Change in net unrealized appreciation (depreciation) 2,222,833 15,574,284 Net Income (loss) $ (37,411,752 ) $ (6,879,999 ) The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the three months ended September 30, 2022. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 355,577,515 $ 661,778,727 NAV end of period $ 323,970,863 $ 480,309,476 Percentage change in NAV (8.9 )% (27.4 )% Shares outstanding beginning of period 14,346,526 14,396,526 Shares outstanding end of period 15,546,526 15,146,526 Percentage change in shares outstanding 8.4 % 5.2 % Shares created 2,450,000 1,050,000 Shares redeemed 1,250,000 300,000 Per share NAV beginning of period $ 24.78 $ 45.97 Per share NAV end of period $ 20.84 $ 31.71 Percentage change in per share NAV (15.9 )% (31.0 )% Percentage change in benchmark (6.5 )% (16.0 )% Benchmark annualized volatility 31.8 % 26.7 % 137 Table of Contents During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (15,349 ) $ (1,424,705 ) Management fee 798,802 1,394,627 Brokerage commission 34,796 27,419 Futures account fees — 47,170 Non-recurring fees and expenses 5,922 — Net realized gain (loss) (147,391,314 ) (201,320,030 ) Change in net unrealized appreciation (depreciation) 91,477,472 (6,018,290 ) Net Income (loss) $ (55,929,191 ) $ (208,763,025 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022. 138 Table of Contents ProShares Ultra VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 975,683,533 $ 840,870,703 NAV end of period $ 995,489,778 $ 1,020,845,873 Percentage change in NAV 2.0 % 21.4 % Shares outstanding beginning of period 67,228,420 30,128,420 Shares outstanding end of period 77,328,420 41,778,420 Percentage change in shares outstanding 15.0 % 38.7 % Shares created 93,400,000 37,800,000 Shares redeemed 83,300,000 26,150,000 Per share NAV beginning of period $ 14.51 $ 27.91 Per share NAV end of period $ 12.87 $ 24.43 Percentage change in per share NAV (11.3 )% (12.5 )% Percentage change in benchmark (5.7 )% (5.6 )% Benchmark annualized volatility 51.0 % 69.6 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (402,633 ) $ (3,993,799 ) Management fee 2,831,005 2,221,755 Brokerage commission 1,276,819 1,095,975 Futures account fees 219,828 668,048 Non-recurring fees and expenses 20,117 — Net realized gain (loss) (289,873,754 ) (198,380,990 ) Change in net unrealized appreciation (depreciation) 161,745,283 186,742,221 Net Income (loss) $ (128,531,104 ) $ (15,632,568 ) 139 Table of Contents The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices, during the three months ended September 30, 2022. ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 5,024,773 $ 2,560,348 NAV end of period $ 10,159,189 $ 2,539,880 Percentage change in NAV 102.2 % (0.8 )% Shares outstanding beginning of period 149,970 49,970 Shares outstanding end of period 349,970 49,970 Percentage change in shares outstanding 133.4 % — % Shares created 250,000 — Shares redeemed 50,000 — Per share NAV beginning of period $ 33.51 $ 51.24 Per share NAV end of period $ 29.03 $ 50.83 Percentage change in per share NAV (13.3 )% (0.8 )% Percentage change in benchmark (6.5 )% (0.2 )% Benchmark annualized volatility 11.15 % 5.5 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022. 140 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 3,923 $ (5,973 ) Management fee 21,245 6,233 Non-recurring fees and expenses 194 — Net realized gain (loss) (1,652,590 ) (25,554 ) Change in net unrealized appreciation (depreciation) (14,681 ) 11,059 Net Income (loss) $ (1,663,348 ) $ (20,468 ) The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022. ProShares UltraShort Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 501,157,304 $ 79,400,059 NAV end of period $ 368,791,089 $ 93,575,213 Percentage change in NAV (26.4 )% 17.9 % Shares outstanding beginning of period 21,755,220 876,760 Shares outstanding end of period 12,155,220 1,236,760 Percentage change in shares outstanding (44.1 )% 41.1 % Shares created 11,050,000 670,000 Shares redeemed 20,650,000 310,000 Per share NAV beginning of period $ 23.04 $ 90.56 Per share NAV end of period $ 30.34 $ 75.66 Percentage change in per share NAV 31.7 % (16.5 )% Percentage change in benchmark (18.6 )% 5.4 % Benchmark annualized volatility 42.8 % 30.9 % During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 876,760 outstanding Shares at June 30, 2021 to 1,236,760 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . 141 Table of Contents For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 392,570 $ (241,725 ) Management fee 1,160,746 201,146 Brokerage commission 148,121 29,277 Futures account fees 39,563 18,193 Non-recurring fees and expenses 7,548 — Net realized gain (loss) 66,444,885 (11,449,562 ) Change in net unrealized appreciation (depreciation) 76,987,949 (1,520,893 ) Net Income (loss) $ 143,825,404 $ (13,212,180 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. 142 Table of Contents ProShares UltraShort Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 211,823,446 $ 97,525,300 NAV end of period $ 242,389,998 $ 138,468,677 Percentage change in NAV 14.4 % 42.0 % Shares outstanding beginning of period 4,966,856 226,242 Shares outstanding end of period 13,966,856 986,242 Percentage change in shares outstanding 181.2 % 335.9 % Shares created 58,900,000 1,025,000 Shares redeemed 49,900,000 265,000 Per share NAV beginning of period $ 42.65 $ 431.07 Per share NAV end of period $ 17.35 $ 140.40 Percentage change in per share NAV (59.3 )% (67.4 )% Percentage change in benchmark 25.3 % 58.6 % Benchmark annualized volatility 76.6 % 48.6 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 226,242 outstanding Shares at June 30, 2021 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (5,144 ) $ (358,817 ) Management fee 730,949 258,824 Brokerage commission 173,386 67,808 Futures account fees 48,485 42,064 Non-recurring fees and expenses 5,374 — Net realized gain (loss) 8,115,767 (95,609,878 ) Change in net unrealized appreciation (depreciation) (23,467,384 ) (17,871,536 ) Net Income (loss) $ (15,356,761 ) $ (113,840,231 ) 143 Table of Contents The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 62,270,097 $ 48,820,440 NAV end of period $ 90,584,278 $ 48,640,817 Percentage change in NAV 45.5 % (0.4 )% Shares outstanding beginning of period 2,050,000 2,050,000 Shares outstanding end of period 2,600,000 1,950,000 Percentage change in shares outstanding 26.8 % (4.9 )% Shares created 1,100,000 100,000 Shares redeemed 550,000 200,000 Per share NAV beginning of period $ 30.38 $ 23.81 Per share NAV end of period $ 34.84 $ 24.94 Percentage change in per share NAV 14.7 % 4.8 % Percentage change in benchmark (6.5 )% (2.3 )% Benchmark annualized volatility 11.15 % 4.5 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022. 144 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 25,953 $ (111,725 ) Management fee 203,036 116,733 Non-recurring fees and expenses 1,835 — Net realized gain (loss) 11,086,708 2,974,466 Change in net unrealized appreciation (depreciation) (292,818 ) (617,958 ) Net Income (loss) $ 10,819,843 $ 2,244,783 The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022. ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 34,611,284 $ 32,835,014 NAV end of period $ 29,634,725 $ 27,731,022 Percentage change in NAV (14.4 )% (15.5 )% Shares outstanding beginning of period 1,096,977 946,977 Shares outstanding end of period 796,977 796,977 Percentage change in shares outstanding (27.3 )% (15.8 )% Shares created 350,000 650,000 Shares redeemed 650,000 800,000 Per share NAV beginning of period $ 31.55 $ 34.67 Per share NAV end of period $ 37.18 $ 34.80 Percentage change in per share NAV 17.9 % 0.4 % Percentage change in benchmark (7.9 )% (1.0 )% Benchmark annualized volatility 13.4 % 13.8 % During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . 145 Table of Contents For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (8,595 ) $ (68,386 ) Management fee 76,652 66,304 Brokerage commission 3,565 3,301 Futures account fees — 1,856 Non-recurring fees and expenses 639 — Net realized gain (loss) 4,988,228 1,213,721 Change in net unrealized appreciation (depreciation) 841,546 (1,898,419 ) Net Income (loss) $ 5,821,179 $ (753,084 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the three months ended September 30, 2022. 146 Table of Contents ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 33,052,840 $ 34,859,763 NAV end of period $ 33,763,052 $ 40,373,877 Percentage change in NAV 2.1 % 15.8 % Shares outstanding beginning of period 1,041,329 1,491,329 Shares outstanding end of period 991,329 1,291,329 Percentage change in shares outstanding (4.8 )% (13.4 )% Shares created 1,000,000 1,000,000 Shares redeemed 1,050,000 1,200,000 Per share NAV beginning of period $ 31.74 $ 23.37 Per share NAV end of period $ 34.06 $ 31.27 Percentage change in per share NAV 7.3 % 33.8 % Percentage change in benchmark (6.5 )% (16.0 )% Benchmark annualized volatility 31.8 % 26.7 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (13,304 ) $ (102,532 ) Management fee 67,215 90,963 Brokerage commission 8,699 8,141 Futures account fees — 6,528 Non-recurring fees and expenses 612 — Net realized gain (loss) 6,215,407 6,662,145 Change in net unrealized appreciation (depreciation) (4,075,524 ) 3,922,596 Net Income (loss) $ 2,126,579 $ 10,482,209 147 Table of Contents The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022. ProShares UltraShort Yen* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 45,568,882 $ 27,231,748 NAV end of period $ 51,937,338 $ 23,328,922 Percentage change in NAV 14.0 % (14.3 )% Shares outstanding beginning of period 798,580 698,580 Shares outstanding end of period 798,580 598,580 Percentage change in shares outstanding — % (14.3 )% Shares created 250,000 — Shares redeemed 250,000 100,000 Per share NAV beginning of period $ 57.06 $ 38.98 Per share NAV end of period $ 65.04 $ 38.97 Percentage change in per share NAV 14.0 % (0.0 )% @ Percentage change in benchmark (6.5 )% (0.2 )% Benchmark annualized volatility 11.2 % 5.5 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at June 30, 2021 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022. 148 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 7,640 $ (54,645 ) Management fee 106,598 57,037 Non-recurring fees and expenses 953 — Net realized gain (loss) 5,879,873 197,444 Change in net unrealized appreciation (depreciation) (523,871 ) (189,932 ) Net Income (loss) $ 5,363,642 $ (47,133 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 95,721,271 $ 92,662,734 NAV end of period $ 110,420,574 $ 127,673,137 Percentage change in NAV 15.4 % 37.7 % Shares outstanding beginning of period 2,712,403 3,037,403 Shares outstanding end of period 3,112,403 3,962,403 Percentage change in shares outstanding 14.7 % 30.5 % Shares created 850,000 1,200,000 Shares redeemed 450,000 275,000 Per share NAV beginning of period $ 35.29 $ 30.51 Per share NAV end of period $ 35.48 $ 32.22 Percentage change in per share NAV 0.6 % 5.6 % Percentage change in benchmark 1.1 % 6.0 % Benchmark annualized volatility 22.1 % 22.9 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. 149 Table of Contents For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (1,269 ) $ (262,156 ) Management fee 201,508 221,356 Brokerage commission 17,922 20,803 Futures account fees — 28,911 Non-recurring fees and expenses 2,050 — Net realized gain (loss) (1,349,272 ) (4,024,133 ) Change in net unrealized appreciation (depreciation) 3,368,209 10,652,952 Net Income (loss) $ 2,017,668 $ 6,366,663 The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of the futures prices during the three months ended September 30, 2022. 150 Table of Contents ProShares VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 341,714,316 $ 272,352,675 NAV end of period $ 437,536,628 $ 368,777,333 Percentage change in NAV 28.0 % 35.3 % Shares outstanding beginning of period 18,757,826 11,307,826 Shares outstanding end of period 25,582,826 16,257,826 Percentage change in shares outstanding 36.4 % 43.8 % Shares created 17,775,000 6,300,000 Shares redeemed 10,950,000 1,350,000 Per share NAV beginning of period $ 18.22 $ 24.09 Per share NAV end of period $ 17.10 $ 22.68 Percentage change in per share NAV (6.1 )% (5.8 )% Percentage change in benchmark (5.7 )% (5.6 )% Benchmark annualized volatility 51.0 % 69.6 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 18,757,826 outstanding Shares at June 30, 2022 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 259,392 $ (897,586 ) Management fee 874,070 660,051 Brokerage commission 203,095 97,516 Futures account fees 54,944 151,758 Non-recurring fees and expenses 8,700 — Net realized gain (loss) (45,457,319 ) (51,868,433 ) Change in net unrealized appreciation (depreciation) 51,698,947 42,168,297 Net Income (loss) $ 6,501,020 $ (10,597,722 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices, during the three months ended September 30, 2022. 151 Table of Contents Results of Operations for the Nine Months Ended September 30, 2022 Compared to the Nine Months Ended September 30, 2021 ProShares Short VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 423,812,594 $ 409,371,468 NAV end of period $ 321,831,051 $ 388,523,845 Percentage change in NAV (24.1 )% (5.1 )% Shares outstanding beginning of period 6,884,307 9,884,307 Shares outstanding end of period 6,634,307 7,134,307 Percentage change in shares outstanding (3.6 )% (27.8 )% Shares created 5,050,000 3,400,000 Shares redeemed 5,300,000 6,150,000 Per share NAV beginning of period $ 61.56 $ 41.42 Per share NAV end of period $ 48.51 $ 54.46 Percentage change in per share NAV (21.2 )% 31.5 % Percentage change in benchmark 14.7 % (58.4 )% Benchmark annualized volatility 86.1 % 73.8 % During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. 152 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (2,481,226 ) $ (4,774,396 ) Management fee 2,934,952 3,415,545 Brokerage commission 517,911 638,744 Futures account fees 348,217 795,836 Non-recurring fees and expenses 6,122 — Net realized gain (loss) (26,521,746 ) 168,119,037 Change in net unrealized appreciation (depreciation) (47,680,063 ) (14,532,856 ) Net Income (loss) $ (76,683,035 ) $ 148,811,785 The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022. ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 1,103,783,570 $ 902,739,250 NAV end of period $ 724,595,262 $ 1,090,613,716 Percentage change in NAV (34.4 )% 20.8 % Shares outstanding beginning of period 51,243,096 99,243,096 Shares outstanding end of period 27,643,096 51,643,096 Percentage change in shares outstanding (46.1 )% (48.0 )% Shares created 20,700,000 17,400,000 Shares redeemed 44,300,000 65,000,000 Per share NAV beginning of period $ 21.54 $ 9.10 Per share NAV end of period $ 26.21 $ 21.12 Percentage change in per share NAV 21.7 % 132.2 % Percentage change in benchmark 18.7 % 58.2 % Benchmark annualized volatility 45.6 % 29.1 % During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. the decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 51,643,096 outstanding Shares at September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. 153 Table of Contents The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (5,154,872 ) $ (9,100,359 ) Management fee 8,301,804 8,104,728 Brokerage commission 421,657 701,710 Futures account fees 381,754 632,199 Non-recurring fees and expenses 13,739 27,500 Net realized gain (loss) 818,132,441 761,182,708 Change in net unrealized appreciation (depreciation) (339,456,270 ) 176,076,207 Net Income (loss) $ 473,521,299 $ 928,158,556 The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. 154 Table of Contents ProShares Ultra Bloomberg Natural Gas Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 193,892,178 $ 169,800,371 NAV end of period $ 289,386,097 $ 145,038,381 Percentage change in NAV 49.3 % (14.6 )% Shares outstanding beginning of period 7,587,527 8,087,527 Shares outstanding end of period 5,437,527 1,737,527 Percentage change in shares outstanding (28.3 )% (78.5 )% Shares created 15,100,000 5,200,000 Shares redeemed 17,250,000 11,550,000 Per share NAV beginning of period $ 25.55 $ 21.00 Per share NAV end of period $ 53.22 $ 83.47 Percentage change in per share NAV 108.3 % 297.6 % Percentage change in benchmark 86.6 % 113.0 % Benchmark annualized volatility 71.7 % 40.5 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (977,992 ) $ (845,018 ) Management fee 1,589,759 568,903 Brokerage commission 300,747 195,831 Futures account fees 177,950 112,998 Non-recurring fees and expenses 4,791 — Net realized gain (loss) 235,314,633 80,409,947 Change in net unrealized appreciation (depreciation) (89,199,198 ) 35,684,757 Net Income (loss) $ 145,137,443 $ 115,249,686 155 Table of Contents The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2022. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 8,659,095 $ 4,737,350 NAV end of period $ 13,869,371 $ 3,479,104 Percentage change in NAV 60.2 % (26.6 )% Shares outstanding beginning of period 650,000 300,000 Shares outstanding end of period 1,450,000 250,000 Percentage change in shares outstanding 123.1 % (16.7 )% Shares created 1,250,000 100,000 Shares redeemed 450,000 150,000 Per share NAV beginning of period $ 13.32 $ 15.79 Per share NAV end of period $ 9.57 $ 13.92 Percentage change in per share NAV (28.2 )% (11.9 )% Percentage change in benchmark (13.2 )% (5.2 )% Benchmark annualized volatility 9.4 % 5.6 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022. 156 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (18,918 ) $ (26,743 ) Management fee 66,646 28,158 Non-recurring fees and expenses 237 — Net realized gain (loss) (2,511,725 ) (186,149 ) Change in net unrealized appreciation (depreciation) (514,727 ) (251,418 ) Net Income (loss) $ (3,045,370 ) $ (464,310 ) The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 232,780,534 $ 263,540,473 NAV end of period $ 160,022,292 $ 230,917,847 Percentage change in NAV (31.3 )% (12.4 )% Shares outstanding beginning of period 3,900,000 3,900,000 Shares outstanding end of period 3,400,000 4,150,000 Percentage change in shares outstanding (12.8 )% 6.4 % Shares created 1,650,000 1,250,000 Shares redeemed 2,150,000 1,000,000 Per share NAV beginning of period $ 59.69 $ 67.57 Per share NAV end of period $ 47.07 $ 55.64 Percentage change in per share NAV (21.1 )% (17.7 )% Percentage change in benchmark (9.3 )% (7.9 )% Benchmark annualized volatility 17.4 % 15.7 % During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. 157 Table of Contents The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (845,479 ) $ (1,745,829 ) Management fee 1,863,020 1,718,350 Brokerage commission 43,899 32,974 Futures account fees 28,169 64,764 Non-recurring fees and expenses 2,940 — Net realized gain (loss) (39,908,781 ) (27,599,609 ) Change in net unrealized appreciation (depreciation) (17,626,635 ) (19,136,522 ) Net Income (loss) $ (58,380,895 ) $ (48,481,960 ) The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 515,453,594 $ 745,304,028 NAV end of period $ 323,970,863 $ 480,309,476 Percentage change in NAV (37.1 )% (35.6 )% Shares outstanding beginning of period 14,796,526 14,696,526 Shares outstanding end of period 15,546,526 15,146,526 Percentage change in shares outstanding 5.1 % 3.1 % Shares created 4,250,000 4,450,000 Shares redeemed 3,500,000 4,000,000 Per share NAV beginning of period $ 34.84 $ 50.71 Per share NAV end of period $ 20.84 $ 31.71 Percentage change in per share NAV (40.2 )% (37.5 )% Percentage change in benchmark (19.0 )% (17.0 )% Benchmark annualized volatility 31.7 % 33.0 % 158 Table of Contents During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (1,839,301 ) $ (4,805,716 ) Management fee 3,098,741 4,640,919 Brokerage commission 94,079 114,716 Futures account fees 26,693 258,250 Non-recurring fees and expenses 5,922 — Net realized gain (loss) (186,949,626 ) (80,038,809 ) Change in net unrealized appreciation (depreciation) (16,694,572 ) (192,156,316 ) Net Income (loss) $ (205,483,499 ) $ (277,000,841 ) The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022. 159 Table of Contents ProShares Ultra VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 816,679,636 $ 1,356,204,199 NAV end of period $ 995,489,778 $ 1,020,845,873 Percentage change in NAV 21.9 % (24.7 )% Shares outstanding beginning of period 65,828,420 12,713,091 Shares outstanding end of period 77,328,420 41,778,420 Percentage change in shares outstanding 17.5 % 228.6 % Shares created 234,900,000 70,385,000 Shares redeemed 223,400,000 41,319,671 Per share NAV beginning of period $ 12.41 $ 106.68 Per share NAV end of period $ 12.87 $ 24.43 Percentage change in per share NAV 3.7 % (77.1 )% Percentage change in benchmark 14.7 % (58.4 )% Benchmark annualized volatility 86.1 % 73.8 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (7,265,397 ) $ (16,038,632 ) Management fee 7,085,920 8,897,953 Brokerage commission 3,183,788 4,225,879 Futures account fees 1,446,639 3,243,304 Non-recurring fees and expenses 20,117 — Net realized gain (loss) 81,807,278 (1,757,407,418 ) Change in net unrealized appreciation (depreciation) 323,479,748 146,498,138 Net Income (loss) $ 398,021,629 $ (1,626,947,912 ) 160 Table of Contents The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022. ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 2,362,849 $ 2,989,499 NAV end of period $ 10,159,189 $ 2,539,880 Percentage change in NAV 330.0 % (15.0 )% Shares outstanding beginning of period 49,970 49,970 Shares outstanding end of period 349,970 49,970 Percentage change in shares outstanding 600.4 % — % Shares created 350,000 — Shares redeemed 50,000 — Per share NAV beginning of period $ 47.29 $ 59.83 Per share NAV end of period $ 29.03 $ 50.83 Percentage change in per share NAV (38.6 )% (15.0 )% Percentage change in benchmark (20.3 )% (7.2 )% Benchmark annualized volatility 10.1 % 5.2 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022. 161 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (5,605 ) $ (18,221 ) Management fee 34,710 19,144 Non-recurring fees and expenses 194 — Net realized gain (loss) (2,531,291 ) (305,028 ) Change in net unrealized appreciation (depreciation) (3,861 ) (126,370 ) Net Income (loss) $ (2,540,757 ) $ (449,619 ) The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022. ProShares UltraShort Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 114,167,602 $ 96,839,233 NAV end of period $ 368,791,089 $ 93,575,213 Percentage change in NAV 223.0 % (3.4 )% Shares outstanding beginning of period 1,776,760 416,994 Shares outstanding end of period 12,155,220 1,236,760 Percentage change in shares outstanding 584.1 % 196.6 % Shares created 38,940,000 1,447,500 Shares redeemed 28,561,540 627,734 Per share NAV beginning of period $ 64.26 $ 232.23 Per share NAV end of period $ 30.34 $ 75.66 Percentage change in per share NAV (52.8 )% (67.4 )% Percentage change in benchmark 18.7 % 58.2 % Benchmark annualized volatility 45.6 % 29.1 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 1,236,760 outstanding Shares at September 30, 2021. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. 162 Table of Contents The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (1,043,095 ) $ (751,650 ) Management fee 2,599,503 603,444 Brokerage commission 332,256 100,902 Futures account fees 195,542 83,373 Non-recurring fees and expenses 7,548 — Net realized gain (loss) (142,631,216 ) (86,637,748 ) Change in net unrealized appreciation (depreciation) 113,674,105 (5,829,481 ) Net Income (loss) $ (30,000,206 ) $ (93,218,879 ) The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. 163 Table of Contents ProShares UltraShort Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 242,145,130 $ 24,977,745 NAV end of period $ 242,389,998 $ 138,468,677 Percentage change in NAV 0.1 % 454.4 % Shares outstanding beginning of period 978,742 26,242 Shares outstanding end of period 13,966,856 986,242 Percentage change in shares outstanding 1,327.0 % 3,658.3 % Shares created 82,240,000 1,402,500 Shares redeemed 69,251,886 442,500 Per share NAV beginning of period $ 247.40 $ 951.82 Per share NAV end of period $ 17.35 $ 140.40 Percentage change in per share NAV (93.0 )% (85.3 )% Percentage change in benchmark 86.6 % 113.0 % Benchmark annualized volatility 71.7 % 40.5 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (1,452,942 ) $ (932,981 ) Management fee 1,784,017 609,472 Brokerage commission 539,244 249,831 Futures account fees 255,370 99,190 Non-recurring fees and expenses 5,374 — Net realized gain (loss) (389,255,425 ) (112,274,576 ) Change in net unrealized appreciation (depreciation) 116,824,672 (35,670,233 ) Net Income (loss) $ (273,883,695 ) $ (148,877,790 ) 164 Table of Contents The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 54,263,045 $ 52,953,339 NAV end of period $ 90,584,278 $ 48,640,817 Percentage change in NAV 66.9 % (8.1 )% Shares outstanding beginning of period 2,100,000 2,350,000 Shares outstanding end of period 2,600,000 1,950,000 Percentage change in shares outstanding 23.8 % (17.0 )% Shares created 1,650,000 300,000 Shares redeemed 1,150,000 700,000 Per share NAV beginning of period $ 25.84 $ 22.53 Per share NAV end of period $ 34.84 $ 24.94 Percentage change in per share NAV 34.8 % 10.7 % Percentage change in benchmark (13.2 )% (5.2 )% Benchmark annualized volatility 9.4 % 5.6 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022. 165 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (184,021 ) $ (337,637 ) Management fee 467,426 355,451 Non-recurring fees and expenses 1,835 — Net realized gain (loss) 16,904,945 2,249,236 Change in net unrealized appreciation (depreciation) 3,015,661 3,263,109 Net Income (loss) $ 19,736,585 $ 5,174,708 The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022. ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 26,859,844 $ 20,337,376 NAV end of period $ 29,634,725 $ 27,731,022 Percentage change in NAV 10.3 % 36.4 % Shares outstanding beginning of period 846,977 646,977 Shares outstanding end of period 796,977 796,977 Percentage change in shares outstanding (5.9 )% 23.2 % Shares created 1,500,000 1,700,000 Shares redeemed 1,550,000 1,550,000 Per share NAV beginning of period $ 31.71 $ 31.43 Per share NAV end of period $ 37.18 $ 34.80 Percentage change in per share NAV 17.3 % 10.7 % Percentage change in benchmark (9.3 )% (7.9 )% Benchmark annualized volatility 17.4 % 15.7 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . 166 Table of Contents For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (128,991 ) $ (208,304 ) Management fee 218,466 199,999 Brokerage commission 9,361 9,174 Futures account fees 2,446 8,344 Non-recurring fees and expenses 639 — Net realized gain (loss) 3,237,429 (1,767,467 ) Change in net unrealized appreciation (depreciation) 3,160,276 1,727,781 Net Income (loss) $ 6,268,714 $ (247,990 ) The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2022. 167 Table of Contents ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 26,537,000 $ 28,885,775 NAV end of period $ 33,763,052 $ 40,373,877 Percentage change in NAV 27.2 % 39.8 % Shares outstanding beginning of period 991,329 1,041,744 Shares outstanding end of period 991,329 1,291,329 Percentage change in shares outstanding — % 24.0 % Shares created 2,800,000 3,750,000 Shares redeemed 2,800,000 3,500,415 Per share NAV beginning of period $ 26.77 $ 27.73 Per share NAV end of period $ 34.06 $ 31.27 Percentage change in per share NAV 27.2 % 12.8 % Percentage change in benchmark (19.0 )% (17.0 )% Benchmark annualized volatility 31.7 % 33.0 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (125,396 ) $ (279,779 ) Management fee 190,549 248,539 Brokerage commission 20,677 19,409 Futures account fees 4,443 20,726 Non-recurring fees and expenses 612 — Net realized gain (loss) 8,252,703 (2,146,577 ) Change in net unrealized appreciation (depreciation) 1,567,440 10,463,787 Net Income (loss) $ 9,694,747 $ 8,037,431 168 Table of Contents The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022. ProShares UltraShort Yen* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 24,840,784 $ 23,691,070 NAV end of period $ 51,937,338 $ 23,328,922 Percentage change in NAV 109.1 % (1.5 )% Shares outstanding beginning of period 598,580 698,580 Shares outstanding end of period 798,580 598,580 Percentage change in shares outstanding 33.4 % (14.3 )% Shares created 1,100,000 200,000 Shares redeemed 900,000 300,000 Per share NAV beginning of period $ 41.50 $ 33.91 Per share NAV end of period $ 65.04 $ 38.97 Percentage change in per share NAV 56.7 % 14.9 % Percentage change in benchmark (20.3 )% (7.2 )% Benchmark annualized volatility 10.1 % 5.2 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at December 31, 2020 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022. 169 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (109,049 ) $ (186,478 ) Management fee 259,599 196,036 Non-recurring fees and expenses 953 — Net realized gain (loss) 14,980,187 3,055,103 Change in net unrealized appreciation (depreciation) (453,336 ) 1,066,333 Net Income (loss) $ 14,417,802 $ 3,934,958 The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Yen. ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 112,875,680 $ 72,075,095 NAV end of period $ 110,420,574 $ 127,673,137 Percentage change in NAV (2.2 )% 77.1 % Shares outstanding beginning of period 3,687,403 1,962,403 Shares outstanding end of period 3,112,403 3,962,403 Percentage change in shares outstanding (15.6 )% 101.9 % Shares created 1,850,000 2,625,000 Shares redeemed 2,425,000 625,000 Per share NAV beginning of period $ 30.61 $ 36.73 Per share NAV end of period $ 35.48 $ 32.22 Percentage change in per share NAV 15.9 % (12.3 )% Percentage change in benchmark 17.8 % (11.4 )% Benchmark annualized volatility 32.5 % 28.3 % During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. 170 Table of Contents For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (437,530 ) $ (694,100 ) Management fee 627,755 586,702 Brokerage commission 58,291 48,211 Futures account fees 46,394 86,674 Non-recurring fees and expenses 2,050 — Net realized gain (loss) 11,304,277 (14,890,359 ) Change in net unrealized appreciation (depreciation) 6,887,044 5,949,460 Net Income (loss) $ 17,753,791 $ (9,634,999 ) The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022. 171 Table of Contents ProShares VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 NAV beginning of period $ 269,703,164 $ 293,390,549 NAV end of period $ 437,536,628 $ 368,777,333 Percentage change in NAV 62.2 % 25.7 % Shares outstanding beginning of period 17,832,826 5,331,579 Shares outstanding end of period 25,582,826 16,257,826 Percentage change in shares outstanding 43.5 % 204.9 % Shares created 35,900,000 16,556,250 Shares redeemed 28,150,000 5,630,003 Per share NAV beginning of period $ 15.12 $ 55.03 Per share NAV end of period $ 17.10 $ 22.68 Percentage change in per share NAV 13.1 % (58.8 )% Percentage change in benchmark 14.7 % (58.4 )% Benchmark annualized volatility 86.1 % 73.8 % During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022. The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021: Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 Net investment income (loss) $ (1,545,500 ) $ (3,019,972 ) Management fee 2,353,478 2,154,874 Brokerage commission 490,751 365,013 Futures account fees 371,384 591,272 Non-recurring fees and expenses 8,700 — Net realized gain (loss) 31,935,690 (304,349,667 ) Change in net unrealized appreciation (depreciation) 84,851,343 27,729,790 Net Income (loss) $ 115,241,533 $ (279,639,849 ) The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022. 172 Table of Contents