What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-05-09 compared with 2023-11-06 · 360 added, 960 removed, 2687 unchanged (33% of the section changed)

21 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

December 31, 2022

March 31, 2024

Short-term U.S.

13 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

Market value per share (Note 8) (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Principal Amount

MARCH 31, 2024

Short-term U.S.

1 unchanged sentence

( 47 % of shareholders’ equity)

Treasury Bills ^^

5.365 % due 04/18/24

6 unchanged sentences

Futures Contracts Sold

Notional Amount

(Depreciation)/Value

VIX Futures - Cboe, expires October 2023

VIX Futures - Cboe, expires November 2023

VIX Futures - Cboe, expires April 2024

VIX Futures - Cboe, expires May 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 650,000 , 450,000 , 3,650,000 and 5,050,000 shares, respectively

Redemption of 950,000 , 2,200,000 , 6,400,000 and 5,300,000 shares, respectively

( 115,486,048

( 436,043,240

Addition of 2,400,000 and 4,900,000 shares, respectively (Note 8)

Redemption of 2,000,000 and 7,200,000 shares, respectively (Note 8)

( 107,892,397

Net addition (redemption) of ( 300,000 ), ( 1,750,000 ), ( 2,750,000 ) and ( 250,000 ) shares, respectively

( 225,726,746

Net addition (redemption) of 400,000 and ( 2,300,000 ) shares, respectively (Note 8)

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

4 unchanged sentences

( 172,768,544

( 1,119,341,677

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

government and agency obligations

1,130,832,801

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

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

5 unchanged sentences

Net cash provided by (used in) financing activities

( 200,322,598

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

December 31, 2022

March 31, 2024

Short-term U.S.

3 unchanged sentences

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

1 unchanged sentence

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

12 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

Short-term U.S.

1 unchanged sentence

( 51 % of shareholders’ equity)

Treasury Bills ^^

5.365 % due 04/18/24

9 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires December 2023

WTI Crude Oil - NYMEX, expires June 2024

WTI Crude Oil - NYMEX, expires December 2024

Total Return Swap Agreements ^

WTI Crude Oil - NYMEX, expires June 2025

Total Return Swap Agreements ^

Notional Amount

7 unchanged sentences

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

Total Unrealized Appreciation

Total Unrealized

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2023.

The positions and counterparties herein are as of March 31, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

Swap agreements

( 286,550,709

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 344,578,932

Change in net unrealized appreciation (depreciation) on

Futures contracts

( 151,303,453

Swap agreements

5 unchanged sentences

Net realized and unrealized gain (loss)

( 377,827,106

Net income (loss)

( 377,673,114

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,060,867,238

1,103,783,570

Addition of 4,050,000 and 19,100,000 shares, respectively

2 unchanged sentences

( 458,385,324

( 1,268,842,554

( 1,591,226,164

Net addition (redemption) of ( 6,850,000 ) and 2,200,000 shares, respectively

( 207,303,118

( 456,128,770

( 852,709,607

Net investment income (loss)

Net realized gain (loss)

( 344,578,932

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

Net income (loss)

( 377,673,114

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

8 unchanged sentences

7,644,000,000

14,207,412,141

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

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

6 unchanged sentences

( 202,048,096

( 836,300,400

Net increase (decrease) in cash

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

Short-term U.S.

1 unchanged sentence

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

5 unchanged sentences

Payable to Sponsor

Unrealized depreciation on swap agreements

Total liabilities

3 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

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

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Principal Amount

Short-term U.S.

government and agency obligations

( 35 % of shareholders’ equity)

Treasury Bills ^^

5.407 % due 10/10/23

5.478 % due 10/17/23

5.499 % due 10/24/23 †

5.490 % due 11/14/23

5.497 % due 11/21/23 †

Total short-term U.S.

government and agency obligations

(cost $ 303,815,641 )

MARCH 31, 2024

Futures Contracts Purchased

Notional Amount

(Depreciation)/

Natural Gas - NYMEX, expires November 2023

1,469,830,780

( 114,592,473

Total Return Swap Agreements ^

Notional Amount

(Depreciation)/Value

Swap agreement with Citibank, N.A.

based on Bloomberg Natural Gas Subindex

Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex

Swap agreement with Societe General based on Bloomberg Natural Gas Subindex

Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex

Total Unrealized Depreciation

All or partial amount pledged as collateral for futures contracts.

The positions and counterparties herein are as of September 30, 2023.

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

New counterparties can be added at any time.

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

For swap agreements, a positive amount represents “long” exposure to the benchmark index.

A negative amount represents “short” exposure to the benchmark index.

Natural Gas - NYMEX, expires May 2024

1,161,658,330

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

( 242,180,914

( 1,100,791,083

Swap agreements

3 unchanged sentences

( 242,180,914

( 1,061,634,864

Change in net unrealized appreciation (depreciation) on

16 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,141,021,278

Addition of 40,100,000 and 18,972,500 shares, respectively (Note 1)

2,345,948,834

1,063,004,747

Redemption of 21,450,000 and 5,132,500 shares, respectively (Note 1)

1 unchanged sentence

( 682,961,261

( 2,385,308,309

( 1,112,648,271

Net addition (redemption) of 18,650,000 and 13,840,000 shares, respectively (Note 1)

1,662,987,573

1,514,610,150

Net investment income (loss)

1 unchanged sentence

( 242,180,914

( 1,061,634,864

Change in net unrealized appreciation (depreciation)

4 unchanged sentences

Shareholders’ equity, end of period

1,139,983,773

See accompanying notes to financial statements.

1 unchanged sentence

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

( 374,363,233

( 1,109,154,913

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

2 unchanged sentences

( 7,560,364,945

( 750,045,262

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

10 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 298,210,213

( 1,191,161,155

Cash flow from financing activities

1 unchanged sentence

2,336,728,392

1,083,453,488

Payment on shares redeemed

4 unchanged sentences

Net increase (decrease) in cash

( 130,104,172

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Segregated cash balances with brokers for foreign currency forward contracts

15 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Foreign Currency Forward Contracts ^

MARCH 31, 2024

Foreign Currency Forward Contracts ^

Settlement Date

10 unchanged sentences

Total Unrealized

The positions and counterparties herein are as of September 30, 2023.

The positions and counterparties herein are as of March 31, 2024.

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

4 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

3 unchanged sentences

Foreign currency forward contracts

Short-term U.S.

government and agency obligations

Net realized gain (loss)

1 unchanged sentence

Foreign currency forward contracts

Short-term U.S.

government and agency obligations

Change in net unrealized appreciation (depreciation)

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

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

Purchases of short-term U.S.

government and agency obligations

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

government and agency obligations

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

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

1 unchanged sentence

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Short-term U.S.

3 unchanged sentences

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

3 unchanged sentences

Payable to Sponsor

Unrealized depreciation on swap agreements

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Principal Amount

MARCH 31, 2024

Short-term U.S.

1 unchanged sentence

( 64 % of shareholders’ equity)

Treasury Bills ^^

5.365 % due 04/18/24

8 unchanged sentences

Notional Amount

(Depreciation)/Value

Gold Futures - COMEX, expires December 2023

Total Return Swap Agreements ^

Notional Amount

(Depreciation)

Gold Futures - COMEX, expires June 2024

Total Return Swap Agreements ^

Notional Amount

(Depreciation)/Value

Swap agreement with Citibank, N.A.

2 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2023.

The positions and counterparties herein are as of March 31, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

19 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 450,000 and 350,000 shares, respectively

( 119,280,561

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

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

14 unchanged sentences

Increase (Decrease) in payable to Sponsor

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

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

2 unchanged sentences

Payment on shares redeemed

( 119,280,561

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Short-term U.S.

3 unchanged sentences

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

Interest receivable

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

12 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

Short-term U.S.

1 unchanged sentence

( 51 % of shareholders’ equity)

Treasury Bills ^^

5.365 % due 04/18/24

7 unchanged sentences

Futures Contracts Purchased

Notional Amount

(Depreciation)/Value

Silver Futures - COMEX, expires December 2023

Total Return Swap Agreements ^

Silver Futures - COMEX, expires May 2024

Total Return Swap Agreements ^

Notional Amount

(Depreciation)/

(Depreciation)/Value

Swap agreement with Citibank, N.A.

6 unchanged sentences

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2023.

The positions and counterparties herein are as of March 31, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

Swap agreements

( 133,807,652

( 156,750,416

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 147,391,314

( 186,949,626

Change in net unrealized appreciation (depreciation) on

5 unchanged sentences

Net realized and unrealized gain (loss)

( 203,644,198

Net income (loss)

( 205,483,499

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 2,450,000 and 1,150,000 shares, respectively

( 117,305,797

( 104,128,466

Net addition (redemption) of ( 150,000 ) and 750,000 shares, respectively

1 unchanged sentence

Net realized gain (loss)

( 147,391,314

( 186,949,626

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 205,483,499

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 205,483,499

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

6 unchanged sentences

1,858,000,000

2,909,963,011

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

5 unchanged sentences

Increase (Decrease) in payable to Sponsor

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

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

2 unchanged sentences

Payment on shares redeemed

( 118,921,179

( 107,612,236

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

6 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

12 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

2 unchanged sentences

% of shareholders’ equity)

Treasury Bills ^^

5.478 % due 10/17/23

Treasury Bills ^^

% due 06/06/24

6 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires October 2023

VIX Futures - Cboe, expires November 2023

VIX Futures - Cboe, expires April 2024

VIX Futures - Cboe, expires May 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

( 182,233,430

( 289,871,717

( 751,122,089

Swap agreements

Short-term U.S.

2 unchanged sentences

( 182,241,208

( 289,873,754

( 751,125,820

Change in net unrealized appreciation (depreciation) on

Futures contracts

Swap agreements

Short-term U.S.

3 unchanged sentences

( 180,203,681

( 685,552,251

Net income (loss)

( 178,061,858

( 678,999,178

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 13,400,000 , 9,340,000 , 34,710,000 and 23,490,000 shares, respectively (Note 1)

1,064,364,417

1,109,114,165

3,035,837,360

Redemption of 16,903,383 , 8,330,000 , 26,543,383 and 22,340,000 shares, respectively (Note 1)

( 290,433,868

( 916,027,068

( 786,382,658

( 3,255,048,847

Net addition (redemption) of ( 3,503,383 ), 1,010,000 , 8,166,617 and 1,150,000 shares, respectively (Note 1)

Addition of 2,820,000 and 1,674,000 shares, respectively (Note 1) (Note 8)

Redemption of 2,240,000 and 1,218,000 shares, respectively (Note 1) (Note 8)

( 361,736,717

Net addition (redemption) of 580,000 and 456,000 shares, respectively (Note 1) (Note 8)

Net investment income (loss)

1 unchanged sentence

( 182,241,208

( 289,873,754

( 751,125,820

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

( 178,061,858

( 678,999,178

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

8 unchanged sentences

government and agency obligations

1,392,250,029

4,489,474,762

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

3 unchanged sentences

Decrease (Increase) in receivable on open futures contracts

( 228,922,727

Decrease (Increase) in interest receivable

2 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 121,769,190

( 103,864,069

Cash flow from financing activities

Proceeds from addition of shares

1,099,388,535

3,035,837,360

Payment on shares redeemed

( 361,736,717

( 3,218,451,554

Net cash provided by (used in) financing activities

( 182,614,194

Net increase (decrease) in cash

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

3 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable to Sponsor

11 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Foreign Currency Forward Contracts ^

MARCH 31, 2024

Foreign Currency Forward Contracts ^

Settlement Date

11 unchanged sentences

Yen with UBS AG

Total Unrealized Appreciation

The positions and counterparties herein are as of September 30, 2023.

Total Unrealized

The positions and counterparties herein are as of March 31, 2024.

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

4 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

3 unchanged sentences

Foreign currency forward contracts

Short-term U.S.

government and agency obligations

Net realized gain (loss)

1 unchanged sentence

Foreign currency forward contracts

Short-term U.S.

government and agency obligations

Change in net unrealized appreciation (depreciation)

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

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

Purchases of short-term U.S.

government and agency obligations

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

government and agency obligations

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

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

1 unchanged sentence

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

21 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

2 unchanged sentences

( 63 % of shareholders’ equity)

Treasury Bills ^^

5.365 % due 04/18/24

4 unchanged sentences

Total short-term U.S.

government and agency obligations

(cost $ 184,272,303 )

government and agency obligations (cost $ 123,822,272 )

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires December 2023

WTI Crude Oil - NYMEX, expires June 2024

WTI Crude Oil - NYMEX, expires December 2024

WTI Crude Oil - NYMEX, expires June 2025

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

3 unchanged sentences

Futures contracts

( 142,631,216

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 142,631,216

Change in net unrealized appreciation (depreciation) on

9 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 8,450,000 and 5,300,000 shares, respectively

1,051,908,930

Redemption of 5,150,000 and 8,850,000 shares, respectively

( 245,864,218

( 526,022,791

( 767,285,237

Net addition (redemption) of 3,300,000 and ( 3,550,000 ) shares, respectively

2 unchanged sentences

Net realized gain (loss)

( 142,631,216

Change in net unrealized appreciation (depreciation)

4 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

7 unchanged sentences

government and agency obligations

4,974,000,000

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

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

2 unchanged sentences

Proceeds from addition of shares

1,051,908,930

Payment on shares redeemed

2 unchanged sentences

Net cash provided by (used in) financing activities

( 138,080,157

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

15 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

Market value per share (Note 8) (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

2 unchanged sentences

( 58 % of shareholders’ equity)

Treasury Bills ^^

5.273 % due 05/14/24

5.269 % due 06/06/24

5.390 % due 06/18/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires November 2023

Natural Gas - NYMEX, expires May 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

3 unchanged sentences

Futures contracts

( 389,138,752

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 389,255,425

Change in net unrealized appreciation (depreciation) on

4 unchanged sentences

Net realized and unrealized gain (loss)

( 272,430,753

Net income (loss)

( 273,883,695

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 5,500,000 , 58,900,000 , 19,350,000 and 82,240,000 shares, respectively

1,128,672,428

1,734,541,781

Redemption of 6,250,000 , 49,900,000 , 22,500,000 and 69,251,886 shares, respectively

( 359,209,589

Addition of 6,600,000 and 14,500,000 shares, respectively (Note 8)

Redemption of 8,300,000 and 20,300,000 shares, respectively (Note 8)

( 445,959,360

( 502,234,205

Net addition (redemption) of ( 1,700,000 ) and ( 5,800,000 ) shares, respectively (Note 8)

( 115,904,186

Net addition (redemption) of ( 750,000 ), 9,000,000 , ( 3,150,000 ) and 12,988,114 shares, respectively

( 126,224,568

1 unchanged sentence

Net realized gain (loss)

( 389,255,425

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 273,883,695

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 273,883,695

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

1 unchanged sentence

government and agency obligations

( 228,632,508

( 641,286,804

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

9 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 260,889,802

Cash flow from financing activities

Proceeds from addition of shares

1,116,379,999

1,734,541,781

Payment on shares redeemed

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Short-term U.S.

government and agency obligations (Note 3) (cost $ — and $ 39,991,822 , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

15 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Foreign Currency Forward Contracts ^

MARCH 31, 2024

Foreign Currency Forward Contracts ^

Settlement Date

10 unchanged sentences

Euro with UBS AG

Total Unrealized Appreciation

The positions and counterparties herein are as of September 30, 2023.

Total Unrealized

The positions and counterparties herein are as of March 31, 2024.

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

4 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

December 31, 2022

March 31, 2024

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

16 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Gold Futures - COMEX, expires December 2023

Total Return Swap Agreements ^

Gold Futures - COMEX, expires June 2024

Total Return Swap Agreements ^

Notional Amount

4 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized Appreciation

The positions and counterparties herein are as of September 30, 2023.

Total Unrealized

The positions and counterparties herein are as of March 31, 2024.

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

New counterparties can be added at any time.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

Swap agreements

Short-term U.S.

government and agency obligations

Net realized gain (loss)

2 unchanged sentences

Swap agreements

Short-term U.S.

government and agency obligations

Change in net unrealized appreciation (depreciation)

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 200,000 and 300,000 shares, respectively

Redemption of 200,000 , 650,000 , 750,000 and 1,550,000 shares, respectively

Redemption of –

and 200,000 shares, respectively

Net addition (redemption) of 200,000 and 100,000 shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

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

Purchases of short-term U.S.

government and agency obligations

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

government and agency obligations

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

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

2 unchanged sentences

Increase (Decrease) in payable to Sponsor

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

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

2 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

Payable to Sponsor

11 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Silver Futures - COMEX, expires December 2023

Total Return Swap Agreements ^

Silver Futures - COMEX, expires May 2024

Total Return Swap Agreements ^

Notional Amount

6 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Silver Subindex

Total Unrealized Appreciation

The positions and counterparties herein are as of September 30, 2023.

Total Unrealized

The positions and counterparties herein are as of March 31, 2024.

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

New counterparties can be added at any time.

Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

Swap agreements

Short-term U.S.

government and agency obligations

Net realized gain (loss)

2 unchanged sentences

Swap agreements

Short-term U.S.

government and agency obligations

Change in net unrealized appreciation (depreciation)

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 3,550,000 and 1,200,000 shares, respectively

( 137,958,635

Net addition (redemption) of ( 2,150,000 ) and ( 550,000 ) shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

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

Purchases of short-term U.S.

government and agency obligations

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

government and agency obligations

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

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

2 unchanged sentences

Increase (Decrease) in payable to Sponsor

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

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

2 unchanged sentences

Payment on shares redeemed

( 137,958,635

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Short-term U.S.

government and agency obligations (Note 3) (cost $ - and $ 22,995,298 , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

2 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable to Sponsor

11 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

Foreign Currency Forward Contracts ^

MARCH 31, 2024

Foreign Currency Forward Contracts ^

Settlement Date

11 unchanged sentences

( 5,644,914,574

Total Unrealized Appreciation

The positions and counterparties herein are as of September 30, 2023.

Total Unrealized

The positions and counterparties herein are as of March 31, 2024.

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

4 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

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

Purchases of short-term U.S.

government and agency obligations

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

6 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

Short-term U.S.

government and agency obligations (Note 3) (cost $ – and $ 49,876,697 , respectively)

Segregated cash balances with brokers for futures contracts

15 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Futures Contracts Purchased

Notional Amount

(Depreciation)/Value

VIX Futures - Cboe, expires January 2024

VIX Futures - Cboe, expires February 2024

VIX Futures - Cboe, expires March 2024

VIX Futures - Cboe, expires April 2024

VIX Futures - Cboe, expires July 2024

VIX Futures - Cboe, expires August 2024

VIX Futures - Cboe, expires September 2024

VIX Futures - Cboe, expires October 2024

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

15 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

2 unchanged sentences

Segregated cash balances with brokers for futures contracts

Receivable from capital shares sold

Receivable on open futures contracts

1 unchanged sentence

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

6 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

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

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

MARCH 31, 2024

Principal Amount

2 unchanged sentences

( 42 % of shareholders’ equity)

Treasury Bills ^^

5.407 % due 10/10/23

Treasury Bills ^^

5.269 % due 06/06/24

2 unchanged sentences

Total short-term U.S.

government and agency obligations (cost $ 104,624,795 )

government and agency obligations

(cost $ 69,205,152 )

Futures Contracts Purchased

Notional Amount at

(Depreciation)/Value

VIX Futures - Cboe, expires October 2023

VIX Futures - Cboe, expires November 2023

VIX Futures - Cboe, expires April 2024

VIX Futures - Cboe, expires May 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

3 unchanged sentences

Futures contracts

( 228,276,043

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 228,286,648

Change in net unrealized appreciation (depreciation) on

4 unchanged sentences

Net realized and unrealized gain (loss)

( 206,618,684

Net income (loss)

( 201,676,176

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 2,475,000 , 3,555,000 , 9,235,000

and 7,180,000

shares, respectively (Note 1)

Redemption of 2,625,618 , 2,190,000 , 4,835,618

and 5,630,000

shares, respectively (Note 1)

( 171,766,742

( 177,723,746

Addition of 3,800,000 and 2,300,000 shares, respectively (Note 1)

Redemption of 1,350,000 and 1,955,000 shares, respectively (Note 1)

( 104,771,717

2 unchanged sentences

Net realized gain (loss)

( 228,286,648

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 201,676,176

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 201,676,176

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

5 unchanged sentences

government and agency obligations

2,455,998,870

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

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 182,031,152

Cash flow from financing activities

2 unchanged sentences

( 105,342,190

( 498,163,549

Net cash provided by (used in) financing activities

5 unchanged sentences

COMBINED STATEMENTS OF FINANCIAL CONDITION

September 30, 2023

March 31, 2024

December 31, 2023

34 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

6 unchanged sentences

Swap agreements

( 438,845,993

Foreign currency forward contracts

9 unchanged sentences

( 150,345,998

( 213,954,485

Foreign currency forward contracts

9 unchanged sentences

( 1,157,966,816

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

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

3,887,786,746

4,173,474,343

Addition of 57,975,000 , 100,995,000 , 190,410,000 and 194,805,000 shares, respectively (Note 1)

1,835,741,719

3,360,951,964

8,495,699,775

8,989,738,725

Redemption of 63,757,333 , 97,035,000 , 174,164,833 and 191,370,926 shares, respectively (Note 1)

( 2,277,144,677

( 3,379,709,104

Addition of 76,945,000 and 70,821,500 shares, respectively (Note 1) (Note 8)

1,797,533,442

4,125,870,321

Net addition (redemption) of ( 5,782,333 ), 3,960,000 , 16,245,167 and 3,434,074 shares, respectively (Note 1)

Redemption of 58,490,000 and 66,280,500 shares, respectively (Note 1) (Note 8)

( 1,760,097,741

( 2,717,059,358

Net addition (redemption) of 18,455,000 and 4,541,000 shares, respectively (Note 1) (Note 8)

1,408,810,963

11 unchanged sentences

4,138,630,893

3,300,459,377

4,204,381,585

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

See accompanying notes to financial statements.

1 unchanged sentence

COMBINED STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

( 231,588,146

( 1,157,966,816

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

12 unchanged sentences

Decrease (Increase) in receivable on futures contracts

( 333,246,149

Decrease (Increase) in interest receivable

2 unchanged sentences

Increase (Decrease) in payable on futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

10 unchanged sentences

1,385,649,111

( 431,922,575

Net increase (decrease) in cash

( 695,240,253

Cash, beginning of period

4 unchanged sentences

2,634,485,902

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

See accompanying notes to financial statements.

1 unchanged sentence

NOTES TO FINANCIAL STATEMENTS

September 30, 2023

March 31, 2024

NOTE 1 - ORGANIZATION

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

As of September 30, 2023, the following sixteen series of the Trust have commenced investment operations:

As of March 31, 2024, the following sixteen

series of the Trust have commenced investment operations:

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

8 unchanged sentences

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

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

CROC) and ProShares Short Euro ETF (ticker symbol:

EUFX), together, the “liquidated funds”.

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

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

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

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

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

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

11 unchanged sentences

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.

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.

2 unchanged sentences

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months September 30, 2023, and during the year ended December 31, 2022.

The table below includes forward and reverse Share splits for the Funds during the three months March 31, 2024, and during the year ended December 31, 2023.

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

3 unchanged sentences

Resumed at Post-

ProShares UltraShort Bloomberg Natural Gas

January 13, 2022

reverse Share split

January 14, 2022

ProShares UltraShort Yen

forward Share split

ProShares Ultra Bloomberg Crude Oil

forward Share split

ProShares UltraShort Bloomberg Natural Gas

reverse Share split

ProShares UltraShort Bloomberg Crude Oil

reverse Share split

ProShares Ultra Bloomberg Natural Gas

ProShares VIX Short-Term Futures

June 22, 2023

reverse Share split

1-for-5 reverse Share split

June 23, 2023

1 unchanged sentence

June 22, 2023

reverse Share split

1-for-10 reverse Share split

June 23, 2023

ProShares VIX Short-Term Futures

ProShares Ultra Bloomberg Natural Gas

June 22, 2023

reverse Share split

1-for-20 reverse Share split

June 23, 2023

1 unchanged sentence

Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund.

Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

20 unchanged sentences

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2023 and 2022, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months

ended September 30, 2023

were typically as follows.

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2024 were typically as follows.

All times are Eastern Standard Time:

3 unchanged sentences

Ultra Silver and UltraShort Silver

September 29, 2023

March 28, 2024

Ultra Gold and UltraShort Gold

September 29, 2023

March 28, 2024

Ultra Bloomberg Crude Oil,

2 unchanged sentences

UltraShort Bloomberg Natural Gas

September 29, 2023

March 28, 2024

UltraShort Euro and

UltraShort Yen

September 29, 2023

March 28, 2024

Short VIX Short-Term Futures ETF,

2 unchanged sentences

VIX Short-Term Futures ETF

September 29, 2023

Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2023.

March 28, 2024

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

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

Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2023.

Investment Valuation

2 unchanged sentences

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

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value.

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.

26 unchanged sentences

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

The following table summarizes the valuation of investments at September 30, 2023 using the fair value hierarchy:

The following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:

Level I - Quoted Prices

2 unchanged sentences

Short-Term U.S.

Government and

ProShares Short VIX Short-Term Futures ETF

1 unchanged sentence

ProShares Ultra Bloomberg Natural Gas

( 114,592,473

ProShares Ultra Euro

16 unchanged sentences

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

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

The following table summarizes the valuation of investments at December 31, 2023 using the fair value hierarchy:

7 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

( 310,613,969

ProShares Ultra Euro

12 unchanged sentences

Combined Trust:

1,466,680,542

( 196,609,804

1,383,546,929

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

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

There were no transfers into or out of Level 3 for the quarter ended September 30, 2023 or the year ended December 31, 2022.

There were no transfers into or out of Level 3 for the quarter ended March 31, 2024 or the year ended December 31, 2023.

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

3 unchanged sentences

Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations

Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

Interest income is generally recognized on an accrual basis and includes the amortization of discount on short-term U.S.

government and agency obligations and is reflected in the Statement of Operations.

Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts.

Brokerage Commissions and Futures Account Fees

12 unchanged sentences

rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., last three years and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

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

6 unchanged sentences

A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Repurchase Agreements

The Funds may enter into repurchase agreements.

Repurchase agreements are primarily used by the Funds as short-term investments for cash positions.

Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later.

The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser’s holding period.

While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year.

The Funds follow certain procedures designed to minimize the risks inherent in such agreements.

These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor.

In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement.

The collateral underlying the repurchase agreement is held by the Fund’s custodian.

A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them.

In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy, or the Fund may have difficulty exercising rights to the collateral.

During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.

At March 31, 2024, the Trust did not have any open repurchase agreements.

Accounting for Derivative Instruments

86 unchanged sentences

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

All of the outstanding swap agreements at September 30, 2023

All of the outstanding swap agreements at March 31, 2024

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

12 unchanged sentences

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

As of September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S.

As of March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

28 unchanged sentences

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

As of September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S.

As of March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

6 unchanged sentences

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

The following tables indicate the location of derivative related items on the Statements of Financial Condition as

well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of September 30, 2023

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

Fair Value of Derivative Instruments as of March 31, 2024

Asset Derivatives

72 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2023

For the three months ended March 31, 2024

Derivatives Not Accounted

5 unchanged sentences

Recognized in

(Depreciation) on

(Depreciation)

Recognized in

3 unchanged sentences

ProShares Ultra VIX Short-Term Futures ETF

( 142,584,115

ProShares VIX Mid-Term

5 unchanged sentences

( 242,180,914

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

Foreign Exchange Contracts

Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust

( 136,379,348

The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2023

Derivatives Not Accounted

for as Hedging Instruments

Location of Gain

(Loss) on Derivatives

Recognized in Income

Realized Gain

Recognized in

(Depreciation) on

Recognized in

VIX Futures Contracts

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

agreements/ changes in unrealized appreciation (depreciation) on

futures contracts and/or swap agreements

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

( 751,122,089

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

( 228,276,043

Commodities Contracts

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

ProShares Ultra Bloomberg Crude Oil

ProShares Ultra Bloomberg Natural Gas

( 1,441,434,725

ProShares Ultra Gold

15 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2022

For the three months ended March 31, 2023

Derivatives Not Accounted

19 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

( 1,061,631,294

ProShares Ultra Gold

ProShares Ultra Silver

( 147,384,761

ProShares UltraShort Bloomberg Crude Oil

10 unchanged sentences

( 998,089,690

The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2022

Derivatives Not Accounted

for as Hedging Instruments

Location of Gain

(Loss) on Derivatives

Recognized in Income

Realized Gain

Recognized in

(Depreciation)

Recognized in

VIX Futures Contracts

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

agreements/ changes in unrealized appreciation (depreciation) on

futures contracts and/or swap agreements

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

Commodities Contracts

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

ProShares Ultra Bloomberg Crude Oil

( 181,490,158

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

( 186,941,909

ProShares UltraShort Bloomberg Crude Oil

( 142,631,216

ProShares UltraShort Bloomberg Natural Gas

( 389,138,752

ProShares UltraShort Gold

ProShares UltraShort Silver

Foreign Exchange Contracts

Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust:

Offsetting Assets and Liabilities

5 unchanged sentences

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

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2023.

Fair Values of Derivative Instruments as of September 30, 2023

Fair Values of Derivative Instruments as of March 31, 2024

Gross Amounts

of Recognized

Assets presented

Statements of

9 unchanged sentences

Statements of

Gross Amounts

Offset in the

Statements of

Net Amounts of

the Statements

presented in the

Statements of

ProShares Ultra Bloomberg Crude Oil

Swap agreements

ProShares Ultra Bloomberg Natural Gas

Swap agreements

ProShares Ultra Euro

14 unchanged sentences

Foreign currency forward contracts

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2023.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2024.

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

2 unchanged sentences

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

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2024

Amounts of Recognized Assets /

4 unchanged sentences

the Counterparties

Cash Collateral for

the Benefit of (the Funds)

Cash Collateral for the

Benefit of (the Funds) /

the Counterparties

5 unchanged sentences

Societe Generale

ProShares Ultra Bloomberg Natural Gas

Citibank, N.A.

Goldman Sachs International

Societe Generale

ProShares Ultra Euro

26 unchanged sentences

of Recognized

Assets presented

Statements of

41 unchanged sentences

Assets / (Liabilities)

presented in the Statements

of Financial Condition

Financial Instruments for

the Benefit of (the Funds)

/ the Counterparties

presented in the

Statements of Financial

Financial Instruments

for the Benefit of (the

Counterparties

Cash Collateral for the

35 unchanged sentences

Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85 % per annum of its average daily NAV of such Fund.

The Sponsor stopped charging the Management Fee to the ProShares UltraShort Australian Dollar ETF and ProShares Short Euro ETF on May 2, 2022, the date it was determined that liquidation was imminent.

Each Fund accrues the Management Fee daily at an annualized rate based on its average daily net assets.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly.

5 unchanged sentences

Fees and Expenses

Each Fund pays all its non-recurring

Each Fund pays all of its non-recurring

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

26 unchanged sentences

Creation Units may be created or redeemed only by Authorized Participants.

As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

As a result of the reverse share splits as described in Note 1 and Note 8, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities.

10 unchanged sentences

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee.

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

Transaction fees for the three and nine months ended September 30, 2023 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds

to other investors in the secondary market.

Transaction fees three months ended March 31, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Three Months Ended

Nine Months Ended

September 30, 2023

March 31, 2024

ProShares Short VIX Short-Term Futures ETF

16 unchanged sentences

NOTE 6 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2023

For the Three Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance

Natural Gas *

Net asset value, at June 30, 2023

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

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

Percentages are not annualized for the period ended September 30, 2023.

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

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

For the Three Months Ended September 30, 2023 (unaudited)

S elected Data for a Share Outstanding Throughout the Three Months Ended March

For the Three Months Ended March 31, 2024 (unaudited)

Per Share Operating Performance

Futures ETF *

Net asset value, at June 30, 2023

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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

Percentages are not annualized for the period ended September 30, 2023.

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

For the Three Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance

Net asset value, at June 30, 2023

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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

Percentages are not annualized for the period ended September 30, 2023.

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

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

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

Per Share Operating Performance

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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

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

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

Amount represents less than $ 0.005 .

Amount represents greater than $( 0.005 ).

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

Per Share Operating Performance

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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

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

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

Amount represents greater than $( 0.005 ).

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

Per Share Operating Performance

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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

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

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

Amount represents greater than $( 0.005 ).

S elected Data for a Share Outstanding Throughout the nine Months Ended September

For the Nine Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance

Net asset value, at December 31, 2023

2 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2023

Net asset value, at March 31, 2024

Market value per share, at December 31, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2024 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

3 unchanged sentences

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

Percentages are not annualized for the period ended September 30, 2023.

Percentages are not annualized for the period ended March 31, 2024.

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

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

For the Nine Months Ended September 30, 2023 (unaudited)

For the Three Months Ended March 31, 2024 (unaudited)

Per Share Operating Performance

Futures ETF *

Natural Gas *

Net asset value, at December 31, 2023

2 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2023

Net asset value, at March 31, 2024

Market value per share, at December 31, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2024 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

3 unchanged sentences

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

Percentages are not annualized for the period ended September 30, 2023.

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

For the Nine Months Ended September 30, 2023 (unaudited)

Percentages are not annualized for the period ended March 31, 2024.

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

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

For the Three Months Ended March 31, 2024 (unaudited)

Per Share Operating Performance

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2023

Net asset value, at March 31, 2024

Market value per share, at December 31, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2024 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

Percentages are not annualized for the period ended September 30, 2023.

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

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

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

Percentages are not annualized for the period ended March 31, 2024.

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

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

Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2023

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating Performance

4 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets***

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

See Note 8 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

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

Percentages are not annualized for the period ended March 31, 2023.

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

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

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

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating Performance

Futures ETF *

Natural Gas **

Net asset value, at December 31, 2022

2 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets***

Expense ratio^^

Net investment income gain (loss)

See Note 1 and Note 8 of these Notes to Financial Statements.

See Note 8 of these Notes to Financial Statements.

2 unchanged sentences

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

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

Percentages are not annualized for the period ended March 31, 2023.

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

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

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

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating Performance

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

3 unchanged sentences

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

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

Percentages are not annualized for the period ended March 31, 2023.

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

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NOTE 7 – RISK

Correlation and Compounding Risk

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

The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half

the inverse (-0.5x),

two times the inverse (-2x),

one and one-half

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

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

Correlation and Holding Period Risk

Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”).

The Geared Funds do not seek to achieve their Daily Target for any period of time other than a single day (as measured from NAV calculation time to NAV calculation time).

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

This difference may be significant.

Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time.

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The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund.

Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns.

Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark.

The Matching VIX Funds seek to achieve their stated investment objective over time.

The return of a Geared Fund for periods longer than a day is the product of a series of daily leveraged returns for each trading day during that period.

If you hold Geared Fund shares for any period other than a day, it is important for you to understand the risks and long-term performance of a daily objective fund.

You should know that over your holding period:

Your return may be higher or lower than the Daily Target, and this difference may be significant.

Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply.

Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply.

The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target.

For periods longer than a day, you will lose money if the Benchmark’s performance is flat.

It is possible that you will lose money invested in a Short or UltraShort Fund even if the value of the Benchmark falls during that period or money invested in an Ultra Fund even if the value of the Benchmark rises during that period.

Returns may move in the opposite direction of the Benchmark during periods of higher Benchmark volatility, low Benchmark returns, or both.

In addition, during periods of higher Benchmark volatility, the Benchmark volatility may affect your return as much or more than the return of the Benchmark.

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

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

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

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

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

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

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

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

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An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results.

Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

Investors should understand the consequences of holding daily rebalanced funds for periods longer than a given day, including the impact of compounding on fund performance.

Shareholders who invest in the Geared Funds should consider actively monitoring and/or periodically rebalancing their investments (which will possibly trigger transaction costs and tax consequences) in light of their investment goals and risk tolerances.

The Matching VIX Funds seek to achieve their stated investment objective over time.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so.

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

spreads on such Financial Instruments;

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

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

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

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

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

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

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

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The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures.

Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Fund and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time.

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In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

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

The outbreak of COVID-19

(including any variants), or any future epidemic or pandemic similar to COVID-19,

SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds.

The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19,

the extent of any such outbreak’s disruption to important global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.

Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies.

Natural Disasters and Public Health Disruptions, such as the COVID-19

Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund.

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19

including its variants), have been and may continue to be highly disruptive to economies and markets.

These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses.

Such natural disaster and health crises could

exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments.

To attempt to curb the spread of COVID-19,

federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives.

However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts.

In response to COVID’s shock to the labor market and economy overall.

The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages.

A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections.

Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments.

These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures.

For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective.

Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses.

Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all).

In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective.

These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies.

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time.

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Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

On February 24, 2022, Russia commenced a military attack on Ukraine.

The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets.

As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets.

The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events.

How long such conflict and related events will last and whether it will escalate further cannot be predicted.

Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

The price of futures contracts can change quickly and without warning.

If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts.

Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts.

If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure.

The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

NOTE 8 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued.

Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

On March 20, 2024, the Trust announced a

forward split of the shares of beneficial interest of ProShares Short VIX Short-Term Futures (ticker symbol:

SVXY) and ProShares UltraShort Bloomberg Natural Gas (ticker symbol:

reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures (ticker symbol:

The splits were effective prior to market open on April 11, 2024, when the funds began trading at its post-split price.

The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund.

Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits.

For SVXY and KOLD shareholders who hold a quantity of shares that is not an exact multiple of the Forward Split ratio (i.e., not a multiple of 2), the Forward Split will result in the creation of a fractional share.

Post-Forward Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record.

This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.

For UVXY shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 5), the Reverse Split will result in the creation of a fractional share.

Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record.

This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.

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

What changed 10-Q

Item 1. Financial Statements