ProShares Trust II 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties \in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2023 and in this Quarterly Report on Form 10-Q for the period ended June 30, 2024, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Introduction Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (Collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. 126 Table of Contents Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Share Splits On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Splits were effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Splits increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. On March 20, 2024, the Trust issued a press release announcing a forward share split on ProShares Short VIX Short-Term Futures, ProShares UltraShort Bloomberg Natural Gas and a reverse share split on ProShares Ultra VIX Short-Term Futures. The Splits did not change the value of a shareholder’s investment. ProShares Short VIX Short-Term Futures executed a 2:1 Forward Split of its shares. ProShares UltraShort Bloomberg Natural Gas also executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on April 11, 2024, when the Funds begin trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares Ultra VIX Short-Term Futures executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on April 11, 2024, when the Fund began trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y755 for UVXY). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding. 127 Table of Contents Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2024 and 2023, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended June 30, 2024 Interest Income Three Months Ended June 30, 2023 Interest Income Six Months Ended June 30, 2024 Interest Income Six Months Ended June 30, 2023 ProShares Short VIX Short-Term Futures ETF $ 3,457,223 $ 2,437,210 $ 6,766,508 $ 4,546,332 ProShares Ultra Bloomberg Crude Oil 6,506,199 5,878,092 11,516,649 11,886,000 ProShares Ultra Bloomberg Natural Gas 6,418,687 8,866,705 12,870,827 17,825,228 ProShares Ultra Euro 70,817 88,182 149,303 185,419 ProShares Ultra Gold 2,819,359 1,983,196 4,833,274 3,632,210 ProShares Ultra Silver 6,245,723 3,701,182 9,880,580 7,075,578 ProShares Ultra VIX Short-Term Futures ETF 2,335,823 4,750,595 5,094,065 9,167,250 ProShares Ultra Yen 483,557 114,980 853,811 235,098 ProShares UltraShort Bloomberg Crude Oil 2,290,280 1,560,028 4,533,047 3,563,237 ProShares UltraShort Bloomberg Natural Gas 1,577,496 1,344,889 2,924,574 2,531,641 ProShares UltraShort Euro 429,872 593,746 888,189 1,240,866 ProShares UltraShort Gold 176,727 184,052 319,930 316,614 ProShares UltraShort Silver 597,421 323,734 978,854 523,812 ProShares UltraShort Yen 456,243 255,354 771,660 459,554 ProShares VIX Mid-Term Futures ETF 1,106,849 650,585 1,622,013 1,298,505 ProShares VIX Short-Term Futures ETF 1,619,921 2,440,291 3,378,183 4,560,852 Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). 128 Table of Contents Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a FCM; and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of August 2, 2024, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. 129 Table of Contents Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2024. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. 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. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. 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. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 130 Table of Contents Results of Operations for the Three Months Ended June 30, 2024 Compared to the Three Months Ended June 30, 2023 ProShares Short VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 313,978,799 $ 295,340,393 NAV end of period $ 298,712,515 $ 282,353,267 Percentage change in NAV (4.9 )% (4.4 )% Shares outstanding beginning of period 5,568,614 9,268,614 Shares outstanding end of period 4,868,614 6,668,614 Percentage change in shares outstanding (12.6 )% (28.1 )% Shares created 350,000 1,100,000 Shares redeemed 1,050,000 3,700,000 Per share NAV beginning of period $ 56.38 $ 31.86 Per share NAV end of period $ 61.35 $ 42.34 Percentage change in per share NAV 8.8 % 32.9 % Percentage change in benchmark (15.8 )% (44.4 )% Benchmark annualized volatility 41.2 % 45.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,568,614 outstanding Shares at March 31, 2024 to 4,868,614 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,268,614 outstanding Shares at March 31, 2023 to 6,668,614 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.8% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 32.9% for the three months ended June 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 2,584,261 $ 1,696,752 Management fee 702,645 617,036 Brokerage commission 170,317 123,422 Net realized gain (loss) 26,761,918 65,202,331 Change in net unrealized appreciation (depreciation) (4,167,221 ) 9,673,101 Net Income (loss) $ 25,178,958 $ 76,572,184 The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. ProShares Ultra Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 597,176,895 $ 811,668,456 NAV end of period $ 527,486,095 $ 738,194,368 Percentage change in NAV (11.7 )% (9.1 )% Shares outstanding beginning of period 17,993,096 30,593,096 Shares outstanding end of period 15,743,096 31,093,096 Percentage change in shares outstanding (12.5 )% 1.6 % Shares created 5,050,000 15,550,000 Shares redeemed 7,300,000 15,050,000 Per share NAV beginning of period $ 33.19 $ 26.53 Per share NAV end of period $ 33.51 $ 23.74 Percentage change in per share NAV 1.0 % (10.5 )% Percentage change in benchmark 0.5 % (4.4 )% Benchmark annualized volatility 17.4 % 32.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 17,993,096 outstanding Shares at March 31, 2024 to 15,743,096 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 30,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.0% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. 132 Table of Contents The benchmark’s rise of 0.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the three months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 5,118,436 $ 4,038,791 Management fee 1,344,787 1,744,998 Brokerage commission 42,976 94,303 Net realized gain (loss) 6,957,617 (76,414,795 ) Change in net unrealized appreciation (depreciation) (738,826 ) 45,539,157 Net Income (loss) $ 11,337,227 $ (26,836,847 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the three months ended June 30, 2024. ProShares Ultra Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 580,741,377 $ 1,139,983,773 NAV end of period $ 540,643,821 $ 1,141,021,278 Percentage change in NAV (6.9 )% 0.1 % Shares outstanding beginning of period 44,218,544 15,454,376 Shares outstanding end of period 34,668,544 16,421,876 Percentage change in shares outstanding (21.6 )% 6.3 % Shares created 24,350,000 13,792,500 Shares redeemed 33,900,000 12,825,000 Per share NAV beginning of period $ 13.13 $ 73.76 Per share NAV end of period $ 15.59 $ 69.48 Percentage change in per share NAV 18.7 % (5.8 )% Percentage change in benchmark 13.9 % 2.2 % Benchmark annualized volatility 53.0 % 57.7 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 44,218,544 outstanding Shares at March 31, 2024 to 34,668,544 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 15,454,376 outstanding Shares at March 31, 2023 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . 133 Table of Contents For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.7% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 13.9% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 2.2% for the three months ended June 30, 2023, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 4,256,254 $ 4,920,978 Management fee 1,323,880 2,588,571 Brokerage commission 785,377 1,145,371 Futures account fees 53,176 211,785 Net realized gain (loss) 211,772,181 (616,886,915 ) Change in net unrealized appreciation (depreciation) (60,263,391 ) 658,057,024 Net Income (loss) $ 155,765,044 $ 46,091,087 The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. 134 Table of Contents ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 6,804,048 $ 8,616,433 NAV end of period $ 5,595,533 $ 7,535,435 Percentage change in NAV (17.8 )% (12.5 )% Shares outstanding beginning of period 600,000 750,000 Shares outstanding end of period 500,000 650,000 Percentage change in shares outstanding (16.7 )% (13.3 )% Shares created —  —  Shares redeemed 100,000 100,000 Per share NAV beginning of period $ 11.34 $ 11.49 Per share NAV end of period $ 11.19 $ 11.59 Percentage change in per share NAV (1.3 )% 0.9 % Percentage change in benchmark (0.7 )% 0.6 % Benchmark annualized volatility 5.5 % 6.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at March 31, 2024 to 500,000 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 0.9% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 0.7% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 0.6% for the three months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 56,873 $ 68,331 Management fee 13,944 19,851 Net realized gain (loss) (219,350 ) 78,291 Change in net unrealized appreciation (depreciation) 62,167 (79,023 ) Net Income (loss) $ (100,310 ) $ 67,599 The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2024. 135 Table of Contents ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 215,970,841 $ 201,161,529 NAV end of period $ 216,456,025 $ 180,916,531 Percentage change in NAV 0.2 % (10.1 )% Shares outstanding beginning of period 3,000,000 3,200,000 Shares outstanding end of period 2,800,000 3,100,000 Percentage change in shares outstanding (6.7 )% (3.1 )% Shares created 350,000 50,000 Shares redeemed 550,000 150,000 Per share NAV beginning of period $ 71.99 $ 62.86 Per share NAV end of period $ 77.31 $ 58.36 Percentage change in per share NAV 7.4 % (7.2 )% Percentage change in benchmark 4.9 % (2.5 )% Benchmark annualized volatility 16.8 % 12.7 % During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 3,000,000 outstanding Shares at March 31, 2024 to 2,800,000 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.4% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 7.2% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 4.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2024. 136 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 2,264,848 $ 1,502,010 Management fee 546,388 474,261 Brokerage commission 8,123 6,925 Net realized gain (loss) 31,567,821 17,168,107 Change in net unrealized appreciation (depreciation) (17,226,689 ) (32,854,842 ) Net Income (loss) $ 16,605,980 $ (14,184,725 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 2024. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 403,584,744 $ 429,115,334 NAV end of period $ 570,829,521 $ 356,791,659 Percentage change in NAV 41.4 % (16.9 )% Shares outstanding beginning of period 14,146,526 13,796,526 Shares outstanding end of period 15,246,526 13,196,526 Percentage change in shares outstanding 7.8 % (4.3 )% Shares created 5,150,000 700,000 Shares redeemed 4,050,000 1,300,000 Per share NAV beginning of period $ 28.53 $ 31.10 Per share NAV end of period $ 37.44 $ 27.04 Percentage change in per share NAV 31.2 % (13.1 )% Percentage change in benchmark 17.8 % (5.1 )% Benchmark annualized volatility 38.5 % 24.1 % During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 14,146,526 outstanding Shares at March 31, 2024 to 15,246,526 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV also resulted in part form a decrease from 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 13.1% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. 137 Table of Contents The benchmark’s rise of 17.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 4,944,726 $ 2,677,602 Management fee 1,244,817 976,505 Brokerage commission 56,180 47,075 Net realized gain (loss) 220,680,441 64,615,443 Change in net unrealized appreciation (depreciation) (87,279,257 ) (119,017,342 ) Net Income (loss) $ 138,345,910 $ (51,724,297 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 2024. 138 Table of Contents ProShares Ultra VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 278,240,649 $ 535,980,236 NAV end of period $ 232,135,198 $ 387,764,059 Percentage change in NAV (16.6 )% (27.7 )% Shares outstanding beginning of period 8,844,891 2,317,568 Shares outstanding end of period 9,843,643 4,195,568 Percentage change in shares outstanding 11.3 % 81.0 % Shares created 7,030,000 2,588,000 Shares redeemed 6,031,248 710,000 Per share NAV beginning of period $ 31.46 $ 231.27 Per share NAV end of period $ 23.58 $ 92.42 Percentage change in per share NAV (25.0 )% (60.0 )% Percentage change in benchmark (15.8 )% (44.4 )% Benchmark annualized volatility 41.2 % 45.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 8,844,891 outstanding Shares at March 31, 2024 to 9,843,643 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,317,568 outstanding Shares at March 31, 2023 to 4,195,568 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.0% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 60.0% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 1,263,439 $ 2,581,004 Management fee 553,814 1,330,081 Brokerage commission 454,606 712,511 Futures account fees 63,964 126,999 Net realized gain (loss) (57,412,686 ) (426,300,356 ) Change in net unrealized appreciation (depreciation) 11,698,440 (45,315,177 ) Net Income (loss) $ (44,450,807 ) $ (469,034,529 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices, during the three months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. 139 Table of Contents ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 41,994,545 $ 9,915,083 NAV end of period $ 44,510,138 $ 12,330,974 Percentage change in NAV 6.0 % 24.4 % Shares outstanding beginning of period 1,799,970 299,970 Shares outstanding end of period 2,199,970 449,970 Percentage change in shares outstanding 22.2 % 50.0 % Shares created 500,000 150,000 Shares redeemed 100,000 —  Per share NAV beginning of period $ 23.33 $ 33.05 Per share NAV end of period $ 20.23 $ 27.40 Percentage change in per share NAV (13.3 )% (17.1 )% Percentage change in benchmark (5.9 )% (8.0 )% Benchmark annualized volatility 9.0 % 8.9 % During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,799,970 outstanding Shares at March 31, 2024 to 2,199,970 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 17.1% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 5.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 8.0% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024. 140 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $     384,185 $       89,650 Management fee 99,372 25,330 Net realized gain (loss) (5,365,623 ) (770,142 ) Change in net unrealized appreciation (depreciation) (842,412 ) (1,348,109 ) Net Income (loss) $ (5,823,850 ) $ (2,028,601 ) The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar in conjunction with an increase in average net assets, during the three months ended June 30, 2024. ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 197,512,295 $ 144,762,563 NAV end of period $ 177,620,038 $ 112,854,952 Percentage change in NAV (10.1 )% (22.0 )% Shares outstanding beginning of period 12,405,220 5,755,220 Shares outstanding end of period 11,405,220 4,405,220 Percentage change in shares outstanding (8.1 )% (23.5 )% Shares created 4,200,000 6,250,000 Shares redeemed 5,200,000 7,600,000 Per share NAV beginning of period $ 15.92 $ 25.15 Per share NAV end of period $ 15.57 $ 25.62 Percentage change in per share NAV (2.2 )% 1.9 % Percentage change in benchmark 0.5 % (4.4 )% Benchmark annualized volatility 17.4 % 32.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,405,220 outstanding Shares at March 31, 2024 to 11,405,220 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220 outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 1.9% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 0.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the three months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024. 141 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 1,805,686 $ 1,140,772 Management fee 440,755 359,177 Brokerage commission 43,839 60,079 Net realized gain (loss) (143,424 ) 28,034,524 Change in net unrealized appreciation (depreciation) (1,552,095 ) (8,216,608 ) Net Income (loss) $ 110,167 $ 20,958,688 The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the three months ended June 30, 2024. ProShares UltraShort Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 94,345,355 $ 146,981,760 NAV end of period $ 147,292,427 $ 141,324,963 Percentage change in NAV 56.1 % (3.8 )% Shares outstanding beginning of period 1,233,712 4,133,712 Shares outstanding end of period 2,983,712 5,133,712 Percentage change in shares outstanding 141.8 % 24.2 % Shares created 7,400,000 13,200,000 Shares redeemed 5,650,000 12,200,000 Per share NAV beginning of period $ 76.47 $ 35.56 Per share NAV end of period $ 49.37 $ 27.53 Percentage change in per share NAV (35.4 )% (22.6 )% Percentage change in benchmark 13.9 % 2.2 % Benchmark annualized volatility 53.0 % 57.7 % 142 Table of Contents During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,233,712 outstanding Shares at March 31, 2024 to 2,983,712 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 4,133,712 outstanding Shares at March 31, 2023 to 5,133,712 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 35.4% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.6% for the three months ended June 30, 2023, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 13.9% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 2.2% for the three months ended June 30, 2023, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 951,460 $ 782,210 Management fee 310,060 302,274 Brokerage commission 304,998 233,647 Futures account fees 10,978 26,758 Net realized gain (loss) (44,563,292 ) 48,737,843 Change in net unrealized appreciation (depreciation) 20,550,559 (61,250,100 ) Net Income (loss) $ (23,061,273 ) $ (11,730,047 ) The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. 143 Table of Contents ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 38,712,882 $ 59,537,260 NAV end of period $ 38,226,983 $ 50,931,301 Percentage change in NAV (1.3 )% (14.5 )% Shares outstanding beginning of period 1,250,000 2,050,000 Shares outstanding end of period 1,200,000 1,750,000 Percentage change in shares outstanding (4.0 )% (14.6 )% Shares created 50,000 —  Shares redeemed 100,000 300,000 Per share NAV beginning of period $ 30.97 $ 29.04 Per share NAV end of period $ 31.86 $ 29.10 Percentage change in per share NAV 2.9 % 0.2 % Percentage change in benchmark (0.7 )% 0.6 % Benchmark annualized volatility 5.5 % 6.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,250,000 outstanding Shares at March 31, 2024 to 1,200,000 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the timing of the shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 0.2% for the three months ended June 30, 2023, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 0.7% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 0.6% for the three months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 338,894 $ 462,645 Management fee 90,978 131,101 Net realized gain (loss) 900,760 (1,045,942 ) Change in net unrealized appreciation (depreciation) (199,005 ) 556,469 Net Income (loss) $ 1,040,649 $ (26,828 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2024. 144 Table of Contents ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 15,170,884 $ 16,049,273 NAV end of period $ 16,131,791 $ 15,809,378 Percentage change in NAV 6.3 % (1.5 )% Shares outstanding beginning of period 646,977 596,977 Shares outstanding end of period 746,977 546,977 Percentage change in shares outstanding 15.5 % (8.4 )% Shares created 450,000 300,000 Shares redeemed 350,000 350,000 Per share NAV beginning of period $ 23.45 $ 26.88 Per share NAV end of period $ 21.60 $ 28.90 Percentage change in per share NAV (7.9 )% 7.5 % Percentage change in benchmark 4.9 % (2.5 )% Benchmark annualized volatility 16.8 % 12.7 % During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at March 31, 2024 to 746,977 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . 145 Table of Contents For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 4.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 136,135 $ 139,578 Management fee 39,309 42,869 Brokerage commission 1,283 1,605 Net realized gain (loss) (2,516,474 ) (1,553,151 ) Change in net unrealized appreciation (depreciation) 1,264,436 2,758,921 Net Income (loss) $ (1,115,903 ) $ 1,345,348 The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2024. ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 24,245,029 $ 20,335,691 NAV end of period $ 76,198,743 $ 19,290,473 Percentage change in NAV 214.3 % (5.1 )% Shares outstanding beginning of period 1,441,329 1,091,329 Shares outstanding end of period 6,791,329 941,329 Percentage change in shares outstanding 371.2 % (13.7 )% Shares created 7,600,000 2,450,000 Shares redeemed 2,250,000 2,600,000 Per share NAV beginning of period $ 16.82 $ 18.63 Per share NAV end of period $ 11.22 $ 20.49 Percentage change in per share NAV (33.3 )% 10.0 % Percentage change in benchmark 17.8 % (5.1 )% Benchmark annualized volatility 38.5 % 24.1 % 146 Table of Contents During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,441,329 outstanding Shares at March 31, 2024 to 6,791,329 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,091,329 outstanding Shares at March 31, 2023 to 941,329 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 10.0% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s rise of 17.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 444,517 $ 232,359 Management fee 139,041 82,417 Brokerage commission 13,863 8,958 Net realized gain (loss) (16,070,138 ) 1,112,690 Change in net unrealized appreciation (depreciation) 4,902,824 5,650,294 Net Income (loss) $ (10,722,797 ) $ 6,995,343 The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 2024. 147 Table of Contents ProShares UltraShort Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 32,662,223 $ 25,111,818 NAV end of period $ 47,495,032 $ 27,077,656 Percentage change in NAV 45.4 % 7.8 % Shares outstanding beginning of period 398,580 448,580 Shares outstanding end of period 498,580 398,580 Percentage change in shares outstanding 25.1 % (11.1 )% Shares created 200,000 250,000 Shares redeemed 100,000 300,000 Per share NAV beginning of period $ 81.95 $ 55.98 Per share NAV end of period $ 95.26 $ 67.94 Percentage change in per share NAV 16.3 % 21.4 % Percentage change in benchmark (5.9 )% (8.0 )% Benchmark annualized volatility 9.0 % 8.9 % During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 398,580 outstanding Shares at March 31, 2024 to 498,580 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 448,580 outstanding Shares at March 31, 2023 to 398,580 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended June 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 5.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 8.0% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 359,294 $ 197,175 Management fee 96,949 58,179 Net realized gain (loss) 4,417,569 1,370,771 Change in net unrealized appreciation (depreciation) 1,529,867 3,145,023 Net Income (loss) $ 6,306,730 $ 4,712,969 The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar, during the three months ended June 30, 2024. 148 Table of Contents ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 84,603,064 $ 67,306,087 NAV end of period $ 33,401,452 $ 49,421,413 Percentage change in NAV (60.5 )% (26.6 )% Shares outstanding beginning of period 5,337,403 2,512,403 Shares outstanding end of period 2,337,403 2,412,403 Percentage change in shares outstanding (56.2 )% (4.0 )% Shares created 5,250,000 575,000 Shares redeemed 8,250,000 675,000 Per share NAV beginning of period $ 15.85 $ 26.79 Per share NAV end of period $ 14.29 $ 20.49 Percentage change in per share NAV (9.9 )% (23.5 )% Percentage change in benchmark (9.5 )% (23.1 )% Benchmark annualized volatility 19.6 % 22.6 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,337,403 outstanding Shares at March 31, 2024 to 2,337,403 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023. For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 23.5% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. 149 Table of Contents The benchmark’s decline of 9.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 23.1% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 838,943 $ 492,463 Management fee 191,320 134,066 Brokerage commission 66,049 12,200 Futures account fees 10,537 11,856 Net realized gain (loss) (8,949,418 ) (6,943,333 ) Change in net unrealized appreciation (depreciation) 1,095,379 (9,675,102 ) Net Income (loss) $ (7,015,096 ) $ (16,125,972 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the three months ended June 30, 2024. ProShares VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 NAV beginning of period $ 162,936,051 $ 226,765,204 NAV end of period $ 148,420,028 $ 230,227,830 Percentage change in NAV (8.9 )% 1.5 % Shares outstanding beginning of period 12,600,947 5,021,565 Shares outstanding end of period 13,700,947 9,226,565 Percentage change in shares outstanding 8.7 % 83.7 % Shares created 3,700,000 4,460,000 Shares redeemed 2,600,000 255,000 Per share NAV beginning of period $ 12.93 $ 45.16 Per share NAV end of period $ 10.83 $ 24.95 Percentage change in per share NAV (16.2 )% (44.8 )% Percentage change in benchmark (15.8 )% (44.4 )% Benchmark annualized volatility 41.2 % 45.8 % During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,600,947 outstanding Shares at March 31, 2024 to 13,700,947 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 5,021,565 outstanding Shares at March 31, 2023 to 9,226,565 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. 150 Table of Contents For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 44.8% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024. The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Three Months Ended June 30, 2023 Net investment income (loss) $ 1,239,189 $ 1,765,342 Management fee 310,061 530,826 Brokerage commission 39,404 95,391 Futures account fees 31,267 48,732 Net realized gain (loss) (27,512,354 ) (127,239,912 ) Change in net unrealized appreciation (depreciation) 4,022,209 (21,303,253 ) Net Income (loss) $ (22,250,956 ) $ (146,777,823 ) The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices, during the three months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. 151 Table of Contents Results of Operations for the Six Months Ended June 30, 2024 Compared to the Six Months Ended June 30, 2023 ProShares Short VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 267,184,359 $ 339,591,638 NAV end of period $ 298,712,515 $ 282,353,267 Percentage change in NAV 11.8 % (16.9 )% Shares outstanding beginning of period 5,168,614 11,568,614 Shares outstanding end of period 4,868,614 6,668,614 Percentage change in shares outstanding (5.8 )% (42.4 )% Shares created 2,750,000 6,000,000 Shares redeemed 3,050,000 10,900,000 Per share NAV beginning of period $ 51.69 $ 29.35 Per share NAV end of period $ 61.35 $ 42.34 Percentage change in per share NAV 18.7 % 44.2 % Percentage change in benchmark (29.4 )% (55.7 )% Benchmark annualized volatility 40.3 % 58.0 % During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 5,168,614 outstanding Shares at December 31, 2023 to 4,868,614 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 6,668,614 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.7% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 44.2% for the six months ended June 30, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. 152 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 4,981,551 $ 3,113,594 Management fee 1,443,041 1,182,813 Brokerage commission 341,916 249,925 Net realized gain (loss) 55,276,535 94,806,479 Change in net unrealized appreciation (depreciation) (8,822,042 ) 12,828,278 Net Income (loss) $ 51,436,044 $ 110,748,351 The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the six months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. ProShares Ultra Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 652,793,437 $ 859,094,274 NAV end of period $ 527,486,095 $ 738,194,368 Percentage change in NAV (19.2 )% (14.1 )% Shares outstanding beginning of period 24,843,096 28,393,096 Shares outstanding end of period 15,743,096 31,093,096 Percentage change in shares outstanding (36.6 )% 9.5 % Shares created 9,100,000 34,650,000 Shares redeemed 18,200,000 31,950,000 Per share NAV beginning of period $ 26.28 $ 30.26 Per share NAV end of period $ 33.51 $ 23.74 Percentage change in per share NAV 27.5 % (21.5 )% Percentage change in benchmark 13.3 % (9.5 )% Benchmark annualized volatility 19.5 % 31.7 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 15,743,096 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 31,093,096 outstanding Shares at June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.5% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 21.5% for the six months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. 153 Table of Contents The benchmark’s rise of 13.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.5% for the six months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 8,590,065 $ 8,077,737 Management fee 2,821,804 3,619,616 Brokerage commission 104,780 188,647 Net realized gain (loss) 100,088,722 9,365,632 Change in net unrealized appreciation (depreciation) 54,345,016 (92,671,285 ) Net Income (loss) $ 163,023,803 $ (75,227,916 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2024. 154 Table of Contents ProShares Ultra Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 729,892,808 $ 586,151,113 NAV end of period $ 540,643,821 $ 1,141,021,278 Percentage change in NAV (25.9 )% 94.7 % Shares outstanding beginning of period 25,568,544 1,614,376 Shares outstanding end of period 34,668,544 16,421,876 Percentage change in shares outstanding 35.6 % 917.2 % Shares created 64,450,000 32,765,000 Shares redeemed 55,350,000 17,957,500 Per share NAV beginning of period $ 28.55 $ 363.08 Per share NAV end of period $ 15.59 $ 69.48 Percentage change in per share NAV (45.4 )% (80.9 )% Percentage change in benchmark (18.8 )% (49.3 )% Benchmark annualized volatility 55.3 % 69.2 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 25,568,544 outstanding Shares at December 31, 2023 to 34,668,544 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 45.4% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 80.9% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 18.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 49.3% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 8,466,890 $ 10,410,619 Management fee 2,773,307 4,916,981 Brokerage commission 1,488,469 2,098,150 Futures account fees 142,161 399,478 Net realized gain (loss) (30,408,733 ) (1,678,521,779 ) Change in net unrealized appreciation (depreciation) (196,656,346 ) 605,047,334 Net Income (loss) $ (218,598,189 ) $ (1,063,063,826 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. 155 Table of Contents ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 7,114,015 $ 10,704,662 NAV end of period $ 5,595,533 $ 7,535,435 Percentage change in NAV (21.3 )% (29.6 )% Shares outstanding beginning of period 600,000 950,000 Shares outstanding end of period 500,000 650,000 Percentage change in shares outstanding (16.7 )% (31.6 )% Shares created 100,000 200,000 Shares redeemed 200,000 500,000 Per share NAV beginning of period $ 11.86 $ 11.27 Per share NAV end of period $ 11.19 $ 11.59 Percentage change in per share NAV (5.6 )% 2.9 % Percentage change in benchmark (3.0 )% 1.9 % Benchmark annualized volatility 5.2 % 8.0 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at December 31, 2023 to 500,000 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.6% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 2.9% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 3.0% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024. 156 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 119,424 $ 141,322 Management fee 29,879 44,097 Net realized gain (loss) (74,776 ) 358,570 Change in net unrealized appreciation (depreciation) (447,347 ) (175,968 ) Net Income (loss) $ (402,699 ) $ 323,924 The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2024. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 191,502,023 $ 173,524,136 NAV end of period $ 216,456,025 $ 180,916,531 Percentage change in NAV 13.0 % 4.3 % Shares outstanding beginning of period 3,000,000 3,150,000 Shares outstanding end of period 2,800,000 3,100,000 Percentage change in shares outstanding (6.7 )% (1.6 )% Shares created 800,000 450,000 Shares redeemed 1,000,000 500,000 Per share NAV beginning of period $ 63.83 $ 55.09 Per share NAV end of period $ 77.31 $ 58.36 Percentage change in per share NAV 21.1 % 5.9 % Percentage change in benchmark 12.7 % 5.4 % Benchmark annualized volatility 14.3 % 14.3 % During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 3,000,000 outstanding Shares at December 31, 2023 to 2,800,000 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 5.9% for the six months ended June 30, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s rise of 12.7% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 5.4% for the six months ended June 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2024. 157 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 3,832,287 $ 2,715,295 Management fee 982,991 901,375 Brokerage commission 17,996 15,540 Net realized gain (loss) 50,042,103 27,968,003 Change in net unrealized appreciation (depreciation) (14,505,497 ) (22,166,463 ) Net Income (loss) $ 39,368,893 $ 8,516,835 The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater increase in the value of gold futures contracts during the six months ended June 30, 2024. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 390,146,373 $ 414,285,878 NAV end of period $ 570,829,521 $ 356,791,659 Percentage change in NAV 46.3 % (13.9 )% Shares outstanding beginning of period 14,296,526 13,046,526 Shares outstanding end of period 15,246,526 13,196,526 Percentage change in shares outstanding 6.6 % 1.1 % Shares created 7,450,000 2,600,000 Shares redeemed 6,500,000 2,450,000 Per share NAV beginning of period $ 27.29 $ 31.75 Per share NAV end of period $ 37.44 $ 27.04 Percentage change in per share NAV 37.2 % (14.8 )% Percentage change in benchmark 22.3 % (4.4 )% Benchmark annualized volatility 31.2 % 25.8 % 158 Table of Contents During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 14,296,526 outstanding Shares at December 31, 2023 to 15,246,526 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 37.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 14.8% for the six months ended June 30, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s rise of 22.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the six months ended June 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 7,677,640 $ 5,153,877 Management fee 2,118,718 1,848,064 Brokerage commission 84,222 73,637 Net realized gain (loss) 216,214,526 35,871,579 Change in net unrealized appreciation (depreciation) (65,670,658 ) (96,665,222 ) Net Income (loss) $ 158,221,508 $ (55,639,766 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of futures prices during the six months ended June 30, 2024. 159 Table of Contents ProShares Ultra VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 348,555,743 $ 639,318,362 NAV end of period $ 232,135,198 $ 387,764,059 Percentage change in NAV (33.4 )% (39.3 )% Shares outstanding beginning of period 8,264,891 1,861,568 Shares outstanding end of period 9,843,643 4,195,568 Percentage change in shares outstanding 19.1 % 125.4 % Shares created 9,850,000 4,262,000 Shares redeemed 8,271,248 1,928,000 Per share NAV beginning of period $ 42.17 $ 343.43 Per share NAV end of period $ 23.58 $ 92.42 Percentage change in per share NAV (44.1 )% (73.1 )% Percentage change in benchmark (29.4 )% (55.7 )% Benchmark annualized volatility 40.3 % 58.0 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 8,264,891 outstanding Shares at December 31, 2023 to 9,843,643 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,861,568 outstanding Shares at December 31, 2022 to 4,195,568 outstanding Shares at June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 44.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 73.1% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 2,781,434 $ 4,722,827 Management fee 1,221,345 2,703,851 Brokerage commission 941,152 1,490,212 Futures account fees 150,134 250,360 Net realized gain (loss) (148,405,278 ) (608,541,564 ) Change in net unrealized appreciation (depreciation) 24,979,009 (43,277,650 ) Net Income (loss) $ (120,644,835 ) $ (647,096,387 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the six months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. 160 Table of Contents ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 30,205,770 $ 13,814,796 NAV end of period $ 44,510,138 $ 12,330,974 Percentage change in NAV 47.4 % (10.7 )% Shares outstanding beginning of period 1,099,970 399,970 Shares outstanding end of period 2,199,970 449,970 Percentage change in shares outstanding 100.0 % 12.5 % Shares created 1,300,000 200,000 Shares redeemed 200,000 150,000 Per share NAV beginning of period $ 27.46 $ 34.54 Per share NAV end of period $ 20.23 $ 27.40 Percentage change in per share NAV (26.3 )% (20.7 )% Percentage change in benchmark (12.4 )% (9.0 )% Benchmark annualized volatility 8.4 % 10.8 % 161 Table of Contents During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 2,199,970 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 26.3% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 20.7% for the six months ended June 30, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 12.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.0% for the six months ended June 30, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 677,203 $ 179,208 Management fee 176,608 55,890 Net realized gain (loss) (7,397,198 ) (1,068,950 ) Change in net unrealized appreciation (depreciation) (4,421,343 ) (1,842,176 ) Net Income (loss) $ (11,141,338 ) $ (2,731,918 ) The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the six months ended June 30, 2024. 162 Table of Contents ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 188,963,592 $ 222,697,337 NAV end of period $ 177,620,038 $ 112,854,952 Percentage change in NAV (6.0 )% (49.3 )% Shares outstanding beginning of period 9,105,220 9,305,220 Shares outstanding end of period 11,405,220 4,405,220 Percentage change in shares outstanding 25.3 % (52.7 )% Shares created 12,650,000 11,550,000 Shares redeemed 10,350,000 16,450,000 Per share NAV beginning of period $ 20.75 $ 23.93 Per share NAV end of period $ 15.57 $ 25.62 Percentage change in per share NAV (25.0 )% 7.1 % Percentage change in benchmark 13.3 % (9.5 )% Benchmark annualized volatility 19.5 % 31.7 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 9,105,220 outstanding Shares at December 31, 2023 to 11,405,220 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.0% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 7.1% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s rise of 13.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.5% for the six months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 3,542,907 $ 2,593,344 Management fee 892,340 844,057 Brokerage commission 97,800 125,836 Net realized gain (loss) (12,652,246 ) 55,649,291 Change in net unrealized appreciation (depreciation) (36,001,228 ) 2,739,622 Net Income (loss) $ (45,110,567 ) $ 60,982,257 The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil, during the six months ended June 30, 2024. 163 Table of Contents ProShares UltraShort Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 140,963,092 $ 134,109,520 NAV end of period $ 147,292,427 $ 141,324,963 Percentage change in NAV 4.5 % 5.4 % Shares outstanding beginning of period 2,933,712 9,933,712 Shares outstanding end of period 2,983,712 5,133,712 Percentage change in shares outstanding 1.7 % (48.3 )% Shares created 14,000,000 27,700,000 Shares redeemed 13,950,000 32,500,000 Per share NAV beginning of period $ 48.05 $ 13.50 Per share NAV end of period $ 49.37 $ 27.53 Percentage change in per share NAV 2.8 % 103.9 % Percentage change in benchmark (18.8 )% (49.3 )% Benchmark annualized volatility 55.3 % 69.2 % During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,933,712 outstanding Shares at December 31, 2023 to 2,983,712 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 9,933,712 outstanding Shares at December 31, 2022 to 5,133,712 outstanding Shares at June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.8% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 103.9% for the six months ended June 30, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 18.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 49.3% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2024. 164 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 1,758,807 $ 1,432,850 Management fee 572,504 599,136 Brokerage commission 566,252 443,288 Futures account fees 27,011 56,367 Net realized gain (loss) 89,322 232,143,809 Change in net unrealized appreciation (depreciation) 44,377,047 (106,209,898 ) Net Income (loss) $ 46,225,176 $ 127,366,761 The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 39,367,550 $ 75,113,179 NAV end of period $ 38,226,983 $ 50,931,301 Percentage change in NAV (2.9 )% (32.2 )% Shares outstanding beginning of period 1,350,000 2,550,000 Shares outstanding end of period 1,200,000 1,750,000 Percentage change in shares outstanding (11.1 )% (31.4 )% Shares created 50,000 100,000 Shares redeemed 200,000 900,000 Per share NAV beginning of period $ 29.16 $ 29.46 Per share NAV end of period $ 31.86 $ 29.10 Percentage change in per share NAV 9.2 % (1.2 )% Percentage change in benchmark (3.0 )% 1.9 % Benchmark annualized volatility 5.2 % 8.0 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,200,000 outstanding Shares at June 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. 165 Table of Contents For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 1.2% for the six months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 3.0% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 701,961 $ 948,197 Management fee 186,228 292,669 Net realized gain (loss) (38,460 ) (2,453,253 ) Change in net unrealized appreciation (depreciation) 2,768,728 697,680 Net Income (loss) $ 3,432,229 $ (807,376 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2024. ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 11,795,779 $ 15,456,037 NAV end of period $ 16,131,791 $ 15,809,378 Percentage change in NAV 36.8 % 2.3 % Shares outstanding beginning of period 446,977 496,977 Shares outstanding end of period 746,977 546,977 Percentage change in shares outstanding 67.1 % 10.1 % Shares created 650,000 600,000 Shares redeemed 350,000 550,000 Per share NAV beginning of period $ 26.39 $ 31.10 Per share NAV end of period $ 21.60 $ 28.90 Percentage change in per share NAV (18.2 )% (7.1 )% Percentage change in benchmark 12.7 % 5.4 % Benchmark annualized volatility 14.3 % 14.3 % 166 Table of Contents During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 746,977 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s rise of 12.7% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 5.4% for the six months ended June 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 246,002 $ 234,406 Management fee 71,710 79,242 Brokerage commission 2,218 2,966 Net realized gain (loss) (3,914,287 ) (2,584,032 ) Change in net unrealized appreciation (depreciation) 919,857 2,103,219 Net Income (loss) $ (2,748,428 ) $ (246,407 ) The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater increase in the value of the futures prices during the six months ended June 30, 2024. 167 Table of Contents ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 65,149,686 $ 31,932,799 NAV end of period $ 76,198,743 $ 19,290,473 Percentage change in NAV 17.0 % (39.6 )% Shares outstanding beginning of period 3,591,329 1,641,329 Shares outstanding end of period 6,791,329 941,329 Percentage change in shares outstanding 89.1 % (42.6 )% Shares created 9,000,000 3,100,000 Shares redeemed 5,800,000 3,800,000 Per share NAV beginning of period $ 18.14 $ 19.46 Per share NAV end of period $ 11.22 $ 20.49 Percentage change in per share NAV (38.2 )% 5.3 % Percentage change in benchmark 22.3 % (4.4 )% Benchmark annualized volatility 31.2 % 25.8 % During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 3,591,329 outstanding Shares at December 31, 2023 to 6,791,329 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 941,329 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 5.3% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s rise of 22.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the six months ended June 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 728,788 $ 366,566 Management fee 230,179 142,585 Brokerage commission 19,887 14,661 Net realized gain (loss) (10,290,118 ) 3,826,313 Change in net unrealized appreciation (depreciation) 3,484,222 4,467,058 Net Income (loss) $ (6,077,108 ) $ 8,659,937 The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of futures prices during the six months ended June 30, 2024. 168 Table of Contents ProShares UltraShort Yen Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 24,010,010 $ 21,397,736 NAV end of period $ 47,495,032 $ 27,077,656 Percentage change in NAV 97.8 % 26.5 % Shares outstanding beginning of period 348,580 398,580 Shares outstanding end of period 498,580 398,580 Percentage change in shares outstanding 43.0 % – % Shares created 300,000 450,000 Shares redeemed 150,000 450,000 Per share NAV beginning of period $ 68.88 $ 53.68 Per share NAV end of period $ 95.26 $ 67.94 Percentage change in per share NAV 38.3 % 26.6 % Percentage change in benchmark (12.4 )% (9.0 )% Benchmark annualized volatility 8.4 % 10.8 % During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 348,580 outstanding Shares at December 31, 2023 to 498,580 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31,2022 to June 30, 2023. For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 38.3% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 26.6% for the six months ended June 30, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. 169 Table of Contents The benchmark’s decline of 12.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.0% for the six months ended June 30, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 608,578 $ 350,563 Management fee 163,082 108,991 Net realized gain (loss) 6,126,381 342,795 Change in net unrealized appreciation (depreciation) 4,468,019 5,004,524 Net Income (loss) $ 11,202,978 $ 5,697,882 The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2024. ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 37,866,143 $ 84,014,959 NAV end of period $ 33,401,452 $ 49,421,413 Percentage change in NAV (11.8 )% (41.2 )% Shares outstanding beginning of period 2,262,403 2,762,403 Shares outstanding end of period 2,337,403 2,412,403 Percentage change in shares outstanding 3.3 % (12.7 )% Shares created 8,625,000 850,000 Shares redeemed 8,550,000 1,200,000 Per share NAV beginning of period $ 16.74 $ 30.41 Per share NAV end of period $ 14.29 $ 20.49 Percentage change in per share NAV (14.6 )% (32.6 )% Percentage change in benchmark (13.8 )% (31.9 )% Benchmark annualized volatility 19.3 % 30.2 % During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,262,403 outstanding Shares at December 31, 2023 to 2,337,403 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,412,403 outstanding Shares at June 30, 2023. 170 Table of Contents For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.6% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 32.6% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 13.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 31.9% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 1,231,053 $ 969,651 Management fee 288,207 284,189 Brokerage commission 86,212 21,369 Futures account fees 16,541 23,296 Net realized gain (loss) (15,054,609 ) (22,764,053 ) Change in net unrealized appreciation (depreciation) 3,885,170 (5,092,642 ) Net Income (loss) $ (9,938,386 ) $ (26,887,044 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the six months ended June 30, 2024. ProShares VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 NAV beginning of period $ 157,321,746 $ 266,580,320 NAV end of period $ 148,420,028 $ 230,227,830 Percentage change in NAV (5.7 )% (13.6 )% Shares outstanding beginning of period 10,150,947 4,676,565 Shares outstanding end of period 13,700,947 9,226,565 Percentage change in shares outstanding 35.0 % 97.3 % Shares created 7,500,000 6,760,000 Shares redeemed 3,950,000 2,210,000 Per share NAV beginning of period $ 15.50 $ 57.00 Per share NAV end of period $ 10.83 $ 24.95 Percentage change in per share NAV (30.1 )% (56.2 )% Percentage change in benchmark (29.4 )% (55.7 )% Benchmark annualized volatility 40.3 % 58.0 % 171 Table of Contents During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 10,150,947 outstanding Shares at December 31, 2023 to 13,700,947 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 4,676,565 outstanding Shares at December 31, 2022 to 9,226,565 outstanding Shares at June 30, 2023 For the six months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 30.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 56.2% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024. The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023 Net investment income (loss) $ 2,587,545 $ 3,221,259 Management fee 646,437 1,048,314 Brokerage commission 79,663 191,888 Futures account fees 64,538 99,391 Net realized gain (loss) (59,266,488 ) (173,336,606 ) Change in net unrealized appreciation (depreciation) 6,991,389 (20,173,227 ) Net Income (loss) $ (49,687,554 ) $ (190,288,574 ) The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the six months ended June 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. 172 Table of Contents