What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-11-18 compared with 2024-08-08 · 748 added, 525 removed, 2876 unchanged (31% of the section changed)

21 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30,

(As Restated)

Short-term U.S.

13 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

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

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

Short-term U.S.

4 unchanged sentences

5.226 % due 10/24/24

5.120 % due 11/05/24

4.801 % due 11/19/24

Total short-term U.S.

2 unchanged sentences

Futures Contracts Sold

Notional Amount

(Depreciation)/Value

VIX Futures - Cboe, expires July 2024

VIX Futures - Cboe, expires August 2024

VIX Futures - Cboe, expires October 2024

VIX Futures - Cboe, expires November 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Total expenses

17 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

14 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

30 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

Short-term U.S.

7 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

12 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

6 unchanged sentences

5.120 % due 11/05/24 †

4.801 % due 11/19/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires September 2024

WTI Crude Oil - NYMEX, expires December 2024

WTI Crude Oil - NYMEX, expires June 2025

WTI Crude Oil - NYMEX, expires December 2025

Total Return Swap Agreements ^

8 unchanged sentences

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

Total Unrealized

Total Unrealized Appreciation

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2024.

The positions and counterparties herein are as of September 30, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

7 unchanged sentences

Swap agreements

( 105,727,226

Short-term U.S.

8 unchanged sentences

Net realized and unrealized gain (loss)

( 125,867,824

Net income (loss)

( 121,125,079

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

7 unchanged sentences

( 410,456,780

( 101,469,906

( 456,128,770

Net investment income (loss)

2 unchanged sentences

Net income (loss)

( 121,125,079

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

8 unchanged sentences

1,094,650,743

9,194,559,106

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

23 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

(As Restated)

Short-term U.S.

14 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

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

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

Short-term U.S.

government and agency obligations

( 50 % of shareholders’ equity)

Treasury Bills ^^

5.256 % due 10/10/24

5.226 % due 10/24/24

5.120 % due 11/05/24

4.801 % due 11/19/24

Total short-term U.S.

government and agency obligations

(cost $ 323,763,134 )

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

Natural Gas - NYMEX, expires September 2024

1,081,079,760

Natural Gas - NYMEX, expires November 2024

1,304,417,980

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

9 unchanged sentences

( 402,539,202

( 1,418,539,604

Swap agreements

4 unchanged sentences

( 402,539,202

( 1,441,441,743

Change in net unrealized appreciation (depreciation) on

9 unchanged sentences

( 173,392,209

( 338,935,818

( 1,246,866,654

Net income (loss)

1 unchanged sentence

( 167,358,156

( 325,551,071

( 1,230,421,982

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,141,021,278

Addition of 24,350,000 , 13,792,500 , 64,450,000 and 32,765,000 shares, respectively

Addition of 10,350,000 , 2,590,000 , 23,240,000 and 9,143,000 shares, respectively (Note 1) (Note 8)

1,667,588,651

3,899,918,459

Redemption of 33,900,000 , 12,825,000 , 55,350,000 and 17,957,500 shares, respectively

Redemption of 6,180,000 , 2,650,666 , 17,250,000 and 6,242,166 shares, respectively (Note 1) (Note 8)

( 331,187,266

2 unchanged sentences

( 2,385,308,309

Net addition (redemption) of ( 9,550,000 ), 967,500 , 9,100,000 and 14,807,500 shares, respectively

Net addition (redemption) of 4,170,000 , ( 60,666 ), 5,990,000 and 2,900,834 shares, respectively (Note 1) (Note 8)

( 103,323,841

4 unchanged sentences

( 402,539,202

( 1,441,441,743

Change in net unrealized appreciation (depreciation)

3 unchanged sentences

( 167,358,156

Shareholders’ equity, end of period

( 325,551,071

( 1,230,421,982

Shareholders’ equity, end of period

See accompanying notes to financial statements.

1 unchanged sentence

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

6 unchanged sentences

( 470,623,691

( 10,927,044,661

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

12 unchanged sentences

( 628,600,080

( 1,289,656,094

Cash flow from financing activities

14 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

Segregated cash balances with brokers for foreign currency forward contracts

15 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Foreign Currency Forward Contracts ^

9 unchanged sentences

Contracts to Sell

Euro with Goldman Sachs International

Euro with UBS AG

Total Unrealized

The positions and counterparties herein are as of June 30, 2024.

Total Unrealized Depreciation

The positions and counterparties herein are as of September 30, 2024.

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

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

15 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

15 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

Short-term U.S.

3 unchanged sentences

Unrealized appreciation on swap agreements

Receivable on open futures contracts

Interest receivable

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

Payable to Sponsor

Unrealized depreciation on swap agreements

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

Short-term U.S.

5 unchanged sentences

5.120 % due 11/05/24

4.801 % due 11/19/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Gold Futures - COMEX, expires August 2024

Gold Futures - COMEX, expires December 2024

Total Return Swap Agreements ^

Notional Amount

(Depreciation)/Value

(Depreciation)/

Swap agreement with Citibank, N.A.

2 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized

Total Unrealized Appreciation

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2024.

The positions and counterparties herein are as of September 30, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

22 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 550,000 , 350,000 , 1,550,000 and 850,000 shares, respectively

( 119,206,177

Net addition (redemption) of 300,000 , ( 300,000 ), 100,000 and ( 350,000 ) shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

19 unchanged sentences

Payment on shares redeemed

( 114,385,981

Net cash provided by (used in) financing activities

Net increase (decrease) in cash

( 100,542,981

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

Short-term U.S.

2 unchanged sentences

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

Interest receivable

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

12 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

6 unchanged sentences

5.120 % due 11/05/24 †

4.801 % due 11/19/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Silver Futures - COMEX, expires September 2024

Silver Futures - COMEX, expires December 2024

Total Return Swap Agreements ^

9 unchanged sentences

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of June 30, 2024.

The positions and counterparties herein are as of September 30, 2024.

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

1 unchanged sentence

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

10 unchanged sentences

Net realized gain (loss)

( 129,011,251

Change in net unrealized appreciation (depreciation) on

4 unchanged sentences

Change in net unrealized appreciation (depreciation)

( 119,017,342

Net realized and unrealized gain (loss)

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

3 unchanged sentences

( 359,776,072

( 117,305,797

Net addition (redemption) of 1,200,000 , 50,000 , 2,150,000 and 200,000 shares, respectively

1 unchanged sentence

Net realized gain (loss)

Change in net unrealized appreciation (depreciation)

( 129,011,251

Change in net unrealized appreciation (depreciation)

Net income (loss)

3 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

12 unchanged sentences

Change in unrealized (appreciation) depreciation on investments

Decrease (Increase) in receivable on open futures contracts

Decrease (Increase) in interest receivable

2 unchanged sentences

Net cash provided by (used in) operating activities

( 145,601,373

Cash flow from financing activities

2 unchanged sentences

( 347,614,349

( 118,921,179

Net cash provided by (used in) financing activities

Net increase (decrease) in cash

( 120,410,905

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

(As Restated)

Short-term U.S.

4 unchanged sentences

Liabilities and shareholders’ equity

Payable on open futures contracts

Brokerage commissions and futures account fees payable

5 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

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

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

4 unchanged sentences

5.256 % due 10/10/24

5.226 % due 10/24/24

5.120 % due 11/05/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires July 2024

VIX Futures - Cboe, expires August 2024

VIX Futures - Cboe, expires October 2024

VIX Futures - Cboe, expires November 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

24 unchanged sentences

( 685,552,251

( 651,819,214

Net income (loss)

1 unchanged sentence

( 678,999,178

( 647,096,387

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 19,350,000 , 2,680,000 , 29,200,000 and 6,942,000 shares, respectively (Note 1)

1,109,114,165

Redemption of 17,750,000 , 3,380,676 , 26,021,248 and 5,308,676 shares, respectively (Note 1)

13 unchanged sentences

( 678,999,178

( 647,096,387

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

24 unchanged sentences

Proceeds from addition of shares

1,099,388,535

Payment on shares redeemed

4 unchanged sentences

( 112,500,874

( 396,030,700

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

1 unchanged sentence

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

14 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Foreign Currency Forward Contracts ^

11 unchanged sentences

Contracts to Sell

Yen with Goldman Sachs International

( 604,074,000

Yen with UBS AG

1 unchanged sentence

Total Unrealized Appreciation

The positions and counterparties herein are as of June 30, 2024.

The positions and counterparties herein are as of September 30, 2024.

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

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

15 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

15 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

20 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

11 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires September 2024

WTI Crude Oil - NYMEX, expires December 2024

WTI Crude Oil - NYMEX, expires June 2025

WTI Crude Oil - NYMEX, expires December 2025

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

20 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

14 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

17 unchanged sentences

Net cash provided by (used in) operating activities

( 125,626,099

Cash flow from financing activities

4 unchanged sentences

Net cash provided by (used in) financing activities

( 169,414,095

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

(As Restated)

Short-term U.S.

5 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

6 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding (Note 1)

Net asset value per share (Note 1)

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

Shares outstanding

Net asset value per share

Market value per share (Note 2)

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

5 unchanged sentences

5.226 % due 10/24/24

5.120 % due 11/05/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires September 2024

Natural Gas - NYMEX, expires November 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

12 unchanged sentences

Futures contracts

( 106,199,730

Short-term U.S.

1 unchanged sentence

Change in net unrealized appreciation (depreciation)

( 106,209,898

Net realized and unrealized gain (loss)

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 2,700,000 , 11,000,000 , 16,700,000 and 38,700,000 shares, respectively (Note 1)

1,128,672,428

Redemption of 3,250,000 , 12,500,000 , 17,200,000 and 45,000,000 shares, respectively (Note 1)

8 unchanged sentences

Change in net unrealized appreciation (depreciation)

( 106,209,898

Net income (loss)

3 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

19 unchanged sentences

Proceeds from addition of shares

1,116,379,999

Payment on shares redeemed

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

16 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Foreign Currency Forward Contracts ^

Settlement Date

Contract Amount

9 unchanged sentences

Euro with UBS AG

Total Unrealized Appreciation

The positions and counterparties herein are as of June 30, 2024.

Total Unrealized Depreciation

The positions and counterparties herein are as of September 30, 2024.

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

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

19 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

22 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

1 unchanged sentence

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable on open futures contracts

1 unchanged sentence

Liabilities and shareholders’ equity

Payable on open futures contracts

Payable to Sponsor

11 unchanged sentences

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Gold Futures - COMEX, expires August 2024

Gold Futures - COMEX, expires December 2024

Total Return Swap Agreements ^

5 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized Appreciation

The positions and counterparties herein are as of June 30, 2024.

Total Unrealized

The positions and counterparties herein are as of September 30, 2024.

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

New counterparties can be added at any time.

Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

18 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

17 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

1 unchanged sentence

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable from capital shares sold

2 unchanged sentences

Liabilities and shareholders’ equity

Payable on open futures contracts

Payable to Sponsor

5 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

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

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Silver Futures - COMEX, expires September 2024

Silver Futures - COMEX, expires December 2024

Total Return Swap Agreements ^

7 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Silver Subindex

Total Unrealized Appreciation

The positions and counterparties herein are as of June 30, 2024.

Total Unrealized

The positions and counterparties herein are as of September 30, 2024.

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

New counterparties can be added at any time.

Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

5 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

20 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 7,600,000 , 2,450,000 , 9,000,000 and 3,100,000 shares, respectively

Redemption of 2,250,000 , 2,600,000 , 5,800,000 and 3,800,000 shares, respectively

Net addition (redemption) of 5,350,000 , ( 150,000 ), 3,200,000 and ( 700,000 ) shares, respectively

Addition of 687,500 , 737,500 , 2,937,500 and 1,512,500 shares, respectively (Note 8)

Redemption of 1,537,500 , 775,000 , 2,987,500 and 1,725,000 shares, respectively (Note 8)

( 167,422,544

( 137,958,635

Net addition (redemption) of ( 850,000 ), ( 37,500 ), ( 50,000 ) and ( 212,500 ) shares, respectively (Note 8)

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

12 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in payable on open futures contracts

Net cash provided by (used in) operating activities

2 unchanged sentences

Payment on shares redeemed

( 167,422,544

( 137,958,635

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

10 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

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

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Foreign Currency Forward Contracts ^

5 unchanged sentences

Contracts to Purchase

Yen with Goldman Sachs International

Yen with UBS AG

7 unchanged sentences

Total Unrealized

The positions and counterparties herein are as of June 30, 2024.

The positions and counterparties herein are as of September 30, 2024.

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

4 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

19 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 200,000 , 250,000 , 300,000 and 450,000 shares, respectively

Redemption of 100,000 , 300,000 , 150,000 and 450,000 shares, respectively

Net addition (redemption) of 100,000 , ( 50,000 ), 150,000 and – shares, respectively

Addition of 300,000 , – , 900,000 and 900,000 shares, respectively (Note 8)

Redemption of 400,000 , 100,000 , 700,000 and 1,000,000 shares, respectively (Note 8)

Net addition (redemption) of ( 100,000 ), ( 100,000 ), 200,000 and ( 100,000 ) shares, respectively (Note 8)

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

18 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

Short-term U.S.

government and agency obligations (Note 3) (cost $ 49,519,896 and $ – , respectively)

Segregated cash balances with brokers for futures contracts

2 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

Brokerage commissions and futures account fees payable

9 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

Principal Amount

Short-term U.S.

government and agency obligations

( 148 % of shareholders’ equity)

Treasury Bills ^^

5.295 % due 09/05/24

Total short-term U.S.

government and agency obligations

(cost $ 49,519,896 )

SEPTEMBER 30, 2024

Futures Contracts Purchased

1 unchanged sentence

(Depreciation)/Value

VIX Futures - Cboe, expires October 2024

VIX Futures - Cboe, expires November 2024

VIX Futures - Cboe, expires December 2024

VIX Futures - Cboe, expires January 2025

Rates shown represent discount rate at the time of purchase.

VIX Futures - Cboe, expires February 2025

VIX Futures - Cboe, expires March 2025

VIX Futures - Cboe, expires April 2025

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

18 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

2 unchanged sentences

( 139,822,378

( 129,715,182

Net addition (redemption) of 250,000 , 675,000 , 325,000 and 325,000 shares, respectively

5 unchanged sentences

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

Cash flow from operating activities

19 unchanged sentences

Payment on shares redeemed

( 139,822,378

Net cash provided by (used in) financing activities

5 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

September 30, 2024

December 31, 2023

(As Restated)

Short-term U.S.

12 unchanged sentences

Total liabilities and shareholders’ equity

Shares outstanding

Net asset value per share

Market value per share (Note 2)

Shares outstanding (Note 8)

Net asset value per share (Note 8)

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

See accompanying notes to financial statements.

1 unchanged sentence

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

SEPTEMBER 30, 2024

Principal Amount

5 unchanged sentences

5.226 % due 10/24/24

5.120 % due 11/05/24

4.801 % due 11/19/24

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires July 2024

VIX Futures - Cboe, expires August 2024

VIX Futures - Cboe, expires October 2024

VIX Futures - Cboe, expires November 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

8 unchanged sentences

( 228,276,043

( 173,326,001

Short-term U.S.

2 unchanged sentences

( 228,286,648

( 173,336,606

Change in net unrealized appreciation (depreciation) on

5 unchanged sentences

( 206,618,684

( 193,509,833

Net income (loss)

( 201,676,176

( 190,288,574

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 3,700,000 , 4,460,000 , 7,500,000 and 6,760,000 shares, respectively

Redemption of 2,600,000 , 255,000 , 3,950,000 and 2,210,000 shares, respectively

Addition of 2,637,500 , 618,750 , 4,512,500 and 2,308,750 shares, respectively (Note 1) (Note 8)

Redemption of 2,725,000 , 656,405 , 3,712,500 and 1,208,905 shares, respectively (Note 1) (Note 8)

( 158,267,320

Net addition (redemption) of 1,100,000 , 4,205,000 , 3,550,000 and 4,550,000 shares, respectively

( 213,113,775

( 177,723,746

Net addition (redemption) of ( 87,500 ), ( 37,655 ), 800,000 and 1,099,845 shares, respectively (Note 1) (Note 8)

Net investment income (loss)

1 unchanged sentence

( 228,286,648

( 173,336,606

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

( 201,676,176

( 190,288,574

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

23 unchanged sentences

( 213,113,775

( 178,294,219

Net cash provided by (used in) financing activities

5 unchanged sentences

COMBINED STATEMENTS OF FINANCIAL CONDITION

June 30, 2024

December 31, 2023

September 30,

(As Restated)

Short-term U.S.

3 unchanged sentences

Segregated cash balances with brokers for futures contracts

1,029,381,720

Segregated cash balances with brokers for foreign currency forward contracts

28 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

9 unchanged sentences

( 402,765,202

( 1,974,626,401

Swap agreements

6 unchanged sentences

( 301,922,238

( 1,823,054,591

Change in net unrealized appreciation (depreciation) on

2 unchanged sentences

Swap agreements

( 138,058,422

Foreign currency forward contracts

3 unchanged sentences

( 241,466,591

( 180,306,004

Net realized and unrealized gain (loss)

( 1,819,907,998

( 1,784,324,582

Net income (loss)

( 1,751,676,469

( 1,739,693,267

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

3 unchanged sentences

3,887,786,746

Addition of 71,630,000 , 61,415,500 , 148,575,000 and 132,237,000 shares, respectively (Note 1)

1,659,368,580

Addition of 74,300,000 , 38,976,250 , 159,240,000 and 138,056,250 shares, respectively (Note 1) (Note 8)

2,755,933,016

1 unchanged sentence

6,212,835,038

Redemption of 77,581,248 , 58,115,000 , 136,071,248 and 124,395,500 shares, respectively (Note 1)

8,495,699,775

Redemption 64,667,500 , 42,587,747 , 149,296,248 and 148,559,747 shares, respectively (Note 1) (Note 8)

( 2,396,205,904

1 unchanged sentence

( 6,023,346,239

Net addition (redemption) of ( 5,951,248 ), 3,300,500 , 12,503,752 and 7,841,500 shares, respectively (Note 1)

( 7,331,350,675

Net addition (redemption) of 9,632,500 , ( 3,611,497 ), 9,943,752 and ( 10,503,497 ) shares, respectively (Note 1) (Note 8)

( 441,402,958

4 unchanged sentences

( 301,922,238

Change in net unrealized appreciation (depreciation)

( 1,823,054,591

Change in net unrealized appreciation (depreciation)

( 241,466,591

1 unchanged sentence

( 1,751,676,469

( 1,739,693,267

Shareholders’ equity, end of period

6 unchanged sentences

COMBINED STATEMENTS OF CASH FLOWS

Six Months Ended

Nine Months Ended

September 30,

(As Restated)

Cash flow from operating activities

31 unchanged sentences

1,149,305,309

1,596,557,345

Net increase (decrease) in cash

( 820,860,846

( 337,667,681

Cash, beginning of period

7 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

June 30, 2024

September 30, 2024

NOTE 1 - ORGANIZATION

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

As of June 30, 2024, the following sixteen series of the Trust have commenced investment operations:

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

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

As of September 30, 2024, the following sixteen series of the Trust have commenced investment operations:

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

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

12 unchanged sentences

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

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.

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

2 unchanged sentences

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

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

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

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

Share Splits and Reverse Share Splits

The table below includes forward and reverse Share splits for the Funds during the six months June 30, 2024, and during the year ended December 31, 2023.

The table below includes forward and reverse Share splits for the Funds during the nine months September 30, 2024, and during the year ended December 31, 2023.

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

2 unchanged sentences

Type of Split

Post-Split Price

Date Trading Resumed at Post-

ProShares VIX Short-Term Futures

26 unchanged sentences

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

Restatement of Previously Issued Form 10-Q and Form 10-K Filings

ProShares Trust II (the “Trust”) identified an error related to the classification of amounts on the Statements of Financial Condition between “Segregated cash balances with brokers for futures contracts” and “Receivable (Payable) on open futures contracts” for Trust filings for each quarterly Form 10-Q and annual Form 10-K filing for the period December 31, 2021, through June 30, 2024, for five Funds.

The Statement of Cash Flows was the only other statement affected by these misclassifications.

No other financial statement or financial statement disclosure in the Forms 10-Q or Form 10-K filings were affected by these errors.

The misclassifications did not change the Shareholder Equity, net asset value per share, or total return of any Fund.

The Funds impacted were:

ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares UltraShort Bloomberg Natural Gas, and ProShares VIX Short-Term Futures ETF (the “Affected Funds”).

These misclassifications were caused by a misinterpretation of amounts on a futures commission merchant statement and resulted in reclassifications between accounts.

There is no impact on the Affected Funds’ performance, investment results, net asset values or income.

The impact of these adjustments is shown in the table below.

Statements of Financial Condition

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

Receivable on open futures contracts

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

September 30, 2023 (unaudited)

As Previously

Statements of Cash Flows

Decrease (Increase) in receivable on open futures contracts

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

Net Increase (decrease) in cash

Cash, beginning of period

Cash, End of period

Statements of Financial Condition

PROSHARES ULTRA BLOOMBERG NATURAL GAS

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

Receivable on open futures contracts

( 117,168,017

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

September 30, 2023 (unaudited)

As Previously

Statements of Cash Flows

Decrease (Increase) in receivable on open futures contracts

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

( 1,243,230,374

( 1,289,656,094

Net Increase (decrease) in cash

Cash, beginning of period

Cash, End of period

Statements of Financial Condition

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

Receivable on open futures contracts

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

Statements of Cash Flows

September 30, 2023 (unaudited)

As Previously

Decrease (Increase) in receivable on open futures contracts

( 153,781,216

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

( 561,176,813

( 154,336,913

( 715,513,726

Net Increase (decrease) in cash

( 241,693,787

( 154,336,913

( 396,030,700

Cash, beginning of period

Cash, End of period

Statements of Financial Condition

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

Receivable on open futures contracts

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

Statements of Cash Flows

September 30, 2023 (unaudited)

As Previously

Decrease (Increase) in receivable on open futures contracts

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

Net Increase (decrease) in cash

Cash, beginning of period

Cash, End of period

Statements of Financial Condition

PROSHARES VIX SHORT-TERM FUTURES ETF

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

Receivable on open futures contracts

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

Statements of Cash Flows

September 30, 2023 (unaudited)

As Previously

Decrease (Increase) in receivable on open futures contracts

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

( 182,031,152

( 219,949,973

Net Increase (decrease) in cash

Cash, beginning of period

Cash, End of period

Statements of Financial Condition

PROSHARES TRUST II

December 31, 2023

As Previously

Segregated cash balances withbrokers for futures contracts

1,029,381,720

Receivable on open futures contracts

( 207,887,965

3,359,443,290

3,370,218,607

Liabilities and shareholders’ equity

Payble on open futures contracts

Total Liabilities

Total liabilities and shareholders’ equity

3,359,443,290

3,370,218,607

Statements of Cash Flows

September 30, 2023 (unaudited)

As Previously

Decrease (Increase) in receivable on open futures contracts

( 279,988,407

Increase (Decrease) in payable on futures contracts

Net Cash provided by (used in) operating activities

( 1,216,466,313

( 270,506,677

( 1,486,972,990

Net Increase (decrease) in cash

( 270,506,677

( 337,667,681

Cash, beginninng of period

1,826,767,616

2,276,152,772

Cash, End of period

1,759,606,612

1,938,485,091

NR - Not Restated.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting

Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements.

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

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

and the rules and regulations of the U.S.

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

Securities and Exchange Commission (“SEC”).

1 unchanged sentence

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

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

for the year ended December 31, 2023, as filed with the SEC on February 28, 2024.

These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2023, as filed with the SEC on February 28, 2024.

Use of Estimates & Indemnifications

9 unchanged sentences

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2024 were typically as follows.

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2024 were typically as follows.

All times are Eastern Standard Time:

3 unchanged sentences

Ultra Silver and UltraShort Silver

June 28, 2024

September 30, 2024

Ultra Gold and UltraShort Gold

June 28, 2024

September 30, 2024

Ultra Bloomberg Crude Oil,

2 unchanged sentences

UltraShort Bloomberg Natural Gas

June 28, 2024

September 30, 2024

UltraShort Euro and

UltraShort Yen

June 28, 2024

September 30, 2024

Short VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Futures ETF and

VIX Mid-Term Futures ETF and

VIX Short-Term Futures ETF

June 28, 2024

Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 2024.

September 30, 2024

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

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

Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the six months ended June 30, 2024.

Investment Valuation

11 unchanged sentences

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 generally be 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 industry standards.

equitable so long as such principles are consistent with industry standards.

The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted.

18 unchanged sentences

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

The following table summarizes the valuation of investments at June 30, 2024 using the fair value hierarchy:

The following table summarizes the valuation of investments at September 30, 2024 using the fair value hierarchy:

Level I - Quoted Prices

6 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

( 153,035,669

ProShares Ultra Euro

9 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

2 unchanged sentences

1,940,584,151

1,447,014,694

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

20 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

2 unchanged sentences

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

There were no transfers into or out of Level 3 for the quarter ended June 30, 2024 or the year ended December 31, 2023.

There were no transfers into or out of Level 3 for the period ended September 30, 2024 or the year ended December 31, 2023.

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

7 unchanged sentences

Brokerage Commissions and Futures Account Fees

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

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

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

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

11 unchanged sentences

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

On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going

analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

10 unchanged sentences

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

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

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

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

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

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

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

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

At June 30, 2024, the Trust did not have any open repurchase agreements.

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

At September 30, 2024, the Trust did not have any open repurchase agreements.

Accounting for Derivative Instruments

21 unchanged sentences

Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day.

Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

Futures contracts prices could move to the limit

for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses.

If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin.

23 unchanged sentences

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

Over-the-counter

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

The over-the-counter

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

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

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

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

8 unchanged sentences

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

Swap agreements are two-party

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

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

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

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

20 unchanged sentences

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

All of the outstanding swap agreements at June 30, 2024

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

All of the outstanding swap agreements at September 30, 2024 contractually terminate within one month but may be terminated without penalty by either party at any time.

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

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

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

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

by the Funds.

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

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

6 unchanged sentences

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

As of June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

As of September 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

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

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

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

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

Forward Contracts

6 unchanged sentences

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

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

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

Certain non-deliverable

forward contracts, such as non-deliverable

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

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

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

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

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

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

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

by the Funds.

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

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

6 unchanged sentences

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

As of June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

As of September 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

4 unchanged sentences

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

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

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

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

Fair Value of Derivative Instruments as of June 30, 2024

Fair Value of Derivative Instruments as of September 30, 2024

Asset Derivatives

8 unchanged sentences

VIX Futures Contracts

Receivable on open

futures contracts

Receivable on open futures contracts

Payable on open

futures contracts

ProShares Short VIX

Short-Term Futures ETF

ProShares Ultra VIX

Short-Term Futures ETF

ProShares VIX

ProShares VIX Short-

Term Futures ETF

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

Commodities Contracts

Receivables on

contracts and/or

appreciation on

swap agreements

Payable on open

futures contracts

and/or unrealized

depreciation on

swap agreements

ProShares Ultra

Bloomberg Crude Oil

ProShares Ultra

Bloomberg Natural Gas

Receivables on open futures contracts and/or unrealized appreciation on swap agreements

Payable on open futures contracts and/or unrealized depreciation on swap agreements

ProShares Ultra Bloomberg Crude Oil

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort

Bloomberg Crude Oil

ProShares UltraShort

Bloomberg Natural Gas

ProShares UltraShort

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

Foreign Exchange Contracts

appreciation on

foreign currency

forward contracts

depreciation on

foreign currency

forward contracts

Unrealized appreciation on foreign currency forward contracts

Unrealized depreciation on foreign currency forward contracts

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust:

10 unchanged sentences

Statements of

Financial Condition

VIX Futures Contracts

Receivable on

ProShares Short VIX

Short-Term Futures ETF

ProShares Ultra VIX

Short-Term Futures ETF

ProShares VIX

ProShares VIX Short-

Term Futures ETF

Receivable on open futures contracts

Payable on open

futures contracts

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

Commodities Contracts

Receivables on

contracts and/or

appreciation on

swap agreements

ProShares Ultra

Bloomberg Crude Oil

ProShares Ultra

Bloomberg Natural Gas

Receivables on open futures contracts and/or unrealized appreciation on swap agreements

Payable on open futures contracts and/or unrealized depreciation on swap agreements

ProShares Ultra Bloomberg Crude Oil

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort

Bloomberg Crude Oil

ProShares UltraShort

Bloomberg Natural Gas

ProShares UltraShort

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

Foreign Exchange Contracts

appreciation on

foreign currency

forward contracts

Unrealized appreciation on foreign currency forward contracts

Unrealized depreciation on foreign currency forward contracts

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust:

2 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 2024

For the three months ended September 30, 2024

Derivatives Not Accounted

11 unchanged sentences

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

3 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

( 372,130,469

ProShares Ultra Gold

ProShares Ultra Silver

( 129,011,226

ProShares UltraShort Bloomberg Crude Oil

11 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 2024

For the nine months ended September 30, 2024

Derivatives Not Accounted

5 unchanged sentences

Recognized in

(Depreciation)

(Depreciation) on

Recognized in

VIX Futures Contracts

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

futures contracts

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

ProShares Short VIX Short-Term Futures ETF

1 unchanged sentence

( 185,028,990

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

11 unchanged sentences

Foreign Exchange Contracts

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

forward contracts

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

ProShares Ultra Euro

5 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 2023

For the three months ended September 30, 2023

Derivatives Not Accounted

5 unchanged sentences

Recognized in

(Depreciation)

(Depreciation) on

Recognized in

4 unchanged sentences

( 142,584,115

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

( 127,229,299

Commodities Contracts

5 unchanged sentences

ProShares Ultra Silver

( 119,061,722

ProShares UltraShort Bloomberg Crude Oil

3 unchanged sentences

Foreign Exchange Contracts

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

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

ProShares Ultra Euro

5 unchanged sentences

The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 2023

For the nine months ended September 30, 2023

Derivatives Not Accounted

5 unchanged sentences

Recognized in

(Depreciation)

(Depreciation) on

Recognized in

VIX Futures Contracts

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

agreements/ changes in unrealized appreciation (depreciation) on

futures contracts and/or swap agreements

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

ProShares Short VIX Short-Term Futures ETF

1 unchanged sentence

( 751,122,089

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

9 unchanged sentences

ProShares UltraShort Bloomberg Natural Gas

( 106,199,730

ProShares UltraShort Gold

15 unchanged sentences

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

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2024.

Fair Values of Derivative Instruments as of June 30, 2024

Fair Values of Derivative Instruments as of September 30, 2024

Gross Amounts

36 unchanged sentences

Foreign currency forward contracts

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2024.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2024.

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

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

These amounts may be un-collateralized

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

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2024

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

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2024

Amounts of Recognized Assets /

39 unchanged sentences

Fair Values of Derivative Instruments as of December 31, 2023

Gross Amounts

of Recognized

Assets presented

Statements of

Gross Amounts

Offset in the

Statements of

Net Amounts of

Assets presented

Statements of

1 unchanged sentence

of Recognized

presented in the

Statements of

3 unchanged sentences

Net Amounts of

presented in the

Statements of

20 unchanged sentences

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

These amounts may be un-collateralized

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

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023

Amounts of Recognized

Assets / (Liabilities)

presented in the

Statements of Financial

for the Benefit of (the

Counterparties

Cash Collateral for the

Benefit of (the Funds) /

Amounts of Recognized Assets /

(Liabilities) presented in the

Statements of Financial Condition

Financial Instruments for

the Benefit of (the Funds) /

the Counterparties

Cash Collateral for the

Benefit of (the Funds) / the

Counterparties

ProShares Ultra Bloomberg Crude Oil

36 unchanged sentences

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

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

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

Non-Recurring

Fees and Expenses

Each Fund pays all of its non-recurring

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

Non-recurring

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

Non-Recurring Fees and Expenses

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

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

The Administrator

37 unchanged sentences

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

Transaction fees three and six months ended June 30, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Transaction fees three and nine months ended September 30, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Three Months Ended

Six Months Ended

June 30, 2024

September 30, 2024

Nine Months Ended

September 30, 2024

ProShares Short VIX Short-Term Futures ETF

12 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

1 unchanged sentence

NOTE 6 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2024

For the Three Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

Selected data for a Share outstanding throughout the three months ended September 30, 2024

For the Three Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Net asset value, at March 31, 2024

Natural Gas **

Net asset value, at June 30, 2024

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2024

Market value per share, at March 31, 2024 †

Net asset value, at September 30, 2024

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

4 unchanged sentences

See Note 1 of these Notes to Financial Statements.

See Note 8 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

Percentages are not annualized for the period ended June 30, 2024.

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

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

For the Three Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

Percentages are not annualized for the period ended September 30, 2024.

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

For the Three Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Natural Gas *

Net asset value, at March 31, 2024

Net asset value, at June 30, 2024

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2024

Market value per share, at March 31, 2024 †

Net asset value, at September 30, 2024

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

7 unchanged sentences

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

Percentages are not annualized for the period ended June 30, 2024.

Percentages are not annualized for the period ended September 30, 2024.

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

For the Three Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

Net asset value, at March 31, 2024

For the Three Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Net asset value, at June 30, 2024

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2024

Market value per share, at March 31, 2024 †

Net asset value, at September 30, 2024

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

3 unchanged sentences

Net investment income gain (loss)

See Note 8 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

Percentages are not annualized for the period ended June 30, 2024.

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

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

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

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

Per Share Operating Performance

Percentages are not annualized for the period ended September 30, 2024.

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

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

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

Per Share Operating

Futures ETF *

Natural Gas **

Net asset value, at March 31, 2023

Net asset value, at June 30, 2023

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2023

Market value per share, at March 31, 2023 †

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

4 unchanged sentences

See Note 1 of these Notes to Financial Statements.

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

Percentages are annualized.

1 unchanged sentence

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

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

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

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

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

Per Share Operating Performance

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

Per Share Operating

Futures ETF *

Natural Gas *

Net asset value, at March 31, 2023

Net asset value, at June 30, 2023

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2023

Market value per share, at March 31, 2023 †

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

7 unchanged sentences

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

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

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

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

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

Per Share Operating Performance

Net asset value, at March 31, 2023

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

Per Share Operating

Futures ETF **

Net asset value, at June 30, 2023

Net investment income (loss)

1 unchanged sentence

Change in net asset value from operations

Net asset value, at June 30, 2023

Market value per share, at March 31, 2023 †

Net asset value, at September 30, 2023

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

4 unchanged sentences

See Note 8 of these Notes to Financial Statements.

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

Percentages are annualized.

1 unchanged sentence

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

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

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

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

S elected Data for a Share Outstanding Throughout the six months Ended June

For the Six Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

S elected Data for a Share Outstanding Throughout the nine months Ended September 30, 2024

For the Nine Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Natural Gas **

Net asset value, at December 31, 2023

2 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2024

Net asset value, at September 30, 2024

Market value per share, at December 31, 2023 †

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

4 unchanged sentences

See Note 1 of these Notes to Financial Statements.

See Note 8 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

Percentages are not annualized for the period ended June 30, 2024.

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

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

For the Six Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

Percentages are not annualized for the period ended September 30, 2024.

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

For the Nine Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Natural Gas *

Net asset value, at December 31, 2023

2 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2024

Net asset value, at September 30, 2024

Market value per share, at December 31, 2023 †

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

7 unchanged sentences

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

Percentages are not annualized for the period ended June 30, 2024.

Percentages are not annualized for the period ended September 30, 2024.

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

For the Six Months Ended June 30, 2024 (unaudited)

Per Share Operating Performance

For the Nine Months Ended September 30, 2024 (unaudited)

Per Share Operating

Futures ETF *

Net asset value, at December 31, 2023

2 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2024

Net asset value, at September 30, 2024

Market value per share, at December 31, 2023 †

Market value per share, at June 30, 2024 †

Market value per share, at September 30, 2024 †

Total Return, at net asset value^

3 unchanged sentences

Net investment income gain (loss)

See Note 8 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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

Percentages are not annualized for the period ended June 30, 2024.

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

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

Selected Data for a Share Outstanding Throughout the six months Ended June 30, 2023

For the Six Months Ended June 30, 2023 (unaudited)

Per Share Operating Performance

Percentages are not annualized for the period ended September 30, 2024.

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

Selected Data for a Share Outstanding Throughout the nine months Ended September 30, 2023

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

Per Share Operating

Futures ETF *

Natural Gas **

Net asset value, at December 31, 2022

2 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2023

Net asset value, at September 30, 2023

Market value per share, at December 31, 2022 †

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

4 unchanged sentences

See Note 1 of these Notes to Financial Statements.

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

Percentages are annualized.

1 unchanged sentence

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

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

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

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

For the Six Months Ended June 30, 2023 (unaudited)

Per Share Operating Performance

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

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

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

Per Share Operating

Futures ETF *

Natural Gas *

Net asset value, at December 31, 2022

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Change in net asset value from operations

Net asset value, at June 30, 2023

Net asset value, at September 30, 2023

Market value per share, at December 31, 2022 †

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

7 unchanged sentences

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

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

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

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

For the Six Months Ended June 30, 2023 (unaudited)

Per Share Operating Performance

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

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

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

Per Share Operating

Futures ETF **

Net asset value, at December 31, 2022

2 unchanged sentences

Change in net asset value from operations

Net asset value, at June 30, 2023

Net asset value, at September 30, 2023

Market value per share, at December 31, 2022 †

Market value per share, at June 30, 2023 †

Market value per share, at September 30, 2023 †

Total Return, at net asset value^

4 unchanged sentences

See Note 8 of these Notes to Financial Statements.

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

Percentages are annualized.

1 unchanged sentence

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

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

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

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

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

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

NOTE 7 – RISK

Correlation and Holding Period Risk

Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half

the inverse (-0.5x),

two times the inverse (-2x),

one and one-half

times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”).

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

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

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

the inverse (-0.5x),

two times the inverse (-2x),

one and one-half

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

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

This difference may be significant.

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

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

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

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

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

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

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

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

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

spreads on such Financial Instruments;

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

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

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The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements.

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

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

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

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

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Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place.

The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

The CFTC requirements include rules for some of the types of derivatives

transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements.

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

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

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

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

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

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

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

times (1.5x) multiplier) include a two times the inverse (-2x),

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

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

This would be the case with downward single-day

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

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

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times (1.5x) multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement.

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

Liquidity Risk

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The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future.

If all or a significant portion of the futures contracts held by

an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment.

If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment.

Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation.

7 unchanged sentences

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

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

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

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

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

Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund.

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

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NOTE 8 – SUBSEQUENT EVENTS

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

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

On October 28, 2024, the Trust announced a 2-for-1 forward split of the shares of beneficial interest of ProShares UltraShort Yen (ticker symbol:

YCS) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol:

ZSL) and ProShares VIX Short-Term Futures (ticker symbol:

VIXY) and a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol:

The splits were effective prior to market open on November 7, 2024 , when the funds began trading at its post-split price.

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

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

For ZSL, VIXY, BOIL shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 4 or 5), the Reverse Split will result in the creation of a fractional share.

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

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

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

What changed 10-Q

Item 1. Financial Statements