ProShares Trust II 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties \in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2023 and in this Quarterly Report on Form 10-Q for the period ended September 30, 2024, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Introduction Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (Collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). 126 Table of Contents ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Share Splits On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Splits were effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Splits increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. On March 20, 2024, the Trust issued a press release announcing a forward share split on ProShares Short VIX Short-Term Futures, ProShares UltraShort Bloomberg Natural Gas and a reverse share split on ProShares Ultra VIX Short-Term Futures. The Splits did not change the value of a shareholder’s investment. ProShares Short VIX Short-Term Futures executed a 2:1 Forward Split of its shares. ProShares UltraShort Bloomberg Natural Gas also executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on April 11, 2024, when the Funds begin trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares Ultra VIX Short-Term Futures executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on April 11, 2024, when the Fund began trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y755 for UVXY). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding. On October 28, 2024, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and a reverse share split on ProShares UltraShort Silver, ProShares VIX Short-Term Futures, ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on November 7, 2024, when the Funds began trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares UltraShort Silver and ProShares ProShares VIX Short-Term Futures executed a 1:4 Reverse Split of its shares and ProShares Ultra Bloomberg Natural Gas executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on November 7, 2024, when the Fund begins trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y722 for ZSL), (74347Y730 for VIXY), (74347Y748 for BOIL). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2024 and 2023, each of the Funds earned interest income as follows: 127 Table of Contents Fund Interest Income Three Months Ended September 30, 2024 Interest Income Three Months Ended September 30, 2023 Interest Income Nine Months Ended September 30, 2024 Interest Income Nine Months Ended September 30, 2023 ProShares Short VIX Short-Term Futures ETF $ 5,814,236 $ 2,624,180 $ 12,580,744 $ 7,170,512 ProShares Ultra Bloomberg Crude Oil 6,074,652 5,340,428 17,591,301 17,226,428 ProShares Ultra Bloomberg Natural Gas 7,125,254 9,098,504 19,996,081 26,923,732 ProShares Ultra Euro 61,969 80,746 211,272 266,165 ProShares Ultra Gold 3,315,167 1,837,846 8,148,441 5,470,056 ProShares Ultra Silver 7,482,201 3,343,905 17,362,781 10,419,483 ProShares Ultra VIX Short-Term Futures ETF 2,501,794 3,255,531 7,595,859 12,422,781 ProShares Ultra Yen 541,372 174,354 1,395,183 409,452 ProShares UltraShort Bloomberg Crude Oil 1,865,946 2,609,417 6,398,993 6,172,654 ProShares UltraShort Bloomberg Natural Gas 1,150,564 1,476,050 4,075,138 4,007,691 ProShares UltraShort Euro 400,294 523,684 1,288,483 1,764,550 ProShares UltraShort Gold 148,896 142,707 468,826 459,321 ProShares UltraShort Silver 672,005 337,096 1,650,859 860,908 ProShares UltraShort Yen 449,333 274,125 1,220,993 733,679 ProShares VIX Mid-Term Futures ETF 370,229 597,040 1,992,242 1,895,545 ProShares VIX Short-Term Futures ETF 1,554,282 2,271,345 4,932,465 6,832,197 Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. 128 Table of Contents Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a FCM; and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of November 5, 2024, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. 129 Table of Contents The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2024. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 130 Table of Contents Results of Operations for the Three Months Ended September 30, 2024 Compared to the Three Months Ended September 30, 2023 ProShares Short VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 298,712,515 $ 282,353,267 NAV end of period $ 364,574,356 $ 261,698,747 Percentage change in NAV 22.0 % (7.3 )% Shares outstanding beginning of period 4,868,614 6,668,614 Shares outstanding end of period 7,268,614 6,068,614 Percentage change in shares outstanding 49.3 % (9.0 )% Shares created 12,300,000 1,300,000 Shares redeemed 9,900,000 1,900,000 Per share NAV beginning of period $ 61.35 $ 42.34 Per share NAV end of period $ 50.16 $ 43.12 Percentage change in per share NAV (18.2 )% 1.9 % Percentage change in benchmark 13.7 % (6.1 )% Benchmark annualized volatility 130.9 % 52.0 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 4,868,614 outstanding Shares at June 30, 2024 to 7,268,614 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,668,614 outstanding Shares at June 30, 2023 to 6,068,614 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.2% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 1.9% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 4,269,606 $ 1,851,366 Management fee 1,173,293 634,871 Brokerage commission 346,441 137,943 Futures account fees 24,896 –  Net realized gain (loss) (7,503,293 )   30,285,323 Change in net unrealized appreciation (depreciation) (4,186,274 ) (26,317,147 )   Net Income (loss) $ (7,419,961 ) $ 5,819,542 The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. ProShares Ultra Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 527,486,095 $ 738,194,368 NAV end of period $ 593,222,255 $ 604,124,332 Percentage change in NAV 12.5 % (18.2 )% Shares outstanding beginning of period 15,743,096 31,093,096 Shares outstanding end of period 23,393,096 17,143,096 Percentage change in shares outstanding 48.6 % (44.9 )% Shares created 16,200,000 –  Shares redeemed 8,550,000 13,950,000 Per share NAV beginning of period $ 33.51 $ 23.74 Per share NAV end of period $ 25.36 $ 35.24 Percentage change in per share NAV (24.3 )% 48.4 % Percentage change in benchmark (12.6 )% 22.1 % Benchmark annualized volatility 26.2 % 18.4 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 15,743,096 outstanding Shares at June 30, 2024 to 23,393,096 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 31,093,096 outstanding Shares at June 30, 2023 to 17,143,096 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 24.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 48.4% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. 132 Table of Contents The benchmark’s decline of 12.6% for the three months ended September 30, 2024, as compared to the benchmark’s rise of 22.1% for the three months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 4,742,745 $ 3,659,529 Management fee 1,266,843 1,629,737 Brokerage commission 65,064 51,162 Net realized gain (loss) (66,826,014 ) 244,550,243 Change in net unrealized appreciation (depreciation) (59,041,810 )   28,176,972     Net Income (loss) $ (121,125,079 ) $ 276,386,744 The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2024. ProShares Ultra Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 540,643,821 $ 1,141,021,278 NAV end of period $ 651,821,105 $ 870,339,281 Percentage change in NAV 20.6 % (23.7 )% Shares outstanding beginning of period 6,933,709 3,284,375 Shares outstanding end of period 11,103,709 3,223,709 Percentage change in shares outstanding 60.1 % (1.8 )% Shares created 10,350,000 2,590,000 Shares redeemed 6,180,000 2,650,666 Per share NAV beginning of period $ 77.97 $ 347.41 Per share NAV end of period $ 58.70 $ 269.98 Percentage change in per share NAV (24.7 )% (22.3 )% Percentage change in benchmark (10.2 )% (9.2 )% Benchmark annualized volatility 44.5 % 39.6 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 6,933,709 outstanding Shares at June 30, 2024 to 11,103,709 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 3,284,375 outstanding Shares at June 30, 2023 to 3,223,709 outstanding Shares at September 30, 2023. 133 Table of Contents For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 24.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.3% for the three months ended September 30, 2023, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s decline of 10.2% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 9.2% for the three months ended September 30, 2023, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 4,917,857 $ 6,034,053 Management fee 1,479,083 2,303,082 Brokerage commission 681,738 629,541 Futures account fees 46,576 131,828 Net realized gain (loss) (372,130,469 )   237,080,036 Change in net unrealized appreciation (depreciation) 260,259,730 (410,472,245 )   Net Income (loss) $ (106,952,882 ) $ (167,358,156 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in average net assets, in conjunction with a greater decrease in the value of Henry Hub Natural Gas during the three months ended September 30, 2024. * See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 5,595,533 $ 7,535,435 NAV end of period $ 5,440,209 $ 6,523,481 Percentage change in NAV (2.8 )% (13.4 )% Shares outstanding beginning of period 500,000 650,000 Shares outstanding end of period 450,000 600,000 Percentage change in shares outstanding (10.0 )% (7.7 )% Shares created —  —  Shares redeemed 50,000 50,000 Per share NAV beginning of period $ 11.19 $ 11.59 Per share NAV end of period $ 12.09 $ 10.87 Percentage change in per share NAV 8.0 % (6.2 )% Percentage change in benchmark 3.9 % (3.1 )% Benchmark annualized volatility 5.4 % 6.7 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at June 30, 2024 to 450,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at June 30, 2023 to 600,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. 134 Table of Contents For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 3.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 48,936 $ 63,747 Management fee 13,033 16,999 Net realized gain (loss) 182,638 (22,385 ) Change in net unrealized appreciation (depreciation) 187,048 (462,400 ) Net Income (loss) $ 418,622 $ (421,038 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2024. 135 Table of Contents ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 216,456,025 $ 180,916,531 NAV end of period $ 298,882,222 $ 147,696,557 Percentage change in NAV 38.1 % (18.4 )% Shares outstanding beginning of period 2,800,000 3,100,000 Shares outstanding end of period 3,100,000 2,800,000 Percentage change in shares outstanding 10.7 % (9.7 )% Shares created 850,000 50,000 Shares redeemed 550,000 350,000 Per share NAV beginning of period $ 77.31 $ 58.36 Per share NAV end of period $ 96.41 $ 52.75 Percentage change in per share NAV 24.7 % (9.6 )% Percentage change in benchmark 12.9 % (3.9 )% Benchmark annualized volatility 14.3 % 9.5 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 2,800,000 outstanding Shares at June 30, 2024 to 3,100,000 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,100,000 outstanding Shares at June 30, 2023 to 2,800,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 24.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 12.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.9% for the three months ended September 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 2,677,335 $ 1,415,082 Management fee 628,619 417,418 Brokerage commission 9,213 5,346 Net realized gain (loss) 12,042,718 (16,875,865 ) Change in net unrealized appreciation (depreciation) 41,957,497    (540,686 )   Net Income (loss) $ 56,677,550 $ (16,001,469 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024. 136 Table of Contents ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 570,829,521 $ 356,791,659 NAV end of period $ 666,782,470 $ 327,996,075 Percentage change in NAV 16.8 % (8.1 )% Shares outstanding beginning of period 15,246,526 13,196,526 Shares outstanding end of period 16,446,526 13,246,526 Percentage change in shares outstanding 7.9 % 0.4 % Shares created 4,700,000 1,500,000 Shares redeemed 3,500,000 1,450,000 Per share NAV beginning of period $ 37.44 $ 27.04 Per share NAV end of period $ 40.54 $ 24.76 Percentage change in per share NAV 8.3 % (8.4 )% Percentage change in benchmark 6.3 % (2.6 )% Benchmark annualized volatility 32.0 % 23.4 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 15,246,526 outstanding Shares at June 30, 2024 to 16,446,526 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 13,196,526 outstanding Shares at June 30, 2023 to 13,246,526 outstanding Shares at September 30, 2023. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 6.3% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 2.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 6,019,174 $ 2,424,022 Management fee 1,417,159 892,009 Brokerage commission 45,868 27,874 Net realized gain (loss) (129,011,251 ) (30,251,410 )   Change in net unrealized appreciation (depreciation) 182,446,021    218,274 Net Income (loss) $ 59,453,944 $ (27,609,114 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024. 137 Table of Contents ProShares Ultra VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 232,135,198 $ 387,764,059 NAV end of period $ 285,351,963 $ 283,050,691 Percentage change in NAV 22.9 % (27.0 )% Shares outstanding beginning of period 9,843,643 4,195,568 Shares outstanding end of period 11,443,643 3,494,892 Percentage change in shares outstanding 16.3 % (16.7 )% Shares created 19,350,000 2,680,000 Shares redeemed 17,750,000 3,380,676 Per share NAV beginning of period $ 23.58 $ 92.42 Per share NAV end of period $ 24.94 $ 80.99 Percentage change in per share NAV 5.7 % (12.4 )% Percentage change in benchmark 13.7 % (6.1 )% Benchmark annualized volatility 130.9 % 52.0 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 9,843,643 outstanding Shares at June 30, 2024 to 11,443,643 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,195,568 outstanding Shares at June 30, 2023 to 3,494,892 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 12.4% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 1,321,242 $ 1,830,246 Management fee 583,266 803,793 Brokerage commission 534,432 517,699 Futures account fees 62,854 103,793 Net realized gain (loss) (36,612,258 ) (142,584,256 )   Change in net unrealized appreciation (depreciation) 14,570,793    108,851,219 Net Income (loss) $ (20,720,223 ) $ (31,902,791 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices, during the three months ended September 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. 138 Table of Contents ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 44,510,138 $ 12,330,974 NAV end of period $ 53,234,065 $ 17,508,248 Percentage change in NAV 19.6 % 42.0 % Shares outstanding beginning of period 2,199,970 449,970 Shares outstanding end of period 2,149,970 699,970 Percentage change in shares outstanding (2.3 )% 55.6 % Shares created 550,000 300,000 Shares redeemed 600,000 50,000 Per share NAV beginning of period $ 20.23 $ 27.40 Per share NAV end of period $ 24.76 $ 25.01 Percentage change in per share NAV 22.4 % (8.7 )% Percentage change in benchmark 11.9 % (3.4 )% Benchmark annualized volatility 12.9 % 8.9 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,199,970 outstanding Shares at June 30, 2024 to 2,149,970 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 449,970 outstanding Shares at June 30, 2023 to 699,970 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 22.4% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 8.7% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 11.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.4% for the three months ended September 30, 2023, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024. 139 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 422,494 $ 138,386 Management fee 118,878 35,968 Net realized gain (loss) 6,834,509 (1,854,770 )   Change in net unrealized appreciation (depreciation) 2,618,114     277,206 Net Income (loss) $ 9,875,117 $ (1,439,178 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2024. ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 177,620,038 $ 112,854,952 NAV end of period $ 96,729,953 $ 296,776,466 Percentage change in NAV (45.5 )% 163.0 % Shares outstanding beginning of period 11,405,220 4,405,220 Shares outstanding end of period 4,955,220 17,605,220 Percentage change in shares outstanding (56.6 )% 299.6 % Shares created 2,250,000 17,250,000 Shares redeemed 8,700,000 4,050,000 Per share NAV beginning of period $ 15.57 $ 25.62 Per share NAV end of period $ 19.52 $ 16.86 Percentage change in per share NAV 25.3 % (34.2 )% Percentage change in benchmark (12.6 )% 22.1 % Benchmark annualized volatility 26.2 % 18.4 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,405,220 outstanding Shares at June 30, 2024 to 4,955,220 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 4,405,220 outstanding Shares at June 30, 2023 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 25.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 34.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s decline of 12.6% for the three months ended September 30, 2024, as compared to the benchmark’s rise of 22.1% for the three months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024. 140 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 1,451,008 $ 2,006,197 Management fee 363,340 548,671 Brokerage commission 51,598 54,549 Net realized gain (loss) 12,329,186 (47,764,760 ) Change in net unrealized appreciation (depreciation) 28,466,868     (38,018,359 )   Net Income (loss) $ 42,247,062 $ (83,776,922 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2024. ProShares UltraShort Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 147,292,427 $ 141,324,963 NAV end of period $ 132,693,025 $ 111,663,062 Percentage change in NAV (9.9 )% (21.0 )% Shares outstanding beginning of period 2,983,712 5,133,712 Shares outstanding end of period 2,433,712 3,633,712 Percentage change in shares outstanding (18.4 )% (29.2 )% Shares created 2,700,000 11,000,000 Shares redeemed 3,250,000 12,500,000 Per share NAV beginning of period $ 49.37 $ 27.53 Per share NAV end of period $ 54.52 $ 30.73 Percentage change in per share NAV 10.4 % 11.6 % Percentage change in benchmark (10.2 )% (9.2 )% Benchmark annualized volatility 44.5 % 39.6 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,983,712 outstanding Shares at June 30, 2024 to 2,433,712 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,133,712 outstanding Shares at June 30, 2023 to 3,633,712 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.4% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 11.6% for the three months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. 141 Table of Contents The benchmark’s decline of 10.2% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 9.2% for the three months ended September 30, 2023, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 762,495 $ 1,013,760 Management fee 224,779 304,567 Brokerage commission 156,391 133,782 Futures account fees 6,899 23,941 Net realized gain (loss) 90,004,014 (10,798,625 ) Change in net unrealized appreciation (depreciation) (55,764,309 ) 44,086,822 Net Income (loss) $ 35,002,200 $ 34,301,957 The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the three months ended September 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. 142 Table of Contents ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 38,226,983 $ 50,931,301 NAV end of period $ 32,912,508 $ 44,004,408 Percentage change in NAV (13.9 )% (13.6 )% Shares outstanding beginning of period 1,200,000 1,750,000 Shares outstanding end of period 1,100,000 1,400,000 Percentage change in shares outstanding (8.3 )% (20.0 )% Shares created —  —  Shares redeemed 100,000 350,000 Per share NAV beginning of period $ 31.86 $ 29.10 Per share NAV end of period $ 29.92 $ 31.43 Percentage change in per share NAV (6.1 )% 8.0 % Percentage change in benchmark 3.9 % (3.1 )% Benchmark annualized volatility 5.4 % 6.7 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,200,000 outstanding Shares at June 30, 2024 to 1,100,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,750,000 outstanding Shares at June 30, 2023 to 1,400,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 3.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 315,526 $ 412,212 Management fee 84,768 111,472 Net realized gain (loss) (1,317,854 ) (122,866 )   Change in net unrealized appreciation (depreciation) (1,247,585 )   3,207,102 Net Income (loss) $ (2,249,913 ) $ 3,496,448 The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2024. 143 Table of Contents ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 16,131,791 $ 15,809,378 NAV end of period $ 18,058,490 $ 14,365,869 Percentage change in NAV 11.9 % (9.1 )% Shares outstanding beginning of period 746,977 546,977 Shares outstanding end of period 1,046,977 446,977 Percentage change in shares outstanding 40.2 % (18.3 )% Shares created 600,000 100,000 Shares redeemed 300,000 200,000 Per share NAV beginning of period $ 21.60 $ 28.90 Per share NAV end of period $ 17.25 $ 32.14 Percentage change in per share NAV (20.1 )% 11.2 % Percentage change in benchmark 12.9 % (3.9 )% Benchmark annualized volatility 14.3 % 9.5 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 746,977 outstanding Shares at June 30, 2024 to 1,046,977 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 546,977 outstanding Shares at June 30, 2023 to 446,977 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.1% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 12.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.9% for the three months ended September 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 113,799 $ 108,638 Management fee 34,177 32,970 Brokerage commission 920 1,099 Net realized gain (loss) (1,409,519 )   1,436,424 Change in net unrealized appreciation (depreciation) (1,762,993 ) (251,606 )   Net Income (loss) $ (3,058,713 ) $ 1,293,456 The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2024. 144 Table of Contents ProShares UltraShort Silver* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 76,198,743 $ 19,290,473 NAV end of period $ 32,222,722 $ 16,967,517 Percentage change in NAV (57.7 )% (12.0 )% Shares outstanding beginning of period 1,697,832 235,332 Shares outstanding end of period 847,832 197,832 Percentage change in shares outstanding (50.1 )% (15.9 )% Shares created 687,500 737,500 Shares redeemed 1,537,500 775,000 Per share NAV beginning of period $ 44.88 $ 81.97 Per share NAV end of period $ 38.01 $ 85.77 Percentage change in per share NAV (15.3 )% 4.6 % Percentage change in benchmark 6.3 % (2.6 )% Benchmark annualized volatility 32.0 % 23.4 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,697,832 outstanding Shares at June 30, 2024 to 847,832 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 235,332 outstanding Shares at June 30, 2023 to 197,832 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 4.6% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 6.3% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 2.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2024. 145 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 507,144 $ 245,155 Management fee 149,940 78,166 Brokerage commission 14,921 13,775 Net realized gain (loss) 5,993,727 6,921,431 Change in net unrealized appreciation (depreciation) (9,520,751 ) 61,770 Net Income (loss) $ (3,019,880 )   $ 7,228,356     The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Silver. ProShares UltraShort Yen* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 47,495,032 $ 27,077,656 NAV end of period $ 34,904,924 $ 26,172,191 Percentage change in NAV (26.5 )% (3.3 )% Shares outstanding beginning of period 997,160 797,160 Shares outstanding end of period 897,160 697,160 Percentage change in shares outstanding (10.0 )% (12.5 )% Shares created 300,000 – Shares redeemed 400,000 100,000 Per share NAV beginning of period $ 47.63 $ 33.97 Per share NAV end of period $ 38.91 $ 37.54 Percentage change in per share NAV (18.3 )% 10.5 % Percentage change in benchmark 11.9 % (3.4 )% Benchmark annualized volatility 12.9 % 8.9 % During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 997,160 outstanding Shares at June 30, 2024 to 897,160 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 797,160 outstanding Shares at June 30, 2023 to 697,160 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 10.5% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 11.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.4% for the three months ended September 30, 2023, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024. 146 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 356,054 $ 215,363 Management fee 93,279    58,762 Net realized gain (loss) (5,013,671 ) 3,079,208 Change in net unrealized appreciation (depreciation) (3,366,298 ) (1,059,246 )   Net Income (loss) $ (8,023,915 ) $ 2,235,325 The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 33,401,452 $ 49,421,413 NAV end of period $ 38,983,834 $ 59,968,024 Percentage change in NAV 16.7 % 21.3 % Shares outstanding beginning of period 2,337,403 2,412,403 Shares outstanding end of period 2,587,403 3,087,403 Percentage change in shares outstanding 10.7 % 28.0 % Shares created 825,000 850,000 Shares redeemed 575,000 175,000 Per share NAV beginning of period $ 14.29 $ 20.49 Per share NAV end of period $ 15.07 $ 19.42 Percentage change in per share NAV 5.5 % (5.2 )% Percentage change in benchmark 5.8 % (4.6 )% Benchmark annualized volatility 48.3 % 23.8 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,337,403 outstanding Shares at June 30, 2024 to 2,587,403 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,412,403 outstanding Shares at June 30, 2023 to 3,087,403 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 5.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. 147 Table of Contents The benchmark’s rise of 5.8% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 4.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 290,687 $ 461,209 Management fee 66,736 117,018 Brokerage commission 8,201 8,822 Futures account fees 4,605 9,991 Net realized gain (loss) 2,713,929     (12,244,511 )   Change in net unrealized appreciation (depreciation) 455,038 8,934,542 Net Income (loss) $ 3,459,654 $ (2,848,760 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2024. ProShares VIX Short-Term Futures ETF* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 NAV beginning of period $ 148,420,028 $ 230,227,830 NAV end of period $ 163,397,433 $ 211,604,428 Percentage change in NAV 10.1 % (8.2 )% Shares outstanding beginning of period 3,425,237 2,306,641 Shares outstanding end of period 3,337,737 2,268,987 Percentage change in shares outstanding (2.6 )% (1.6 )% Shares created 2,637,500 618,750 Shares redeemed 2,725,000 656,405 Per share NAV beginning of period $ 43.33 $ 99.81 Per share NAV end of period $ 48.95 $ 93.26 Percentage change in per share NAV 13.0 % (6.6 )% Percentage change in benchmark 13.7 % (6.1 )% Benchmark annualized volatility 130.9 % 52.0 % During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 3,425,237 outstanding Shares at June 30, 2024 to 3,337,737 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,306,641 outstanding Shares at June 30, 2023 to 2,268,987 outstanding Shares at September 30, 2023. 148 Table of Contents For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.0% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 6.6% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024. The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023: Three Months Ended September 30, 2024 Three Months Ended September 30, 2023 Net investment income (loss) $ 1,120,410 $ 1,721,249 Management fee 298,739 447,560 Brokerage commission 109,695 58,426 Futures account fees 25,438 44,110 Net realized gain (loss) 47,465,974 (54,950,042 ) Change in net unrealized appreciation (depreciation) 5,179,115 41,841,191 Net Income (loss) $ 53,765,499 $ (11,387,602 ) The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices, during the three months ended September 30, 2024. * See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. 149 Table of Contents Results of Operations for the Nine Months Ended September 30, 2024 Compared to the Nine Months Ended September 30, 2023 ProShares Short VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 267,184,359 $ 339,591,638 NAV end of period $ 364,574,356 $ 261,698,747 Percentage change in NAV 36.5 % (22.9 )% Shares outstanding beginning of period 5,168,614 11,568,614 Shares outstanding end of period 7,268,614 6,068,614 Percentage change in shares outstanding 40.6 % (47.5 )% Shares created 15,050,000 7,300,000 Shares redeemed 12,950,000 12,800,000 Per share NAV beginning of period $ 51.69 $ 29.35 Per share NAV end of period $ 50.16 $ 43.12 Percentage change in per share NAV (3.0 )% 46.9 % Percentage change in benchmark (19.7 )% (58.4 )% Benchmark annualized volatility 82.9 % 56.0 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 5,168,614 outstanding Shares at December 31, 2023 to 7,268,614 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 6,068,614 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 46.9% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. 150 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 9,251,157 $ 4,964,960 Management fee 2,616,334 1,817,684 Brokerage commission 688,357 387,868 Futures account fees 24,896 —  Net realized gain (loss) 47,773,242 125,091,802 Change in net unrealized appreciation (depreciation) (13,008,316 )   (13,488,869 )   Net Income (loss) $ 44,016,083 $ 116,567,893 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of futures prices during the nine months ended September 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. ProShares Ultra Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 652,793,437 $ 859,094,274 NAV end of period $ 593,222,255 $ 604,124,332 Percentage change in NAV (9.1 )% (29.7 )% Shares outstanding beginning of period 24,843,096 28,393,096 Shares outstanding end of period 23,393,096 17,143,096 Percentage change in shares outstanding (5.8 )% (39.6 )% Shares created 25,300,000 34,650,000 Shares redeemed 26,750,000 45,900,000 Per share NAV beginning of period $ 26.28 $ 30.26 Per share NAV end of period $ 25.36 $ 35.24 Percentage change in per share NAV (3.5 )% 16.5 % Percentage change in benchmark (1.0 )% 10.5 % Benchmark annualized volatility 22.0 % 28.0 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 23,393,096 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 28,393,096 outstanding Shares at December 31, 2022 to 17,143,096 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.5% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 16.5% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. 151 Table of Contents The benchmark’s decline of 1.0% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 10.5% for the nine months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 13,332,810 $ 11,737,266 Management fee 4,088,647 5,249,353 Brokerage commission 169,844 239,809 Net realized gain (loss) 33,262,708 253,915,875 Change in net unrealized appreciation (depreciation) (4,696,794 )   (64,494,313 )   Net Income (loss) $ 41,898,724 $ 201,158,828 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the nine months ended September 30, 2024. ProShares Ultra Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 729,892,808 $ 586,151,113 NAV end of period $ 651,821,105 $ 870,339,281 Percentage change in NAV (10.7 )% 48.5 % Shares outstanding beginning of period 5,113,709 322,875 Shares outstanding end of period 11,103,709 3,223,709 Percentage change in shares outstanding 117.1 % 898.4 % Shares created 23,240,000 9,143,000 Shares redeemed 17,250,000 6,242,166 Per share NAV beginning of period $ 142.73 $ 1,815.41 Per share NAV end of period $ 58.70 $ 269.98 Percentage change in per share NAV (58.9 )% (85.1 )% Percentage change in benchmark (27.1 )% (54.0 )% Benchmark annualized volatility 51.7 % 60.8 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 5,113,709 outstanding Shares at December 31, 2023 to 11,103,709 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 322,875 outstanding Shares at December 31, 2022 to 3,223,709 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . 152 Table of Contents For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 58.9% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 85.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 27.1% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 54.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 13,384,747 $ 16,444,672 Management fee 4,252,390 7,220,063 Brokerage commission 2,170,207 2,727,691 Futures account fees 188,737 531,306 Net realized gain (loss) (402,539,202 )   (1,441,441,743 )   Change in net unrealized appreciation (depreciation) 63,603,384 194,575,089 Net Income (loss) $ (325,551,071 ) $ (1,230,421,982 ) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2024. * See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 7,114,015 $ 10,704,662 NAV end of period $ 5,440,209 $ 6,523,481 Percentage change in NAV (23.5 )% (39.1 )% Shares outstanding beginning of period 600,000 950,000 Shares outstanding end of period 450,000 600,000 Percentage change in shares outstanding (25.0 )% (36.8 )% Shares created 100,000 200,000 Shares redeemed 250,000 550,000 Per share NAV beginning of period $ 11.86 $ 11.27 Per share NAV end of period $ 12.09 $ 10.87 Percentage change in per share NAV 2.0 % (3.5 )% Percentage change in benchmark 0.8 % (1.2 )% Benchmark annualized volatility 5.3 % 7.6 % 153 Table of Contents During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at December 31, 2023 to 450,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 600,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 3.5% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s rise of 0.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 1.2% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 168,360 $ 205,069 Management fee 42,912 61,096 Net realized gain (loss) 107,862 336,185 Change in net unrealized appreciation (depreciation) (260,299 ) (638,368 ) Net Income (loss) $ 15,923 $ (97,114 ) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2024. 154 Table of Contents ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 191,502,023 $ 173,524,136 NAV end of period $ 298,882,222 $ 147,696,557 Percentage change in NAV 56.1 % (14.9 )% Shares outstanding beginning of period 3,000,000 3,150,000 Shares outstanding end of period 3,100,000 2,800,000 Percentage change in shares outstanding 3.3 % (11.1 )% Shares created 1,650,000 500,000 Shares redeemed 1,550,000 850,000 Per share NAV beginning of period $ 63.83 $ 55.09 Per share NAV end of period $ 96.41 $ 52.75 Percentage change in per share NAV 51.0 % (4.3 )% Percentage change in benchmark 27.2 % 1.3 % Benchmark annualized volatility 14.3 % 12.9 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 3,000,000 outstanding Shares at December 31, 2023 to 3,100,000 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 2,800,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 51.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 4.3% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s rise of 27.2% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 1.3% for the nine months ended September 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 6,509,622 $ 4,130,377 Management fee 1,611,610 1,318,793 Brokerage commission 27,209    20,886 Net realized gain (loss) 62,084,821 11,092,138 Change in net unrealized appreciation (depreciation) 27,452,000 (22,707,149 )   Net Income (loss) $ 96,046,443 $ (7,484,634 ) 155 Table of Contents The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a greater increase in futures prices, during the nine months ended September 30, 2024. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 390,146,373 $ 414,285,878 NAV end of period $ 666,782,470 $ 327,996,075 Percentage change in NAV 70.9 % (20.8 )% Shares outstanding beginning of period 14,296,526 13,046,526 Shares outstanding end of period 16,446,526 13,246,526 Percentage change in shares outstanding 15.0 % 1.5 % Shares created 12,150,000 4,100,000 Shares redeemed 10,000,000 3,900,000 Per share NAV beginning of period $ 27.29 $ 31.75 Per share NAV end of period $ 40.54 $ 24.76 Percentage change in per share NAV 48.6 % (22.0 )% Percentage change in benchmark 30.0 % (6.9 )% Benchmark annualized volatility 31.4 % 25.0 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 14,296,526 outstanding Shares at December 31, 2023 to 16,446,526 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,246,526 outstanding Shares at September 30, 2023 For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 48.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s rise of 30.0% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 6.9% for the nine months ended September 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: 156 Table of Contents Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 13,696,814 $ 7,577,899 Management fee 3,535,877 2,740,073 Brokerage commission 130,090 101,511 Net realized gain (loss) 87,203,275 5,620,169 Change in net unrealized appreciation (depreciation) 116,775,363     (96,446,948)    Net Income (loss) $ 217,675,452 $ (83,248,880) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2024. ProShares Ultra VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 348,555,743 $ 639,318,362 NAV end of period $ 285,351,963 $ 283,050,691 Percentage change in NAV (18.1 )% (55.7 )% Shares outstanding beginning of period 8,264,892 1,861,568 Shares outstanding end of period 11,443,643 3,494,892 Percentage change in shares outstanding 38.5 % 87.7 % Shares created 29,200,000 6,942,000 Shares redeemed 26,021,248 5,308,676 Per share NAV beginning of period $ 42.17 $ 343.43 Per share NAV end of period $ 24.94 $ 80.99 Percentage change in per share NAV (40.8 )% (76.4 )% Percentage change in benchmark (19.7 )% (58.4 )% Benchmark annualized volatility 82.9 % 56.0 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 8,264,892 outstanding Shares at December 31, 2023 to 11,443,643 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,861,568 outstanding Shares at December 31, 2022 to 3,494,892 outstanding Shares at September 30, 2023 For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.8% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 76.4% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. 157 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 4,102,676 $ 6,553,073 Management fee 1,804,611 3,507,644 Brokerage commission 1,475,584 2,007,911 Futures account fees 212,988 354,153 Net realized gain (loss) (185,017,536 )   (751,125,820 )   Change in net unrealized appreciation (depreciation) 39,549,802 65,573,569 Net Income (loss) $ (141,365,058) $ (678,999,178) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of futures prices during the nine months ended September 30, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 30,205,770 $ 13,814,796 NAV end of period $ 53,234,065 $ 17,508,248 Percentage change in NAV 76.2 % 26.7 % Shares outstanding beginning of period 1,099,970 399,970 Shares outstanding end of period 2,149,970 699,970 Percentage change in shares outstanding 95.5 % 75.0 % Shares created 1,850,000 500,000 Shares redeemed 800,000 200,000 Per share NAV beginning of period $ 27.46 $ 34.54 Per share NAV end of period $ 24.76 $ 25.01 Percentage change in per share NAV (9.8 )% (27.6 )% Percentage change in benchmark (1.9 )% (12.2 )% Benchmark annualized volatility 10.4 % 10.2 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 2,149,970 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 399,970 outstanding Shares at December 31, 2022 to 699,970 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar 158 Table of Contents For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.8% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 27.6% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 1.9% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 12.2% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 1,099,697 $ 317,594 Management fee 295,486 91,858 Net realized gain (loss) (562,689 )   (2,923,720 )   Change in net unrealized appreciation (depreciation) (1,803,229 ) (1,564,970 ) Net Income (loss) $ (1,266,221 ) $ (4,171,096 ) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2024. ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 188,963,592 $ 222,697,337 NAV end of period $ 96,729,953 $ 296,776,466 Percentage change in NAV (48.8 )% 33.3 % Shares outstanding beginning of period 9,105,220 9,305,220 Shares outstanding end of period 4,955,220 17,605,220 Percentage change in shares outstanding (45.6 )% 89.2 % Shares created 14,900,000 28,800,000 Shares redeemed 19,050,000 20,500,000 Per share NAV beginning of period $ 20.75 $ 23.93 Per share NAV end of period $ 19.52 $ 16.86 Percentage change in per share NAV (5.9 )% (29.6 )% Percentage change in benchmark (1.0 )% 10.5 % Benchmark annualized volatility 22.0 % 28.0 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,105,220 outstanding Shares at December 31, 2023 to 4,955,220 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 9,305,220 outstanding Shares at December 31, 2022 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . 159 Table of Contents For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.9% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 29.6% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 1.0% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 10.5% for the nine months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 4,993,915 $ 4,599,541 Management fee 1,255,680 1,392,728 Brokerage commission 149,398 180,385 Net realized gain (loss) (323,060 ) 7,884,531 Change in net unrealized appreciation (depreciation) (7,534,360 ) (35,278,737 ) Net Income (loss) $ (2,863,505) $ (22,794,665) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil, during the nine months ended September 30, 2024. 160 Table of Contents ProShares UltraShort Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 140,963,092 $ 134,109,520 NAV end of period $ 132,693,025 $ 111,663,062 Percentage change in NAV (5.9 )% (16.7 )% Shares outstanding beginning of period 2,933,712 9,933,712 Shares outstanding end of period 2,433,712 3,633,712 Percentage change in shares outstanding (17.0 )% (63.4 )% Shares created 16,700,000 38,700,000 Shares redeemed 17,200,000 45,000,000 Per share NAV beginning of period $ 48.05 $ 13.50 Per share NAV end of period $ 54.52 $ 30.73 Percentage change in per share NAV 13.5 % 127.7 % Percentage change in benchmark (27.1 )% (54.0 )% Benchmark annualized volatility 51.7 % 60.8 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,933,712 outstanding Shares at December 31, 2023 to 2,433,712 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,933,712 outstanding Shares at December 31, 2022 to 3,633,712 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.5% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 127.7% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 27.1% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 54.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 2,521,302 $ 2,446,610 Management fee 797,283 903,703 Brokerage commission 722,643 577,070 Futures account fees 33,910 80,308 Net realized gain (loss) 90,093,336 221,345,184 Change in net unrealized appreciation (depreciation) (11,387,262 )   (62,123,076 )   Net Income (loss) $ 81,227,376 $ 161,668,718 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2024. 161 Table of Contents * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 39,367,550 $ 75,113,179 NAV end of period $ 32,912,508 $ 44,004,408 Percentage change in NAV (16.4 )% (41.4 )% Shares outstanding beginning of period 1,350,000 2,550,000 Shares outstanding end of period 1,100,000 1,400,000 Percentage change in shares outstanding (18.5 )% (45.1 )% Shares created 50,000 100,000 Shares redeemed 300,000 1,250,000 Per share NAV beginning of period $ 29.16 $ 29.46 Per share NAV end of period $ 29.92 $ 31.43 Percentage change in per share NAV 2.6 % 6.7 % Percentage change in benchmark 0.8 % (1.2 )% Benchmark annualized volatility 5.3 % 7.6 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,100,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,400,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 6.7% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s rise of 0.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 1.2% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: 162 Table of Contents Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 1,017,487 $ 1,360,409 Management fee 270,996 404,141 Net realized gain (loss) (1,356,314 )   (2,576,119 )   Change in net unrealized appreciation (depreciation) 1,521,143 3,904,782 Net Income (loss) $ 1,182,316 $ 2,689,072 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2024. ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 11,795,779 $ 15,456,037 NAV end of period $ 18,058,490 $ 14,365,869 Percentage change in NAV 53.1 % (7.1 )% Shares outstanding beginning of period 446,977 496,977 Shares outstanding end of period 1,046,977 446,977 Percentage change in shares outstanding 134.2 % (10.1 )% Shares created 1,250,000 700,000 Shares redeemed 650,000 750,000 Per share NAV beginning of period $ 26.39 $ 31.10 Per share NAV end of period $ 17.25 $ 32.14 Percentage change in per share NAV (34.6 )% 3.4 % Percentage change in benchmark 27.2 % 1.3 % Benchmark annualized volatility 14.2 % 12.9 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 1,046,977 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted from a decrease from 496,977 outstanding Shares at December 31, 2022 to 446,977 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 34.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 3.4% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s rise of 27.2% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 1.3% for the nine months ended September 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended September 30, 2024. 163 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 359,801 $ 343,044 Management fee 105,887 112,212 Brokerage commission 3,138 4,065 Net realized gain (loss) (5,323,806 )   (1,147,608 )   Change in net unrealized appreciation (depreciation) (843,136 ) 1,851,613 Net Income (loss) $ (5,807,141) $ 1,047,049 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a greater increase in the value of the futures prices during the nine months ended September 30, 2024. ProShares UltraShort Silver* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 65,149,686 $ 31,932,799 NAV end of period $ 32,222,722 $ 16,967,517 Percentage change in NAV (50.5 )% (46.9 )% Shares outstanding beginning of period 897,832 410,332 Shares outstanding end of period 847,832 197,832 Percentage change in shares outstanding (5.6 )% (51.8 )% Shares created 2,937,500 1,512,500 Shares redeemed 2,987,500 1,725,000 Per share NAV beginning of period $ 72.56 $ 77.82 Per share NAV end of period $ 38.01 $ 85.77 Percentage change in per share NAV (47.6 )% 10.2 % Percentage change in benchmark 30.0 % (6.9 )% Benchmark annualized volatility 31.4 % 25.0 % During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 897,832 outstanding Shares at December 31, 2023 to 847,832 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 410,332 outstanding Shares at December 31, 2022 to 197,832 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 10.2% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. 164 Table of Contents The benchmark’s rise of 30.0% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 6.9% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 1,235,932 $ 611,721 Management fee 380,119 220,751 Brokerage commission 34,808 28,436 Net realized gain (loss) (4,296,391 ) 10,747,744 Change in net unrealized appreciation (depreciation) (6,036,529 ) 4,528,828 Net Income (loss) $ (9,096,988) $ 15,888,293 The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Silver. 165 Table of Contents ProShares UltraShort Yen* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 24,010,010 $ 21,397,736 NAV end of period $ 34,904,924 $ 26,172,191 Percentage change in NAV 45.4 % 22.3 % Shares outstanding beginning of period 697,160 797,160 Shares outstanding end of period 897,160 697,160 Percentage change in shares outstanding 28.7 % (12.5 )% Shares created 900,000 900,000 Shares redeemed 700,000 1,000,000 Per share NAV beginning of period $ 34.44 $ 26.84 Per share NAV end of period $ 38.91 $ 37.54 Percentage change in per share NAV 13.0 % 39.9 % Percentage change in benchmark (1.9 )% (12.2 )% Benchmark annualized volatility 10.4 % 10.2 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 697,160 outstanding Shares at December 31, 2023 to 897,160 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 797,160 outstanding Shares at December 31, 2022 to 697,160 outstanding Shares at September 30, 2023 For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 1.9% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 12.2% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 964,632 $ 565,926 Management fee 256,361 167,753 Net realized gain (loss) 1,112,710     3,422,003 Change in net unrealized appreciation (depreciation) 1,101,721 3,945,278 Net Income (loss) $ 3,179,063 $ 7,933,207     The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. 166 Table of Contents ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 37,866,143 $ 84,014,959 NAV end of period $ 38,983,834 $ 59,968,024 Percentage change in NAV 3.0 % (28.6 )% Shares outstanding beginning of period 2,262,403 2,762,403 Shares outstanding end of period 2,587,403 3,087,403 Percentage change in shares outstanding 14.4 % 11.8 % Shares created 9,450,000 1,700,000 Shares redeemed 9,125,000 1,375,000 Per share NAV beginning of period $ 16.74 $ 30.41 Per share NAV end of period $ 15.07 $ 19.42 Percentage change in per share NAV (10.0 )% (36.1 )% Percentage change in benchmark (8.8 )% (35.0 )% Benchmark annualized volatility 32.2 % 28.2 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,262,403 outstanding Shares at December 31, 2023 to 2,587,403 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,762,403 outstanding Shares at December 31, 2022 to 3,087,403 outstanding Shares at September 30, 2023 For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 36.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 8.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 35.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2024. Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 1,521,740 $ 1,430,860 Management fee 354,943 401,207 Brokerage commission 94,413 30,191 Futures account fees 21,146    33,287    Net realized gain (loss) (12,340,680 ) (35,008,564 ) Change in net unrealized appreciation (depreciation) 4,340,208 3,841,900 Net Income (loss) $ (6,478,732 ) $ (29,735,804 ) 167 Table of Contents The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the nine months ended September 30, 2024. ProShares VIX Short-Term Futures ETF* Fund Performance The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 NAV beginning of period $ 157,321,746 $ 266,580,320 NAV end of period $ 163,397,433 $ 211,604,428 Percentage change in NAV 3.9 % (20.6 )% Shares outstanding beginning of period 2,537,737 1,169,141 Shares outstanding end of period 3,337,737 2,268,987 Percentage change in shares outstanding 31.5 % 94.1 % Shares created 4,512,500 2,308,750 Shares redeemed 3,712,500 1,208,905 Per share NAV beginning of period $ 61.99 $ 228.01 Per share NAV end of period $ 48.95 $ 93.26 Percentage change in per share NAV (21.0 )% (59.1 )% Percentage change in benchmark (19.7 )% (58.4 )% Benchmark annualized volatility 82.9 % 56.0 % During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,537,737 outstanding Shares at December 31, 2023 to 3,337,737 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,169,141 outstanding Shares at December 31, 2022 to 2,268,987 outstanding Shares at September 30, 2023 For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024. The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2024. 168 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023: Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023 Net investment income (loss) $ 3,707,955 $ 4,942,508 Management fee 945,176 1,495,874 Brokerage commission 189,358 250,314 Futures account fees 89,976 143,501 Net realized gain (loss) (11,800,514 ) (228,286,648 ) Change in net unrealized appreciation (depreciation) 12,170,504 21,667,964 Net Income (loss) $ 4,077,945 $ (201,676,176 ) The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the nine months ended September 30, 2024. * See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.