ProShares Trust II: Form 10-Q for the period ended Sep 30, 2024

Filed with the SEC on Nov 18, 2024 and accepted by EDGAR at Nov 18, 2024, 17:05 ET.

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Management's discussion and analysis

As filed, 144,595 characters, with its headings, lists and tables. Extracted from the main document; charts and exhibits are in the original on sec.gov.

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”).

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 (http://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 (http://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:

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.

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.

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.

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*

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.

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 IndexSM. 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 IndexSM.

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.

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.

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*

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 SubindexSM. 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 SubindexSM. 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.

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.

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

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.

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.

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.

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 SubindexSM. 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 SubindexSM.

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.

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.

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 SubindexSM. 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 SubindexSM. 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.

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)

ProShares Ultra VIX Short-Term Futures ETF*

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.

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)

* 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.

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.

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 IndexSM. 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 IndexSM.

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 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 SubindexSM. 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 SubindexSM.

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.

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.

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 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.

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 SubindexSM. 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 SubindexSM.

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 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.

ProShares UltraShort Silver*

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 SubindexSM.

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.

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

* 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 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.

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.

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*

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.

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.

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.

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*

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.

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 IndexSM. 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.

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.

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*

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 SubindexSM. 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.

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.

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.

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

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.

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.

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 SubindexSM. 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 SubindexSM.

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.

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

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.

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 SubindexSM. 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 SubindexSM. 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.

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)	$13,696,814	$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*

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 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

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

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.

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

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 IndexSM. 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 IndexSM.

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 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.

ProShares UltraShort Bloomberg Natural Gas*

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 SubindexSM. 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 SubindexSM.

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 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.

* 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.

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 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)	$1,017,487	$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.

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 SubindexSM. 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 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 SubindexSM. 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.

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.

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.

ProShares UltraShort Yen*

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.

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.

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.

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

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*

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.

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.

Market risk

As filed, 55,996 characters, with its headings, lists and tables. Extracted from the main document; charts and exhibits are in the original on sec.gov.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2024 and 2023, each of the Fund’s positions were as follows:

As of September 30, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Short	October 2024	5,429	$18.84	1,000	$(102,295,932)
VIX Futures (Cboe)	Short	November 2024	4,431	18.10	1,000	(80,190,023)

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Short	October 2023	4,373	$17.77	1,000	$(77,713,457)
VIX Futures (Cboe)	Short	November 2023	2,906	18.25	1,000	(53,023,748)

The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	December 2024	2,269	$67.77	1,000	$153,770,130
WTI Crude Oil (NYMEX)	Long	June 2025	2,326	66.93	1,000	155,679,180
WTI Crude Oil (NYMEX)	Long	December 2025	2,361	66.39	1,000	156,746,790

Swap Agreements as of September 30, 2024

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$80.8609	$143,374,704
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long	80.8609	226,614,289
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long	80.8609	68,842,383
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long	80.8609	172,015,554
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long	80.8609	109,053,861

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	December 2023	879	$88.80	1,000	$78,055,200
WTI Crude Oil (NYMEX)	Long	June 2024	920	81.12	1,000	74,630,400
WTI Crude Oil (NYMEX)	Long	December 2024	956	77.86	1,000	74,434,160

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$93.5651	$210,901,349
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long	93.5651	262,218,064
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long	93.5651	151,363,911
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long	93.5651	199,041,224
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long	93.5651	157,428,427

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2024	44,626	$2.92	10,000	$1,304,417,980

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2023	50,182	$2.93	10,000	$1,469,830,780

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Natural Gas Subindex	Citibank, N.A.	Long	$0.0799	$132,651,213
Bloomberg Natural Gas Subindex	Goldman Sachs International	Long	0.0799	90,634,449
Bloomberg Natural Gas Subindex	Societe General	Long	0.0799	47,221,373
Bloomberg Natural Gas Subindex	UBS AG	Long	0.0799	725,704

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Euro:

As of September 30, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2024

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Euro	Goldman Sachs International	Long	10/04/24	4,874,921	1.1085	$5,403,839
Euro	UBS AG	Long	10/04/24	5,080,502	1.1087	5,632,724
Euro	Goldman Sachs International	Short	10/04/24	(56,000)	1.1048	(61,871)
Euro	UBS AG	Short	10/04/24	(127,000)	1.1116	(141,168)

Foreign Currency Forward Contracts as of September 30, 2023

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Euro	Goldman Sachs International	Long	10/06/23	7,691,921	1.0752	$8,270,353
Euro	UBS AG	Long	10/06/23	4,954,502	1.0752	5,327,055
Euro	UBS AG	Short	10/06/23	(323,000)	1.0602	(342,445)

The September 30, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of September 30, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Gold Futures (COMEX)	Long	December 2024	1,004	$2,659.40	100	$267,003,760

Swap Agreements as of September 30, 2024

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$256.4490	$142,005,537
Bloomberg Gold Subindex	Goldman Sachs International	Long	256.4490	67,448,138
Bloomberg Gold Subindex	UBS AG	Long	256.4490	121,264,368

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Gold Futures (COMEX)	Long	December 2023	264	$1,866.10	100	$49,265,040

173

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$190.8900	$105,703,033
Bloomberg Gold Subindex	Goldman Sachs International	Long	190.8900	50,205,597
Bloomberg Gold Subindex	UBS AG	Long	190.8900	90,264,166

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of September 30, 2024 and 2023 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Silver Futures (COMEX)	Long	December 2024	3,954	$31.46	5,000	$621,924,660

Swap Agreements as of September 30, 2024

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$251.8376	$316,950,428
Bloomberg Silver Subindex	Goldman Sachs International	Long	251.8376	27,896,806
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long	251.8376	189,269,052
Bloomberg Silver Subindex	UBS AG	Long	251.8376	178,139,138

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Silver Futures (COMEX)	Long	December 2023	1,756	$22.45	5,000	$197,111,000

174

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$190.6601	$159,867,323
Bloomberg Silver Subindex	Goldman Sachs International	Long	190.6601	21,119,991
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long	190.6601	143,290,980
Bloomberg Silver Subindex	UBS AG	Long	190.6601	134,864,794

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

As of September 30, 2024 and 2023, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	October 2024	12,712	$18.84	1,000	$239,525,860
VIX Futures (Cboe)	Long	November 2024	10,409	18.10	1,000	188,376,878

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	October 2023	14,181	$17.77	1,000	$252,013,387
VIX Futures (Cboe)	Long	November 2023	9,464	18.25	1,000	172,682,983

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Yen:

As of September 30, 2024 and 2023, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2024

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Yen	Goldman Sachs International	Long	10/04/24	8,074,137,056	0.006967	$56,252,032
Yen	UBS AG	Long	10/04/24	9,098,731,856	0.006991	63,607,294
Yen	Goldman Sachs International	Short	10/04/24	(604,074,000)	0.006967	(4,208,522)
Yen	UBS AG	Short	10/04/24	(1,280,959,000)	0.006973	(8,932,441)

Foreign Currency Forward Contracts as of September 30, 2023

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Yen	Goldman Sachs International	Long	10/06/23	2,355,724,056	0.006813	$16,049,086
Yen	UBS AG	Long	10/06/23	2,976,699,856	0.006807	20,261,769
Yen	UBS AG	Short	10/06/23	(97,972,000)	0.006790	(665,202)

The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2024	942	$67.77	1,000	$(63,839,340)
WTI Crude Oil (NYMEX)	Short	June 2025	965	66.93	1,000	(64,587,450)
WTI Crude Oil (NYMEX)	Short	December 2025	980	66.39	1,000	(65,062,200)

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2023	2,296	$88.80	1,000	$(203,884,800)
WTI Crude Oil (NYMEX)	Short	June 2024	2,404	81.12	1,000	(195,012,480)
WTI Crude Oil (NYMEX)	Short	December 2024	2,500	77.86	1,000	(194,650,000)

The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2024	9,079	$2.92	10,000	$(265,379,170)

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2023	7,624	$2.93	10,000	$(223,306,960)

The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2024 and 2023, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2024

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Euro	Goldman Sachs International	Long	10/04/24	2,449,000	1.1163	$2,733,800
Euro	UBS AG	Long	10/04/24	4,937,000	1.1127	5,493,208
Euro	Goldman Sachs International	Short	10/04/24	(33,971,263)	1.1082	(37,647,518)
Euro	UBS AG	Short	10/04/24	(32,544,199)	1.1088	(36,083,920)

Foreign Currency Forward Contracts as of September 30, 2023

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Euro	Goldman Sachs International	Long	10/06/23	486,000	1.0694	$519,743
Euro	UBS AG	Long	10/06/23	10,804,000	1.0696	11,556,452
Euro	Goldman Sachs International	Short	10/06/23	(43,752,263)	1.0751	(47,038,130)
Euro	UBS AG	Short	10/06/23	(50,970,199)	1.0735	(54,717,780)

The September 30, 2024 and 2023 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of September 30, 2024 and 2023 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Gold Futures (COMEX)	Short	December 2024	57	$2,659.40	100	$(15,158,580)

Swap Agreements as of September 30, 2024

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$256.4490	$(4,820,548)
Bloomberg Gold Subindex	Goldman Sachs International	Short	256.4490	(6,317,878)
Bloomberg Gold Subindex	UBS AG	Short	256.4490	(9,772,030)

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Gold Futures (COMEX)	Short	December 2023	71	$1,866.10	100	$(13,249,310)

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$190.8900	$(3,588,216)
Bloomberg Gold Subindex	Goldman Sachs International	Short	190.8900	(4,702,766)
Bloomberg Gold Subindex	UBS AG	Short	190.8900	(7,273,894)

The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of September 30, 2024 and 2023 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Silver Futures (COMEX)	Short	December 2024	154	$31.46	5,000	$(24,222,660)

Swap Agreements as of September 30, 2024

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$251.8376	$(22,532,595)
Bloomberg Silver Subindex	Goldman Sachs International	Short	251.8376	(12,371,018)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short	251.8376	(1,706,452)
Bloomberg Silver Subindex	UBS AG	Short	251.8376	(3,643,614)

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
Silver Futures (COMEX)	Short	December 2023	109	$22.45	5,000	$(12,235,250)

Swap Agreements as of September 30, 2023

Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$190.6601	$(2,570,998)
Bloomberg Silver Subindex	Goldman Sachs International	Short	190.6601	(9,365,796)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short	190.6601	(7,405,429)
Bloomberg Silver Subindex	UBS AG	Short	190.6601	(2,368,019)

The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 2024 and 2023, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2024

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Yen	Goldman Sachs International	Long	10/04/24	766,460,000	0.007045	$5,400,022
Yen	UBS AG	Long	10/04/24	1,844,169,000	0.007031	12,965,860
Yen	Goldman Sachs International	Short	10/04/24	(5,401,596,165)	0.006961	(37,598,687)
Yen	UBS AG	Short	10/04/24	(7,246,500,574)	0.006960	(50,438,174)

Foreign Currency Forward Contracts as of September 30, 2023

Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency	Forward Rate	Market Value USD
Yen	UBS AG	Long	10/06/23	428,237,000	0.006813	$2,917,500
Yen	Goldman Sachs International	Short	10/06/23	(3,330,184,165)	0.006821	(22,714,958)
Yen	UBS AG	Short	10/06/23	(4,908,633,574)	0.006814	(33,445,689)

The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts 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 recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

As of September 30, 2024 and 2023, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	January 2025	379	$18.55	1,000	$7,030,715
VIX Futures (Cboe)	Long	February 2025	689	18.85	1,000	12,987,994
VIX Futures (Cboe)	Long	March 2025	689	18.98	1,000	13,073,775
VIX Futures (Cboe)	Long	April 2025	309	19.09	1,000	5,898,347

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	January 2024	617	$19.10	1,000	$11,784,515
VIX Futures (Cboe)	Long	February 2024	1,028	19.30	1,000	19,841,839
VIX Futures (Cboe)	Long	March 2024	1,028	19.60	1,000	20,146,847
VIX Futures (Cboe)	Long	April 2024	411	19.90	1,000	8,178,119

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

As of September 30, 2024 and 2023, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2024

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	October 2024	4,851	$18.84	1,000	$91,404,968
VIX Futures (Cboe)	Long	November 2024	3,974	18.10	1,000	71,919,465

Futures Positions as of September 30, 2023

Contract	Long or Short	Expiration	Contracts	Valuation Price	Contract Multiplier	Notional Amount at Value
VIX Futures (Cboe)	Long	October 2023	7,067	$17.77	1,000	$125,589,070
VIX Futures (Cboe)	Long	November 2023	4,719	18.25	1,000	86,104,290
Share

The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Qualitative Disclosure

As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark (referred to as the “Daily Target”). Each 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 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, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity 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 can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times in “Note 2—Significant Accounting Policies—Final Net Asset Value for Fiscal Period”), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are creation/redemption activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (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).

Controls and procedures

As filed, 3,647 characters, with its headings, lists and tables. Extracted from the main document; charts and exhibits are in the original on sec.gov.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)). Our principal executive officer and principal financial officer concluded that the disclosure controls and procedures of the Trust and the Funds were not effective as of September 30, 2024 due to a material weakness in internal control over financial reporting in the design of certain controls over the presentation and disclosure of segregated cash balances with brokers for futures contracts, receivable on open futures contracts, payable on open futures contracts and related accounts in the statement of cash flows. Specifically, certain controls over manual journal entries were not designed at a sufficient level of precision to identify inconsistencies between the journal entries and the information provided in the futures broker customer statements. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis. This material weakness resulted in the restatement of the Trust’s and the Funds’ financial statements as of and for the year ended December 31, 2021, 2022 and 2023 and the interim financial statements for the fiscal quarters ended September 30, 2023, March 31, 2023 and 2024, and June 30, 2023 and 2024. Additionally, this material weakness could result in misstatements of the financial statements or disclosures that would result in a material misstatement to the annual or interim financial statements that would not be prevented or detected.

As a result, additional analysis was performed as deemed necessary to ensure that our financial statements were prepared in accordance with U.S. generally accepted accounting principles.

Remediation Plan for Material Weakness with respect to Controls Related to the Classification of the FCM Accounts

In response to the identified material weakness with respect to controls related to the classification of the FCM accounts, Management has begun a comprehensive plan to enhance its internal controls over financial reporting with respect to controls related to the classification of the FCM accounts, which generally includes working with the Funds’ Administrator to enhance procedures and reviews relating to the classification of Futures Commission Merchant balances for financial reporting purposes.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2024, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

Risk factors

As filed, 7,309 characters, with its headings, lists and tables. Extracted from the main document; charts and exhibits are in the original on sec.gov.

Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

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

The onset of the novel coronavirus (COVID-19) and its variants has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.

The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

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

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

Figures reported in this filing

Standardized line items from the XBRL in this filing, for the period ended 2024-09-30. Comparative periods it repeats are left out.

Figures reported in this filing
Line item	Period	Value	XBRL concept
Net income	3 months2024-07-01 to 2024-09-30	−$11.7m	us-gaap:NetIncomeLoss
Net income	9 months2024-01-01 to 2024-09-30	−$3.1m	us-gaap:NetIncomeLoss
Operating cash flow	9 months2024-01-01 to 2024-09-30	−$1.07bn	us-gaap:NetCashProvidedByUsedInOperatingActivities
Share repurchases	9 months2024-01-01 to 2024-09-30	$5.99bn	us-gaap:PaymentsForRepurchaseOfCommonStock
Cash and equivalents	At period end2024-09-30	$999.9m	us-gaap:Cash
Total assets	At period end2024-09-30	$3.58bn	us-gaap:Assets
Total liabilities	At period end2024-09-30	$109.7m	us-gaap:Liabilities
Shareholders' equity	At period end2024-09-30	$3.47bn	us-gaap:StockholdersEquity

Source: SEC EDGAR, the filing index for accession 0001193125-24-261004. Last ingested by Listed: Nov 6, 2026, 15:31 ET. Listed shows no prices and gives no investment advice.