P1Dhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberfalseQ30001415311--12-31The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.Rates shown represent discount rate at the time of purchase.All or partial amount pledged as collateral for swap agreements.All or partial amount pledged as collateral for futures contracts.The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. See Note 1 of these Notes to Financial Statements. The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. Percentages are annualized. Percentages are not annualized for the period ended September 30, 2022. The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. Percentages are not annualized for the period ended September 30, 2023. The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.Amount represents greater than $(0.005). Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2023. Amount represents less than $0.005. 0001415311 us-gaap:~~SwapMember~~NondesignatedMember us-gaap:CommodityContractMember ck0001415311:~~ProsharesUltraShortSilverMember 2022-01-01 2022-06-30~~NetRealizedGainLossOnFuturesContractsAndSwapAgreementsChangesInUnrealizedAppreciationDepreciationOnFuturesContractsAndSwapAgreementsMember ck0001415311:ProsharesUltraBloombergCrudeOilMember 2023-01-01 2023-09-30

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM

10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2023.

~~for the quarterly period ended June 30, 2023.~~

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from

Commission file number:

001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o

ProShare Capital Management LLC

7272 Wisconsin Avenue, 21

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

~~(240)~~ 497-6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each ~~exchange~~ exchange on which registered
ProShares Short VIX Short-Term Futures ETF	SVXY	Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil	UCO	NYSE Arca
ProShares Ultra Bloomberg Natural Gas	BOIL	NYSE Arca
ProShares Ultra Euro	ULE	NYSE Arca
ProShares Ultra Gold	UGL	NYSE Arca
ProShares Ultra Silver	AGQ	NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF	UVXY	Cboe BZX Exchange
ProShares Ultra Yen	YCL	NYSE Arca
ProShares UltraShort Bloomberg Crude Oil	SCO	NYSE Arca
ProShares UltraShort Bloomberg Natural Gas	KOLD	NYSE Arca
ProShares UltraShort Euro	EUO	NYSE Arca
ProShares UltraShort Gold	GLL	NYSE Arca
ProShares UltraShort Silver	ZSL	NYSE Arca
ProShares UltraShort Yen	YCS	NYSE Arca
ProShares VIX Mid-Term Futures ETF	VIXM	Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF	VIXY	Cboe BZX Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T (§

(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act.). ☐ Yes ☒ No

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☒☐ Yes ☐☒ No

As of ~~August~~ November

, 2023, the registrant had ~~108,589,214~~106,289,214 shares of common stock, $0 par value per share, outstanding.

Table of Contents

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial ~~Statements.~~Statements		2
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations.~~Operations		~~134~~126
Item 3. Quantitative and Qualitative Disclosures About Market ~~Risk.~~Risk		~~182~~172
Item 4. Controls and ~~Procedures.~~Procedures		~~197~~185

Part II. OTHER INFORMATION
Item 1. Legal ~~Proceedings.~~Proceedings		~~198~~187
Item 1A. Risk ~~Factors.~~Factors		~~198~~187
Item 2. Unregistered Sales of Equity Securities and Use of ~~Proceeds.~~Proceeds		~~200~~188
Item 3. Defaults Upon Senior ~~Securities.~~Securities		~~202~~190
Item 4. Mine Safety ~~Disclosures.~~Disclosures		~~202~~190
Item 5. Other ~~Information.~~Information		~~202~~190
Item 6. ~~Exhibits.~~Exhibits		~~202~~191

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Index


~~Index~~

Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:		1
ProShares Short VIX Short-Term Futures ETF		12
ProShares Ultra Bloomberg Crude Oil		6
ProShares Ultra Bloomberg Natural Gas		11
ProShares Ultra Euro		16
ProShares Ultra Gold		21
ProShares Ultra Silver		26
ProShares Ultra VIX Short-Term Futures ETF		31
ProShares Ultra Yen		36
ProShares UltraShort Bloomberg Crude Oil		41
ProShares UltraShort Bloomberg Natural Gas		46
ProShares UltraShort Euro		51
ProShares UltraShort Gold		56
ProShares UltraShort Silver		61
ProShares UltraShort Yen		66
ProShares VIX Mid-Term Futures ETF		71
ProShares VIX Short-Term Futures ETF		76
ProShares Trust II		81
Notes to Financial Statements		85

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2023 (unaudited)		December 31, 2022		September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively)	$	89,727,034	$	144,307,676
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively)					$	104,670,946	$	144,307,676
Cash		62,993,244		6,852,395		50,012,847		6,852,395
Segregated cash balances with brokers for futures contracts		110,594,314		127,094,546		96,778,870		127,094,546
Receivable on open futures contracts		18,825,539		67,086,947		12,792,560		67,086,947
Interest receivable		432,544		475,930		275,091		475,930

Total assets		282,572,675		345,817,494		264,530,314		345,817,494

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,861,814		—		5,861,814
Payable on open futures contracts						2,625,055		—
Brokerage commissions and futures account fees payable		8,756		21,576		8,960		21,576
Payable to Sponsor		210,652		342,466
Payable to Sponsor						197,552		342,466

Total liabilities		219,408		6,225,856		2,831,567		6,225,856

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		282,353,267		339,591,638		261,698,747		339,591,638

Total liabilities and shareholders’ equity	$	282,572,675	$	345,817,494	$	264,530,314	$	345,817,494

Shares outstanding		3,334,307		5,784,307		3,034,307		5,784,307

Net asset value per share	$	84.68	$	58.71	$	86 .25	$	58 .71

Market value per share (Note 2)	$	84.68	$	58.68	$	86 .34	$	58 .68

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(32% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.132% due 07/06/23
   $ 15,000,000    $ 14,993,694
4.959% due 07/13/23
   25,000,000    24,964,895
5.104% due 08/01/23
   25,000,000    24,897,695
4.972% due 08/08/23
   25,000,000    24,870,750


Total short-term U.S. government and agency obligations

(cost $89,711,485)
      $ 89,727,034


	Principal Amount		Value
Short-term U.S. government and agency obligations
(40% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	20,000,000	$	19,976,556
5.478% due 10/17/23		45,000,000		44,900,905
5.499% due 10/24/23		15,000,000		14,951,600
5.490% due 11/14/23		25,000,000		24,841,885

Total short-term U.S. government and agency obligations (cost $104,655,954)			$	104,670,946

Futures Contracts Sold

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

VIX Futures - Cboe, expires July 2023
   5,241    $ 78,672,651    $ 21,799,615
VIX Futures - Cboe, expires August 2023
   3,810    62,485,143    2,129,590


         $ 23,929,205


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2023		4,373	$	77,713,457	$	(1,730,931	)
VIX Futures - Cboe, expires November 2023		2,906		53,023,748		(656,454	)

					$	(2,387,385	)

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~OPERATIO~~

NSOPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 2,437,210 $ 225,134 $ 4,546,332 $ 319,477


Expenses

Management fee
   617,036 1,034,361 1,182,813 2,020,898
Brokerage commissions
   123,422 177,552 249,925 365,250
Futures account fees
   —   107,221 —   324,251


Total expenses
   740,458 1,319,134 1,432,738 2,710,399


Net investment income (loss)
   1,696,752 (1,094,000 ) 3,113,594 (2,390,922 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   65,228,142 (13,029,194 ) 94,832,290 (54,129,808 )
Short-term U.S. government and agency obligations
   (25,811 ) (76,018 ) (25,811 ) (86,512 )


Net realized gain (loss)
   65,202,331 (13,105,212 ) 94,806,479 (54,216,320 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   9,658,017 (34,466,848 ) 12,836,824 (29,757,664 )
Short-term U.S. government and agency obligations
   15,084 (40,932 ) (8,546 ) (452,209 )


Change in net unrealized appreciation (depreciation)
   9,673,101 (34,507,780 ) 12,828,278 (30,209,873 )


Net realized and unrealized gain (loss)
   74,875,432 (47,612,992 ) 107,634,757 (84,426,193 )


Net income (loss)
   $ 76,572,184 $ (48,706,992 ) $ 110,748,351 $ (86,817,115 )


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	2,624,180		$	1,006,499		$	7,170,512		$	1,325,976

Expenses
Management fee		634,871			914,054			1,817,684			2,934,952
Brokerage commissions		137,943			152,661			387,868			517,911
Futures account fees		—			23,966			—			348,217
Non-recurring fees and expenses		—			6,122			—			6,122

Total expenses		772,814			1,096,803			2,205,552			3,807,202

Net investment income (loss)		1,851,366			(90,304	)		4,964,960			(2,481,226	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		30,285,319			27,694,574			125,117,609			(26,435,234	)
Short-term U.S. government and agency obligations		4			—			(25,807	)		(86,512	)

Net realized gain (loss)		30,285,323			27,694,574			125,091,802			(26,521,746	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(26,316,590	)		(17,783,632	)		(13,479,766	)		(47,541,296	)
Short-term U.S. government and agency obligations		(557	)		313,442			(9,103	)		(138,767	)

Change in net unrealized appreciation (depreciation)		(26,317,147	)		(17,470,190	)		(13,488,869	)		(47,680,063	)

Net realized and unrealized gain (loss)		3,968,176			10,224,384			111,602,933			(74,201,809	)

Net income (loss)	$	5,819,542		$	10,134,080		$	116,567,893		$	(76,683,035	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 295,340,393 $ 495,588,849 $ 339,591,638 $ 423,812,594


Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively
   38,020,154 75,921,860 185,319,488 232,437,331
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively
   (127,579,464 ) (119,158,761 ) (353,306,210 ) (165,787,854 )


Net addition (redemption) of (1,300,000
), (700,000), (2,450,000) and 1,500,000 shares, respectively
   (89,559,310 ) (43,236,901 ) (167,986,722 ) 66,649,477


Net investment income (loss)
   1,696,752 (1,094,000 ) 3,113,594 (2,390,922 )
Net realized gain (loss)
   65,202,331 (13,105,212 ) 94,806,479 (54,216,320 )
Change in net unrealized appreciation (depreciation)
   9,673,101 (34,507,780 ) 12,828,278 (30,209,873 )


Net income (loss)
   76,572,184 (48,706,992 ) 110,748,351 (86,817,115 )


Shareholders’ equity, end of period
   $ 282,353,267 $ 403,644,956 $ 282,353,267 $ 403,644,956


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	282,353,267		$	403,644,956		$	339,591,638		$	423,812,594
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively		56,262,968			23,538,063			241,582,456			255,975,394
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively		(82,737,030	)		(115,486,048	)		(436,043,240	)		(281,273,902	)

Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively		(26,474,062	)		(91,947,985	)		(194,460,784	)		(25,298,508	)

Net investment income (loss)		1,851,366			(90,304	)		4,964,960			(2,481,226	)
Net realized gain (loss)		30,285,323			27,694,574			125,091,802			(26,521,746	)
Change in net unrealized appreciation (depreciation)		(26,317,147	)		(17,470,190	)		(13,488,869	)		(47,680,063	)

Net income (loss)		5,819,542			10,134,080			116,567,893			(76,683,035	)

Shareholders’ equity, end of period	$	261,698,747		$	321,831,051		$	261,698,747		$	321,831,051

See ac

~~comp~~

~~anying~~accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 110,748,351 $ (86,817,115 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (278,358,687 ) (569,767,938 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   334,826,194 565,832,801
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,921,222 ) (206,220 )
Net realized (gain) loss on investments
   25,811 86,512
Change in unrealized (appreciation) depreciation on investments
   8,546 452,209
Decrease (Increase) in receivable on open futures contracts
   48,261,408 (6,253,293 )
Decrease (Increase) in interest receivable
   43,386 (73,181 )
Increase (Decrease) in payable to Sponsor
   (131,814 ) (2,886 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   (12,820 ) (92,191 )
Increase (Decrease) in payable on open futures contracts
   —   1,735,890


Net cash provided by (used in) operating activities
   213,489,153 (95,105,412 )


Cash flow from financing activities

Proceeds from addition of shares
   185,319,488 232,437,331
Payment on shares redeemed
   (359,168,024 ) (171,912,984 )


Net cash provided by (used in) financing activities
   (173,848,536 ) 60,524,347


Net increase (decrease) in cash
   39,640,617 (34,581,065 )
Cash, beginning of period
   133,946,941 183,010,984


Cash, end of period
   $ 173,587,558 $ 148,429,919


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	116,567,893		$	(76,683,035	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(584,136,375	)		(1,119,341,677	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		626,824,736			1,130,832,801
Net amortization and accretion on short-term U.S. government and agency obligations		(3,086,541	)		(491,158	)
Net realized (gain) loss on investments		25,807			86,512
Change in unrealized (appreciation) depreciation on investments		9,103			138,767
Decrease (Increase) in receivable on open futures contracts		54,294,387			21,641,411
Decrease (Increase) in interest receivable		200,839			(231,733	)
Increase (Decrease) in payable to Sponsor		(144,914	)		256,789
Increase (Decrease) in brokerage commissions and futures account fees payable		(12,616	)		(95,868	)
Increase (Decrease) in payable on open futures contracts		2,625,055			2,882,905
Increase (Decrease) in non-recurring fees and expenses payable		—			6,122

Net cash provided by (used in) operating activities		213,167,374			(40,998,164	)

Cash flow from financing activities
Proceeds from addition of shares		241,582,456			255,975,394
Payment on shares redeemed		(441,905,054	)		(287,399,032	)

Net cash provided by (used in) financing activities		(200,322,598	)		(31,423,638	)

Net increase (decrease) in cash		12,844,776			(72,421,802	)
Cash, beginning of period		133,946,941			183,010,984

Cash, end of period	$	146,791,717		$	110,589,182

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively)
   $ 413,997,952    $ 313,465,007
Cash
   67,718,783    224,296,858
Segregated cash balances with brokers for futures contracts
   75,508,570    76,813,658
Segregated cash balances with brokers for swap agreements
   182,681,745    175,489,745
Unrealized appreciation on swap agreements
   —      74,159,577
Receivable on open futures contracts
   2,846,634    8,466,027
Interest receivable
   449,770    618,549




Total assets
   743,203,454    873,309,421




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   1,186,903    13,545,014
Payable on open futures contracts
   1,541,204    —
Brokerage commissions and futures account fees payable
   7,646    7,154
Payable to Sponsor
   581,092    662,979
Unrealized depreciation on swap agreements
   1,692,241    —




Total liabilities
   5,009,086    14,215,147




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   738,194,368    859,094,274




Total liabilities and shareholders’ equity
   $ 743,203,454    $ 873,309,421




Shares outstanding (Note 1)
   31,093,096    28,393,096




Net asset value per share (Note 1)
   $ 23.74    $ 30.26




Market value per share (Note 1) (Note 2)
   $ 23.65    $ 30.31


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively)	$	264,081,088	$	313,465,007
Cash		26,232,492		224,296,858
Segregated cash balances with brokers for futures contracts		31,197,841		76,813,658
Segregated cash balances with brokers for swap agreements		283,449,745		175,489,745
Unrealized appreciation on swap agreements		11,240,991		74,159,577
Receivable on open futures contracts		—		8,466,027
Interest receivable		337,421		618,549

Total assets		616,539,578		873,309,421

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		8,912,592		13,545,014
Payable on open futures contracts		2,980,155		—
Brokerage commissions and futures account fees payable		2,674		7,154
Payable to Sponsor		519,825		662,979

Total liabilities		12,415,246		14,215,147

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		604,124,332		859,094,274

Total liabilities and shareholders’ equity	$	616,539,578	$	873,309,421

Shares outstanding		17,143,096		28,393,096

Net asset value per share	$	35 .24	$	30 .26

Market value per share (Note 2)	$	35 .28	$	30 .31

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(56% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.132% due 07/06/23
†
   $ 100,000,000    $ 99,957,960
4.959% due 07/13/23
†
   40,000,000    39,943,832
5.242% due 07/18/23
†
   100,000,000    99,789,580
5.251% due 07/25/23
   75,000,000    74,769,690
5.104% due 08/01/23
   50,000,000    49,795,390
4.972% due 08/08/23
†
   50,000,000    49,741,500


Total short-term U.S. government and agency obligations

(cost $413,892,685)
      $ 413,997,952


	Principal Amount		Value
Short-term U.S. government and agency obligations
(44% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	50,000,000	$	49,941,390
5.478% due 10/17/23		90,000,000		89,801,811
5.499% due 10/24/23 †		50,000,000		49,838,665
5.490% due 11/14/23		50,000,000		49,683,770
5.497% due 11/21/23		25,000,000		24,815,452

Total short-term U.S. government and agency obligations (cost $264,043,695)			$	264,081,088

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

WTI Crude Oil - NYMEX, expires September 2023
   2,315    $ 163,855,700    $ 534,428
WTI Crude Oil - NYMEX, expires December 2023
   2,393    168,467,200    3,955,084
WTI Crude Oil - NYMEX, expires June 2024
   2,478    171,031,560    4,928,794


         $ 9,418,306


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2023		879	$	78,055,200	$	14,366,865
WTI Crude Oil - NYMEX, expires June 2024		920		74,630,400		10,551,545
WTI Crude Oil - NYMEX, expires December 2024		956		74,434,160		(188,490	)

					$	24,729,920

Total Return Swap Agreements

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
0.35 % 07/06/23    $ 172,685,565    $ (303,753 )
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
0.35 07/06/23    214,703,580    (377,662 )
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
0.35 07/06/23    179,707,950    (316,105 )
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
0.25 07/06/23    162,974,521    (275,938 )
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
0.30 07/06/23    242,623,120    (418,783 )


   Total Unrealized
Depreciation
   $ (1,692,241 )


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35	%		10/06/23	$	210,901,349	$	1,869,634
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/23		262,218,064		2,324,555
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/23		151,363,911		1,607,761
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			10/06/23		199,041,224		1,776,923
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			10/06/23		157,428,427		3,662,118

							Total Unrealized Appreciation	$	11,240,991

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 5,878,092 $ 1,264,011 $ 11,886,000 $ 1,572,891


Expenses

Management fee
   1,744,998 3,098,904 3,619,616 6,183,716
Brokerage commissions
   94,303 140,210 188,647 335,751
Futures account fees
   —   109,601 —   362,288


Total expenses
   1,839,301 3,348,715 3,808,263 6,881,755


Net investment income (loss)
   4,038,791 (2,084,704 ) 8,077,737 (5,308,864 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   29,371,809 244,497,710 40,205,833 510,907,542
Swap agreements
   (105,727,226 ) 118,798,382 (30,780,823 ) 651,811,620
Short-term U.S. government and agency obligations
   (59,378 ) (4,653 ) (59,378 ) (7,789 )


Net realized gain (loss)
   (76,414,795 ) 363,291,439 9,365,632 1,162,711,373


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (20,075,857 ) (187,136,364 ) (16,873,410 ) (89,000,726 )
Swap agreements
   65,510,145 (24,001,881 ) (75,851,818 ) (216,215,448 )
Short-term U.S. government and agency obligations
   104,869 (405,864 ) 53,943 (991,922 )


Change in net unrealized appreciation (depreciation)
   45,539,157 (211,544,109 ) (92,671,285 ) (306,208,096 )


Net realized and unrealized gain (loss)
   (30,875,638 ) 151,747,330 (83,305,653 ) 856,503,277


Net income (loss)
   $ (26,836,847 ) $ 149,662,626 $ (75,227,916 ) $ 851,194,413

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF ~~CHANGES IN SHAREHOLDERS’ EQUITY~~OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 811,668,456 $ 1,336,980,685 $ 859,094,274 $ 1,103,783,570


Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1)
   353,363,209 72,419,653 812,713,784 402,736,686
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1)
   (400,000,450 ) (498,195,726 ) (858,385,774 ) (1,296,847,431 )


Net addition (redemption) of 500,000,
(9,750,000)
, 2,700,000 and (25,750,000) shares, respectively (Note 1)
   (46,637,241 ) (425,776,073 ) (45,671,990 ) (894,110,745 )


Net investment income (loss)
   4,038,791 (2,084,704 ) 8,077,737 (5,308,864 )
Net realized gain (loss)
   (76,414,795 ) 363,291,439 9,365,632 1,162,711,373
Change in net unrealized appreciation (depreciation)
   45,539,157 (211,544,109 ) (92,671,285 ) (306,208,096 )


Net income (loss)
   (26,836,847 ) 149,662,626 (75,227,916 ) 851,194,413


Shareholders’ equity, end of period
   $ 738,194,368 $ 1,060,867,238 $ 738,194,368 $ 1,060,867,238


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	5,340,428		$	2,391,191		$	17,226,428		$	3,964,082

Expenses
Management fee		1,629,737			2,118,088			5,249,353			8,301,804
Brokerage commissions		51,162			85,906			239,809			421,657
Futures account fees		—			19,466			—			381,754
Non-recurring fees and expenses		—			13,739			—			13,739

Total expenses		1,680,899			2,237,199			5,489,162			9,118,954

Net investment income (loss)		3,659,529			153,992			11,737,266			(5,154,872	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		45,265,209			(58,028,223	)		85,471,042			452,879,319
Swap agreements		199,284,914			(286,550,709	)		168,504,091			365,260,911
Short-term U.S. government and agency obligations		120			—			(59,258	)		(7,789	)

Net realized gain (loss)		244,550,243			(344,578,932	)		253,915,875			818,132,441

Change in net unrealized appreciation (depreciation) on
Futures contracts		15,311,614			(62,302,727	)		(1,561,796	)		(151,303,453	)
Swap agreements		12,933,232			28,330,957			(62,918,586	)		(187,884,491	)
Short-term U.S. government and agency obligations		(67,874	)		723,596			(13,931	)		(268,326	)

Change in net unrealized appreciation (depreciation)		28,176,972			(33,248,174	)		(64,494,313	)		(339,456,270	)

Net realized and unrealized gain (loss)		272,727,215			(377,827,106	)		189,421,562			478,676,171

Net income (loss)	$	276,386,744		$	(377,673,114	)	$	201,158,828		$	473,521,299

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF ~~CASH FLOWS~~CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (75,227,916 ) $ 851,194,413
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (8,286,191,814 ) (4,782,347,856 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   8,193,611,806 5,104,987,142
Net amortization and accretion on short-term U.S. government and agency obligations
   (7,958,372 ) (1,304,714 )
Net realized (gain) loss on investments
   59,378 7,789
Change in unrealized (appreciation) depreciation on investments
   75,797,875 217,207,370
Decrease (Increase) in receivable on open futures contracts
   5,619,393 —
Decrease (Increase) in interest receivable
   168,779 (210,318 )
Increase (Decrease) in payable to Sponsor
   (81,887 ) 174,702
Increase (Decrease) in brokerage commissions and futures account fees payable
   492 (12,077 )
Increase (Decrease) in payable on open futures contracts
   1,541,204 (4,104,319 )


Net cash provided by (used in) operating activities
   (92,661,062 ) 1,385,592,132


Cash flow from financing activities

Proceeds from addition of shares
   812,713,784 402,736,686
Payment on shares redeemed
   (870,743,885 ) (1,276,766,479 )


Net cash provided by (used in) financing activities
   (58,030,101 ) (874,029,793 )


Net increase (decrease) in cash
   (150,691,163 ) 511,562,339
Cash, beginning of period
   476,600,261 217,287,389


Cash, end of period
   $ 325,909,098 $ 728,849,728


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	738,194,368		$	1,060,867,238		$	859,094,274		$	1,103,783,570
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively		—			335,779,871			812,713,784			738,516,557
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively		(410,456,780	)		(294,378,733	)		(1,268,842,554	)		(1,591,226,164	)

Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively		(410,456,780	)		41,401,138			(456,128,770	)		(852,709,607	)

Net investment income (loss)		3,659,529			153,992			11,737,266			(5,154,872	)
Net realized gain (loss)		244,550,243			(344,578,932	)		253,915,875			818,132,441
Change in net unrealized appreciation (depreciation)		28,176,972			(33,248,174	)		(64,494,313	)		(339,456,270	)

Net income (loss)		276,386,744			(377,673,114	)		201,158,828			473,521,299

Shareholders’ equity, end of period	$	604,124,332		$	724,595,262		$	604,124,332		$	724,595,262

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG ~~NATURAL GAS~~CRUDE OIL

STATEMENTS OF ~~FINANCIAL CONDITION~~

CASH FLOWS

(unaudited)

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively)
   $ 298,783,390    $ 263,260,158
Cash
   193,070,994    13,689,494
Segregated cash balances with brokers for futures contracts
   405,057,584    163,045,170
Segregated cash balances with brokers for swap agreements
   83,160,000    —
Unrealized appreciation on swap agreements
   46,088,257    —
Receivable on open futures contracts
   117,556,776    149,650,221
Interest receivable
   1,694,276    653,922




Total assets
   1,145,411,277    590,298,965




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   3,473,947    1,826,653
Payable on open futures contracts
   —      1,835,443
Brokerage commissions and futures account fees payable
   69,389    35,242
Payable to Sponsor
   846,663    450,514




Total liabilities
   4,389,999    4,147,852




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   1,141,021,278    586,151,113




Total liabilities and shareholders’ equity
   $ 1,145,411,277    $ 590,298,965




Shares outstanding (Note 1)
   16,421,876    1,614,376




Net asset value per share (Note 1)
   $ 69.48    $ 363.08




Market value per share (Note 1) (Note 2)
   $ 68.99    $ 355.60


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	201,158,828		$	473,521,299
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(9,133,783,770	)		(13,891,053,120	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		9,194,559,106			14,207,412,141
Net amortization and accretion on short-term U.S. government and agency obligations		(11,464,606	)		(2,942,264	)
Net realized (gain) loss on investments		59,258			7,789
Change in unrealized (appreciation) depreciation on investments		62,932,517			188,152,817
Decrease (Increase) in receivable on open futures contracts		8,466,027			(891,736	)
Decrease (Increase) in interest receivable		281,128			(317,244	)
Increase (Decrease) in payable to Sponsor		(143,154	)		493,818
Increase (Decrease) in brokerage commissions and futures account fees payable		(4,480	)		(18,209	)
Increase (Decrease) in payable on open futures contracts		2,980,155			(22,405,789	)
Increase (Decrease) in non-recurring fees and expenses payable		—			13,739

Net cash provided by (used in) operating activities		325,041,009			951,973,241

Cash flow from financing activities
Proceeds from addition of shares		812,713,784			738,516,557
Payment on shares redeemed		(1,273,474,976	)		(1,574,816,957	)

Net cash provided by (used in) financing activities		(460,761,192	)		(836,300,400	)

Net increase (decrease) in cash		(135,720,183	)		115,672,841
Cash, beginning of period		476,600,261			217,287,389

Cash, end of period	$	340,880,078		$	332,960,230

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively)	$	303,858,387	$	263,260,158
Cash		24,873,663		13,689,494
Segregated cash balances with brokers for futures contracts		379,123,011		163,045,170
Segregated cash balances with brokers for swap agreements		74,778,263		—
Receivable on open futures contracts		126,823,271		149,650,221
Interest receivable		1,484,336		653,922

Total assets		910,940,931		590,298,965

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		32,487,150		1,826,653
Payable on open futures contracts		5,930,098		1,835,443
Brokerage commissions and futures account fees payable		36,861		35,242
Payable to Sponsor		709,247		450,514
Unrealized depreciation on swap agreements		1,438,294		—

Total liabilities		40,601,650		4,147,852

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		870,339,281		586,151,113

Total liabilities and shareholders’ equity	$	910,940,931	$	590,298,965

Shares outstanding (Note 1)		16,118,544		1,614,376

Net asset value per share (Note 1)	$	54 .00	$	363 .08

Market value per share (Note 1) (Note 2)	$	54 .38	$	355 .60

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(26% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.242% due 07/18/23
   $ 100,000,000    $ 99,789,580
5.104% due 08/01/23
   50,000,000    49,795,390
4.972% due 08/08/23
   50,000,000    49,741,500
5.161% due 08/10/23
   100,000,000    99,456,920


Total short-term U.S. government and agency obligations

(cost $298,722,860)
      $ 298,783,390


	Principal Amount		Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	50,000,000	$	49,941,390
5.478% due 10/17/23		100,000,000		99,779,790
5.499% due 10/24/23 †		55,000,000		54,822,532
5.490% due 11/14/23		50,000,000		49,683,770
5.497% due 11/21/23 †		50,000,000		49,630,905

Total short-term U.S. government and agency obligations (cost $303,815,641)			$	303,858,387

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Natural Gas - NYMEX, expires September 2023
   71,349    $ 1,979,221,260    $ 248,335,437


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Natural Gas - NYMEX, expires November 2023		50,182	$	1,469,830,780	$	(114,592,473	)

Total Return Swap Agreements

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex
   0.50 % 07/06/23    $ 148,091,216    $ 22,537,665
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex
   0.50 07/06/23    101,183,890    15,398,946
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex
   0.32 07/06/23    52,717,728    8,028,280
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex
   0.35 07/06/23    810,173    123,366


      Total Unrealized
Appreciation
   $ 46,088,257


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex		0.50	%		10/06/23	$	132,651,213	$	(706,090	)
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex		0.50			10/06/23		90,634,449		(482,438	)
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex		0.32			10/06/23		47,221,373		(245,972	)
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex		0.35			10/06/23		725,704		(3,794	)

							Total Unrealized Depreciation	$	(1,438,294	)

†	All or partial amount pledged as collateral for futures contracts.

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 8,866,705 $ 146,470 $ 17,825,228 $ 186,051


Expenses

Management fee
   2,588,571 534,624 4,916,981 931,234
Brokerage commissions
   1,145,371 114,706 2,098,150 203,158
Futures account fees
   211,785 63,213 399,478 134,330


Total expenses
   3,945,727 712,543 7,414,609 1,268,722


Net investment income (loss)
   4,920,978 (566,073 ) 10,410,619 (1,082,671 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (539,203,219 ) 164,990,694 (1,639,994,302 ) 241,211,382
Swap agreements
   (77,680,050 ) —   (38,520,261 ) —
Short-term U.S. government and agency obligations
   (3,646 ) —   (7,216 ) (3,452 )


Net realized gain (loss)
   (616,886,915 ) 164,990,694 (1,678,521,779 ) 241,207,930


Change in net unrealized appreciation (depreciation) on

Futures contracts
   572,850,724 (271,251,560 ) 558,949,406 (186,220,796 )
Swap agreements
   85,176,576 —   46,088,257 —
Short-term U.S. government and agency obligations
   29,724 (36,909 ) 9,671 (199,929 )


Change in net unrealized appreciation (depreciation)
   658,057,024 (271,288,469 ) 605,047,334 (186,420,725 )


Net realized and unrealized gain (loss)
   41,170,109 (106,297,775 ) (1,073,474,445 ) 54,787,205


Net income (loss)
   $ 46,091,087 $ (106,863,848 ) $ (1,063,063,826 ) $ 53,704,534


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	9,098,504		$	909,204		$	26,923,732		$	1,095,255

Expenses
Management fee		2,303,082			658,525			7,220,063			1,589,759
Brokerage commissions		629,541			97,589			2,727,691			300,747
Futures account fees		131,828			43,620			531,306			177,950
Non-recurring fees and expenses		—			4,791			—			4,791

Total expenses		3,064,451			804,525			10,479,060			2,073,247

Net investment income (loss)		6,034,053			104,679			16,444,672			(977,992	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		221,454,698			(5,889,116	)		(1,418,539,604	)		235,322,266
Swap agreements		15,625,140			—			(22,895,121	)		—
Short-term U.S. government and agency obligations		198			(4,181	)		(7,018	)		(7,633	)

Net realized gain (loss)		237,080,036			(5,893,297	)		(1,441,441,743	)		235,314,633

Change in net unrealized appreciation (depreciation) on
Futures contracts		(362,927,910	)		97,063,212			196,021,496			(89,157,584	)
Swap agreements		(47,526,551	)		—			(1,438,294	)		—
Short-term U.S. government and agency obligations		(17,784	)		158,315			(8,113	)		(41,614	)

Change in net unrealized appreciation (depreciation)		(410,472,245	)		97,221,527			194,575,089			(89,199,198	)

Net realized and unrealized gain (loss)		(173,392,209	)		91,328,230			(1,246,866,654	)		146,115,435

Net income (loss)	$	(167,358,156	)	$	91,432,909		$	(1,230,421,982	)	$	145,137,443

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 1,139,983,773 $ 145,069,486 $ 586,151,113 $ 193,892,178


Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1)
   814,876,179 549,486,344 3,160,825,013 637,366,699
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1)
   (859,929,761 ) (400,394,140 ) (1,542,891,022 ) (697,665,569 )


Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1)
   (45,053,582 ) 149,092,204 1,617,933,991 (60,298,870 )


Net investment income (loss)
   4,920,978 (566,073 ) 10,410,619 (1,082,671 )
Net realized gain (loss)
   (616,886,915 ) 164,990,694 (1,678,521,779 ) 241,207,930
Change in net unrealized appreciation (depreciation)
   658,057,024 (271,288,469 ) 605,047,334 (186,420,725 )


Net income (loss)
   46,091,087 (106,863,848 ) (1,063,063,826 ) 53,704,534


Shareholders’ equity, end of period
   $ 1,141,021,278 $ 187,297,842 $ 1,141,021,278 $ 187,297,842


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	1,141,021,278		$	187,297,842		$	586,151,113		$	193,892,178

Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1)		739,093,446			425,638,048			3,899,918,459			1,063,004,747
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1)		(842,417,287	)		(414,982,702	)		(2,385,308,309	)		(1,112,648,271	)

Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1)		(103,323,841	)		10,655,346			1,514,610,150			(49,643,524	)

Net investment income (loss)		6,034,053			104,679			16,444,672			(977,992	)
Net realized gain (loss)		237,080,036			(5,893,297	)		(1,441,441,743	)		235,314,633
Change in net unrealized appreciation (depreciation)		(410,472,245	)		97,221,527			194,575,089			(89,199,198	)

Net income (loss)		(167,358,156	)		91,432,909			(1,230,421,982	)		145,137,443

Shareholders’ equity, end of period	$	870,339,281		$	289,386,097		$	870,339,281		$	289,386,097

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (1,063,063,826 ) $ 53,704,534
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (10,025,950,123 ) (520,892,453 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   9,997,363,885 505,991,302
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,934,539 ) (119,696 )
Net realized (gain) loss on investments
   7,216 3,452
Change in unrealized (appreciation) depreciation on investments
   (46,097,928 ) 199,929
Decrease (Increase) in receivable on open futures contracts
   32,093,445 20,455,330
Decrease (Increase) in interest receivable
   (1,040,354 ) (38,738 )
Increase (Decrease) in payable to Sponsor
   396,149 68,086
Increase (Decrease) in brokerage commissions and futures account fees payable
   34,147 (57,121 )
Increase (Decrease) in payable on open futures contracts
   (1,835,443 ) 26,800,768


Net cash provided by (used in) operating activities
   (1,115,027,371 ) 86,115,393


Cash flow from financing activities

Proceeds from addition of shares
   3,160,825,013 638,028,828
Payment on shares redeemed
   (1,541,243,728 ) (691,677,317 )


Net cash provided by (used in) financing activities
   1,619,581,285 (53,648,489 )


Net increase (decrease) in cash
   504,553,914 32,466,904
Cash, beginning of period
   176,734,664 54,135,725


Cash, end of period
   $ 681,288,578 $ 86,602,629


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(1,230,421,982	)	$	145,137,443
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(10,927,044,661	)		(750,045,262	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		10,897,274,725			734,916,266
Net amortization and accretion on short-term U.S. government and agency obligations		(10,843,424	)		(561,077	)
Net realized (gain) loss on investments		7,018			7,633
Change in unrealized (appreciation) depreciation on investments		1,446,407			41,614
Decrease (Increase) in receivable on open futures contracts		22,826,950			(36,015,281	)
Decrease (Increase) in interest receivable		(830,414	)		(157,395	)
Increase (Decrease) in payable to Sponsor		258,733			294,750
Increase (Decrease) in brokerage commissions and futures account fees payable		1,619			(48,246	)
Increase (Decrease) in payable on open futures contracts		4,094,655			1,186,502
Increase (Decrease) in non-recurring fees and expenses payable		—			4,791

Net cash provided by (used in) operating activities		(1,243,230,374	)		94,761,738

Cash flow from financing activities
Proceeds from addition of shares		3,899,918,459			1,083,453,488
Payment on shares redeemed		(2,354,647,812	)		(1,109,986,578	)

Net cash provided by (used in) financing activities		1,545,270,647			(26,533,090	)

Net increase (decrease) in cash		302,040,273			68,228,648
Cash, beginning of period		176,734,664			54,135,725

Cash, end of period	$	478,774,937		$	122,364,373

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31,
2022

Assets

Cash
   $ 6,440,727    $ 9,156,418
Segregated cash balances with brokers for foreign currency forward contracts
   833,000    1,103,000
Unrealized appreciation on foreign currency forward contracts
   241,390    514,115
Interest receivable
   28,208    40,421




Total assets
   7,543,325    10,813,954




Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   6,188    10,833
Unrealized depreciation on foreign currency forward contracts
   1,702    98,459




Total liabilities
   7,890    109,292




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   7,535,435    10,704,662




Total liabilities and shareholders’ equity
   $ 7,543,325    $ 10,813,954




Shares outstanding
   650,000    950,000




Net asset value per share
   $ 11.59    $ 11.27




Market value per share (Note 2)
   $ 11.61    $ 11.26


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	5,923,008	$	9,156,418
Segregated cash balances with brokers for foreign currency forward contracts		803,000		1,103,000
Unrealized appreciation on foreign currency forward contracts		867		514,115
Interest receivable		25,385		40,421

Total assets		6,752,260		10,813,954

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		5,200		10,833
Unrealized depreciation on foreign currency forward contracts		223,579		98,459

Total liabilities		228,779		109,292

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,523,481		10,704,662

Total liabilities and shareholders’ equity	$	6,752,260	$	10,813,954

Shares outstanding		600,000		950,000

Net asset value per share	$	10 .87	$	11 .27

Market value per share (Note 2)	$	10 .85	$	11 .26

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts

Settlement Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Euro with Goldman Sachs International
07/14/23    7,784,921 $ 8,501,340 $ 129,303
Euro with UBS AG
07/14/23    7,204,502 7,867,506 112,087


   Total Unrealized
Appreciation
$ 241,390


Contracts to Sell

Euro with Goldman Sachs International
07/14/23    (93,000 ) $ (101,558 ) $ (197 )
Euro with UBS AG
07/14/23    (1,152,000 ) (1,258,014 ) (1,505 )


   Total Unrealized
Depreciation
$ (1,702 )


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with Goldman Sachs International		10/06/23		7,691,921		$	8,134,350		$	(136,003	)
Euro with UBS AG		10/06/23		4,954,502			5,239,479			(87,576	)

							Total Unrealized Depreciation		$	(223,579	)

Contracts to Sell
Euro with UBS AG		10/06/23		(323,000	)	$	(341,578	)	$	867

							Total Unrealized Appreciation		$	867

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 88,182 $ 6,522 $ 185,419 $ 11,109


Expenses

Management fee
   19,851 15,037 44,097 35,315


Total expenses
   19,851 15,037 44,097 35,315


Net investment income (loss)
   68,331 (8,515 ) 141,322 (24,206 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   78,291 (446,365 ) 358,570 (887,395 )
Short-term U.S. government and agency obligations
   —   —   —   (5,949 )


Net realized gain (loss)
   78,291 (446,365 ) 358,570 (893,344 )


Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   (79,023 ) (282,077 ) (175,968 ) (415,047 )
Short-term U.S. government and agency obligations
   —   787 —   (4,668 )


Change in net unrealized appreciation (depreciation)
   (79,023 ) (281,290 ) (175,968 ) (419,715 )


Net realized and unrealized gain (loss)
   (732 ) (727,655 ) 182,602 (1,313,059 )


Net income (loss)
   $ 67,599 $ (736,170 ) $ 323,924 $ (1,337,265 )


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	80,746		$	36,856		$	266,165		$	47,965

Expenses
Management fee		16,999			31,331			61,096			66,646
Non-recurring fees and expenses		—			237			—			237

Total expenses		16,999			31,568			61,096			66,883

Net investment income (loss)		63,747			5,288			205,069			(18,918	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(22,385	)		(1,618,381	)		336,185			(2,505,776	)
Short-term U.S. government and agency obligations		—			—			—			(5,949	)

Net realized gain (loss)		(22,385	)		(1,618,381	)		336,185			(2,511,725	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(462,400	)		(98,836	)		(638,368	)		(513,883	)
Short-term U.S. government and agency obligations		—			3,824			—			(844	)

Change in net unrealized appreciation (depreciation)		(462,400	)		(95,012	)		(638,368	)		(514,727	)

Net realized and unrealized gain (loss)		(484,785	)		(1,713,393	)		(302,183	)		(3,026,452	)

Net income (loss)	$	(421,038	)	$	(1,708,105	)	$	(97,114	)	$	(3,045,370	)

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 8,616,433 $ 6,236,982 $ 10,704,662 $ 8,659,095


Addition of –, 450,000, 200,000 and 550,000 shares, respectively
   —   5,052,555 2,296,437 6,368,822
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively
   (1,148,597 ) (1,137,741 ) (5,789,588 ) (4,275,026 )


Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively
   (1,148,597 ) 3,914,814 (3,493,151 ) 2,093,796


Net investment income (loss)
   68,331 (8,515 ) 141,322 (24,206 )
Net realized gain (loss)
   78,291 (446,365 ) 358,570 (893,344 )
Change in net unrealized appreciation (depreciation)
   (79,023 ) (281,290 ) (175,968 ) (419,715 )


Net income (loss)
   67,599 (736,170 ) 323,924 (1,337,265 )


Shareholders’ equity, end of period
   $ 7,535,435 $ 9,415,626 $ 7,535,435 $ 9,415,626


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	7,535,435		$	9,415,626		$	10,704,662		$	8,659,095

Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively		—			7,168,239			2,296,437			13,537,061
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively		(590,916	)		(1,006,389	)		(6,380,504	)		(5,281,415	)

Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively		(590,916	)		6,161,850			(4,084,067	)		8,255,646

Net investment income (loss)		63,747			5,288			205,069			(18,918	)
Net realized gain (loss)		(22,385	)		(1,618,381	)		336,185			(2,511,725	)
Change in net unrealized appreciation (depreciation)		(462,400	)		(95,012	)		(638,368	)		(514,727	)

Net income (loss)		(421,038	)		(1,708,105	)		(97,114	)		(3,045,370	)

Shareholders’ equity, end of period	$	6,523,481		$	13,869,371		$	6,523,481		$	13,869,371

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 323,924 $ (1,337,265 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   —   (5,984,289 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —   2,290,249
Net amortization and accretion on short-term U.S. government and agency obligations
   —   (9,602 )
Net realized (gain) loss on investments
   —   5,949
Change in unrealized (appreciation) depreciation on investments
   175,968 419,715
Decrease (Increase) in interest receivable
   12,213 (1,382 )
Increase (Decrease) in payable to Sponsor
   (4,645 ) 2,121


Net cash provided by (used in) operating activities
   507,460 (4,614,504 )


Cash flow from financing activities

Proceeds from addition of shares
   2,296,437 6,368,822
Payment on shares redeemed
   (5,789,588 ) (4,275,026 )


Net cash provided by (used in) financing activities
   (3,493,151 ) 2,093,796


Net increase (decrease) in cash
   (2,985,691 ) (2,520,708 )
Cash, beginning of period
   10,259,418 7,582,458


Cash, end of period
   $ 7,273,727 $ 5,061,750


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(97,114	)	$	(3,045,370	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(5,984,290	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			6,290,250
Net amortization and accretion on short-term U.S. government and agency obligations		—			(11,431	)
Net realized (gain) loss on investments		—			5,949
Change in unrealized (appreciation) depreciation on investments		638,368			514,727
Decrease (Increase) in interest receivable		15,036			(13,185	)
Increase (Decrease) in payable to Sponsor		(5,633	)		18,088
Increase (Decrease) in non-recurring fees and expenses payable		—			237

Net cash provided by (used in) operating activities		550,657			(2,225,025	)

Cash flow from financing activities
Proceeds from addition of shares		2,296,437			13,058,757
Payment on shares redeemed		(6,380,504	)		(5,281,415	)

Net cash provided by (used in) financing activities		(4,084,067	)		7,777,342

Net increase (decrease) in cash		(3,533,410	)		5,552,317
Cash, beginning of period		10,259,418			7,582,458

Cash, end of period	$	6,726,008		$	13,134,775

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively)
   $ 134,714,723    $ 129,123,489
Cash
   15,660,964    16,568,417
Segregated cash balances with brokers for futures contracts
   4,415,600    2,611,350
Segregated cash balances with brokers for swap agreements
   32,723,000    18,730,000
Unrealized appreciation on swap agreements
   —      6,496,466
Receivable on open futures contracts
   496,067    8,169
Interest receivable
   107,021    126,595




Total assets
   188,117,375    173,664,486




Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   147,761    140,350
Unrealized depreciation on swap agreements
   7,053,083    —




Total liabilities
   7,200,844    140,350




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   180,916,531    173,524,136




Total liabilities and shareholders’ equity
   $ 188,117,375    $ 173,664,486




Shares outstanding
   3,100,000    3,150,000




Net asset value per share
   $ 58.36    $ 55.09




Market value per share (Note 2)
   $ 58.24    $ 55.27


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively)	$	109,664,879	$	129,123,489
Cash		11,124,533		16,568,417
Segregated cash balances with brokers for futures contracts		2,074,800		2,611,350
Segregated cash balances with brokers for swap agreements		35,494,971		18,730,000
Unrealized appreciation on swap agreements		—		6,496,466
Receivable on open futures contracts		—		8,169
Interest receivable		73,655		126,595

Total assets		158,432,838		173,664,486

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		264,526		—
Payable to Sponsor		128,566		140,350
Unrealized depreciation on swap agreements		10,343,189		—

Total liabilities		10,736,281		140,350

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		147,696,557		173,524,136

Total liabilities and shareholders’ equity	$	158,432,838	$	173,664,486

Shares outstanding		2,800,000		3,150,000

Net asset value per share	$	52 .75	$	55 .09

Market value per share (Note 2)	$	52 .60	$	55 .27

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(74% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.132% due
07/06/23
†
   $ 50,000,000    $ 49,978,980
4.959% due
07/13/23
†
   20,000,000    19,971,916
5.242% due
07/18/23
   15,000,000    14,968,437
5.104% due
08/01/23
†
   50,000,000    49,795,390


Total short-term U.S. government and agency obligations

(cost $134,680,616)
      $ 134,714,723


	Principal Amount		Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	25,000,000	$	24,970,695
5.478% due 10/17/23		40,000,000		39,911,916
5.499% due 10/24/23		25,000,000		24,919,333
5.490% due 11/14/23 †		10,000,000		9,936,754
5.497% due 11/21/23		10,000,000		9,926,181

Total short-term U.S. government and agency obligations (cost $109,649,343)			$	109,664,879

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Gold Futures - COMEX, expires August 2023
   530    $ 102,258,200    $ (5,385,731 )


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2023		264	$	49,265,040	$	(2,617,740	)

Total Return Swap Agreements

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25 % 07/06/23    $ 111,454,930    $ (3,028,491 )
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25 07/06/23    52,937,566    (1,438,439 )
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25 07/06/23    95,175,948    (2,586,153 )


      Total Unrealized
Depreciation
   $ (7,053,083 )


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/ Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%		10/06/23	$	105,703,033	$	(4,441,216	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			10/06/23		50,205,597		(2,109,437	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/23		90,264,166		(3,792,536	)

							Total Unrealized Depreciation	$	(10,343,189	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 1,983,196 $ 319,154 $ 3,632,210 $ 414,267


Expenses

Management fee
   474,261 716,148 901,375 1,387,563
Brokerage commissions
   6,925 14,064 15,540 35,723
Futures account fees
   —   8,664 —   28,169


Total expenses
   481,186 738,876 916,915 1,451,455


Net investment income (loss)
   1,502,010 (419,722 ) 2,715,295 (1,037,188 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   5,160,588 (28,896,339 ) 7,921,167 (8,706,319 )
Swap agreements
   12,035,981 (29,004,744 ) 20,075,298 8,623,832
Short-term U.S. government and agency obligations
   (28,462 ) —   (28,462 ) —


Net realized gain (loss)
   17,168,107 (57,901,083 ) 27,968,003 (82,487 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (10,482,142 ) 3,312,504 (8,627,819 ) (4,587,403 )
Swap agreements
   (22,406,342 ) 1,658,698 (13,549,549 ) (15,091,046 )
Short-term U.S. government and agency obligations
   33,642 (159 ) 10,905 (171,019 )


Change in net unrealized appreciation (depreciation)
   (32,854,842 ) 4,971,043 (22,166,463 ) (19,849,468 )


Net realized and unrealized gain (loss)
   (15,686,735 ) (52,930,040 ) 5,801,540 (19,931,955 )


Net income (loss)
   $ (14,184,725 ) $ (53,349,762 ) $ 8,516,835 $ (20,969,143 )


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	1,837,846		$	678,282		$	5,470,056		$	1,092,549

Expenses
Management fee		417,418			475,457			1,318,793			1,863,020
Brokerage commissions		5,346			8,176			20,886			43,899
Futures account fees		—			—			—			28,169
Non-recurring fees and expenses		—			2,940			—			2,940

Total expenses		422,764			486,573			1,339,679			1,938,028

Net investment income (loss)		1,415,082			191,709			4,130,377			(845,479	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(6,609,223	)		(13,871,427	)		1,311,944			(22,577,746	)
Swap agreements		(10,266,780	)		(25,954,159	)		9,808,518			(17,330,327	)
Short-term U.S. government and agency obligations		138			(708	)		(28,324	)		(708	)

Net realized gain (loss)		(16,875,865	)		(39,826,294	)		11,092,138			(39,908,781	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		2,767,991			2,305,467			(5,859,828	)		(2,281,936	)
Swap agreements		(3,290,106	)		(234,566	)		(16,839,655	)		(15,325,612	)
Short-term U.S. government and agency obligations		(18,571	)		151,932			(7,666	)		(19,087	)

Change in net unrealized appreciation (depreciation)		(540,686	)		2,222,833			(22,707,149	)		(17,626,635	)

Net realized and unrealized gain (loss)		(17,416,551	)		(37,603,461	)		(11,615,011	)		(57,535,416	)

Net income (loss)	$	(16,001,469	)	$	(37,411,752	)	$	(7,484,634	)	$	(58,380,895	)

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 201,161,529 $ 355,029,822 $ 173,524,136 $ 232,780,534


Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively
   3,236,120 6,573,039 28,209,474 102,257,715
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively
   (9,296,393 ) (68,314,246 ) (29,333,914 ) (74,130,253 )


Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively
   (6,060,273 ) (61,741,207 ) (1,124,440 ) 28,127,462


Net investment income (loss)
   1,502,010 (419,722 ) 2,715,295 (1,037,188 )
Net realized gain (loss)
   17,168,107 (57,901,083 ) 27,968,003 (82,487 )
Change in net unrealized appreciation (depreciation)
   (32,854,842 ) 4,971,043 (22,166,463 ) (19,849,468 )


Net income (loss)
   (14,184,725 ) (53,349,762 ) 8,516,835 (20,969,143 )


Shareholders’ equity, end of period
   $ 180,916,531 $ 239,938,853 $ 180,916,531 $ 239,938,853


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	180,916,531		$	239,938,853		$	173,524,136		$	232,780,534

Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively		3,076,173			2,645,499			31,285,647			104,903,214
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively		(20,294,678	)		(45,150,308	)		(49,628,592	)		(119,280,561	)

Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively		(17,218,505	)		(42,504,809	)		(18,342,945	)		(14,377,347	)

Net investment income (loss)		1,415,082			191,709			4,130,377			(845,479	)
Net realized gain (loss)		(16,875,865	)		(39,826,294	)		11,092,138			(39,908,781	)
Change in net unrealized appreciation (depreciation)		(540,686	)		2,222,833			(22,707,149	)		(17,626,635	)

Net income (loss)		(16,001,469	)		(37,411,752	)		(7,484,634	)		(58,380,895	)

Shareholders’ equity, end of period	$	147,696,557		$	160,022,292		$	147,696,557		$	160,022,292

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 8,516,835 $ (20,969,143 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (492,848,662 ) (704,533,509 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   489,813,291 704,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,573,420 ) (377,637 )
Net realized (gain) loss on investments
   28,462 —
Change in unrealized (appreciation) depreciation on investments
   13,538,644 15,262,065
Decrease (Increase) in receivable on open futures contracts
   (487,898 ) 944,644
Decrease (Increase) in interest receivable
   19,574 (31,715 )
Increase (Decrease) in payable to Sponsor
   7,411 24,571
Increase (Decrease) in brokerage commissions and futures account fees payable
   —   (4,034 )
Increase (Decrease) in payable on open futures contracts
   —   1,022,544


Net cash provided by (used in) operating activities
   16,014,237 (4,662,214 )


Cash flow from financing activities

Proceeds from addition of shares
   28,209,474 102,257,715
Payment on shares redeemed
   (29,333,914 ) (71,305,703 )


Net cash provided by (used in) financing activities
   (1,124,440 ) 30,952,012


Net increase (decrease) in cash
   14,889,797 26,289,798
Cash, beginning of period
   37,909,767 15,422,082


Cash, end of period
   $ 52,799,564 $ 41,711,880


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(7,484,634	)	$	(58,380,895	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(886,531,310	)		(913,776,847	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		909,750,482			978,997,411
Net amortization and accretion on short-term U.S. government and agency obligations		(3,796,552	)		(903,566	)
Net realized (gain) loss on investments		28,324			708
Change in unrealized (appreciation) depreciation on investments		16,847,321			15,344,699
Decrease (Increase) in receivable on open futures contracts		8,169			823,707
Decrease (Increase) in interest receivable		52,940			(39,702	)
Increase (Decrease) in payable to Sponsor		(11,784	)		125,445
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(4,034	)
Increase (Decrease) in payable on open futures contracts		264,526			—
Increase (Decrease) in non-recurring fees and expenses payable		—			2,940

Net cash provided by (used in) operating activities		29,127,482			22,189,866

Cash flow from financing activities
Proceeds from addition of shares		31,285,647			104,903,214
Payment on shares redeemed		(49,628,592	)		(119,280,561	)

Net cash provided by (used in) financing activities		(18,342,945	)		(14,377,347	)

Net increase (decrease) in cash		10,784,537			7,812,519
Cash, beginning of period		37,909,767			15,422,082

Cash, end of period	$	48,694,304		$	23,234,601

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively)
   $ 224,344,440    $ 228,657,634
Cash
   43,579,042    74,136,821
Segregated cash balances with brokers for futures contracts
   19,465,500    19,452,250
Segregated cash balances with brokers for swap agreements
   85,841,000    56,423,000
Unrealized appreciation on swap agreements
   —      39,224,212
Receivable on open futures contracts
   1,635,164    —
Interest receivable    270,810    300,712




Total assets    375,135,956    418,194,629




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      1,615,382
Payable on open futures contracts
   —      1,948,902
Payable to Sponsor
   298,935    344,467
Unrealized depreciation on swap agreements
   18,045,362    —




Total liabilities
   18,344,297    3,908,751




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   356,791,659    414,285,878




Total liabilities and shareholders’ equity
   $ 375,135,956    $ 418,194,629




Shares outstanding
   13,196,526    13,046,526




Net asset value per share
   $ 27.04    $ 31.75




Market value per share (Note 2)
   $ 26.95    $ 32.00


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively)	$	199,275,356	$	228,657,634
Cash		16,864,895		74,136,821
Segregated cash balances with brokers for futures contracts		14,064,000		19,452,250
Segregated cash balances with brokers for swap agreements		121,550,121		56,423,000
Unrealized appreciation on swap agreements		—		39,224,212
Interest receivable		211,212		300,712

Total assets		351,965,584		418,194,629

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,615,382
Payable on open futures contracts		2,071,169		1,948,902
Payable to Sponsor		281,601		344,467
Unrealized depreciation on swap agreements		21,616,739		—

Total liabilities		23,969,509		3,908,751

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		327,996,075		414,285,878

Total liabilities and shareholders’ equity	$	351,965,584	$	418,194,629

Shares outstanding		13,246,526		13,046,526

Net asset value per share	$	24 .76	$	31 .75

Market value per share (Note 2)	$	24 .61	$	32 .00

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(63% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.132% due 07/06/23
†
   $ 25,000,000    $ 24,989,490
4.959% due 07/13/23
†
   50,000,000    49,929,790
5.242% due 07/18/23
   50,000,000    49,894,790
5.104% due 08/01/23
†
   50,000,000    49,795,390
4.972% due 08/08/23
†
   25,000,000    24,870,750
5.161% due 08/10/23
   25,000,000    24,864,230


Total short-term U.S. government and agency obligations

(cost $224,295,385)
      $ 224,344,440


	Principal Amount		Value
Short-term U.S. government and agency obligations
(61% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	25,000,000	$	24,970,695
5.478% due 10/17/23		90,000,000		89,801,811
5.499% due 10/24/23		25,000,000		24,919,332
5.490% due 11/14/23 †		25,000,000		24,841,885
5.497% due 11/21/23		35,000,000		34,741,633

Total short-term U.S. government and agency obligations (cost $199,247,238)			$	199,275,356

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Silver Futures - COMEX, expires September 2023
   2,047    $ 235,609,700    $ (9,977,916 )


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2023		1,756	$	197,111,000	$	(6,167,328	)

Total Return Swap Agreements

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
0.25 % 07/06/23 $ 166,412,438    $ (6,281,114 )
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
0.30 07/06/23 21,984,663    (830,545 )
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
0.30 07/06/23 149,157,444    (5,634,927 )
Swap agreement with UBS AG based on Bloomberg Silver Subindex
0.25 07/06/23 140,386,283    (5,298,776 )


Total Unrealized
Depreciation
   $ (18,045,362 )


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/ Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%		10/06/23	$	159,867,323	$	(7,524,763	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			10/06/23		21,119,991		(994,790	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/23		143,290,980		(6,749,262	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/23		134,864,794		(6,347,924	)

							Total Unrealized Depreciation	$	(21,616,739	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 3,701,182 $ 421,514 $ 7,075,578 $ 561,963


Expenses

Management fee
   976,505 1,082,340 1,848,064 2,299,939
Brokerage commissions
   47,075 28,732 73,637 59,283
Futures account fees
   —   6,188 —   26,693


Total expenses
   1,023,580 1,117,260 1,921,701 2,385,915


Net investment income (loss)
   2,677,602 (695,746 ) 5,153,877 (1,823,952 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   17,097,790 (10,869,422 ) 20,739,536 (16,614,384 )
Swap agreements
   47,564,510 (145,324,753 ) 15,178,900 (22,942,764 )
Short-term U.S. government and agency obligations
   (46,857 ) (1,174 ) (46,857 ) (1,164 )


Net realized gain (loss)
   64,615,443 (156,195,349 ) 35,871,579 (39,558,312 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (38,652,527 ) (13,510,319 ) (39,404,490 ) (6,824,486 )
Swap agreements
   (80,409,195 ) (36,561,200 ) (57,269,574 ) (101,003,629 )
Short-term U.S. government and agency obligations
   44,380 (64,280 ) 8,842 (343,929 )


Change in net unrealized appreciation (depreciation)
   (119,017,342 ) (50,135,799 ) (96,665,222 ) (108,172,044 )


Net realized and unrealized gain (loss)
   (54,401,899 ) (206,331,148 ) (60,793,643 ) (147,730,356 )


Net income (loss)
   $ (51,724,297 ) $ (207,026,894 ) $ (55,639,766 ) $ (149,554,308 )


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	3,343,905		$	824,171		$	10,419,483		$	1,386,134

Expenses
Management fee		892,009			798,802			2,740,073			3,098,741
Brokerage commissions		27,874			34,796			101,511			94,079
Futures account fees		—			—			—			26,693
Non-recurring fees and expenses		—			5,922			—			5,922

Total expenses		919,883			839,520			2,841,584			3,225,435

Net investment income (loss)		2,424,022			(15,349	)		7,577,899			(1,839,301	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(14,704,230	)		(13,577,109	)		6,035,306			(30,191,493	)
Swap agreements		(15,547,180	)		(133,807,652	)		(368,280	)		(156,750,416	)
Short-term U.S. government and agency obligations		—			(6,553	)		(46,857	)		(7,717	)

Net realized gain (loss)		(30,251,410	)		(147,391,314	)		5,620,169			(186,949,626	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		3,810,588			3,988,709			(35,593,902	)		(2,835,777	)
Swap agreements		(3,571,377	)		87,216,478			(60,840,951	)		(13,787,151	)
Short-term U.S. government and agency obligations		(20,937	)		272,285			(12,095	)		(71,644	)

Change in net unrealized appreciation (depreciation)		218,274			91,477,472			(96,446,948	)		(16,694,572	)

Net realized and unrealized gain (loss)		(30,033,136	)		(55,913,842	)		(90,826,779	)		(203,644,198	)

Net income (loss)	$	(27,609,114	)	$	(55,929,191	)	$	(83,248,880	)	$	(205,483,499	)

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 429,115,334 $ 558,375,841 $ 414,285,878 $ 515,453,594


Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively
   20,692,563 26,625,358 71,924,842 65,659,299
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively
   (41,291,941 ) (22,396,790 ) (73,779,295 ) (75,981,070 )


Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively
   (20,599,378 ) 4,228,568 (1,854,453 ) (10,321,771 )


Net investment income (loss)
   2,677,602 (695,746 ) 5,153,877 (1,823,952 )
Net realized gain (loss)
   64,615,443 (156,195,349 ) 35,871,579 (39,558,312 )
Change in net unrealized appreciation (depreciation)
   (119,017,342 ) (50,135,799 ) (96,665,222 ) (108,172,044 )


Net income (loss)
   (51,724,297 ) (207,026,894 ) (55,639,766 ) (149,554,308 )


Shareholders’ equity, end of period
   $ 356,791,659 $ 355,577,515 $ 356,791,659 $ 355,577,515


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	356,791,659		$	355,577,515		$	414,285,878		$	515,453,594

Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively		42,340,032			52,469,935			114,264,874			118,129,234
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively		(43,526,502	)		(28,147,396	)		(117,305,797	)		(104,128,466	)

Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively		(1,186,470	)		24,322,539			(3,040,923	)		14,000,768

Net investment income (loss)		2,424,022			(15,349	)		7,577,899			(1,839,301	)
Net realized gain (loss)		(30,251,410	)		(147,391,314	)		5,620,169			(186,949,626	)
Change in net unrealized appreciation (depreciation)		218,274			91,477,472			(96,446,948	)		(16,694,572	)

Net income (loss)		(27,609,114	)		(55,929,191	)		(83,248,880	)		(205,483,499	)

Shareholders’ equity, end of period	$	327,996,075		$	323,970,863		$	327,996,075		$	323,970,863

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (55,639,766 ) $ (149,554,308 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (2,203,304,232 ) (1,255,430,782 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,212,588,221 1,416,997,680
Net amortization and accretion on short-term U.S. government and agency obligations
   (5,008,810 ) (497,182 )
Net realized (gain) loss on investments
   46,857 1,164
Change in unrealized (appreciation) depreciation on investments
   57,260,732 101,347,558
Decrease (Increase) in receivable on open futures contracts
   (1,635,164 ) 1,384,919
Decrease (Increase) in interest receivable
   29,902 (55,579 )
Increase (Decrease) in payable to Sponsor
   (45,532 ) (78,578 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   —   (9,833 )
Increase (Decrease) in payable on open futures contracts
   (1,948,902 ) 2,248,743


Net cash provided by (used in) operating activities
   2,343,306 116,353,802


Cash flow from financing activities

Proceeds from addition of shares
   71,924,842 64,418,960
Payment on shares redeemed
   (75,394,677 ) (79,464,840 )


Net cash provided by (used in) financing activities
   (3,469,835 ) (15,045,880 )


Net increase (decrease) in cash
   (1,126,529 ) 101,307,922
Cash, beginning of period
   150,012,071 25,488,503


Cash, end of period
   $ 148,885,542 $ 126,796,425


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(83,248,880	)	$	(205,483,499	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(2,785,919,203	)		(2,619,720,954	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,822,588,221			2,909,963,011
Net amortization and accretion on short-term U.S. government and agency obligations		(7,345,692	)		(1,060,031	)
Net realized (gain) loss on investments		46,857			7,717
Change in unrealized (appreciation) depreciation on investments		60,853,046			13,858,795
Decrease (Increase) in receivable on open futures contracts		—			(314,479	)
Decrease (Increase) in interest receivable		89,500			(72,051	)
Increase (Decrease) in payable to Sponsor		(62,866	)		143,880
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(9,833	)
Increase (Decrease) in payable on open futures contracts		122,267			—
Increase (Decrease) in non-recurring fees and expenses payable		—			5,922

Net cash provided by (used in) operating activities		7,123,250			97,318,478

Cash flow from financing activities
Proceeds from addition of shares		114,264,874			113,960,240
Payment on shares redeemed		(118,921,179	)		(107,612,236	)

Net cash provided by (used in) financing activities		(4,656,305	)		6,348,004

Net increase (decrease) in cash		2,466,945			103,666,482
Cash, beginning of period		150,012,071			25,488,503

Cash, end of period	$	152,479,016		$	129,154,985

See accompanying notes to financial statements.

Table of Contents

~~PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF~~

~~STATEMENTS OF FINANCIAL CONDITION~~

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively)
   $ —      $ 34,732,372
Cash
   116,071,941    71,086,482
Segregated cash balances with brokers for futures contracts
   222,756,461    323,761,025
Receivable on open futures contracts
   50,445,515    209,470,270
Interest receivable
   952,517    1,246,402




Total assets
   390,226,434    640,296,551




Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   2,056,385    348,988
Brokerage commissions and futures account fees payable
   44,656    58,772
Payable to Sponsor
   361,334    570,429




Total liabilities
   2,462,375    978,189




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   387,764,059    639,318,362




Total liabilities and shareholders’ equity
   $ 390,226,434    $ 640,296,551




Shares outstanding (Note 1)
   20,977,842    9,307,842




Net asset value per share (Note 1)
   $ 18.48    $ 68.69




Market value per share (Note 1) (Note 2)
   $ 18.49    $ 68.60

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

~~SCHEDULE~~STATEMENTS OF ~~INVESTMENTS~~FINANCIAL CONDITION

~~JUNE 30, 2023~~

~~(unaudited)~~

~~Futures Contracts Purchased~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

VIX Futures - Cboe, expires July 2023
   21,591    $ 324,102,501    $ (69,897,187 )
VIX Futures - Cboe, expires August 2023
   15,704    257,550,311    (9,932,533 )


         $ (79,829,720 )


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively)	$	84,581,081	$	34,732,372
Cash		20,004,039		71,086,482
Segregated cash balances with brokers for futures contracts		133,149,681		323,761,025
Receivable from capital shares sold		9,725,630		—
Receivable on open futures contracts		41,678,702		209,470,270
Interest receivable		689,129		1,246,402

Total assets		289,828,262		640,296,551

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		6,477,149		—
Payable on open futures contracts		—		348,988
Brokerage commissions and futures account fees payable		34,400		58,772
Payable to Sponsor		266,022		570,429

Total liabilities		6,777,571		978,189

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		283,050,691		639,318,362

Total liabilities and shareholders’ equity	$	289,828,262	$	640,296,551

Shares outstanding (Note 1)		17,474,459		9,307,842

Net asset value per share (Note 1)	$	16 .20	$	68 .69

Market value per share (Note 1) (Note 2)	$	16 .21	$	68 .60

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

~~STATEMENTS OF OPERATIONS~~(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(30% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.478% due 10/17/23	$	10,000,000	$	9,977,979
5.499% due 10/24/23		25,000,000		24,919,332
5.490% due 11/14/23		50,000,000		49,683,770

Total short-term U.S. government and agency obligations (cost $84,569,073)			$	84,581,081

Futures Contracts Purchased

~~(unaudited)~~


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2023		14,181	$	252,013,387	$	26,387,450
VIX Futures - Cboe, expires November 2023		9,464		172,682,983		2,622,041

					$	29,009,491

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 4,750,595 $ 430,670 $ 9,167,250 $ 525,931


Expenses

Management fee
   1,330,081 2,293,738 2,703,851 4,254,915
Brokerage commissions
   712,511 970,211 1,490,212 1,906,969
Futures account fees
   126,999 444,123 250,360 1,226,811


Total expenses
   2,169,591 3,708,072 4,444,423 7,388,695


Net investment income (loss)
   2,581,004 (3,277,402 ) 4,722,827 (6,862,764 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (426,304,544 ) 91,039,435 (608,537,974 ) 349,477,533
Swap agreements
   —   —   —   22,556,586
Short-term U.S. government and agency obligations
   4,188 (337,934 ) (3,590 ) (353,087 )


Net realized gain (loss)
   (426,300,356 ) 90,701,501 (608,541,564 ) 371,681,032


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (45,320,517 ) 196,657,178 (43,274,267 ) 161,801,275
Swap agreements
   —   —   —   477,437
Short-term U.S. government and agency obligations
   5,340 78,171 (3,383 ) (544,247 )


Change in net unrealized appreciation (depreciation)
   (45,315,177 ) 196,735,349 (43,277,650 ) 161,734,465


Net realized and unrealized gain (loss)
   (471,615,533 ) 287,436,850 (651,819,214 ) 533,415,497


Net income (loss)
   $ (469,034,529 ) $ 284,159,448 $ (647,096,387 ) $ 526,552,733

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~CHANGES IN SHAREHOLDERS’ EQUITY~~OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 535,980,236 $ 1,127,608,641 $ 639,318,362 $ 816,679,636


Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1)
   455,030,425 799,757,076 891,490,874 1,971,472,943
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1)
   (134,212,073 ) (1,235,841,632 ) (495,948,790 ) (2,339,021,779 )


Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1)
   320,818,352 (436,084,556 ) 395,542,084 (367,548,836 )


Net investment income (loss)
   2,581,004 (3,277,402 ) 4,722,827 (6,862,764 )
Net realized gain (loss)
   (426,300,356 ) 90,701,501 (608,541,564 ) 371,681,032
Change in net unrealized appreciation (depreciation)
   (45,315,177 ) 196,735,349 (43,277,650 ) 161,734,465


Net income (loss)
   (469,034,529 ) 284,159,448 (647,096,387 ) 526,552,733


Shareholders’ equity, end of period
   $ 387,764,059 $ 975,683,533 $ 387,764,059 $ 975,683,533


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	3,255,531		$	3,945,136		$	12,422,781		$	4,471,067

Expenses
Management fee		803,793			2,831,005			3,507,644			7,085,920
Brokerage commissions		517,699			1,276,819			2,007,911			3,183,788
Futures account fees		103,793			219,828			354,153			1,446,639
Non-recurring fees and expenses		—			20,117			—			20,117

Total expenses		1,425,285			4,347,769			5,869,708			11,736,464

Net investment income (loss)		1,830,246			(402,633	)		6,553,073			(7,265,397	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(142,584,115	)		(289,871,717	)		(751,122,089	)		59,605,816
Swap agreements		—			—			—			22,556,586
Short-term U.S. government and agency obligations		(141	)		(2,037	)		(3,731	)		(355,124	)

Net realized gain (loss)		(142,584,256	)		(289,873,754	)		(751,125,820	)		81,807,278

Change in net unrealized appreciation (depreciation) on
Futures contracts		108,839,211			161,330,331			65,564,944			323,131,606
Swap agreements		—			—			—			477,437
Short-term U.S. government and agency obligations		12,008			414,952			8,625			(129,295	)

Change in net unrealized appreciation (depreciation)		108,851,219			161,745,283			65,573,569			323,479,748

Net realized and unrealized gain (loss)		(33,733,037	)		(128,128,471	)		(685,552,251	)		405,287,026

Net income (loss)	$	(31,902,791	)	$	(128,531,104	)	$	(678,999,178	)	$	398,021,629

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~CASH FLOWS~~CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (647,096,387 ) $ 526,552,733
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (1,156,102,958 ) (1,476,792,269 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,192,359,088 1,454,556,289
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,530,731 ) (252,157 )
Net realized (gain) loss on investments
   3,590 353,166
Change in unrealized (appreciation) depreciation on investments
   3,383 66,810
Decrease (Increase) in receivable on open futures contracts
   159,024,755 (225,561,488 )
Decrease (Increase) in interest receivable
   293,885 (193,393 )
Increase (Decrease) in payable to Sponsor
   (209,095 ) 126,268
Increase (Decrease) in brokerage commissions and futures account fees payable
   (14,116 ) (96,420 )
Increase (Decrease) in payable on open futures contracts
   1,707,397 (9,447,456 )


Net cash provided by (used in) operating activities
   (451,561,189 ) 269,312,083


Cash flow from financing activities

Proceeds from addition of shares
   891,490,874 1,969,293,116
Payment on shares redeemed
   (495,948,790 ) (2,339,021,779 )


Net cash provided by (used in) financing activities
   395,542,084 (369,728,663 )


Net increase (decrease) in cash
   (56,019,105 ) (100,416,580 )
Cash, beginning of period
   394,847,507 572,120,879


Cash, end of period
   $ 338,828,402 $ 471,704,299


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	387,764,059		$	975,683,533		$	639,318,362		$	816,679,636

Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1)		217,623,291			1,064,364,417			1,109,114,165			3,035,837,360
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1)		(290,433,868	)		(916,027,068	)		(786,382,658	)		(3,255,048,847	)

Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1)		(72,810,577	)		148,337,349			322,731,507			(219,211,487	)

Net investment income (loss)		1,830,246			(402,633	)		6,553,073			(7,265,397	)
Net realized gain (loss)		(142,584,256	)		(289,873,754	)		(751,125,820	)		81,807,278
Change in net unrealized appreciation (depreciation)		108,851,219			161,745,283			65,573,569			323,479,748

Net income (loss)		(31,902,791	)		(128,531,104	)		(678,999,178	)		398,021,629

Shareholders’ equity, end of period	$	283,050,691		$	995,489,778		$	283,050,691		$	995,489,778

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA ~~YEN~~VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~FINANCIAL CONDITION~~

CASH FLOWS

(unaudited)

June 30, 2023
(unaudited)

December 31,
2022

Assets

Cash
   $ 11,390,854    $ 11,444,958
Segregated cash balances with brokers for foreign currency forward contracts
   1,767,000    1,357,000
Unrealized appreciation on foreign currency forward contracts
   18,889    1,152,834
Interest receivable
   39,252    39,204




Total assets
   13,215,995    13,993,996




Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   8,505    10,915
Unrealized depreciation on foreign currency forward contracts
   876,516    168,285




Total liabilities
   885,021    179,200




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   12,330,974    13,814,796




Total liabilities and shareholders’ equity
   $ 13,215,995    $ 13,993,996




Shares outstanding
   449,970    399,970




Net asset value per share
   $ 27.40    $ 34.54




Market value per share (Note 2)
   $ 27.42    $ 34.56


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(678,999,178	)	$	398,021,629
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(1,439,995,575	)		(4,540,406,696	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,392,250,029			4,489,474,762
Net amortization and accretion on short-term U.S. government and agency obligations		(2,098,269	)		(1,094,279	)
Net realized (gain) loss on investments		3,731			355,124
Change in unrealized (appreciation) depreciation on investments		(8,625	)		(348,142	)
Decrease (Increase) in receivable on open futures contracts		167,791,568			(228,922,727	)
Decrease (Increase) in interest receivable		557,273			(1,045,845	)
Increase (Decrease) in payable to Sponsor		(304,407	)		1,301,939
Increase (Decrease) in brokerage commissions and futures account fees payable		(24,372	)		(101,787	)
Increase (Decrease) in payable on open futures contracts		(348,988	)		(9,447,456	)
Increase (Decrease) in non-recurring fees and expenses payable		—			20,117

Net cash provided by (used in) operating activities		(561,176,813	)		107,806,639

Cash flow from financing activities
Proceeds from addition of shares		1,099,388,535			3,035,837,360
Payment on shares redeemed		(779,905,509	)		(3,218,451,554	)

Net cash provided by (used in) financing activities		319,483,026			(182,614,194	)

Net increase (decrease) in cash		(241,693,787	)		(74,807,555	)
Cash, beginning of period		394,847,507			572,120,879

Cash, end of period	$	153,153,720		$	497,313,324

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	16,103,538	$	11,444,958
Segregated cash balances with brokers for foreign currency forward contracts		1,937,000		1,357,000
Unrealized appreciation on foreign currency forward contracts		8,894		1,152,834
Interest receivable		60,530		39,204

Total assets		18,109,962		13,993,996

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		12,399		10,915
Unrealized depreciation on foreign currency forward contracts		589,315		168,285

Total liabilities		601,714		179,200

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		17,508,248		13,814,796

Total liabilities and shareholders’ equity	$	18,109,962	$	13,993,996

Shares outstanding		699,970		399,970

Net asset value per share	$	25 .01	$	34 .54

Market value per share (Note 2)	$	25 .00	$	34 .56

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts

Settlement
Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Yen with Goldman Sachs International
   07/14/23    1,507,359,517 $ 10,470,698 $ (407,188 )
Yen with UBS AG
   07/14/23    2,188,352,856 15,201,139 (469,328 )


      Total Unrealized
Depreciation
$ (876,516 )


Contracts to Sell

Yen with Goldman Sachs International
   07/14/23    (1,461 ) $ (10 ) $ —
Yen with UBS AG
   07/14/23    (158,537,000 ) (1,101,259 ) 18,889


      Total Unrealized
Appreciation
$ 18,889


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with Goldman Sachs International		10/06/23		2,355,724,056		$	15,780,833		$	(268,253	)
Yen with UBS AG		10/06/23		2,976,699,856			19,940,707			(321,062	)

							Total Unrealized Depreciation		$	(589,315	)

Contracts to Sell
Yen with UBS AG		10/06/23		(97,972,000	)	$	(656,308	)	$	8,894

							Total Unrealized Appreciation		$	8,894

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	174,354		$	25,362		$	409,452		$	29,299

Expenses
Management fee		35,968			21,245			91,858			34,710
Non-recurring fees and expenses		—			194			—			194

Total expenses		35,968			21,439			91,858			34,904

Net investment income (loss)		138,386			3,923			317,594			(5,605	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(1,854,770	)		(1,652,590	)		(2,923,720	)		(2,532,839	)
Short-term U.S. government and agency obligations		—			—			—			1,548

Net realized gain (loss)		(1,854,770	)		(1,652,590	)		(2,923,720	)		(2,531,291	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		277,206			(17,967	)		(1,564,970	)		(2,005	)
Short-term U.S. government and agency obligations		—			3,286			—			(1,856	)

Change in net unrealized appreciation (depreciation)		277,206			(14,681	)		(1,564,970	)		(3,861	)

Net realized and unrealized gain (loss)		(1,577,564	)		(1,667,271	)		(4,488,690	)		(2,535,152	)

Net income (loss)	$	(1,439,178	)	$	(1,663,348	)	$	(4,171,096	)	$	(2,540,757	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	12,330,974		$	5,024,773		$	13,814,796		$	2,362,849

Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively		8,063,291			8,285,325			14,320,409			11,824,658
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively		(1,446,839	)		(1,487,561	)		(6,455,861	)		(1,487,561	)

Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively		6,616,452			6,797,764			7,864,548			10,337,097

Net investment income (loss)		138,386			3,923			317,594			(5,605	)
Net realized gain (loss)		(1,854,770	)		(1,652,590	)		(2,923,720	)		(2,531,291	)
Change in net unrealized appreciation (depreciation)		277,206			(14,681	)		(1,564,970	)		(3,861	)

Net income (loss)		(1,439,178	)		(1,663,348	)		(4,171,096	)		(2,540,757	)

Shareholders’ equity, end of period	$	17,508,248		$	10,159,189		$	17,508,248		$	10,159,189

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(4,171,096	)	$	(2,540,757	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(995,769	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			1,548
Net amortization and accretion on short-term U.S. government and agency obligations		—			(3,732	)
Net realized (gain) loss on investments		—			(1,548	)
Change in unrealized (appreciation) depreciation on investments		1,564,970			3,861
Decrease (Increase) in interest receivable		(21,326	)		(9,886	)
Increase (Decrease) in payable to Sponsor		1,484			14,302
Increase (Decrease) in non-recurring fees and expenses payable		—			194

Net cash provided by (used in) operating activities		(2,625,968	)		(3,531,787	)

Cash flow from financing activities
Proceeds from addition of shares		14,320,409			11,824,658
Payment on shares redeemed		(6,455,861	)		(1,487,561	)

Net cash provided by (used in) financing activities		7,864,548			10,337,097

Net increase (decrease) in cash		5,238,580			6,805,310
Cash, beginning of period		12,801,958			2,457,820

Cash, end of period	$	18,040,538		$	9,263,130

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively)	$	184,298,349	$	89,426,935
Cash		26,182,767		74,627,051
Segregated cash balances with brokers for futures contracts		76,076,031		65,184,460
Receivable from capital shares sold		7,585,012		41,694
Receivable on open futures contracts		3,557,787		1,604,847
Interest receivable		279,874		384,856

Total assets		297,979,820		231,269,843

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,257,090
Payable on open futures contracts		993,204		7,102,680
Brokerage commissions and futures account fees payable		4,433		4,134
Payable to Sponsor		205,717		208,602

Total liabilities		1,203,354		8,572,506

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		296,776,466		222,697,337

Total liabilities and shareholders’ equity	$	297,979,820	$	231,269,843

Shares outstanding		17,605,220		9,305,220

Net asset value per share	$	16 .86	$	23 .93

Market value per share (Note 2)	$	16 .82	$	23 .85

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(62% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	25,000,000	$	24,970,695
5.478% due 10/17/23		70,000,000		69,845,853
5.499% due 10/24/23		25,000,000		24,919,332
5.490% due 11/14/23		40,000,000		39,747,016
5.497% due 11/21/23		25,000,000		24,815,453

Total short-term U.S. government and agency obligations (cost $184,272,303)			$	184,298,349


Futures Contracts Sold
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2023		2,296	$	203,884,800	$	(16,612,860	)
WTI Crude Oil - NYMEX, expires June 2024		2,404		195,012,480		(9,249,968	)
WTI Crude Oil - NYMEX, expires December 2024		2,500		194,650,000		822,565

					$	(25,040,263	)

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,					Nine Months Ended September 30,
	2023			2022		2023			2022
Investment Income
Interest	$	2,609,417		$	1,748,548	$	6,172,654		$	2,091,754

Expenses
Management fee		548,671			1,160,746		1,392,728			2,599,503
Brokerage commissions		54,549			148,121		180,385			332,256
Futures account fees		—			39,563		—			195,542
Non-recurring fees and expenses		—			7,548		—			7,548

Total expenses		603,220			1,355,978		1,573,113			3,134,849

Net investment income (loss)		2,006,197			392,570		4,599,541			(1,043,095	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(47,764,820	)		66,444,885		7,896,254			(142,631,216	)
Short-term U.S. government and agency obligations		60			—		(11,723	)		—

Net realized gain (loss)		(47,764,760	)		66,444,885		7,884,531			(142,631,216	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(38,026,419	)		76,797,273		(35,285,156	)		113,723,566
Short-term U.S. government and agency obligations		8,060			190,676		6,419			(49,461	)

Change in net unrealized appreciation (depreciation)		(38,018,359	)		76,987,949		(35,278,737	)		113,674,105

Net realized and unrealized gain (loss)		(85,783,119	)		143,432,834		(27,394,206	)		(28,957,111	)

Net income (loss)	$	(83,776,922	)	$	143,825,404	$	(22,794,665	)	$	(30,000,206	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	112,854,952		$	501,157,304		$	222,697,337		$	114,167,602
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively		345,709,147			263,018,131			622,896,585			1,051,908,930
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively		(78,010,711	)		(539,209,750	)		(526,022,791	)		(767,285,237	)

Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively		267,698,436			(276,191,619	)		96,873,794			284,623,693

Net investment income (loss)		2,006,197			392,570			4,599,541			(1,043,095	)
Net realized gain (loss)		(47,764,760	)		66,444,885			7,884,531			(142,631,216	)
Change in net unrealized appreciation (depreciation)		(38,018,359	)		76,987,949			(35,278,737	)		113,674,105

Net income (loss)		(83,776,922	)		143,825,404			(22,794,665	)		(30,000,206	)

Shareholders’ equity, end of period	$	296,776,466		$	368,791,089		$	296,776,466		$	368,791,089

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(22,794,665	)	$	(30,000,206	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(881,618,883	)		(5,037,566,739	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		789,898,469			4,974,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(3,156,304	)		(1,233,461	)
Net realized (gain) loss on investments		11,723			—
Change in unrealized (appreciation) depreciation on investments		(6,419	)		49,461
Decrease (Increase) in receivable on open futures contracts		(1,952,940	)		(3,393,165	)
Decrease (Increase) in interest receivable		104,982			(329,488	)
Increase (Decrease) in payable to Sponsor		(2,885	)		639,427
Increase (Decrease) in brokerage commissions and futures account fees payable		299			3,314
Increase (Decrease) in payable on open futures contracts		(6,109,476	)		54,103
Increase (Decrease) in non-recurring fees and expenses payable		—			7,548

Net cash provided by (used in) operating activities		(125,626,099	)		(97,769,206	)

Cash flow from financing activities
Proceeds from addition of shares		615,353,267			1,051,908,930
Payment on shares redeemed		(527,279,881	)		(758,540,834	)

Net cash provided by (used in) financing activities		88,073,386			293,368,096

Net increase (decrease) in cash		(37,552,713	)		195,598,890
Cash, beginning of period		139,811,511			54,443,553

Cash, end of period	$	102,258,798		$	250,042,443

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively)	$	19,935,466	$	61,482,526
Cash		17,318,005		5,724,380
Segregated cash balances with brokers for futures contracts		50,351,496		38,758,160
Receivable from capital shares sold		12,292,429		—
Receivable on open futures contracts		11,619,568		33,637,888
Interest receivable		228,248		293,818

Total assets		111,745,212		139,896,772

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,365,196
Payable on open futures contracts		—		282,362
Brokerage commissions and futures account fees payable		4,417		7,497
Payable to Sponsor		77,733		132,197

Total liabilities		82,150		5,787,252

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		111,663,062		134,109,520

Total liabilities and shareholders’ equity	$	111,745,212	$	139,896,772

Shares outstanding		1,816,856		4,966,856

Net asset value per share	$	61 .46	$	27 .00

Market value per share (Note 2)	$	61 .04	$	27 .56

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(18% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.499% due 10/24/23	$	20,000,000	$	19,935,466

Total short-term U.S. government and agency obligations (cost $19,932,661)			$	19,935,466


Futures Contracts Sold
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2023		7,624	$	223,306,960	$	23,776,317

^^ Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA YEN~~ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 114,980 $ 3,064 $ 235,098 $ 3,937


Expenses

Management fee
   25,330 8,036 55,890 13,465


Total expenses
   25,330 8,036 55,890 13,465


Net investment income (loss)
   89,650 (4,972 ) 179,208 (9,528 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   (770,142 ) (761,478 ) (1,068,950 ) (880,249 )
Short-term U.S. government and agency obligations
   —   —   —   1,548


Net realized gain (loss)
   (770,142 ) (761,478 ) (1,068,950 ) (878,701 )


Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   (1,348,109 ) 154,501 (1,842,176 ) 15,962
Short-term U.S. government and agency obligations
   —   (2,316 ) —   (5,142 )


Change in net unrealized appreciation (depreciation)
   (1,348,109 ) 152,185 (1,842,176 ) 10,820


Net realized and unrealized gain (loss)
   (2,118,251 ) (609,293 ) (2,911,126 ) (867,881 )


Net income (loss)
   $ (2,028,601 ) $ (614,265 ) $ (2,731,918 ) $ (877,409 )


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	1,476,050		$	953,050		$	4,007,691		$	1,131,063

Expenses
Management fee		304,567			730,949			903,703			1,784,017
Brokerage commissions		133,782			173,386			577,070			539,244
Futures account fees		23,941			48,485			80,308			255,370
Non-recurring fees and expenses		—			5,374			—			5,374

Total expenses		462,290			958,194			1,561,081			2,584,005

Net investment income (loss)		1,013,760			(5,144	)		2,446,610			(1,452,942	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(10,798,451	)		8,173,631			221,346,621			(389,138,752	)
Short-term U.S. government and agency obligations		(174	)		(57,864	)		(1,437	)		(116,673	)

Net realized gain (loss)		(10,798,625	)		8,115,767			221,345,184			(389,255,425	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		44,086,649			(23,776,729	)		(62,113,081	)		116,857,361
Short-term U.S. government and agency obligations		173			309,345			(9,995	)		(32,689	)

Change in net unrealized appreciation (depreciation)		44,086,822			(23,467,384	)		(62,123,076	)		116,824,672

Net realized and unrealized gain (loss)		33,288,197			(15,351,617	)		159,222,108			(272,430,753	)

Net income (loss)	$	34,301,957		$	(15,356,761	)	$	161,668,718		$	(273,883,695	)

See accompanying notes to financial statements.

PROSHARES ~~ULTRA YEN~~ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 9,915,083 $ 2,099,705 $ 13,814,796 $ 2,362,849


Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively
   4,444,492 3,539,333 6,257,118 3,539,333
Redemption of –, –, 150,000 and – shares, respectively
   —   —   (5,009,022 ) —


Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively
   4,444,492 3,539,333 1,248,096 3,539,333


Net investment income (loss)
   89,650 (4,972 ) 179,208 (9,528 )
Net realized gain (loss)
   (770,142 ) (761,478 ) (1,068,950 ) (878,701 )
Change in net unrealized appreciation (depreciation)
   (1,348,109 ) 152,185 (1,842,176 ) 10,820


Net income (loss)
   (2,028,601 ) (614,265 ) (2,731,918 ) (877,409 )


Shareholders’ equity, end of period
   $ 12,330,974 $ 5,024,773 $ 12,330,974 $ 5,024,773


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	141,324,963		$	211,823,446		$	134,109,520		$	242,145,130
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively		295,245,731			790,506,039			1,128,672,428			1,734,541,781
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively		(359,209,589	)		(744,582,726	)		(1,312,787,604	)		(1,460,413,218	)

Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively		(63,963,858	)		45,923,313			(184,115,176	)		274,128,563

Net investment income (loss)		1,013,760			(5,144	)		2,446,610			(1,452,942	)
Net realized gain (loss)		(10,798,625	)		8,115,767			221,345,184			(389,255,425	)
Change in net unrealized appreciation (depreciation)		44,086,822			(23,467,384	)		(62,123,076	)		116,824,672

Net income (loss)		34,301,957			(15,356,761	)		161,668,718			(273,883,695	)

Shareholders’ equity, end of period	$	111,663,062		$	242,389,998		$	111,663,062		$	242,389,998

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA YEN~~ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (2,731,918 ) $ (877,409 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   —   (995,769 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —   1,548
Net amortization and accretion on short-term U.S. government and agency obligations
   —   (2,342 )
Net realized (gain) loss on investments
   —   (1,548 )
Change in unrealized (appreciation) depreciation on investments
   1,842,176 (10,820 )
Decrease (Increase) in interest receivable
   (48 ) (1,269 )
Increase (Decrease) in payable to Sponsor
   (2,410 ) 1,139


Net cash provided by (used in) operating activities
   (892,200 ) (1,886,470 )


Cash flow from financing activities

Proceeds from addition of shares
   6,257,118 3,539,333
Payment on shares redeemed
   (5,009,022 ) —


Net cash provided by (used in) financing activities
   1,248,096 3,539,333


Net increase (decrease) in cash
   355,896 1,652,863
Cash, beginning of period
   12,801,958 2,457,820


Cash, end of period
   $ 13,157,854 $ 4,110,683


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	161,668,718		$	(273,883,695	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(228,632,508	)		(641,286,804	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		271,472,626			680,730,195
Net amortization and accretion on short-term U.S. government and agency obligations		(1,304,490	)		(447,861	)
Net realized (gain) loss on investments		1,437			116,673
Change in unrealized (appreciation) depreciation on investments		9,995			32,689
Decrease (Increase) in receivable on open futures contracts		22,018,320			(17,665,801	)
Decrease (Increase) in interest receivable		65,570			(278,702	)
Increase (Decrease) in payable to Sponsor		(54,464	)		354,079
Increase (Decrease) in brokerage commissions and futures account fees payable		(3,080	)		(23,511	)
Increase (Decrease) in payable on open futures contracts		(282,362	)		(8,542,438	)
Increase (Decrease) in non-recurring fees and expenses payable		—			5,374

Net cash provided by (used in) operating activities		224,959,762			(260,889,802	)

Cash flow from financing activities
Proceeds from addition of shares		1,116,379,999			1,734,541,781
Payment on shares redeemed		(1,318,152,800	)		(1,464,617,750	)

Net cash provided by (used in) financing activities		(201,772,801	)		269,924,031

Net increase (decrease) in cash		23,186,961			9,034,229
Cash, beginning of period		44,482,540			113,000,927

Cash, end of period	$	67,669,501		$	122,035,156

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~BLOOMBERG CRUDE OIL~~EURO

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively)
   $ 74,852,080    $ 89,426,935
Cash
   5,264,925    74,627,051
Segregated cash balances with brokers for futures contracts
   36,646,185    65,184,460
Receivable from capital shares sold
   2,561,440    41,694
Receivable on open futures contracts
   —      1,604,847
Interest receivable
   119,269    384,856




Total assets
   119,443,899    231,269,843




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   5,187,383    1,257,090
Payable on open futures contracts
   1,300,062    7,102,680
Brokerage commissions and futures account fees payable
   3,914    4,134
Payable to Sponsor
   97,588    208,602




Total liabilities
   6,588,947    8,572,506




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   112,854,952    222,697,337




Total liabilities and shareholders’ equity
   $ 119,443,899    $ 231,269,843




Shares outstanding (Note 1)
   4,405,220    9,305,220




Net asset value per share (Note 1)
   $ 25.62    $ 23.93




Market value per share (Note 1) (Note 2)
   $ 25.70    $ 23.85


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $— and $39,991,822, respectively)	$	—	$	39,996,624
Cash		37,961,502		30,687,235
Segregated cash balances with brokers for foreign currency forward contracts		4,464,121		6,844,121
Unrealized appreciation on foreign currency forward contracts		1,585,136		193,192
Interest receivable		164,862		109,830

Total assets		44,175,621		77,831,002

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		34,405		63,375
Unrealized depreciation on foreign currency forward contracts		136,808		2,654,448

Total liabilities		171,213		2,717,823

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		44,004,408		75,113,179

Total liabilities and shareholders’ equity	$	44,175,621	$	77,831,002

Shares outstanding		1,400,000		2,550,000

Net asset value per share	$	31 .43	$	29 .46

Market value per share (Note 2)	$	31 .43	$	29 .45

See accompanying notes to financial statements.

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~SCHEDULE OF INVESTMENTS~~

~~JUNE 30, 2023~~

~~(unaudited)~~

Principal
Amount

Value

Short-term U.S. government and agency obligations

(66% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.132% due 07/06/23
   $ 25,000,000    $ 24,989,490
4.959% due 07/13/23
   25,000,000    24,964,895
5.104% due 08/01/23
   25,000,000    24,897,695


Total short-term U.S. government and agency obligations

(cost $74,834,094)
      $ 74,852,080

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

WTI Crude Oil - NYMEX, expires September 2023
   1,038    $ 73,469,640    $ 877,640
WTI Crude Oil - NYMEX, expires December 2023
   1,073    75,539,200    7,336,619
WTI Crude Oil - NYMEX, expires June 2024
   1,111    76,681,220    4,771,897


         $ 12,986,156

^^	~~Rates shown represent discount rate at the time of purchase.~~

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 1,560,028 $ 289,299 $ 3,563,237 $ 343,206


Expenses

Management fee
   359,177 946,110 844,057 1,438,757
Brokerage commissions
   60,079 107,079 125,836 184,135
Futures account fees
   —   85,802 —   155,979


Total expenses
   419,256 1,138,991 969,893 1,778,871


Net investment income (loss)
   1,140,772 (849,692 ) 2,593,344 (1,435,665 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   28,046,795 (102,594,000 ) 55,661,074 (209,076,101 )
Short-term U.S. government and agency obligations
   (12,271 ) —   (11,783 ) —


Net realized gain (loss)
   28,034,524 (102,594,000 ) 55,649,291 (209,076,101 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (8,229,852 ) 34,810,301 2,741,263 36,926,293
Short-term U.S. government and agency obligations
   13,244 (53,187 ) (1,641 ) (240,137 )


Change in net unrealized appreciation (depreciation)
   (8,216,608 ) 34,757,114 2,739,622 36,686,156


Net realized and unrealized gain (loss)
   19,817,916 (67,836,886 ) 58,388,913 (172,389,945 )


Net income (loss)
   $ 20,958,688 $ (68,686,578 ) $ 60,982,257 $ (173,825,610 )

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 144,762,563 $ 416,799,231 $ 222,697,337 $ 114,167,602


Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1)
   149,281,563 278,861,920 277,187,438 788,890,799
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1)
   (202,147,862 ) (125,817,269 ) (448,012,080 ) (228,075,487 )


Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1)
   (52,866,299 ) 153,044,651 (170,824,642 ) 560,815,312


Net investment income (loss)
   1,140,772 (849,692 ) 2,593,344 (1,435,665 )
Net realized gain (loss)
   28,034,524 (102,594,000 ) 55,649,291 (209,076,101 )
Change in net unrealized appreciation (depreciation)
   (8,216,608 ) 34,757,114 2,739,622 36,686,156


Net income (loss)
   20,958,688 (68,686,578 ) 60,982,257 (173,825,610 )


Shareholders’ equity, end of period
   $ 112,854,952 $ 501,157,304 $ 112,854,952 $ 501,157,304

~~See accompanying notes to financial statements.~~

Table of Contents

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 60,982,257 $ (173,825,610 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (378,541,825 ) (988,742,468 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   394,924,819 812,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,821,563 ) (217,252 )
Net realized (gain) loss on investments
   11,783 —
Change in unrealized (appreciation) depreciation on investments
   1,641 240,137
Decrease (Increase) in receivable on open futures contracts
   1,604,847 (28,947,961 )
Decrease (Increase) in interest receivable
   265,587 (98,456 )
Increase (Decrease) in payable to Sponsor
   (111,014 ) 264,125
Increase (Decrease) in brokerage commissions and futures account fees payable
   (220 ) 4,674
Increase (Decrease) in payable on open futures contracts
   (5,802,618 ) 11,507,191


Net cash provided by (used in) operating activities
   71,513,694 (367,815,620 )


Cash flow from financing activities

Proceeds from addition of shares
   274,667,692 788,890,799
Payment on shares redeemed
   (444,081,787 ) (228,075,487 )


Net cash provided by (used in) financing activities
   (169,414,095 ) 560,815,312


Net increase (decrease) in cash
   (97,900,401 ) 192,999,692
Cash, beginning of period
   139,811,511 54,443,553


Cash, end of period
   $ 41,911,110 $ 247,443,245

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF FINANCIAL CONDITION~~

June 30, 2023
(unaudited)

December 31,
2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively)
   $ 34,829,828    $ 61,482,526
Cash
   59,777,081    5,724,380
Segregated cash balances with brokers for futures contracts
   38,892,240    38,758,160
Receivable from capital shares sold
   2,752,997    —
Receivable on open futures contracts
   25,849,741    33,637,888
Interest receivable
   247,504    293,818




Total assets
   162,349,391    139,896,772




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   14,487,618    5,365,196
Payable on open futures contracts
   6,434,160    282,362
Brokerage commissions and futures account fees payable
   8,448    7,497
Payable to Sponsor
   94,202    132,197




Total liabilities
   21,024,428    5,787,252




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   141,324,963    134,109,520




Total liabilities and shareholders’ equity
   $ 162,349,391    $ 139,896,772




Shares outstanding (Note 1)
   2,566,856    4,966,856




Net asset value per share (Note 1)
   $ 55.06    $ 27.00




Market value per share (Note 1) (Note 2)
   $ 55.45    $ 27.56

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~SCHEDULE OF INVESTMENTS~~

~~JUNE 30, 2023~~

~~(unaudited)~~

Principal Amount

Value

Short-term U.S. government and agency obligations

(25% of shareholders’ equity)

U.S. Treasury Bills
^^
:

5.104% due 08/01/23
   $ 10,000,000    $ 9,959,078
4.972% due 08/08/23
   25,000,000    24,870,750


Total short-term U.S. government and agency obligations

(cost $34,827,196)
      $ 34,829,828

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Natural Gas - NYMEX, expires September 2023
   10,189    $ 282,642,860    $ (20,310,332 )

^^	~~Rates shown represent discount rate at the time of purchase.~~

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 1,344,889 $ 122,188 $ 2,531,641 $ 178,013


Expenses

Management fee
   302,274 510,704 599,136 1,053,068
Brokerage commissions
   233,647 144,907 443,288 365,858
Futures account fees
   26,758 76,956 56,367 206,885


Total expenses
   562,679 732,567 1,098,791 1,625,811


Net investment income (loss)
   782,210 (610,379 ) 1,432,850 (1,447,798 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   48,736,428 (282,646,685 ) 232,145,072 (397,312,383 )
Short-term U.S. government and agency obligations
   1,415 (199 ) (1,263 ) (58,809 )


Net realized gain (loss)
   48,737,843 (282,646,884 ) 232,143,809 (397,371,192 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (61,246,927 ) 228,166,248 (106,199,730 ) 140,634,090
Short-term U.S. government and agency obligations
   (3,173 ) (87,121 ) (10,168 ) (342,034 )


Change in net unrealized appreciation (depreciation)
   (61,250,100 ) 228,079,127 (106,209,898 ) 140,292,056


Net realized and unrealized gain (loss)
   (12,512,257 ) (54,567,757 ) 125,933,911 (257,079,136 )


Net income (loss)
   $ (11,730,047 ) $ (55,178,136 ) $ 127,366,761 $ (258,526,934 )

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 146,981,760 $ 250,340,837 $ 134,109,520 $ 242,145,130


Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1)
   457,417,060 489,076,501 833,426,697 944,035,742
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1)
   (451,343,810 ) (472,415,756 ) (953,578,015 ) (715,830,492 )


Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1)
   6,073,250 16,660,745 (120,151,318 ) 228,205,250


Net investment income (loss)
   782,210 (610,379 ) 1,432,850 (1,447,798 )
Net realized gain (loss)
   48,737,843 (282,646,884 ) 232,143,809 (397,371,192 )
Change in net unrealized appreciation (depreciation)
   (61,250,100 ) 228,079,127 (106,209,898 ) 140,292,056


Net income (loss)
   (11,730,047 ) (55,178,136 ) 127,366,761 (258,526,934 )


Shareholders’ equity, end of period
   $ 141,324,963 $ 211,823,446 $ 141,324,963 $ 211,823,446

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 127,366,761 $ (258,526,934 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (119,017,542 ) (346,906,626 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   146,569,111 410,859,860
Net amortization and accretion on short-term U.S. government and agency obligations
   (910,302 ) (110,657 )
Net realized (gain) loss on investments
   1,263 58,809
Change in unrealized (appreciation) depreciation on investments
   10,168 342,034
Decrease (Increase) in receivable on open futures contracts
   7,788,147 (43,089,309 )
Decrease (Increase) in interest receivable
   46,314 (35,299 )
Increase (Decrease) in payable to Sponsor
   (37,995 ) (37,097 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   951 (35,587 )
Increase (Decrease) in payable on open futures contracts
   6,151,798 (1,699,127 )


Net cash provided by (used in) operating activities
   167,968,674 (239,179,933 )


Cash flow from financing activities

Proceeds from addition of shares
   830,673,700 944,035,742
Payment on shares redeemed
   (944,455,593 ) (706,724,583 )


Net cash provided by (used in) financing activities
   (113,781,893 ) 237,311,159


Net increase (decrease) in cash
   54,186,781 (1,868,774 )
Cash, beginning of period
   44,482,540 113,000,927


Cash, end of period
   $ 98,669,321 $ 111,132,153

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES ULTRASHORT EURO

~~STATEMENTS OF FINANCIAL CONDITION~~

June 30, 2023
(unaudited)

December 31, 2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)
   $ —      $ 39,996,624
Cash
   45,515,144    30,687,235
Segregated cash balances with brokers for foreign currency forward contracts
   7,024,121    6,844,121
Unrealized appreciation on foreign currency forward contracts
   29,100    193,192
Interest receivable
   192,965    109,830




Total assets
   52,761,330    77,831,002




Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   42,155    63,375
Unrealized depreciation on foreign currency forward contracts
   1,787,874    2,654,448




Total liabilities
   1,830,029    2,717,823




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   50,931,301    75,113,179




Total liabilities and shareholders’ equity
   $ 52,761,330    $ 77,831,002




Shares outstanding
   1,750,000    2,550,000




Net asset value per share
   $ 29.10    $ 29.46




Market value per share (Note 2)
   $ 29.11    $ 29.45

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts

Settlement Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Euro with Goldman Sachs International
   07/14/23    4,446,000 $ 4,855,150 $ (36,237 )
Euro with UBS AG
   07/14/23    12,460,000 13,606,649 29,100


      Total Unrealized
Depreciation
$ (7,137 )


Contracts to Sell

Euro with Goldman Sachs International
   07/14/23    (51,941,263 ) $ (56,721,233 ) $ (836,536 )
Euro with UBS AG
   07/14/23    (58,308,199 ) (63,674,095 ) (915,101 )


      Total Unrealized
Depreciation
$ (1,751,637 )


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with Goldman Sachs International		10/06/23		486,000		$	513,954		$	(5,789	)
Euro with UBS AG		10/06/23		10,804,000			11,425,433			(131,019	)

							Total Unrealized Depreciation		$	(136,808	)

Contracts to Sell
Euro with Goldman Sachs International		10/06/23		(43,752,263	)	$	(46,268,836	)	$	769,294
Euro with UBS AG		10/06/23		(50,970,199	)		(53,901,938	)		815,842

							Total Unrealized Appreciation		$	1,585,136

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,

2023

2022

2023

2022

Investment Income

Interest
$ 593,746 $ 39,011 $ 1,240,866 $ 54,416

Expenses

Management fee
131,101 146,934 292,669 264,390

Total expenses
131,101 146,934 292,669 264,390

Net investment income (loss)
462,645 (107,923 ) 948,197 (209,974 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
(1,045,942 ) 3,065,129 (2,453,253 ) 5,607,263
Short-term U.S. government and agency obligations
— — — 210,974

Net realized gain (loss)
(1,045,942 ) 3,065,129 (2,453,253 ) 5,818,237

Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
556,469 3,061,048 702,482 3,403,124
Short-term U.S. government and agency obligations
— (21,310 ) (4,802 ) (94,645 )

Change in net unrealized appreciation (depreciation)
556,469 3,039,738 697,680 3,308,479

Net realized and unrealized gain (loss)
(489,473 ) 6,104,867 (1,755,573 ) 9,126,716

Net income (loss)
$ (26,828 ) $ 5,996,944 $ (807,376 ) $ 8,916,742


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	523,684		$	230,824		$	1,764,550		$	285,240

Expenses
Management fee		111,472			203,036			404,141			467,426
Non-recurring fees and expenses		—			1,835			—			1,835

Total expenses		111,472			204,871			404,141			469,261

Net investment income (loss)		412,212			25,953			1,360,409			(184,021	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(122,866	)		11,086,708			(2,576,119	)		16,693,971
Short-term U.S. government and agency obligations		—			—			—			210,974

Net realized gain (loss)		(122,866	)		11,086,708			(2,576,119	)		16,904,945

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		3,207,102			(354,043	)		3,909,584			3,049,081
Short-term U.S. government and agency obligations		—			61,225			(4,802	)		(33,420	)

Change in net unrealized appreciation (depreciation)		3,207,102			(292,818	)		3,904,782			3,015,661

Net realized and unrealized gain (loss)		3,084,236			10,793,890			1,328,663			19,920,606

Net income (loss)	$	3,496,448		$	10,819,843		$	2,689,072		$	19,736,585

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 59,537,260 $ 50,498,084 $ 75,113,179 $ 54,263,045


Addition of –, 500,000, 100,000 and 550,000 shares, respectively
   —   14,656,401 3,051,886 16,028,063
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively
   (8,579,131 ) (8,881,332 ) (26,426,388 ) (16,937,753 )


Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively
   (8,579,131 ) 5,775,069 (23,374,502 ) (909,690 )


Net investment income (loss)
   462,645 (107,923 ) 948,197 (209,974 )
Net realized gain (loss)
   (1,045,942 ) 3,065,129 (2,453,253 ) 5,818,237
Change in net unrealized appreciation (depreciation)
   556,469 3,039,738 697,680 3,308,479


Net income (loss)
   (26,828 ) 5,996,944 (807,376 ) 8,916,742


Shareholders’ equity, end of period
   $ 50,931,301 $ 62,270,097 $ 50,931,301 $ 62,270,097


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	50,931,301		$	62,270,097		$	75,113,179		$	54,263,045

Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively		—			36,183,635			3,051,886			52,211,698
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively		(10,423,341	)		(18,689,297	)		(36,849,729	)		(35,627,050	)

Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively		(10,423,341	)		17,494,338			(33,797,843	)		16,584,648

Net investment income (loss)		412,212			25,953			1,360,409			(184,021	)
Net realized gain (loss)		(122,866	)		11,086,708			(2,576,119	)		16,904,945
Change in net unrealized appreciation (depreciation)		3,207,102			(292,818	)		3,904,782			3,015,661

Net income (loss)		3,496,448			10,819,843			2,689,072			19,736,585

Shareholders’ equity, end of period	$	44,004,408		$	90,584,278		$	44,004,408		$	90,584,278

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (807,376 ) $ 8,916,742
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (54,925,175 ) (44,986,222 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   95,000,000 72,210,974
Net amortization and accretion on short-term U.S. government and agency obligations
   (83,003 ) (32,410 )
Net realized (gain) loss on investments
   —   (210,974 )
Change in unrealized (appreciation) depreciation on investments
   (697,680 ) (3,308,479 )
Decrease (Increase) in interest receivable
   (83,135 ) (17,256 )
Increase (Decrease) in payable to Sponsor
   (21,220 ) 6,691


Net cash provided by (used in) operating activities
   38,382,411 32,579,066


Cash flow from financing activities

Proceeds from addition of shares
   3,051,886 16,028,063
Payment on shares redeemed
   (26,426,388 ) (16,937,753 )


Net cash provided by (used in) financing activities
   (23,374,502 ) (909,690 )


Net increase (decrease) in cash
   15,007,909 31,669,376
Cash, beginning of period
   37,531,356 7,554,065


Cash, end of period
   $ 52,539,265 $ 39,223,441


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	2,689,072		$	19,736,585
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(54,925,175	)		(74,843,167	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		95,000,000			76,210,974
Net amortization and accretion on short-term U.S. government and agency obligations		(83,003	)		(83,446	)
Net realized (gain) loss on investments		—			(210,974	)
Change in unrealized (appreciation) depreciation on investments		(3,904,782	)		(3,015,661	)
Decrease (Increase) in interest receivable		(55,032	)		(61,501	)
Increase (Decrease) in payable to Sponsor		(28,970	)		98,171
Increase (Decrease) in non-recurring fees and expenses payable		—			1,835

Net cash provided by (used in) operating activities		38,692,110			17,832,816

Cash flow from financing activities
Proceeds from addition of shares		3,051,886			52,211,149
Payment on shares redeemed		(36,849,729	)		(32,142,870	)

Net cash provided by (used in) financing activities		(33,797,843	)		20,068,279

Net increase (decrease) in cash		4,894,267			37,901,095
Cash, beginning of period		37,531,356			7,554,065

Cash, end of period	$	42,425,623		$	45,455,160

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Cash
   $ 13,595,466    $ 12,252,100
Segregated cash balances with brokers for futures contracts
   657,360    232,313
Segregated cash balances with brokers for swap agreements
   2,476,000    3,536,000
Unrealized appreciation on swap agreements
   440,571    —
Receivable on open futures contracts
   40,101    —
Interest receivable
   61,501    42,135




Total assets
   17,270,999    16,062,548




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   1,445,160    —
Payable on open futures contracts
   2,300    700
Payable to Sponsor
   14,161    12,854
Unrealized depreciation on swap agreements
   —      592,957




Total liabilities
   1,461,621    606,511




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   15,809,378    15,456,037




Total liabilities and shareholders’ equity
   $ 17,270,999    $ 16,062,548




Shares outstanding
   546,977    496,977




Net asset value per share
   $ 28.90    $ 31.10




Market value per share (Note 2)
   $ 28.96    $ 30.99


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	9,138,880	$	12,252,100
Segregated cash balances with brokers for futures contracts		557,700		232,313
Segregated cash balances with brokers for swap agreements		2,476,000		3,536,000
Unrealized appreciation on swap agreements		649,016		—
Receivable from capital shares sold		1,607,017		—
Receivable on open futures contracts		6,250		—
Interest receivable		38,854		42,135

Total assets		14,473,717		16,062,548

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		98,549		700
Payable to Sponsor		9,299		12,854
Unrealized depreciation on swap agreements		—		592,957

Total liabilities		107,848		606,511

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		14,365,869		15,456,037

Total liabilities and shareholders’ equity	$	14,473,717	$	16,062,548

Shares outstanding		446,977		496,977

Net asset value per share	$	32 .14	$	31 .10

Market value per share (Note 2)	$	32 .20	$	30 .99

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2023		71	$	13,249,310	$	510,754

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Gold Futures - COMEX, expires August 2023
   79    $ 15,242,260    $ 970,805

~~Total Return Swap Agreements~~


Total Return Swap Agreements ^

	Rate Paid (Received) *			Termination Date		Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%		10/06/23	$	(3,588,216	)	$	149,583
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20			10/06/23		(4,702,766	)		196,202
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/23		(7,273,894	)		303,231

							Total Unrealized Appreciation		$	649,016

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25 % 07/06/23    $     (3,783,471 ) $ 101,527
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20 07/06/23    (4,958,670 ) 133,231
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25 07/06/23    (7,669,707 ) 205,813


      Total Unrealized
Appreciation
$ 440,571

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 184,052 $ 19,975 $ 316,614 $ 29,660


Expenses

Management fee
   42,869 75,676 79,242 141,814
Brokerage commissions
   1,605 2,985 2,966 5,796
Futures account fees
   —   580 —   2,446


Total expenses
   44,474 79,241 82,208 150,056


Net investment income (loss)
   139,578 (59,266 ) 234,406 (120,396 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (562,109 ) 1,310,720 (676,159 ) (680,529 )
Swap agreements
   (991,042 ) 3,247,150 (1,907,873 ) (1,070,274 )
Short-term U.S. government and agency obligations
   —   —   —   4


Net realized gain (loss)
   (1,553,151 ) 4,557,870 (2,584,032 ) (1,750,799 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   1,132,962 485,575 1,069,691 653,483
Swap agreements
   1,625,959 (187,339 ) 1,033,528 1,714,101
Short-term U.S. government and agency obligations
   —   (8,285 ) —   (48,854 )


Change in net unrealized appreciation (depreciation)
   2,758,921 289,951 2,103,219 2,318,730


Net realized and unrealized gain (loss)
   1,205,770 4,847,821 (480,813 ) 567,931


Net income (loss)
   $ 1,345,348 $ 4,788,555 $ (246,407 ) $ 447,535


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	142,707		$	72,261		$	459,321		$	101,921

Expenses
Management fee		32,970			76,652			112,212			218,466
Brokerage commissions		1,099			3,565			4,065			9,361
Futures account fees		—			—			—			2,446
Non-recurring fees and expenses		—			639			—			639

Total expenses		34,069			80,856			116,277			230,912

Net investment income (loss)		108,638			(8,595	)		343,044			(128,991	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		807,474			2,017,269			131,315			1,336,740
Swap agreements		628,950			2,970,959			(1,278,923	)		1,900,685
Short-term U.S. government and agency obligations		—			—			—			4

Net realized gain (loss)		1,436,424			4,988,228			(1,147,608	)		3,237,429

Change in net unrealized appreciation (depreciation) on
Futures contracts		(460,051	)		725,119			609,640			1,378,602
Swap agreements		208,445			81,220			1,241,973			1,795,321
Short-term U.S. government and agency obligations		—			35,207			—			(13,647	)

Change in net unrealized appreciation (depreciation)		(251,606	)		841,546			1,851,613			3,160,276

Net realized and unrealized gain (loss)		1,184,818			5,829,774			704,005			6,397,705

Net income (loss)	$	1,293,456		$	5,821,179		$	1,047,049		$	6,268,714

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 16,049,273 $ 32,598,451 $ 15,456,037 $ 26,859,844


Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively
   7,934,073 20,554,617 16,298,343 33,744,566
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively
   (9,519,316 ) (23,330,339 ) (15,698,595 ) (26,440,661 )


Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively
   (1,585,243 ) (2,775,722 ) 599,748 7,303,905


Net investment income (loss)
   139,578 (59,266 ) 234,406 (120,396 )
Net realized gain (loss)
   (1,553,151 ) 4,557,870 (2,584,032 ) (1,750,799 )
Change in net unrealized appreciation (depreciation)
   2,758,921 289,951 2,103,219 2,318,730


Net income (loss)
   1,345,348 4,788,555 (246,407 ) 447,535


Shareholders’ equity, end of period
   $ 15,809,378 $ 34,611,284 $ 15,809,378 $ 34,611,284


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	15,809,378		$	34,611,284		$	15,456,037		$	26,859,844

Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively		3,039,866			12,520,359			19,338,209			46,264,925
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively		(5,776,831	)		(23,318,097	)		(21,475,426	)		(49,758,758	)

Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively		(2,736,965	)		(10,797,738	)		(2,137,217	)		(3,493,833	)

Net investment income (loss)		108,638			(8,595	)		343,044			(128,991	)
Net realized gain (loss)		1,436,424			4,988,228			(1,147,608	)		3,237,429
Change in net unrealized appreciation (depreciation)		(251,606	)		841,546			1,851,613			3,160,276

Net income (loss)		1,293,456			5,821,179			1,047,049			6,268,714

Shareholders’ equity, end of period	$	14,365,869		$	29,634,725		$	14,365,869		$	29,634,725

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (246,407 ) $ 447,535
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   —   (17,987,491 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —   29,999,990
Net amortization and accretion on short-term U.S. government and agency obligations
   —   (21,000 )
Net realized (gain) loss on investments
   —   (4 )
Change in unrealized (appreciation) depreciation on investments
   (1,033,528 ) (1,665,247 )
Decrease (Increase) in receivable on open futures contracts
   (40,101 ) (5,100 )
Decrease (Increase) in interest receivable
   (19,366 ) (6,385 )
Increase (Decrease) in payable to Sponsor
   1,307 (1,526 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   —   (294 )
Increase (Decrease) in payable on open futures contracts
   1,600 (77,583 )


Net cash provided by (used in) operating activities
   (1,336,495 ) 10,682,895


Cash flow from financing activities

Proceeds from addition of shares
   16,298,343 32,164,882
Payment on shares redeemed
   (14,253,435 ) (26,440,661 )


Net cash provided by (used in) financing activities
   2,044,908 5,724,221


Net increase (decrease) in cash
   708,413 16,407,116
Cash, beginning of period
   16,020,413 1,990,354


Cash, end of period
   $ 16,728,826 $ 18,397,470


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	1,047,049		$	6,268,714
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(17,987,492	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			35,999,990
Net amortization and accretion on short-term U.S. government and agency obligations		—			(26,784	)
Net realized (gain) loss on investments		—			(4	)
Change in unrealized (appreciation) depreciation on investments		(1,241,973	)		(1,781,674	)
Decrease (Increase) in receivable on open futures contracts		(6,250	)		—
Decrease (Increase) in interest receivable		3,281			(25,595	)
Increase (Decrease) in payable to Sponsor		(3,555	)		22,778
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(294	)
Increase (Decrease) in payable on open futures contracts		97,849			(49,875	)
Increase (Decrease) in non-recurring fees and expenses payable		—			639
Net cash provided by (used in) operating activities		(103,599	)		22,420,403
Cash flow from financing activities
Proceeds from addition of shares		17,731,192			46,264,925
Payment on shares redeemed		(21,475,426	)		(49,758,758	)

Net cash provided by (used in) financing activities		(3,744,234	)		(3,493,833	)

Net increase (decrease) in cash		(3,847,833	)		18,926,570
Cash, beginning of period		16,020,413			1,990,354

Cash, end of period	$	12,172,580		$	20,916,924

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Cash
   $ 12,006,167    $ 21,887,346
Segregated cash balances with brokers for futures contracts
   1,325,250    2,820,937
Segregated cash balances with brokers for swap agreements
   6,881,000    7,875,000
Unrealized appreciation on swap agreements
   845,012    —
Receivable from capital shares sold
   —      972,789
Receivable on open futures contracts
   245,272    59,575
Interest receivable
   61,813    60,480




Total assets
   21,364,514    33,676,127




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   2,049,307    —
Payable on open futures contracts
   5,550    —
Payable to Sponsor
   19,184    20,705
Unrealized depreciation on swap agreements
   —      1,722,623




Total liabilities
   2,074,041    1,743,328




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   19,290,473    31,932,799




Total liabilities and shareholders’ equity
   $ 21,364,514    $ 33,676,127




Shares outstanding
   941,329    1,641,329




Net asset value per share
   $ 20.49    $ 19.46




Market value per share (Note 2)
   $ 20.58    $ 19.30


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	8,563,844	$	21,887,346
Segregated cash balances with brokers for futures contracts		876,000		2,820,937
Segregated cash balances with brokers for swap agreements		6,426,200		7,875,000
Unrealized appreciation on swap agreements		1,014,468		—
Receivable from capital shares sold		—		972,789
Receivable on open futures contracts		54,510		59,575
Interest receivable		46,359		60,480

Total assets		16,981,381		33,676,127

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		13,864		20,705
Unrealized depreciation on swap agreements		—		1,722,623

Total liabilities		13,864		1,743,328

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		16,967,517		31,932,799

Total liabilities and shareholders’ equity	$	16,981,381	$	33,676,127

Shares outstanding		791,329		1,641,329

Net asset value per share	$	21 .44	$	19 .46

Market value per share (Note 2)	$	21 .55	$	19 .30

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Sold

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

Silver Futures - COMEX, expires September 2023
   139    $ 15,998,900    $ 958,923


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2023		109	$	12,235,250	$	851,237

Total Return Swap Agreements

Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/
Value

Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25 % 07/06/23    $ (2,676,258 ) $ 100,100
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25 07/06/23    (9,749,240 ) 364,653
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30 07/06/23    (7,708,614 ) 288,063
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25 07/06/23    (2,464,968 ) 92,196


      Total Unrealized
Appreciation
$ 845,012


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%		10/06/23	$	(2,570,998	)	$	120,165
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25			10/06/23		(9,365,796	)		437,748
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/23		(7,405,429	)		345,878
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/23		(2,368,019	)		110,677

							Total Unrealized Appreciation		$	1,014,468

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

*	Reflects the floating financing rate, as of ~~June~~September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 323,734 $ 18,743 $ 523,812 $ 27,663


Expenses

Management fee
   82,417 62,381 142,585 123,334
Brokerage commissions
   8,958 6,677 14,661 11,978
Futures account fees
   —   1,169 —   4,443


Total expenses
   91,375 70,227 157,246 139,755


Net investment income (loss)
   232,359 (51,484 ) 366,566 (112,092 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   3,460,638 5,944,050 4,792,636 4,650,280
Swap agreements
   (2,347,042 ) 3,467,182 (965,417 ) (2,612,794 )
Short-term U.S. government and agency obligations
   (906 ) —   (906 ) (190 )


Net realized gain (loss)
   1,112,690 9,411,232 3,826,313 2,037,296


Change in net unrealized appreciation (depreciation) on

Futures contracts
   1,782,960 2,249,743 1,899,423 1,864,397
Swap agreements
   3,867,334 1,599,944 2,567,635 3,794,452
Short-term U.S. government and agency obligations
   —   3,625 —   (15,885 )


Change in net unrealized appreciation (depreciation)
   5,650,294 3,853,312 4,467,058 5,642,964


Net realized and unrealized gain (loss)
   6,762,984 13,264,544 8,293,371 7,680,260


Net income (loss)
   $ 6,995,343 $ 13,213,060 $ 8,659,937 $ 7,568,168


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	337,096		$	63,222		$	860,908		$	90,885

Expenses
Management fee		78,166			67,215			220,751			190,549
Brokerage commissions		13,775			8,699			28,436			20,677
Futures account fees		—			—			—			4,443
Non-recurring fees and expenses		—			612			—			612

Total expenses		91,941			76,526			249,187			216,281

Net investment income (loss)		245,155			(13,304	)		611,721			(125,396	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		6,217,172			1,719,839			11,009,808			6,370,119
Swap agreements		704,259			4,495,568			(261,158	)		1,882,774
Short-term U.S. government and agency obligations		—			—			(906	)		(190	)

Net realized gain (loss)		6,921,431			6,215,407			10,747,744			8,252,703

Change in net unrealized appreciation (depreciation) on
Futures contracts		(107,686	)		(1,063,521	)		1,791,737			800,876
Swap agreements		169,456			(3,024,441	)		2,737,091			770,011
Short-term U.S. government and agency obligations		—			12,438			—			(3,447	)

Change in net unrealized appreciation (depreciation)		61,770			(4,075,524	)		4,528,828			1,567,440

Net realized and unrealized gain (loss)		6,983,201			2,139,883			15,276,572			9,820,143

Net income (loss)	$	7,228,356		$	2,126,579		$	15,888,293		$	9,694,747

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 20,335,691 $ 23,406,516 $ 31,932,799 $ 26,537,000


Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively
   41,523,335 17,707,417 55,312,875 43,267,561
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively
   (49,563,896 ) (21,274,153 ) (76,615,138 ) (44,319,889 )


Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively
   (8,040,561 ) (3,566,736 ) (21,302,263 ) (1,052,328 )


Net investment income (loss)
   232,359 (51,484 ) 366,566 (112,092 )
Net realized gain (loss)
   1,112,690 9,411,232 3,826,313 2,037,296
Change in net unrealized appreciation (depreciation)
   5,650,294 3,853,312 4,467,058 5,642,964


Net income (loss)
   6,995,343 13,213,060 8,659,937 7,568,168


Shareholders’ equity, end of period
   $ 19,290,473 $ 33,052,840 $ 19,290,473 $ 33,052,840


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	19,290,473		$	33,052,840		$	31,932,799		$	26,537,000

Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively		51,792,185			34,082,044			107,105,060			77,349,605
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively		(61,343,497	)		(35,498,411	)		(137,958,635	)		(79,818,300	)

Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively		(9,551,312	)		(1,416,367	)		(30,853,575	)		(2,468,695	)

Net investment income (loss)		245,155			(13,304	)		611,721			(125,396	)
Net realized gain (loss)		6,921,431			6,215,407			10,747,744			8,252,703
Change in net unrealized appreciation (depreciation)		61,770			(4,075,524	)		4,528,828			1,567,440

Net income (loss)		7,228,356			2,126,579			15,888,293			9,694,747

Shareholders’ equity, end of period	$	16,967,517		$	33,763,052		$	16,967,517		$	33,763,052

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 8,659,937 $ 7,568,168
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (14,880,254 ) (20,979,051 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   14,937,156 30,999,081
Net amortization and accretion on short-term U.S. government and agency obligations
   (57,808 ) (21,212 )
Net realized (gain) loss on investments
   906 190
Change in unrealized (appreciation) depreciation on investments
   (2,567,635 ) (3,778,567 )
Decrease (Increase) in receivable on open futures contracts
   (185,697 ) (176,048 )
Decrease (Increase) in interest receivable
   (1,333 ) (4,807 )
Increase (Decrease) in payable to Sponsor
   (1,521 ) (9,072 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   —   (747 )
Increase (Decrease) in payable on open futures contracts
   5,550 (5,840 )


Net cash provided by (used in) operating activities
   5,909,301 13,592,095


Cash flow from financing activities

Proceeds from addition of shares
   56,285,664 41,679,928
Payment on shares redeemed
   (74,565,831 ) (44,319,889 )


Net cash provided by (used in) financing activities
   (18,280,167 ) (2,639,961 )


Net increase (decrease) in cash
   (12,370,866 ) 10,952,134
Cash, beginning of period
   32,583,283 5,483,476


Cash, end of period
   $ 20,212,417 $ 16,435,610


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	15,888,293		$	9,694,747
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(39,876,608	)		(20,979,052	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		39,937,156			41,999,081
Net amortization and accretion on short-term U.S. government and agency obligations		(61,454	)		(24,695	)
Net realized (gain) loss on investments		906			190
Change in unrealized (appreciation) depreciation on investments		(2,737,091	)		(766,564	)
Decrease (Increase) in receivable on open futures contracts		5,065			15,446
Decrease (Increase) in interest receivable		14,121			(25,020	)
Increase (Decrease) in payable to Sponsor		(6,841	)		12,281
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(747	)
Increase (Decrease) in payable on open futures contracts		—			592,924
Increase (Decrease) in non-recurring fees and expenses payable		—			612

Net cash provided by (used in) operating activities		13,163,547			30,519,203

Cash flow from financing activities
Proceeds from addition of shares		108,077,849			77,349,605
Payment on shares redeemed		(137,958,635	)		(79,818,300	)

Net cash provided by (used in) financing activities		(29,880,786	)		(2,468,695	)

Net increase (decrease) in cash		(16,717,239	)		28,050,508
Cash, beginning of period		32,583,283			5,483,476

Cash, end of period	$	15,866,044		$	33,533,984

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively)
   $ —      $ 22,998,059
Cash
   22,448,405    451,616
Segregated cash balances with brokers for foreign currency forward contracts
   2,582,511    3,652,511
Unrealized appreciation on foreign currency forward contracts
   2,238,472    963,369
Interest receivable
   86,880    36,071




Total assets
   27,356,268    28,101,626




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      2,683,455
Payable to Sponsor
   19,992    29,633
Unrealized depreciation on foreign currency forward contracts
   258,620    3,990,802




Total liabilities
   278,612    6,703,890




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   27,077,656    21,397,736




Total liabilities and shareholders’ equity
   $ 27,356,268    $ 28,101,626




Shares outstanding (Note 1)
   398,580    398,580




Net asset value per share (Note 1)
   $ 67.94    $ 53.68




Market value per share (Note 1) (Note 2)
   $ 67.95    $ 53.57


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $ - and $22,995,298, respectively)	$	—	$	22,998,059
Cash		22,694,511		451,616
Segregated cash balances with brokers for foreign currency forward contracts		2,482,511		3,652,511
Unrealized appreciation on foreign currency forward contracts		969,376		963,369
Interest receivable		94,406		36,071

Total assets		26,240,804		28,101,626

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,683,455
Payable to Sponsor		19,843		29,633
Unrealized depreciation on foreign currency forward contracts		48,770		3,990,802

Total liabilities		68,613		6,703,890

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		26,172,191		21,397,736

Total liabilities and shareholders’ equity	$	26,240,804	$	28,101,626

Shares outstanding		348,580		398,580

Net asset value per share	$	75 .08	$	53 .68

Market value per share (Note 2)	$	75 .08	$	53 .57

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts

Settlement Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Yen with UBS AG
   07/14/23    1,228,677,000 $ 8,534,862 $ (258,620 )


      Total Unrealized
Depreciation
$ (258,620 )


Contracts to Sell

Yen with Goldman Sachs International
   07/14/23    (3,428,392,165 ) $ (23,814,929 ) $ 890,062
Yen with UBS AG
   07/14/23    (5,596,567,574 ) (38,875,908 ) 1,348,410


      Total Unrealized
Appreciation
$ 2,238,472


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with UBS AG		10/06/23		428,237,000		$	2,868,730		$	(48,770	)

							Total Unrealized Depreciation		$	(48,770	)

Contracts to Sell
Yen with Goldman Sachs International		10/06/23		(3,330,184,165	)	$	(22,308,674	)	$	406,284
Yen with UBS AG		10/06/23		(4,908,633,574	)		(32,882,597	)		563,092

							Total Unrealized Appreciation		$	969,376

^	The positions and counterparties herein are as of ~~June~~September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,

2023

2022

2023

2022

Investment Income

Interest
$ 255,354 $ 26,913 $ 459,554 $ 36,312

Expenses

Management fee
58,179 93,181 108,991 153,001

Total expenses
58,179 93,181 108,991 153,001

Net investment income (loss)
197,175 (66,268 ) 350,563 (116,689 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
1,370,771 7,917,170 342,795 8,997,343
Short-term U.S. government and agency obligations
— — — 102,971

Net realized gain (loss)
1,370,771 7,917,170 342,795 9,100,314

Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
3,145,023 (1,364,477 ) 5,007,285 101,925
Short-term U.S. government and agency obligations
— (3,452 ) (2,761 ) (31,390 )

Change in net unrealized appreciation (depreciation)
3,145,023 (1,367,929 ) 5,004,524 70,535

Net realized and unrealized gain (loss)
4,515,794 6,549,241 5,347,319 9,170,849

Net income (loss)
$ 4,712,969 $ 6,482,973 $ 5,697,882 $ 9,054,160


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	274,125		$	115,191		$	733,679		$	151,503

Expenses
Management fee		58,762			106,598			167,753			259,599
Non-recurring fees and expenses		—			953			—			953

Total expenses		58,762			107,551			167,753			260,552

Net investment income (loss)		215,363			7,640			565,926			(109,049	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		3,079,208			5,879,873			3,422,003			14,877,216
Short-term U.S. government and agency obligations		—			—			—			102,971

Net realized gain (loss)		3,079,208			5,879,873			3,422,003			14,980,187

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(1,059,246	)		(546,737	)		3,948,039			(444,812	)
Short-term U.S. government and agency obligations		—			22,866			(2,761	)		(8,524	)

Change in net unrealized appreciation (depreciation)		(1,059,246	)		(523,871	)		3,945,278			(453,336	)

Net realized and unrealized gain (loss)		2,019,962			5,356,002			7,367,281			14,526,851

Net income (loss)	$	2,235,325		$	5,363,642		$	7,933,207		$	14,417,802

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 25,111,818 $ 27,726,701 $ 21,397,736 $ 24,840,784


Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1)
   14,899,838 34,515,397 26,056,375 44,120,719
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1)
   (17,646,969 ) (23,156,189 ) (26,074,337 ) (32,446,781 )


Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1)
   (2,747,131 ) 11,359,208 (17,962 ) 11,673,938


Net investment income (loss)
   197,175 (66,268 ) 350,563 (116,689 )
Net realized gain (loss)
   1,370,771 7,917,170 342,795 9,100,314
Change in net unrealized appreciation (depreciation)
   3,145,023 (1,367,929 ) 5,004,524 70,535


Net income (loss)
   4,712,969 6,482,973 5,697,882 9,054,160


Shareholders’ equity, end of period
   $ 27,077,656 $ 45,568,882 $ 27,077,656 $ 45,568,882


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	27,077,656		$	45,568,882		$	21,397,736		$	24,840,784

Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively		—			15,352,183			26,056,375			59,472,902
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively		(3,140,790	)		(14,347,369	)		(29,215,127	)		(46,794,150	)

Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively		(3,140,790	)		1,004,814			(3,158,752	)		12,678,752

Net investment income (loss)		215,363			7,640			565,926			(109,049	)
Net realized gain (loss)		3,079,208			5,879,873			3,422,003			14,980,187
Change in net unrealized appreciation (depreciation)		(1,059,246	)		(523,871	)		3,945,278			(453,336	)

Net income (loss)		2,235,325			5,363,642			7,933,207			14,417,802

Shareholders’ equity, end of period	$	26,172,191		$	51,937,338		$	26,172,191		$	51,937,338

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ 5,697,882 $ 9,054,160
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   —   (17,984,733 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   23,000,000 28,102,971
Net amortization and accretion on short-term U.S. government and agency obligations
   (4,702 ) (20,093 )
Net realized (gain) loss on investments
   —   (102,971 )
Change in unrealized (appreciation) depreciation on investments
   (5,004,524 ) (70,535 )
Decrease (Increase) in interest receivable
   (50,809 ) (12,261 )
Increase (Decrease) in payable to Sponsor
   (9,641 ) 11,416


Net cash provided by (used in) operating activities
   23,628,206 18,977,954


Cash flow from financing activities

Proceeds from addition of shares
   26,056,375 44,120,719
Payment on shares redeemed
   (28,757,792 ) (32,446,781 )


Net cash provided by (used in) financing activities
   (2,701,417 ) 11,673,938


Net increase (decrease) in cash
   20,926,789 30,651,892
Cash, beginning of period
   4,104,127 3,003,251


Cash, end of period
   $ 25,030,916 $ 33,655,143


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	7,933,207		$	14,417,802
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(17,984,732	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		23,000,000			34,102,971
Net amortization and accretion on short-term U.S. government and agency obligations		(4,702	)		(24,192	)
Net realized (gain) loss on investments		—			(102,971	)
Change in unrealized (appreciation) depreciation on investments		(3,945,278	)		453,336
Decrease (Increase) in interest receivable		(58,335	)		(42,154	)
Increase (Decrease) in payable to Sponsor		(9,790	)		48,690
Increase (Decrease) in non-recurring fees and expenses payable		—			953

Net cash provided by (used in) operating activities		26,915,102			30,869,703

Cash flow from financing activities
Proceeds from addition of shares		26,056,375			59,472,902
Payment on shares redeemed		(31,898,582	)		(46,794,150	)

Net cash provided by (used in) financing activities		(5,842,207	)		12,678,752

Net increase (decrease) in cash		21,072,895			43,548,455
Cash, beginning of period		4,104,127			3,003,251

Cash, end of period	$	25,177,022		$	46,551,706

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)
   $ —      $ 49,882,348
Cash
   42,134,389    19,575,939
Segregated cash balances with brokers for futures contracts
   8,099,770    14,384,050
Receivable on open futures contracts
   —      142,794
Interest receivable
   189,748    88,180




Total assets
   50,423,907    84,073,311




Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   962,275    —
Brokerage commissions and futures account fees payable
   4,683    3,688
Payable to Sponsor
   35,536    54,664




Total liabilities
   1,002,494    58,352




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   49,421,413    84,014,959




Total liabilities and shareholders’ equity
   $ 50,423,907    $ 84,073,311




Shares outstanding
   2,412,403    2,762,403




Net asset value per share
   $ 20.49    $ 30.41




Market value per share (Note 2)
   $ 20.48    $ 30.36


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)	$	–	$	49,882,348
Cash		50,204,095		19,575,939
Segregated cash balances with brokers for futures contracts		9,032,162		14,384,050
Receivable on open futures contracts		560,581		142,794
Interest receivable		208,470		88,180

Total assets		60,005,308		84,073,311

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable		2,387		3,688
Payable to Sponsor		34,897		54,664

Total liabilities		37,284		58,352

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		59,968,024		84,014,959

Total liabilities and shareholders’ equity	$	60,005,308	$	84,073,311

Shares outstanding		3,087,403		2,762,403

Net asset value per share	$	19 .42	$	30 .41

Market value per share (Note 2)	$	19 .41	$	30 .36

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

VIX Futures - Cboe, expires October 2023
   501    $ 9,192,799    $ (2,627,316 )
VIX Futures - Cboe, expires November 2023
   865    16,305,250    (4,252,873 )
VIX Futures - Cboe, expires December 2023
   865    16,564,750    (2,707,689 )
VIX Futures - Cboe, expires January 2024
   364    7,352,800    (290,336 )


         $ (9,878,214 )


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires January 2024		617	$	11,784,515	$	(350,626	)
VIX Futures - Cboe, expires February 2024		1,028		19,841,839		(508,849	)
VIX Futures - Cboe, expires March 2024		1,028		20,146,847		(104,194	)
VIX Futures - Cboe, expires April 2024		411		8,178,119		19,997

					$	(943,672	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Investment Income

Interest
   $ 650,585 $ 52,826 $ 1,298,505 $ 76,749


Expenses

Management fee
   134,066 210,584 284,189 426,247
Brokerage commissions
   12,200 15,500 21,369 40,369
Futures account fees
   11,856 10,906 23,296 46,394


Total expenses
   158,122 236,990 328,854 513,010


Net investment income (loss)
   492,463 (184,164 ) 969,651 (436,261 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (6,943,333 ) 7,862,052 (22,764,053 ) 12,653,885
Short-term U.S. government and agency obligations
   —   —   —   (336 )


Net realized gain (loss)
   (6,943,333 ) 7,862,052 (22,764,053 ) 12,653,549


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (9,677,526 ) 4,040,230 (5,086,991 ) 3,705,055
Short-term U.S. government and agency obligations
   2,424 (47,560 ) (5,651 ) (186,220 )


Change in net unrealized appreciation (depreciation)
   (9,675,102 ) 3,992,670 (5,092,642 ) 3,518,835


Net realized and unrealized gain (loss)
   (16,618,435 ) 11,854,722 (27,856,695 ) 16,172,384


Net income (loss)
   $ (16,125,972 ) $ 11,670,558 $ (26,887,044 ) $ 15,736,123


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	597,040		$	220,211		$	1,895,545		$	296,960

Expenses
Management fee		117,018			201,508			401,207			627,755
Brokerage commissions		8,822			17,922			30,191			58,291
Futures account fees		9,991			—			33,287			46,394
Non-recurring fees and expenses		—			2,050			—			2,050

Total expenses		135,831			221,480			464,685			734,490

Net investment income (loss)		461,209			(1,269	)		1,430,860			(437,530	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(12,244,511	)		(1,349,272	)		(35,008,564	)		11,304,613
Short-term U.S. government and agency obligations		—			—			—			(336	)

Net realized gain (loss)		(12,244,511	)		(1,349,272	)		(35,008,564	)		11,304,277

Change in net unrealized appreciation (depreciation) on
Futures contracts		8,934,542			3,236,565			3,847,551			6,941,620
Short-term U.S. government and agency obligations		—			131,644			(5,651	)		(54,576	)

Change in net unrealized appreciation (depreciation)		8,934,542			3,368,209			3,841,900			6,887,044

Net realized and unrealized gain (loss)		(3,309,969	)		2,018,937			(31,166,664	)		18,191,321

Net income (loss)	$	(2,848,760	)	$	2,017,668		$	(29,735,804	)	$	17,753,791

See accompanying notes to financial statements.

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 67,306,087 $ 97,869,914 $ 84,014,959 $ 112,875,680


Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively
   14,067,422 10,043,451 21,818,758 32,179,053
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively
   (15,826,124 ) (23,862,652 ) (29,525,260 ) (65,069,585 )


Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively
   (1,758,702 ) (13,819,201 ) (7,706,502 ) (32,890,532 )


Net investment income (loss)
   492,463 (184,164 ) 969,651 (436,261 )
Net realized gain (loss)
   (6,943,333 ) 7,862,052 (22,764,053 ) 12,653,549
Change in net unrealized appreciation (depreciation)
   (9,675,102 ) 3,992,670 (5,092,642 ) 3,518,835


Net income (loss)
   (16,125,972 ) 11,670,558 (26,887,044 ) 15,736,123


Shareholders’ equity, end of period
   $ 49,421,413 $ 95,721,271 $ 49,421,413 $ 95,721,271


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	49,421,413		$	95,721,271		$	84,014,959		$	112,875,680

Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively		16,840,213			28,312,142			38,658,971			60,491,195
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively		(3,444,842	)		(15,630,507	)		(32,970,102	)		(80,700,092	)

Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively		13,395,371			12,681,635			5,688,869			(20,208,897	)

Net investment income (loss)		461,209			(1,269	)		1,430,860			(437,530	)
Net realized gain (loss)		(12,244,511	)		(1,349,272	)		(35,008,564	)		11,304,277
Change in net unrealized appreciation (depreciation)		8,934,542			3,368,209			3,841,900			6,887,044

Net income (loss)		(2,848,760	)		2,017,668			(29,735,804	)		17,753,791

Shareholders’ equity, end of period	$	59,968,024		$	110,420,574		$	59,968,024		$	110,420,574

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (26,887,044 ) $ 15,736,123
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (254,817,825 ) (51,992,010 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   305,000,000 105,998,548
Net amortization and accretion on short-term U.S. government and agency obligations
   (305,478 ) (45,127 )
Net realized (gain) loss on investments
   —   336
Change in unrealized (appreciation) depreciation on investments
   5,651 186,220
Decrease (Increase) in receivable on open futures contracts
   142,794 (752,378 )
Decrease (Increase) in interest receivable
   (101,568 ) (21,835 )
Increase (Decrease) in payable to Sponsor
   (19,128 ) (20,792 )
Increase (Decrease) in brokerage commissions and futures account fees payable
   995 (7,124 )
Increase (Decrease) in payable on open futures contracts
   962,275 (94,495 )


Net cash provided by (used in) operating activities
   23,980,672 68,987,466


Cash flow from financing activities

Proceeds from addition of shares
   21,818,758 32,179,053
Payment on shares redeemed
   (29,525,260 ) (65,069,585 )


Net cash provided by (used in) financing activities
   (7,706,502 ) (32,890,532 )


Net increase (decrease) in cash
   16,274,170 36,096,934
Cash, beginning of period
   33,959,989 27,071,819


Cash, end of period
   $ 50,234,159 $ 63,168,753


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(29,735,804	)	$	17,753,791
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(294,811,992	)		(66,991,148	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		345,000,000			120,998,548
Net amortization and accretion on short-term U.S. government and agency obligations		(311,311	)		(63,980	)
Net realized (gain) loss on investments		—			336
Change in unrealized (appreciation) depreciation on investments		5,651			54,576
Decrease (Increase) in receivable on open futures contracts		(417,787	)		(765,221	)
Decrease (Increase) in interest receivable		(120,290	)		(84,257	)
Increase (Decrease) in payable to Sponsor		(19,767	)		51,511
Increase (Decrease) in brokerage commissions and futures account fees payable		(1,301	)		(7,124	)
Increase (Decrease) in payable on open futures contracts		—			(94,495	)
Increase (Decrease) in non-recurring fees and expenses payable		—			2,050

Net cash provided by (used in) operating activities		19,587,399			70,854,587

Cash flow from financing activities
Proceeds from addition of shares		38,658,971			60,491,195
Payment on shares redeemed		(32,970,102	)		(78,938,105	)

Net cash provided by (used in) financing activities		5,688,869			(18,446,910	)

Net increase (decrease) in cash		25,276,268			52,407,677
Cash, beginning of period		33,959,989			27,071,819

Cash, end of period	$	59,236,257		$	79,479,496

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively)
   $ 74,783,454    $ 89,347,714
Cash
   50,424,148    33,526,868
Segregated cash balances with brokers for futures contracts
   88,397,850    91,634,942
Receivable on open futures contracts
   18,506,138    52,643,553
Interest receivable
   385,471    403,667




Total assets
   232,497,061    267,556,744




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      570,473
Payable on open futures contracts
   2,131,494    223,719
Brokerage commissions and futures account fees payable
   19,141    27,102
Payable to Sponsor
   118,596    155,130




Total liabilities
   2,269,231    976,424




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   230,227,830    266,580,320




Total liabilities and shareholders’ equity
   $ 232,497,061    $ 267,556,744




Shares outstanding (Note 1)
   9,226,565    4,676,565




Net asset value per share (Note 1)
   $ 24.95    $ 57.00




Market value per share (Note 1) (Note 2)
   $ 24.96    $ 56.90


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively)	$	104,639,666	$	89,347,714
Cash		23,955,940		33,526,868
Segregated cash balances with brokers for futures contracts		65,304,529		91,634,942
Receivable on open futures contracts		17,543,264		52,643,553
Interest receivable		266,995		403,667

Total assets		211,710,394		267,556,744

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		570,473
Payable on open futures contracts		—		223,719
Brokerage commissions and futures account fees payable		11,670		27,102
Payable to Sponsor		94,296		155,130

Total liabilities		105,966		976,424

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		211,604,428		266,580,320

Total liabilities and shareholders’ equity	$	211,710,394	$	267,556,744

Shares outstanding (Note 1)		9,075,947		4,676,565

Net asset value per share (Note 1)	$	23 .31	$	57 .00

Market value per share (Note 1) (Note 2)	$	23 .30	$	56 .90

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

~~JUNE~~SEPTEMBER 30, 2023

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(32% of shareholders’ equity)

U.S. Treasury Bills
^^
:

4.959% due 07/13/23
   $ 15,000,000    $ 14,978,937
5.242% due 07/18/23
   25,000,000    24,947,395
5.251% due 07/25/23
   20,000,000    19,938,584
5.161% due 08/10/23
   15,000,000    14,918,538


Total short-term U.S. government and agency obligations

(cost $74,762,717)
      $ 74,783,454


	Principal Amount		Value
Short-term U.S. government and agency obligations
(49% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.407% due 10/10/23	$	25,000,000	$	24,970,695
5.478% due 10/17/23		45,000,000		44,900,905
5.490% due 11/14/23		25,000,000		24,841,885
5.497% due 11/21/23		10,000,000		9,926,181

Total short-term U.S. government and agency obligations (cost $104,624,795)			$	104,639,666

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

VIX Futures - Cboe, expires July 2023
   8,545    $ 128,268,995    $ (26,123,108 )
VIX Futures - Cboe, expires August 2023
   6,216    101,944,265    (3,849,779 )


         $ (29,972,887 )


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2023		7,067	$	125,589,070	$	11,154,767
VIX Futures - Cboe, expires November 2023		4,719		86,104,290		719,403

					$	11,874,170

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,

2023

2022

2023

2022

Investment Income

Interest
$ 2,440,291 $ 207,903 $ 4,560,852 $ 278,612

Expenses

Management fee
530,826 773,717 1,048,314 1,479,408
Brokerage commissions
95,391 171,182 191,888 287,656
Futures account fees
48,732 115,783 99,391 316,440

Total expenses
674,949 1,060,682 1,339,593 2,083,504

Net investment income (loss)
1,765,342 (852,779 ) 3,221,259 (1,804,892 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
(127,229,299 ) 23,659,182 (173,326,001 ) 77,393,309
Short-term U.S. government and agency obligations
(10,613 ) (397 ) (10,605 ) (300 )

Net realized gain (loss)
(127,239,912 ) 23,658,785 (173,336,606 ) 77,393,009

Change in net unrealized appreciation (depreciation) on

Futures contracts
(21,324,056 ) 46,680,364 (20,176,064 ) 33,506,046
Short-term U.S. government and agency obligations
20,803 (79,587 ) 2,837 (353,650 )

Change in net unrealized appreciation (depreciation)
(21,303,253 ) 46,600,777 (20,173,227 ) 33,152,396

Net realized and unrealized gain (loss)
(148,543,165 ) 70,259,562 (193,509,833 ) 110,545,405

Net income (loss)
$ (146,777,823 ) $ 69,406,783 $ (190,288,574 ) $ 108,740,513


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Investment Income
Interest	$	2,271,345		$	1,400,201		$	6,832,197		$	1,678,813

Expenses
Management fee		447,560			874,070			1,495,874			2,353,478
Brokerage commissions		58,426			203,095			250,314			490,751
Futures account fees		44,110			54,944			143,501			371,384
Non-recurring fees and expenses		—			8,700			—			8,700

Total expenses		550,096			1,140,809			1,889,689			3,224,313

Net investment income (loss)		1,721,249			259,392			4,942,508			(1,545,500	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(54,950,042	)		(45,457,319	)		(228,276,043	)		31,935,990
Short-term U.S. government and agency obligations		—			—			(10,605	)		(300	)

Net realized gain (loss)		(54,950,042	)		(45,457,319	)		(228,286,648	)		31,935,690

Change in net unrealized appreciation (depreciation) on
Futures contracts		41,847,057			51,449,994			21,670,993			84,956,040
Short-term U.S. government and agency obligations		(5,866	)		248,953			(3,029	)		(104,697	)

Change in net unrealized appreciation (depreciation)		41,841,191			51,698,947			21,667,964			84,851,343

Net realized and unrealized gain (loss)		(13,108,851	)		6,241,628			(206,618,684	)		116,787,033

Net income (loss)	$	(11,387,602	)	$	6,501,020		$	(201,676,176	)	$	115,241,533

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,


2023

2022

2023

2022

Shareholders’ equity, beginning of period
   $ 226,765,204 $ 404,950,400 $ 266,580,320 $ 269,703,164
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1)
   159,301,302 141,195,554 267,768,654 302,368,469
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1)
   (9,060,853 ) (273,838,421 ) (113,832,570 ) (339,097,830 )


Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1)
   150,240,449 (132,642,867 ) 153,936,084 (36,729,361 )


Net investment income (loss)
   1,765,342 (852,779 ) 3,221,259 (1,804,892 )
Net realized gain (loss)
   (127,239,912 ) 23,658,785 (173,336,606 ) 77,393,009
Change in net unrealized appreciation (depreciation)
   (21,303,253 ) 46,600,777 (20,173,227 ) 33,152,396


Net income (loss)
   (146,777,823 ) 69,406,783 (190,288,574 ) 108,740,513


Shareholders’ equity, end of period
   $ 230,227,830 $ 341,714,316 $ 230,227,830 $ 341,714,316


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	230,227,830		$	341,714,316		$	266,580,320		$	269,703,164

Addition of 2,475,000, 3,555,000, 9,235,000 and 7,180,000 shares, respectively (Note 1)		56,655,376			261,088,034			324,424,030			563,456,503
Redemption of 2,625,618, 2,190,000, 4,835,618 and 5,630,000 shares, respectively (Note 1)		(63,891,176	)		(171,766,742	)		(177,723,746	)		(510,864,572	)

Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1)		(7,235,800	)		89,321,292			146,700,284			52,591,931

Net investment income (loss)		1,721,249			259,392			4,942,508			(1,545,500	)
Net realized gain (loss)		(54,950,042	)		(45,457,319	)		(228,286,648	)		31,935,690
Change in net unrealized appreciation (depreciation)		41,841,191			51,698,947			21,667,964			84,851,343

Net income (loss)		(11,387,602	)		6,501,020			(201,676,176	)		115,241,533

Shareholders’ equity, end of period	$	211,604,428		$	437,536,628		$	211,604,428		$	437,536,628

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022

Cash flow from operating activities

Net income (loss)
   $ (190,288,574 ) $ 108,740,513
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (318,231,573 ) (772,834,858 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   334,754,108 753,998,870
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,966,043 ) (182,283 )
Net realized (gain) loss on investments
   10,605 300
Change in unrealized (appreciation) depreciation on investments
   (2,837 ) 353,650
Decrease (Increase) in receivable on open futures contracts
   34,137,415 (36,332,848 )
Decrease (Increase) in interest receivable
   18,196 (70,359 )
Increase (Decrease) in payable to Sponsor
   (36,534 ) 32,486
Increase (Decrease) in brokerage commissions and futures account fees payable
   (7,961 ) (20,252 )
Increase (Decrease) in payable on open futures contracts
   1,907,775 (2,037,391 )


Net cash provided by (used in) operating activities
   (139,705,423 ) 51,647,828


Cash flow from financing activities

Proceeds from addition of shares
   267,768,654 305,395,083
Payment on shares redeemed
   (114,403,043 ) (339,097,830 )


Net cash provided by (used in) financing activities
   153,365,611 (33,702,747 )


Net increase (decrease) in cash
   13,660,188 17,945,081
Cash, beginning of period
   125,161,810 115,960,816


Cash, end of period
   $ 138,821,998 $ 133,905,897


	Nine Months Ended September 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(201,676,176	)	$	115,241,533
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(614,146,126	)		(2,462,189,566	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		601,754,108			2,455,998,870
Net amortization and accretion on short-term U.S. government and agency obligations		(2,913,568	)		(725,037	)
Net realized (gain) loss on investments		10,605			300
Change in unrealized (appreciation) depreciation on investments		3,029			104,697
Decrease (Increase) in receivable on open futures contracts		35,100,289			(67,758,303	)
Decrease (Increase) in interest receivable		136,672			(362,333	)
Increase (Decrease) in payable to Sponsor		(60,834	)		372,867
Increase (Decrease) in brokerage commissions and futures account fees payable		(15,432	)		(20,676	)
Increase (Decrease) in payable on open futures contracts		(223,719	)		(2,037,391	)
Increase (Decrease) in non-recurring fees and expenses payable		—			8,700

Net cash provided by (used in) operating activities		(182,031,152	)		38,633,661

Cash flow from financing activities
Proceeds from addition of shares		324,424,030			566,483,117
Payment on shares redeemed		(178,294,219	)		(498,163,549	)

Net cash provided by (used in) financing activities		146,129,811			68,319,568

Net increase (decrease) in cash		(35,901,341	)		106,953,229
Cash, beginning of period		125,161,810			115,960,816

Cash, end of period	$	89,260,469		$	222,914,045

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

June 30, 2023
(unaudited)

December 31, 2022

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively)
   $ 1,346,032,901    $ 1,466,680,542
Cash
   768,092,274    625,964,378
Segregated cash balances with brokers for futures contracts
   1,011,816,684    925,792,861
Segregated cash balances with brokers for foreign currency forward contracts
   12,206,632    12,956,632
Segregated cash balances with brokers for swap agreements
   393,762,745    262,053,745
Unrealized appreciation on swap agreements
   47,373,840    119,880,255
Unrealized appreciation on foreign currency forward contracts
   2,527,851    2,823,510
Receivable from capital shares sold
   5,314,437    1,014,483
Receivable on open futures contracts
   236,446,947    522,770,291
Interest receivable
   5,319,549    4,920,772




Total assets
   3,828,893,860    3,944,857,469




Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   27,830,318    32,725,077
Payable on open futures contracts
   14,433,430    11,742,794
Brokerage commissions and futures account fees payable
   166,633    165,165
Payable to Sponsor
   2,902,544    3,210,113
Unrealized depreciation on swap agreements
   26,790,686    2,315,580
Unrealized depreciation on foreign currency forward contracts
   2,924,712    6,911,994




Total liabilities
   75,048,323    57,070,723




Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity
   3,753,845,537    3,887,786,746




Total liabilities and shareholders’ equity
   $ 3,828,893,860    $ 3,944,857,469




Shares outstanding (Note 1)
   111,471,547    89,444,047


	September 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively)	$	1,375,005,218	$	1,466,680,542
Cash		367,158,559		625,964,378
Segregated cash balances with brokers for futures contracts		858,586,121		925,792,861
Segregated cash balances with brokers for foreign currency forward contracts		9,686,632		12,956,632
Segregated cash balances with brokers for swap agreements		524,175,300		262,053,745
Unrealized appreciation on swap agreements		12,904,475		119,880,255
Unrealized appreciation on foreign currency forward contracts		2,564,273		2,823,510
Receivable from capital shares sold		31,210,088		1,014,483
Receivable on open futures contracts		214,636,493		522,770,291
Interest receivable		4,484,827		4,920,772

Total assets		3,400,411,986		3,944,857,469

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		47,876,891		32,725,077
Payable on open futures contracts		14,962,756		11,742,794
Brokerage commissions and futures account fees payable		105,802		165,165
Payable to Sponsor		2,610,466		3,210,113
Unrealized depreciation on swap agreements		33,398,222		2,315,580
Unrealized depreciation on foreign currency forward contracts		998,472		6,911,994

Total liabilities		99,952,609		57,070,723

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,300,459,377		3,887,786,746

Total liabilities and shareholders’ equity	$	3,400,411,986	$	3,944,857,469

Shares outstanding (Note 1)		105,689,214		89,444,047

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,

2023

2022*

2023

2022*

Investment Income

Interest
$ 35,172,821 $ 3,593,473 $ 69,048,196 $ 4,620,355
Expenses

Management fee
9,417,542 11,608,051 18,671,870 22,225,008
Brokerage commissions
2,541,487 1,894,153 4,916,119 3,802,918
Futures account fees
426,130 1,030,206 828,892 2,835,129

Total expenses
12,385,159 14,532,410 24,416,881 28,863,055

Net investment income (loss)
22,787,662 (10,938,937 ) 44,631,315 (24,242,700 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
(903,140,314 ) 101,692,223 (1,989,000,881 ) 510,140,998
Swap agreements
(127,144,869 ) (48,816,783 ) (36,920,176 ) 656,366,206
Foreign currency forward contracts
(367,022 ) 9,774,456 (2,820,838 ) 12,836,962
Short-term U.S. government and agency obligations
(182,341 ) (420,375 ) (195,871 ) (192,800 )

Net realized gain (loss)
(1,030,834,546 ) 62,229,521 (2,028,937,766 ) 1,179,151,366

Change in net unrealized appreciation (depreciation) on

Futures contracts
370,415,259 10,131,053 337,853,836 62,770,119
Swap agreements
53,364,477 (57,491,778 ) (96,981,521 ) (326,324,133 )
Foreign currency forward contracts
2,274,360 1,568,995 3,691,623 3,105,964
Short-term U.S. government and agency obligations
266,337 (768,379 ) 49,246 (4,025,886 )

Change in net unrealized appreciation (depreciation)
426,320,433 (46,560,109 ) 244,613,184 (264,473,936 )

Net realized and unrealized gain (loss)
(604,514,113 ) 15,669,412 (1,784,324,582 ) 914,677,430

Net income (loss)
$ (581,726,451 ) $ 4,730,475 $ (1,739,693,267 ) $ 890,434,730


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022*
Investment Income
Interest	$	33,986,958		$	14,620,209		$	103,035,154		$	19,240,564
Expenses
Management fee		8,433,063			11,269,281			27,104,933			33,494,289
Brokerage commissions		1,640,018			2,210,735			6,556,137			6,013,653
Futures account fees		313,663			449,872			1,142,555			3,285,001
Non-recurring fees and expenses		—			81,773			—			81,773

Total expenses		10,386,744			14,011,661			34,803,625			42,874,716

Net investment income (loss)		23,600,214			608,548			68,231,529			(23,634,152	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		14,374,480			(321,993,985	)		(1,974,626,401	)		188,147,013
Swap agreements		190,429,303			(438,845,993	)		153,509,127			217,520,213
Foreign currency forward contracts		1,079,187			13,695,610			(1,741,651	)		26,532,572
Short-term U.S. government and agency obligations		205			(71,343	)		(195,666	)		(264,143	)

Net realized gain (loss)		205,883,175			(747,215,711	)		(1,823,054,591	)		431,935,655

Change in net unrealized appreciation (depreciation) on
Futures contracts		(202,241,004	)		291,970,061			135,612,832			354,740,180
Swap agreements		(41,076,901	)		112,369,648			(138,058,422	)		(213,954,485	)
Foreign currency forward contracts		1,962,662			(1,017,583	)		5,654,285			2,088,381
Short-term U.S. government and agency obligations		(111,348	)		3,053,986			(62,102	)		(971,900	)

Change in net unrealized appreciation (depreciation)		(241,466,591	)		406,376,112			3,146,593			141,902,176

Net realized and unrealized gain (loss)		(35,583,416	)		(340,839,599	)		(1,819,907,998	)		573,837,831

Net income (loss)	$	(11,983,202	)	$	(340,231,051	)	$	(1,751,676,469	)	$	550,203,679


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

See accompanying notes to financial statements.

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
June 30,

Six Months Ended
June 30,

2023

2022*

2023

2022*

Shareholders’ equity, beginning of period
$ 4,138,630,893 $ 5,338,066,570 $ 3,887,786,746 $ 4,173,474,343

Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1)
2,534,087,735 2,545,986,476 6,659,958,056 5,628,786,761
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1)
(2,337,146,640 ) (3,325,413,745 ) (5,054,205,998 ) (6,129,326,058 )

Net addition (redemption) of 11,612,500,
(5,380,804
), 22,027,500 and (525,926) shares, respectively (Note 1)
196,941,095 (779,427,269 ) 1,605,752,058 (500,539,297 )

Net investment income (loss)
22,787,662 (10,938,937 ) 44,631,315 (24,242,700 )
Net realized gain (loss)
(1,030,834,546 ) 62,229,521 (2,028,937,766 ) 1,179,151,366
Change in net unrealized appreciation (depreciation)
426,320,433 (46,560,109 ) 244,613,184 (264,473,936 )

Net income (loss)
(581,726,451 ) 4,730,475 (1,739,693,267 ) 890,434,730

Shareholders’ equity, end of period
$ 3,753,845,537 $ 4,563,369,776 $ 3,753,845,537 $ 4,563,369,776


	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022*
Shareholders’ equity, beginning of period	$	3,753,845,537		$	4,563,369,776		$	3,887,786,746		$	4,173,474,343

Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1)		1,835,741,719			3,360,951,964			8,495,699,775			8,989,738,725
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1)		(2,277,144,677	)		(3,379,709,104	)		(7,331,350,675	)		(9,509,035,162	)

Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1)		(441,402,958	)		(18,757,140	)		1,164,349,100			(519,296,437	)

Net investment income (loss)		23,600,214			608,548			68,231,529			(23,634,152	)
Net realized gain (loss)		205,883,175			(747,215,711	)		(1,823,054,591	)		431,935,655
Change in net unrealized appreciation (depreciation)		(241,466,591	)		406,376,112			3,146,593			141,902,176

Net income (loss)		(11,983,202	)		(340,231,051	)		(1,751,676,469	)		550,203,679

Shareholders’ equity, end of period	$	3,300,459,377		$	4,204,381,585		$	3,300,459,377		$	4,204,381,585

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

Six Months Ended
June 30,


2023

2022*

Cash flow from operating activities

Net income (loss)
   $ (1,739,693,267 ) $ 890,434,730
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of short-term U.S. government and agency obligations
   (23,583,170,670 ) (11,579,158,324 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   23,734,747,679 12,000,836,596
Net amortization and accretion on short-term U.S. government and agency obligations
   (31,075,993 ) (3,419,714 )
Net realized (gain) loss on investments
   195,871 192,879
Change in unrealized (appreciation) depreciation on investments
   93,240,652 327,244,055
Decrease (Increase) in receivable on futures contracts
   286,323,344 (318,333,532 )
Decrease (Increase) in interest receivable
   (398,777 ) (872,124 )
Increase (Decrease) in payable to Sponsor
   (307,569 ) 557,811
Increase (Decrease) in brokerage commissions and futures account fees payable
   1,468 (331,006 )
Increase (Decrease) in payable on futures contracts
   2,690,636 25,823,690


Net cash provided by (used in) operating activities
   (1,237,446,626 ) 1,342,975,061


Cash flow from financing activities

Proceeds from addition of shares
   6,655,658,102 5,625,888,021
Payment on shares redeemed
   (5,059,100,757 ) (6,100,935,295 )


Net cash provided by (used in) financing activities
   1,596,557,345 (475,047,274 )


Net increase (decrease) in cash
   359,110,719 867,927,787
Cash, beginning of period
   1,826,767,616 1,408,701,238


Cash, end of period
   $ 2,185,878,335 $ 2,276,629,025


	Nine Months Ended September 30,
	2023			2022*
Cash flow from operating activities
Net income (loss)	$	(1,751,676,469	)	$	550,203,679
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(27,871,422,186	)		(32,181,153,315	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		28,009,309,658			32,879,938,110
Net amortization and accretion on short-term U.S. government and agency obligations		(46,469,916	)		(9,697,124	)
Net realized (gain) loss on investments		195,666			264,143
Change in unrealized (appreciation) depreciation on investments		132,466,239			212,838,004
Decrease (Increase) in receivable on futures contracts		308,133,798			(333,246,149	)
Decrease (Increase) in interest receivable		435,945			(3,095,982	)
Increase (Decrease) in payable to Sponsor		(599,647	)		4,244,972
Increase (Decrease) in brokerage commissions and futures account fees payable		(59,363	)		(327,015	)
Increase (Decrease) in payable on futures contracts		3,219,962			(37,886,245	)
Increase (Decrease) in non-recurring fees and expenses payable		—			81,773

Net cash provided by (used in) operating activities		(1,216,466,313	)		1,082,164,851

Cash flow from financing activities
Proceeds from addition of shares		8,465,504,170			9,008,566,233
Payment on shares redeemed		(7,316,198,861	)		(9,440,488,808	)

Net cash provided by (used in) financing activities		1,149,305,309			(431,922,575	)

Net increase (decrease) in cash		(67,161,004	)		650,242,276
Cash, beginning of period		1,826,767,616			1,408,701,238

Cash, end of period	$	1,759,606,612		$	2,058,943,514

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

~~June~~September 30, 2023

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of ~~June~~September 30, 2023, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX

Mid-Term

Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.

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

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to

one-half

the inverse

(-0.5x)

of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and

~~Table of Contents~~

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.

The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,

-0.5x,

-2x,

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

Table of Contents

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the ~~six~~nine months ~~June~~September 30, 2023, and during the year ended December 31, 2022. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.


Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price

ProShares UltraShort Bloomberg Natural Gas	January 13, 2022	1-for-5 reverse Share split		January 14, 2022

ProShares UltraShort Yen	May 25, 2022	2-for-1 forward Share split		May 26, 2022

ProShares Ultra Bloomberg Crude Oil	May 25, 2022	4-for-1 forward Share split		May 26, 2022

ProShares UltraShort Bloomberg Natural Gas	May 25, 2022	1-for-4 reverse Share split		May 26, 2022

ProShares UltraShort Bloomberg Crude Oil	May 25, 2022	1-for-5 reverse Share split		May 26, 2022

ProShares Ultra Bloomberg Natural Gas	June 23, 2023	1-for-20 reverse Share split		June 24, 2023

ProShares Ultra VIX Short-Term Futures	June 23, 2023	1-for-10 reverse Share split		June 24, 2023

ProShares VIX Short-Term Futures	June 23, 2023	1-for-5 reverse Share split		June 24, 2023

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

~~Table of Contents~~

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

10-Q

and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form

10-K

for the year ended December 31, 2022, as filed with the SEC on February 28, 2023.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.

Table of Contents

Basis of Presentation

Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

Statements of Cash Flows

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

~~Table of Contents~~

Final Net Asset Value for Fiscal Period

The

cut-off

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

ended ~~June~~September 30, 2023

were typically as follows. All times are Eastern Standard Time:

Fund

Create/Redeem

Cut-off*

NAV Calculation
Time

NAV

Calculation Date

Ultra Silver and UltraShort Silver

1:00 p.m.

1:25 p.m.

~~June 30,~~

September 29, 2023

Ultra Gold and UltraShort Gold

1:00 p.m.

1:30 p.m.

~~June 30,~~

September 29, 2023

Ultra Bloomberg Crude Oil,

Ultra Bloomberg ~~Crude Oil,~~

Natural Gas,

~~Ultra~~UltraShort Bloomberg ~~Natural Gas,~~

Crude Oil and

~~UltraShort Bloomberg Crude Oil and~~

UltraShort Bloomberg Natural Gas

2:00 p.m.

2:30 p.m.

~~June 30,~~

September 29, 2023

Ultra Euro,

Ultra ~~Euro,~~

Yen,

~~Ultra Yen,~~

UltraShort Euro and

UltraShort ~~Euro and~~

Yen

~~UltraShort Yen~~

3:00 p.m.

4:00 p.m.

~~June 30,~~

September 29, 2023

Short VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

VIX

~~Short VIX Short-Term~~ Mid-Term

Futures ETF

and

~~Ultra~~ VIX Short-Term Futures ETF

~~VIX Mid-Term Futures ETF and~~

~~VIX Short-Term Futures ETF~~

2:00 p.m.

4:00 p.m.

~~June 30,~~

September 29, 2023

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

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the ~~six~~nine months ended ~~June~~September 30, 2023.

Investment Valuation

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

Table of Contents

~~Table of Contents~~

UltraShort Euro Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver and UltraShort Euro Fund are generally 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 generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a 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 such 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.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

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

Table of Contents

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

Level I - Quoted Prices

Level II - Other Significant
Observable Inputs

Fund

Short-Term U.S.
Government and
Agencies

Futures
Contracts
*

Foreign
Currency
Forward
Contracts

Swap
Agreements

Total

ProShares Short VIX Short-Term Futures ETF
   $ 89,727,034    $ 23,929,205 $ —   $ —   $ 113,656,239
ProShares Ultra Bloomberg Crude Oil
   413,997,952    9,418,306 —   (1,692,241 ) 421,724,017
ProShares Ultra Bloomberg Natural Gas
   298,783,390    248,335,437 —   46,088,257 593,207,084
ProShares Ultra Euro
   —      —   239,688 —   239,688
ProShares Ultra Gold
   134,714,723    (5,385,731 ) —   (7,053,083 ) 122,275,909
ProShares Ultra Silver
   224,344,440    (9,977,916 ) —   (18,045,362 ) 196,321,162
ProShares Ultra VIX Short-Term Futures ETF
   —      (79,829,720 ) —   —   (79,829,720 )
ProShares Ultra Yen
   —      —   (857,627 ) —   (857,627 )
ProShares UltraShort Bloomberg Crude Oil
   74,852,080    12,986,156 —   —   87,838,236
ProShares UltraShort Bloomberg Natural Gas
   34,829,828    (20,310,332 ) —   —   14,519,496
ProShares UltraShort Euro
   —      —   (1,758,774 ) —   (1,758,774 )
ProShares UltraShort Gold
   —      970,805 —   440,571 1,411,376
ProShares UltraShort Silver
   —      958,923 —   845,012 1,803,935
ProShares UltraShort Yen
   —      —   1,979,852 —   1,979,852
ProShares VIX Mid-Term Futures ETF
   —      (9,878,214 ) —   —   (9,878,214 )
ProShares VIX Short-Term Futures ETF
   74,783,454    (29,972,887 ) —   —   44,810,567




Combined Trust:

$
1,346,032,901


$
141,244,032

$
(396,861
)

$
20,583,154

$
1,507,463,226


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short VIX Short-Term Futures ETF	$	104,670,946	$	(2,387,385	)	$	—		$	—		$	102,283,561
ProShares Ultra Bloomberg Crude Oil		264,081,088		24,729,920			—			11,240,991			300,051,999
ProShares Ultra Bloomberg Natural Gas		303,858,387		(114,592,473	)		—			(1,438,294	)		187,827,620
ProShares Ultra Euro		—		—			(222,712	)		—			(222,712	)
ProShares Ultra Gold		109,664,879		(2,617,740	)		—			(10,343,189	)		96,703,950
ProShares Ultra Silver		199,275,356		(6,167,328	)		—			(21,616,739	)		171,491,289
ProShares Ultra VIX Short-Term Futures ETF		84,581,081		29,009,491			—			—			113,590,572
ProShares Ultra Yen		—		—			(580,421	)		—			(580,421	)
ProShares UltraShort Bloomberg Crude Oil		184,298,349		(25,040,263	)		—			—			159,258,086
ProShares UltraShort Bloomberg Natural Gas		19,935,466		23,776,317			—			—			43,711,783
ProShares UltraShort Euro		—		—			1,448,328			—			1,448,328
ProShares UltraShort Gold		—		510,754			—			649,016			1,159,770
ProShares UltraShort Silver		—		851,237			—			1,014,468			1,865,705
ProShares UltraShort Yen		—		—			920,606			—			920,606
ProShares VIX Mid-Term Futures ETF		—		(943,672	)		—			—			(943,672	)
ProShares VIX Short-Term Futures ETF		104,639,666		11,874,170			—			—			116,513,836

Combined Trust:	$	1,375,005,218	$	(60,996,972	)	$	1,565,801		$	(20,493,747	)	$	1,295,080,300

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

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

The following table summarizes the valuation of investments at December 31, 2022 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short VIX Short-Term Futures ETF	$	144,307,676	$	11,092,381		$	—		$	—		$	155,400,057
ProShares Ultra Bloomberg Crude Oil		313,465,007		26,291,716			—			74,159,577			413,916,300
ProShares Ultra Bloomberg Natural Gas		263,260,158		(310,613,969	)		—			—			(47,353,811	)
ProShares Ultra Euro		—		—			415,656			—			415,656
ProShares Ultra Gold		129,123,489		3,242,088			—			6,496,466			138,862,043
ProShares Ultra Silver		228,657,634		29,426,574			—			39,224,212			297,308,420
ProShares Ultra VIX Short-Term Futures ETF		34,732,372		(36,555,453	)		—			—			(1,823,081	)
ProShares Ultra Yen		—		—			984,549			—			984,549
ProShares UltraShort Bloomberg Crude Oil		89,426,935		10,244,893			—			—			99,671,828
ProShares UltraShort Bloomberg Natural Gas		61,482,526		85,889,398			—			—			147,371,924
ProShares UltraShort Euro		39,996,624		—			(2,461,256	)		—			37,535,368
ProShares UltraShort Gold		—		(98,886	)		—			(592,957	)		(691,843	)
ProShares UltraShort Silver		—		(940,500	)		—			(1,722,623	)		(2,663,123	)
ProShares UltraShort Yen		22,998,059		—			(3,027,433	)		—			19,970,626
ProShares VIX Mid-Term Futures ETF		49,882,348		(4,791,223	)		—			—			45,091,125
ProShares VIX Short-Term Futures ETF		89,347,714		(9,796,823	)		—			—			79,550,891

Combined Trust:	$	1,466,680,542	$	(196,609,804	)	$	(4,088,484	)	$	117,564,675		$	1,383,546,929

~~Table of Contents~~

Level I - Quoted Prices

Level II - Other Significant
Observable Inputs

Fund

Short-Term U.S.

Government and
Agencies

Futures
Contracts
*

Foreign
Currency
Forward
Contracts

Swap
Agreements

Total

ProShares Ultra Euro
   $ —      $ —
$

415,656
$

—
$

415,656
ProShares Ultra Gold
   129,123,489    3,242,088 —   6,496,466 138,862,043
ProShares Ultra Silver
   228,657,634    29,426,574 —   39,224,212 297,308,420
ProShares Ultra VIX Short-Term Futures ETF
   34,732,372    (36,555,453 ) —   —   (1,823,081 )
ProShares Ultra Yen
   —      —   984,549 —   984,549
ProShares UltraShort Bloomberg Crude Oil
   89,426,935    10,244,893 —   —   99,671,828
ProShares UltraShort Bloomberg Natural Gas

61,482,526
85,889,398
—
—
147,371,924
ProShares UltraShort Euro
   39,996,624    —   (2,461,256 ) —   37,535,368
ProShares UltraShort Gold
   —      (98,886 ) —   (592,957 ) (691,843 )
ProShares UltraShort Silver
   —      (940,500 ) —   (1,722,623 ) (2,663,123 )
ProShares UltraShort Yen
   22,998,059    —   (3,027,433 ) —   19,970,626
ProShares VIX Mid-Term Futures ETF
   49,882,348    (4,791,223 ) —   —   45,091,125
ProShares VIX Short-Term Futures ETF
   89,347,714    (9,796,823 ) —   —   79,550,891




Combined Trust:

$
1,466,680,542


$
(196,609,804
)

$
(4,088,484
)

$
117,564,675

$
1,383,546,929

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Table of Contents

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

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

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.

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

Brokerage Commissions and Futures Account Fees

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

give-up

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

~~Table of Contents~~

Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on 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 ~~ann~~

~~ually.~~annually.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,

on-going

analysis of tax law, regulation, and interpretations thereof.

Table of Contents

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the

~~Table of Contents~~

seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Table of Contents

Option Contracts

An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).

~~Table of Contents~~

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.

Over-the-counter

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

over-the-counter

market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.

Table of Contents

Swap Agreements

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

two-party

contracts that have traditionally been entered into primarily with institutional investors in

over-the-counter

(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

~~Table of Contents~~

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at ~~June~~September 30, 2023

contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated

tri-party

account at the Custodian to protect the counterparty against

non-payment

by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds

~~Table of Contents~~

will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

Table of Contents

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of ~~June~~September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

marking-to-market

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

Forward Contracts

Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates

non-deliverable

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

non-deliverable

forward contracts, such as

non-deliverable

foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated

tri-party

account at a third party custodian to protect the counterparty against

non-payment

by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a

~~Table of Contents~~

counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of ~~June~~September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

Table of Contents

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

marking-to-market

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

~~Table of Contents~~

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

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

Table of Contents

Fair Value of Derivative Instruments as of ~~June~~September 30, 2023

~~Asset Derivatives~~

~~Liability Derivatives~~

~~Derivatives Not~~

~~Accounted for as~~

~~Hedging Instruments~~

~~Fund~~

Statements of
Financial
Condition Location

Unrealized
Appreciation

Statements of
Financial
Condition Location

Unrealized
Depreciation

~~VIX Futures Contracts~~

~~Receivable on open futures contracts, unrealized appreciation on swap agreements~~

~~Payable on open futures contracts, unrealized depreciation on swap agreements~~

~~ProShares Short VIX Short-Term Futures ETF~~

~~$23,929,205~~

—

~~ProShares Ultra VIX Short-Term Futures ETF~~

—

~~79,829,720~~

~~ProShares VIX Mid-Term Futures ETF~~

—

~~9,878,214~~

~~ProShares VIX Short-Term Futures ETF~~

—

~~29,972,887~~

~~Commodities Contracts~~

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

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

~~ProShares Ultra Bloomberg Crude Oil~~

~~9,418,306~~

~~1,692,241~~

~~ProShares Ultra Bloomberg Natural Gas~~

~~294,423,694~~

—

~~ProShares Ultra Gold~~

—

~~12,438,814~~

~~ProShares Ultra Silver~~

—

~~28,023,278~~

~~ProShares UltraShort Bloomberg Crude Oil~~

~~12,986,156~~

—



		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
VIX Futures Contracts		Receivable on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	—			$	2,387,385	*
	ProShares Ultra VIX Short-Term Futures ETF			29,009,491	*			—
	ProShares VIX Mid-Term Futures ETF			19,997	*			963,669	*
	ProShares VIX Short-Term Futures ETF			11,874,170	*			—
Commodities Contracts		Receivables on open futures contracts and/or unrealized appreciation on swap agreements				Payable on open futures contracts and/or unrealized depreciation on swap agreements
	ProShares Ultra Bloomberg Crude Oil			36,159,401	*			188,490	*
	ProShares Ultra Bloomberg Natural Gas			—				116,030,767	*
	ProShares Ultra Gold			—				12,960,929	*
	ProShares Ultra Silver			—				27,784,068	*
	ProShares UltraShort Bloomberg Crude Oil			822,565	*			25,862,828	*
	ProShares UltraShort Bloomberg Natural Gas			23,776,317	*			—
	ProShares UltraShort Gold			1,159,770	*			—
	ProShares UltraShort Silver			1,865,705	*			—
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Ultra Euro			867				223,579
	ProShares Ultra Yen			8,894				589,315
	ProShares UltraShort Euro			1,585,136				136,808
	ProShares UltraShort Yen			969,376				48,770

		Combined Trust:	$	107,251,689	*		$	187,176,608	*

~~Table of Contents~~

Asset Derivatives

Liability Derivatives

Derivatives Not
Accounted for as
Hedging Instruments

Fund

Statements of
Financial
Condition Location

Unrealized
Appreciation

Statements of
Financial
Condition Location

Unrealized
Depreciation

   ProShares UltraShort Bloomberg Natural Gas       —         20,310,332
*

   ProShares UltraShort Gold       1,411,376
*
      —
   ProShares UltraShort Silver       1,803,935
*
      —
Foreign Exchange Contracts
      Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts       Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
   ProShares Ultra Euro       241,390       1,702
   ProShares Ultra Yen       18,889       876,516
   ProShares UltraShort Euro       29,100       1,787,874
   ProShares UltraShort Yen       2,238,472       258,620





Combined Trust:


$346,500,523
*



$185,070,198
*

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Table of Contents

Fair Value of Derivative Instruments as of December 31, 2022

~~Asset Derivatives~~

~~Liability Derivatives~~

~~Derivatives Not~~

~~Accounted for as~~

~~Hedging Instruments~~

~~Fund~~

Statements of
Financial Condition
Location

Unrealized
Appreciation

Statements of
Financial Condition
Location

Unrealized
Depreciation

~~VIX Futures Contracts~~

~~Receivable on open futures contracts, unrealized appreciation on swap agreements~~

~~Payable on open futures contracts, unrealized depreciation on swap agreements~~

~~ProShares Short VIX Short-Term Futures ETF~~

~~$11,092,381~~

$—

Asset Derivatives

Liability Derivatives

Derivatives Not
Accounted for as
Hedging Instruments

Fund

Statements of

Financial Condition
Location

Unrealized

Appreciation

Statements of

Financial Condition
Location

Unrealized

Depreciation

VIX Futures Contracts

Receivable on open futures contracts, unrealized appreciation on swap agreements

Payable on open futures contracts, unrealized depreciation on swap agreements

ProShares Short VIX Short-Term Futures ETF

11,092,381

—

ProShares Ultra VIX Short-Term Futures ETF

—

36,555,453

ProShares VIX

Mid-Term

Futures ETF

—

4,791,223

ProShares VIX Short-Term Futures ETF

—

9,796,823

Commodities Contracts

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

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

ProShares Ultra Bloomberg Crude Oil

100,451,293

—

ProShares Ultra Bloomberg Natural Gas

—

310,613,969

ProShares Ultra Gold

9,738,554

—

ProShares Ultra Silver

68,650,786

—

ProShares UltraShort Bloomberg Crude Oil

13,202,924

2,958,031

ProShares UltraShort Bloomberg Natural Gas

85,889,398

—

ProShares UltraShort Gold

—

691,843

ProShares UltraShort Silver

—

2,663,123

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts

Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts


ProShares Ultra Euro			514,115			98,459
ProShares Ultra Yen			1,152,834			168,285
ProShares UltraShort Euro			193,192			2,654,448
ProShares UltraShort Yen			963,369			3,990,802

	Combined Trust:	$	291,848,846	*	$	374,982,459	*

Table of Contents

~~Asset Derivatives~~

~~Liability Derivatives~~

~~Derivatives Not~~

~~Accounted for as~~

~~Hedging Instruments~~

~~Fund~~

Statements of
Financial
Condition Location

Unrealized
Appreciation

Statements of
Financial
Condition Location

Unrealized
Depreciation

~~ProShares Ultra VIX Short-Term Futures ETF~~

—

~~36,555,453~~

~~ProShares VIX Mid-Term Futures ETF~~

—

~~4,791,223~~

~~ProShares VIX Short-Term Futures ETF~~

—

~~9,796,823~~

~~Commodities Contracts~~

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

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

~~ProShares Ultra Bloomberg Crude Oil~~

~~100,451,293~~

—

~~ProShares Ultra Bloomberg Natural Gas~~

—

~~310,613,969~~

~~ProShares Ultra Gold~~

~~9,738,554~~

—

~~ProShares Ultra Silver~~

~~68,650,786~~

—

~~ProShares UltraShort Bloomberg Crude Oil~~

~~13,202,924~~

~~2,958,031~~

~~ProShares UltraShort Bloomberg Natural Gas~~

~~85,889,398~~

—

~~ProShares UltraShort Gold~~

—

~~691,843~~

~~ProShares UltraShort Silver~~

—

~~2,663,123~~

~~Foreign Exchange Contracts~~

~~Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts~~

~~Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts~~

~~Table of Contents~~

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended ~~June~~September 30, 2023


Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	30,285,319		$	(26,316,590	)
		ProShares Ultra VIX Short-Term Futures ETF		(142,584,115	)		108,839,211
		ProShares VIX Mid-Term Futures ETF		(12,244,511	)		8,934,542
		ProShares VIX Short-Term Futures ETF		(54,950,042	)		41,847,057
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		244,550,123			28,244,846
		ProShares Ultra Bloomberg Natural Gas		237,079,838			(410,454,461	)
		ProShares Ultra Gold		(16,876,003	)		(522,115	)
		ProShares Ultra Silver		(30,251,410	)		239,211
		ProShares UltraShort Bloomberg Crude Oil		(47,764,820	)		(38,026,419	)
		ProShares UltraShort Bloomberg Natural Gas		(10,798,451	)		44,086,649
		ProShares UltraShort Gold		1,436,424			(251,606	)
		ProShares UltraShort Silver		6,921,431			61,770
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts


ProShares Ultra Euro		(22,385	)		(462,400	)
ProShares Ultra Yen		(1,854,770	)		277,206
ProShares UltraShort Euro		(122,866	)		3,207,102
ProShares UltraShort Yen		3,079,208			(1,059,246	)

Combined Trust	$	205,882,970		$	(241,355,243	)

~~Table of Contents~~

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income

Commodities Contracts

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


ProShares Ultra Bloomberg Crude Oil
   (76,355,417)    45,434,288

ProShares Ultra Bloomberg Natural Gas
   (616,883,269)    658,027,300

ProShares Ultra Gold
   17,196,569    (32,888,484)

ProShares Ultra Silver
   64,662,300    (119,061,722)

ProShares UltraShort Bloomberg Crude Oil
   28,046,795    (8,229,852)

ProShares UltraShort Bloomberg Natural Gas
   48,736,428    (61,246,927)

ProShares UltraShort Gold
   (1,553,151)    2,758,921

ProShares UltraShort Silver
   1,113,596    5,650,294
Foreign Exchange Contracts

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


ProShares Ultra Euro
   78,291    (79,023)

ProShares Ultra Yen
   (770,142)    (1,348,109)

ProShares UltraShort Euro
   (1,045,942)    556,469

ProShares UltraShort Yen
   1,370,771    3,145,023





Combined Trust


$(1,030,652,205)



$426,054,096

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the ~~six~~nine months ended ~~June~~September 30, 2023

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income

VIX Futures Contracts

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


ProShares Short VIX Short-Term Futures ETF
   $94,832,290    $12,836,824

ProShares Ultra VIX Short-Term Futures ETF
   (608,537,974)    (43,274,267)

ProShares VIX Mid-Term Futures ETF
   (22,764,053)    (5,086,991)

ProShares VIX Short-Term Futures ETF
   (173,326,001)    (20,176,064)
Commodities Contracts

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


ProShares Ultra Bloomberg Crude Oil
   9,425,010    (92,725,228)

ProShares Ultra Bloomberg Natural Gas
   (1,678,514,563)    605,037,663

ProShares Ultra Gold
   27,996,465    (22,177,368)

ProShares Ultra Silver
   35,918,436    (96,674,064)


Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	125,117,609		$	(13,479,766	)
		ProShares Ultra VIX Short-Term Futures ETF		(751,122,089	)		65,564,944
		ProShares VIX Mid-Term Futures ETF		(35,008,564	)		3,847,551
		ProShares VIX Short-Term Futures ETF		(228,276,043	)		21,670,993
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		253,975,133			(64,480,382	)
		ProShares Ultra Bloomberg Natural Gas		(1,441,434,725	)		194,583,202
		ProShares Ultra Gold		11,120,462			(22,699,483	)
		ProShares Ultra Silver		5,667,026			(96,434,853	)
		ProShares UltraShort Bloomberg Crude Oil		7,896,254			(35,285,156	)
		ProShares UltraShort Bloomberg Natural Gas		221,346,621			(62,113,081	)
		ProShares UltraShort Gold		(1,147,608	)		1,851,613
		ProShares UltraShort Silver		10,748,650			4,528,828
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		336,185			(638,368	)
		ProShares Ultra Yen		(2,923,720	)		(1,564,970	)
		ProShares UltraShort Euro		(2,576,119	)		3,909,584
		ProShares UltraShort Yen		3,422,003			3,948,039

		Combined Trust:	$	(1,822,858,925	)	$	3,208,695

~~Table of Contents~~

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2022


Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	27,694,574		$	(17,783,632	)
		ProShares Ultra VIX Short-Term Futures ETF		(289,871,717	)		161,330,331
		ProShares VIX Mid-Term Futures ETF		(1,349,272	)		3,236,565
		ProShares VIX Short-Term Futures ETF		(45,457,319	)		51,449,994
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		(344,578,932	)		(33,971,770	)
		ProShares Ultra Bloomberg Natural Gas		(5,889,116	)		97,063,212
		ProShares Ultra Gold		(39,825,586	)		2,070,901
		ProShares Ultra Silver		(147,384,761	)		91,205,187
		ProShares UltraShort Bloomberg Crude Oil		66,444,885			76,797,273
		ProShares UltraShort Bloomberg Natural Gas		8,173,631			(23,776,729	)
		ProShares UltraShort Gold		4,988,228			806,339
		ProShares UltraShort Silver		6,215,407			(4,087,962	)
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(1,618,381	)		(98,836	)
		ProShares Ultra Yen		(1,652,590	)		(17,967	)
		ProShares UltraShort Euro		11,086,708			(354,043	)
		ProShares UltraShort Yen		5,879,873			(546,737	)

		Combined Trust	$	(747,144,368	)	$	403,322,126

100

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the ~~three~~nine months ended ~~June~~September 30, 2022

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income

VIX Futures Contracts

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


ProShares Short VIX Short-Term Futures ETF
   $(13,029,194)    $(34,466,848)

ProShares Ultra VIX Short-Term Futures ETF
   91,039,435    196,657,178

ProShares VIX Mid-Term Futures ETF
   7,862,052    4,040,230

ProShares VIX Short-Term Futures ETF
   23,659,182    46,680,364
Commodities Contracts

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


ProShares Ultra Bloomberg Crude Oil
   363,296,092    (211,138,245)

ProShares Ultra Bloomberg Natural Gas
   164,990,694    (271,251,560)

ProShares Ultra Gold
   (57,901,083)    4,971,202

ProShares Ultra Silver
   (156,194,175)    (50,071,519)

ProShares UltraShort Bloomberg Crude Oil
   (102,594,000)    34,810,301

ProShares UltraShort Bloomberg Natural Gas
   (282,646,685)    228,166,248


Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	(26,435,234	)	$	(47,541,296	)
		ProShares Ultra VIX Short-Term Futures ETF		82,162,402			323,609,043
		ProShares VIX Mid-Term Futures ETF		11,304,613			6,941,620
		ProShares VIX Short-Term Futures ETF		31,935,990			84,956,040
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		818,140,230			(339,187,944	)
		ProShares Ultra Bloomberg Natural Gas		235,322,266			(89,157,584	)
		ProShares Ultra Gold		(39,908,073	)		(17,607,548	)
		ProShares Ultra Silver		(186,941,909	)		(16,622,928	)
		ProShares UltraShort Bloomberg Crude Oil		(142,631,216	)		113,723,566
		ProShares UltraShort Bloomberg Natural Gas		(389,138,752	)		116,857,361
		ProShares UltraShort Gold		3,237,425			3,173,923
		ProShares UltraShort Silver		8,252,893			1,570,887
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(2,505,776	)		(513,883	)
		ProShares Ultra Yen		(2,532,839	)		(2,005	)
		ProShares UltraShort Euro		16,693,971			3,049,081
		ProShares UltraShort Yen		14,877,216			(444,812	)

		Combined Trust:	$	431,833,207		$	142,803,521

101

Table of Contents

~~The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2022~~

~~Table of Contents~~

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income


ProShares Ultra VIX Short-Term Futures ETF
   372,034,119    162,278,712

ProShares VIX Mid-Term Futures ETF
   12,653,885    3,705,055

ProShares VIX Short-Term Futures ETF
   77,393,309    33,506,046
Commodities Contracts

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


ProShares Ultra Bloomberg Crude Oil
   1,162,719,162    (305,216,174)

ProShares Ultra Bloomberg Natural Gas
   241,211,382    (186,220,796)

ProShares Ultra Gold
   (82,487)    (19,678,449)

ProShares Ultra Silver
   (39,557,148)    (107,828,115)

ProShares UltraShort Bloomberg Crude Oil
   (209,076,101)    36,926,293

ProShares UltraShort Bloomberg Natural Gas
   (397,312,383)    140,634,090

ProShares UltraShort Gold
   (1,750,803)    2,367,584

ProShares UltraShort Silver
   2,037,486    5,658,849

~~Table of Contents~~

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of ~~June~~September 30, 2023.

Fair Values of Derivative Instruments as of September 30, 2023


Fair Values of Derivative Instruments as of June 30, 2023
	Assets						Liabilities						Assets						Liabilities
Fund	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition		Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements	$	—	$	—	$	—	$	1,692,241	$	—	$	1,692,241	$	11,240,991	$	—	$	11,240,991	$	—	$	—	$	—
ProShares Ultra Bloomberg Natural Gas
Swap agreements		46,088,257		—		46,088,257		—		—		—		—		—		—		1,438,294		—		1,438,294
ProShares Ultra Euro
Foreign currency forward contracts														867		—		867		223,579		—		223,579
ProShares Ultra Gold
Swap agreements														—		—		—		10,343,189		—		10,343,189
ProShares Ultra Silver
Swap agreements														—		—		—		21,616,739		—		21,616,739
ProShares Ultra Yen
Foreign currency forward contracts														8,894		—		8,894		589,315		—		589,315
ProShares UltraShort Euro
Foreign currency forward contracts														1,585,136		—		1,585,136		136,808		—		136,808
ProShares UltraShort Gold
Swap agreements														649,016		—		649,016		—		—		—
ProShares UltraShort Silver
Swap agreements														1,014,468		—		1,014,468		—		—		—
ProShares UltraShort Yen
Foreign currency forward contracts														969,376		—		969,376		48,770		—		48,770

102

Table of Contents

Fair Values of Derivative Instruments as of June 30, 2023


Assets

Liabilities

Fund

Gross
Amounts of
Recognized
Assets
presented in
the
Statements of
Financial
Condition

Gross
Amounts
Offset in
the
Statements
of
Financial
Condition

Net Amounts
of Assets
presented in
the
Statements of
Financial
Condition

Gross
Amounts of
Recognized
Liabilities
presented in
the
Statements of
Financial
Condition

Gross
Amounts
Offset in
the
Statements
of
Financial
Condition

Net Amounts
of Liabilities
presented in
the
Statements of
Financial
Condition

ProShares Ultra Euro

Foreign currency forward contracts
   241,390    —      241,390    1,702    —      1,702
ProShares Ultra Gold

Swap agreements
   —      —      —      7,053,083    —      7,053,083
ProShares Ultra Silver

Swap agreements
   —      —      —      18,045,362    —      18,045,362
ProShares Ultra Yen

Foreign currency forward contracts
   18,889    —      18,889    876,516    —      876,516
ProShares UltraShort Euro

Foreign currency forward contracts
   29,100      —      29,100      1,787,874    —      1,787,874
ProShares UltraShort Gold

Swap agreements
   440,571    —      440,571    —      —      —
ProShares UltraShort Silver

Swap agreements
   845,012    —      845,012    —      —      —
ProShares UltraShort Yen

Foreign currency forward contracts
   2,238,472    —      2,238,472    258,620    —      258,620

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at ~~June~~September 30, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

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


Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	1,869,634		$	(1,869,634	)	$	—		$	—
Goldman Sachs International		2,324,555			(2,324,555	)		—			—
Morgan Stanley & Co.
International PLC		1,607,761			(1,368,876	)		(238,885	)		—
Societe Generale		1,776,923			(1,776,923	)		—			—
UBS AG		3,662,118			(3,662,118	)		—			—
ProShares Ultra Bloomberg Natural Gas
Citibank, N.A.		(706,090	)		—			706,090			—
Goldman Sachs International		(482,438	)		—			482,438			—
Societe Generale		(245,972	)		—			245,972			—
UBS AG		(3,794	)		—			3,794			—
ProShares Ultra Euro
Goldman Sachs International		(136,003	)		—			136,003			—
UBS AG		(86,709	)		—			86,709			—
ProShares Ultra Gold
Citibank, N.A.		(4,441,216	)		—			4,441,216			—
Goldman Sachs International		(2,109,437	)		—			2,109,437			—
UBS AG		(3,792,536	)		—			3,792,536			—
ProShares Ultra Silver
Citibank, N.A.		(7,524,763	)		—			7,524,763			—
Goldman Sachs International		(994,790	)		—			994,790			—
Morgan Stanley & Co. International PLC		(6,749,262	)		—			6,749,262			—
UBS AG		(6,347,924	)		—			6,347,924			—
ProShares Ultra Yen
Goldman Sachs International		(268,253	)		—			268,253			—
UBS AG		(312,168	)		—			312,168			—
ProShares UltraShort Euro
Goldman Sachs International		763,505			(763,505	)		—			—
UBS AG		684,823			(684,823	)		—			—
ProShares UltraShort Gold
Citibank, N.A.		149,583			—			—			149,583
Goldman Sachs International		196,202			—			—			196,202
UBS AG		303,231			(262,149	)		—			41,082
ProShares UltraShort Silver
Citibank, N.A.		120,165			—			—			120,165
Goldman Sachs International		437,748			(344,363	)		—			93,385
Morgan Stanley & Co. International PLC		345,878			—			—			345,878
UBS AG		110,677			—			—			110,677
ProShares UltraShort Yen
Goldman Sachs International		406,284			(331,699	)		—			74,585
UBS AG		514,322			(290,824	)		—			223,498

103

Table of Contents

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

Fund

Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements
of Financial
Condition

Financial
Instruments
for the Benefit
of (the Funds)
/ the
Counterparties

Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties

Net
Amount

ProShares Ultra Bloomberg Natural Gas

Citibank, N.A.
   22,537,665 (18,660,347 ) —   3,877,318
Goldman Sachs International
   15,398,946 (11,008,327 ) —   4,390,619
Societe Generale S.A.
   8,028,280 (6,677,182 ) —   1,351,098
UBS AG
   123,366 —   —   123,366
ProShares Ultra Euro

Goldman Sachs International
   129,106 —   —   129,106
UBS AG
   110,582 —   —   110,582
ProShares Ultra Gold

Citibank, N.A.
   (3,028,491 ) —   3,028,491 —
Goldman Sachs International
   (1,438,439 ) —   1,438,439 —
UBS AG
   (2,586,153 ) —   2,586,153 —
ProShares Ultra Silver

Citibank, N.A.
   (6,281,114 ) —   6,281,114 —
Goldman Sachs International
   (830,545 ) —   830,545 —
Morgan Stanley & Co. International PLC
   (5,634,927 ) —   5,634,927 —
UBS AG
   (5,298,776 ) —   5,298,776 —
ProShares Ultra Yen

Goldman Sachs International
   (407,188 ) —   407,188 —
UBS AG
   (450,439 ) —   450,439 —
ProShares UltraShort Euro

Goldman Sachs International
   (872,773 ) —   872,773 —
UBS AG
   (886,001 ) —   886,001 —
ProShares UltraShort Gold

Citibank, N.A.
   101,527 —   —   101,527
Goldman Sachs International
   133,231 —   —   133,231
UBS AG
   205,813 (22,545 ) —   183,268
ProShares UltraShort Silver

Citibank, N.A.
   100,100 —   —   100,100
Goldman Sachs International
   364,653 (364,653 ) —   —
Morgan Stanley & Co. International PLC
   288,063 —   (288,000 ) 63
UBS AG
   92,196 —   —   92,196
ProShares UltraShort Yen

Goldman Sachs International
   890,062 (817,881 ) —   72,181
UBS AG
   1,089,790 (1,089,790 ) —   —

~~110~~

~~Table of Contents~~

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2022:

Fair Values of Derivative Instruments as of December 31, 2022


Assets

Liabilities

Fund

Gross
Amounts of
Recognized
Assets
presented in
the
Statements of
Financial
Condition

Gross
Amounts
Offset in
the
Statements
of
Financial
Condition

Net Amounts
of Assets
presented in
the
Statements of
Financial
Condition

Gross
Amounts of
Recognized
Liabilities
presented in
the
Statements
of Financial
Condition

Gross
Amounts
Offset in
the
Statements
of
Financial
Condition

Net
Amounts of
Liabilities
presented in
the
Statements
of Financial
Condition

ProShares Ultra Bloomberg Crude Oil

Swap agreements
   $ 74,159,577    $ —      $ 74,159,577    $ —      $ —      $ —
ProShares Ultra Euro

Foreign currency forward contracts
   514,115    —      514,115    98,459    —      98,459
ProShares Ultra Gold

Swap agreements
   6,496,466    —      6,496,466    —      —      —
ProShares Ultra Silver

Swap agreements
   39,224,212    —      39,224,212    —      —      —
ProShares Ultra Yen

Foreign currency forward contracts
   1,152,834    —      1,152,834    168,285    —      168,285
ProShares UltraShort Euro

Foreign currency forward contracts
   193,192    —      193,192    2,654,448    —      2,654,448
ProShares UltraShort Gold

Swap agreements
   —      —      —      592,957    —      592,957
ProShares UltraShort Silver

Swap agreements
   —      —      —      1,722,623    —      1,722,623
ProShares UltraShort Yen

Foreign currency forward contracts
   963,369    —      963,369    3,990,802    —      3,990,802


Fair Values of Derivative Instruments as of December 31, 2022
	Assets						Liabilities
Fund	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements	$	74,159,577	$	—	$	74,159,577	$	—	$	—	$	—
ProShares Ultra Euro
Foreign currency forward contracts		514,115		—		514,115		98,459		—		98,459
ProShares Ultra Gold
Swap agreements		6,496,466		—		6,496,466		—		—		—
ProShares Ultra Silver
Swap agreements		39,224,212		—		39,224,212		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		1,152,834		—		1,152,834		168,285		—		168,285
ProShares UltraShort Euro
Foreign currency forward contracts		193,192		—		193,192		2,654,448		—		2,654,448
ProShares UltraShort Gold
Swap agreements		—		—		—		592,957		—		592,957
ProShares UltraShort Silver
Swap agreements		—		—		—		1,722,623		—		1,722,623
ProShares UltraShort Yen
Foreign currency forward contracts		963,369		—		963,369		3,990,802		—		3,990,802

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

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

104

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022

Fund

Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements of
Financial
Condition

Financial
Instruments
for the Benefit
of (the Funds) /
the
Counterparties

Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties

Net Amount

ProShares Ultra Bloomberg Crude Oil

Citibank, N.A.
   $ 11,723,388 $ —   $ (7,220,000 ) $ 4,503,388
Goldman Sachs International
   14,575,933 (9,281,322 ) —   5,294,611
Morgan Stanley & Co. International PLC
   20,305,392 —   (12,510,000 ) 7,795,392
Societe Generale
   11,075,235 (7,038,055 ) —   4,037,180
UBS AG
   16,479,629 (10,808,424 ) (41,993 ) 5,629,212
ProShares Ultra Euro

Goldman Sachs International
   217,491 —   —   217,491
UBS AG
   198,165 (198,165 ) —   —
ProShares Ultra Gold

Citibank, N.A.
   2,582,849 —   (2,570,000 ) 12,849
Goldman Sachs International
   1,226,772 (1,193,425 ) —   33,347
UBS AG
   2,686,845 (2,682,652 ) (4,193 ) —
ProShares Ultra Silver

Citibank, N.A.
   12,628,472 —   (12,628,472 ) —
Goldman Sachs International
   1,667,621 (1,667,621 ) —   —
Morgan Stanley & Co. International PLC
   13,862,180 —   (10,733,000 ) 3,129,180
UBS AG
   11,065,939 (11,065,939 ) —   —
ProShares Ultra Yen

Goldman Sachs International
   683,120 (308,636 ) —   374,484
UBS AG
   301,429 —   —   301,429
ProShares UltraShort Euro

Goldman Sachs International
   (1,121,150 ) —   1,121,150 —
UBS AG
   (1,340,106 ) —   1,340,106 —
ProShares UltraShort Gold

Citibank, N.A.
   (181,291 ) —   181,291 —
Goldman Sachs International
   (231,533 ) —   231,533 —
UBS AG
   (180,133 ) —   180,133 —
ProShares UltraShort Silver

Citibank, N.A.
   (203,969 ) —   203,969 —
Goldman Sachs International
   (743,029 ) —   743,029 —
Morgan Stanley & Co. International PLC
   (587,758 ) —   587,758 —
UBS AG
   (187,867 ) —   187,867 —
ProShares UltraShort Yen

Goldman Sachs International
   (936,322 ) —   936,322 —
UBS AG
   (2,091,111 ) —   1,690,000 (401,111 )

Table of Contents


Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	11,723,388		$	—		$	(7,220,000	)	$	4,503,388
Goldman Sachs International		14,575,933			(9,281,322	)		—			5,294,611
Morgan Stanley & Co. International PLC		20,305,392			—			(12,510,000	)		7,795,392
Societe Generale		11,075,235			(7,038,055	)		—			4,037,180
UBS AG		16,479,629			(10,808,424	)		(41,993	)		5,629,212
ProShares Ultra Euro
Goldman Sachs International		217,491			—			—			217,491
UBS AG		198,165			(198,165	)		—			—
ProShares Ultra Gold
Citibank, N.A.		2,582,849			—			(2,570,000	)		12,849
Goldman Sachs International		1,226,772			(1,193,425	)		—			33,347
UBS AG		2,686,845			(2,682,652	)		(4,193	)		—
ProShares Ultra Silver
Citibank, N.A.		12,628,472			—			(12,628,472	)		—
Goldman Sachs International		1,667,621			(1,667,621	)		—			—
Morgan Stanley & Co.
International PLC		13,862,180			—			(10,733,000	)		3,129,180
UBS AG		11,065,939			(11,065,939	)		—			—
ProShares Ultra Yen
Goldman Sachs International		683,120			(308,636	)		—			374,484
UBS AG		301,429			—			—			301,429
ProShares UltraShort Euro
Goldman Sachs International		(1,121,150	)		—			1,121,150			—
UBS AG		(1,340,106	)		—			1,340,106			—
ProShares UltraShort Gold
Citibank, N.A.		(181,291	)		—			181,291			—
Goldman Sachs International		(231,533	)		—			231,533			—
UBS AG		(180,133	)		—			180,133			—
ProShares UltraShort Silver
Citibank, N.A.		(203,969	)		—			203,969			—
Goldman Sachs International		(743,029	)		—			743,029			—
Morgan Stanley & Co. International PLC		(587,758	)		—			587,758			—
UBS AG		(187,867	)		—			187,867			—
ProShares UltraShort Yen
Goldman Sachs International		(936,322	)		—			936,322			—
UBS AG		(2,091,111	)		—			1,690,000			(401,111	)

105

Table of Contents

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.

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

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as well as accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule

K-1

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

Non-Recurring

Fees and Expenses

Each Fund pays all its

non-recurring

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

Non-recurring

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

106

Table of Contents

The Administrator

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “Administrator”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BNY Mellon serves as the Custodian of the Funds (the “Custodian”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

~~Table of Contents~~

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“Authorized Participants”) and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”)~~.Pursuant~~. Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

107

Table of Contents

Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

~~Table of Contents~~

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


	Three Months Ended		Nine Months Ended
Fund	September 30, 2023		September 30, 2023

ProShares Short VIX Short-Term Futures ETF	$	41,549	$	203,485
ProShares Ultra Bloomberg Crude Oil		—		—
ProShares Ultra Bloomberg Natural Gas		—		—
ProShares Ultra Euro		—		—
ProShares Ultra Gold		—		—
ProShares Ultra Silver		—		—
ProShares Ultra VIX Short-Term Futures ETF		248,309		1,068,660
ProShares Ultra Yen		—		—
ProShares UltraShort Bloomberg Crude Oil		—		—
ProShares UltraShort Bloomberg Natural Gas		—		—
ProShares UltraShort Euro		—		—
ProShares UltraShort Gold		—		—
ProShares UltraShort Silver		—		—
ProShares UltraShort Yen		—		—
ProShares VIX Mid-Term Futures ETF		6,068		21,579
ProShares VIX Short-Term Futures ETF		47,895		215,117

Combined Trust:	$	343,821	$	1,508,841

Fund

Three Months Ended
June 30, 2023

Six Months Ended
June 30, 2023

ProShares Short VIX Short-Term Futures ETF
   $ 49,722    $ 161,936
ProShares Ultra Bloomberg Crude Oil
   —      —
ProShares Ultra Bloomberg Natural Gas
   —      —
ProShares Ultra Euro
   —      —
ProShares Ultra Gold
   —      —
ProShares Ultra Silver
   —      —
ProShares Ultra VIX Short-Term Futures ETF
   389,333    820,351
ProShares Ultra Yen
   —      —
ProShares UltraShort Bloomberg Crude Oil
   —      —
ProShares UltraShort Bloomberg Natural Gas
   —      —
ProShares UltraShort Euro
   —      —
ProShares UltraShort Gold
   —      —
ProShares UltraShort Silver
   —      —
ProShares UltraShort Yen
   —      —
ProShares VIX Mid-Term Futures ETF
   9,046    15,511
ProShares VIX Short-Term Futures ETF
   82,901    167,222




Combined Trust:

$

531,002
$

1,165,020

108

Table of Contents

NOTE 6 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating Performance

Short VIX
Short-Term
Futures ETF

Ultra
Bloomberg
Crude Oil

Ultra
Bloomberg
Natural Gas*

Ultra
Euro

Ultra
Gold

Ultra
Silver

Net asset value, at March 31, 2023
   $ 63.73 $ 26.53 $ 73.76 $ 11.49 $ 62.86 $ 31.10
Net investment income (loss)
   0.46 0.14 0.28 0.09 0.47 0.20
Net realized and unrealized gain (loss)#
   20.49 (2.93 ) (4.56 ) 0.01 (4.97 ) (4.26 )
Change in net asset value from operations
   20.95 (2.79 ) (4.28 ) 0.10 (4.50 ) (4.06 )
Net asset value, at June 30, 2023
   $ 84.68 $ 23.74 $ 69.48 $ 11.59 $ 58.36 $ 27.04
Market value per share, at March 31, 2023
†
   $ 63.75 $ 26.47 $ 72.20 $ 11.49 $ 63.02 $ 31.23
Market value per share, at June 30, 2023
†
   $ 84.68 $ 23.65 $ 68.99 $ 11.61 $ 58.24 $ 26.95
Total Return, at net asset value^
   32.9 % (10.5 )% (5.8 )% 0.9 % (7.2 )% (13.1 )%
Total Return, at market value^
   32.8 % (10.7 )% (4.5 )% 1.0 % (7.6 )% (13.7 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.14 % 1.00 % 1.45 % 0.95 % 0.96 % 1.00 %
Net investment income gain (loss)
   2.61 % 2.20 % 1.81 % 3.27 % 3.01 % 2.61 %


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas *			Ultra Euro			Ultra Gold			Ultra Silver

Net asset value, at June 30, 2023	$	84.68		$	23.74		$	69.48		$	11.59		$	58.36		$	27.04
Net investment income (loss)		0.60			0.16			0.38			0.10			0.47			0.18
Net realized and unrealized gain (loss)#		0.97			11.34			(15.86	)		(0.82	)		(6.08	)		(2.46	)
Change in net asset value from operations		1.57			11.50			(15.48	)		(0.72	)		(5.61	)		(2.28	)
Net asset value, at September 30, 2023	$	86.25		$	35.24		$	54.00		$	10.87		$	52.75		$	24.76
Market value per share, at June 30, 2023 †	$	84.68		$	23.65		$	68.99		$	11.61		$	58.24		$	26.95
Market value per share, at September 30, 2023 †	$	86.34		$	35.28		$	54.38		$	10.85		$	52.60		$	24.61
Total Return, at net asset value^		1.9	%		48.4	%		(22.3	)%		(6.2	)%		(9.6	)%		(8 .4	)%
Total Return, at market value^		2.0	%		49.2	%		(21.2	)%		(6.6	)%		(9.7	)%		(8.7	)%
Ratios to Average Net Assets**
Expense ratio^^		1.16	%		0.98	%		1 .26	%		0.95	%		0.96	%		0.98	%
Net investment income gain (loss)		2.77	%		2.13	%		2 .49	%		3.56	%		3.22	%		2.58	%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

109

Table of Contents

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

Per Share Operating Performance

Ultra VIX
Short-Term
Futures ETF*

Ultra
Yen

UltraShort
Bloomberg
Crude Oil

UltraShort
Bloomberg
Natural Gas

UltraShort
Euro

UltraShort
Gold

Net asset value, at March 31, 2023
   $ 46.25 $ 33.05 $ 25.15 $ 71.11 $ 29.04 $ 26.88
Net investment income (loss)
   0.15 0.26 0.19 0.44 0.24 0.22
Net realized and unrealized gain (loss)#
   (27.92 ) (5.91 ) 0.28 (16.49 ) (0.18 ) 1.80
Change in net asset value from operations
   (27.77 ) (5.65 ) 0.47 (16.05 ) 0.06 2.02
Net asset value, at June 30, 2023
   $ 18.48 $ 27.40 $ 25.62 $ 55.06 $ 29.10 $ 28.90
Market value per share, at March 31, 2023
†
   $ 46.50 $ 33.02 $ 25.22 $ 72.42 $ 29.04 $ 26.84
Market value per share, at June 30, 2023
†
   $ 18.49 $ 27.42 $ 25.70 $ 55.45 $ 29.11 $ 28.96
Total Return, at net asset value^
   (60.0 )% (17.1 )% 1.9 % (22.6 )% 0.2 % 7.5 %
Total Return, at market value^
   (60.2 )% (17.0 )% 1.9 % (23.4 )% 0.2 % 7.9 %
Ratios to Average Net Assets**

Expense ratio^^
   1.55 % 0.95 % 1.11 % 1.77 % 0.95 % 0.98 %
Net investment income gain (loss)
   1.84 % 3.36 % 3.01 % 2.47 % 3.36 % 3.09 %


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Euro			UltraShort Gold

Net asset value, at June 30, 2023	$	18.48		$	27.40		$	25.62		$	55.06		$	29.10		$	28.90
Net investment income (loss)		0.09			0.25			0.17			0.45			0.26			0.23
Net realized and unrealized gain (loss)#		(2.37	)		(2.64	)		(8.93	)		5.95			2.07			3.01
Change in net asset value from operations		(2.28	)		(2.39	)		(8.76	)		6.40			2.33			3.24
Net asset value, at September 30, 2023	$	16.20		$	25.01		$	16.86		$	61.46		$	31.43		$	32.14
Market value per share, at June 30, 2023 †	$	18.49		$	27.42		$	25.70		$	55.45		$	29.11		$	28.96
Market value per share, at September 30, 2023 †	$	16.21		$	25.00		$	16.82		$	61.04		$	31.43		$	32.20
Total Return, at net asset value^		(12.4	)%		(8.7	)%		(34.2	)%		11.6	%		8 .0	%		11.2	%
Total Return, at market value^		(12.3	)%		(8.8	)%		(34.6	)%		10.1	%		8 .0	%		11.2	%
Ratios to Average Net Assets**
Expense ratio^^		1.68	%		0.95	%		1.04	%		1.44	%		0.95	%		0.98	%
Net investment income gain (loss)		2.16	%		3.66	%		3.47	%		3.16	%		3.51	%		3.13	%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

110

Table of Contents

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

Per Share Operating Performance

UltraShort
Silver

UltraShort
Yen

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF*

Net asset value, at March 31, 2023
   $ 18.63 $ 55.98 $ 26.79 $ 45.16
Net investment income (loss)
   0.12 0.49 0.20 0.25
Net realized and unrealized gain (loss)#
   1.74 11.47 (6.50 ) (20.46 )
Change in net asset value from operations
   1.86 11.96 (6.30 ) (20.21 )
Net asset value, at June 30, 2023
   $ 20.49 $ 67.94 $ 20.49 $ 24.95
Market value per share, at March 31, 2023
†
   $ 18.56 $ 56.00 $ 26.82 $ 45.25
Market value per share, at June 30, 2023
†
   $ 20.58 $ 67.95 $ 20.48 $ 24.96
Total Return, at net asset value^
   10.0 % 21.4 % (23.5 )% (44.8 )%
Total Return, at market value^
   10.9 % 21.3 % (23.6 )% (44.8 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.05 % 0.95 % 1.00 % 1.08 %
Net investment income gain (loss)
   2.68 % 3.22 % 3.13 % 2.82 %


Per Share Operating Performance	UltraShort Silver			UltraShort Yen			VIX Mid-Term Futures ETF			VIX Short- Term Futures ETF*

Net asset value, at June 30, 2023	$	20.49		$	67.94		$	20.49		$	24.95
Net investment income (loss)		0.14			0.61			0.17			0.19
Net realized and unrealized gain (loss)#		0.81			6.53			(1.24	)		(1.83	)
Change in net asset value from operations		0.95			7.14			(1.07	)		(1.64	)
Net asset value, at September 30, 2023	$	21.44		$	75.08		$	19.42		$	23.31
Market value per share, at June 30, 2023 †	$	20.58		$	67.95		$	20.48		$	24.96
Market value per share, at September 30, 2023 †	$	21.55		$	75.08		$	19.41		$	23.30
Total Return, at net asset value^		4.6	%		10.5	%		(5.2	)%		(6.6	)%
Total Return, at market value^		4.7	%		10.5	%		(5.2	)%		(6.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.12	%		0.95	%		0.99	%		1.04	%
Net investment income gain (loss)		2.98	%		3.48	%		3.35	%		3.27	%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

111

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

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

Per Share Operating Performance

Short VIX
Short-Term
Futures ETF

Ultra
Bloomberg
Crude Oil*

Ultra
Bloomberg
Natural Gas*

Ultra
Euro

Ultra
Gold

Ultra
Silver

Net asset value, at March 31, 2022
   $ 54.55 $ 37.94 $ 1121.30 $ 12.47 $ 66.99 $ 39.06
Net investment income (loss)
   (0.13 ) (0.07 ) (4.28 ) (0.02 ) (0.09 ) (0.05 )
Net realized and unrealized gain (loss)#
   (6.28 ) 3.74 (326.32 ) (1.37 ) (10.44 ) (14.23 )
Change in net asset value from operations
   (6.41 ) 3.67 (330.60 ) (1.39 ) (10.53 ) (14.28 )
Net asset value, at June 30, 2022
   $ 48.14 $ 41.61 $ 790.70 $ 11.08 $ 56.46 $ 24.78
Market value per share, at March 31, 2022
†
   $ 54.56 $ 38.33 $ 1126.20 $ 12.46 $ 66.14 $ 38.53
Market value per share, at June 30, 2022
†
   $ 48.21 $ 41.86 $ 842.00 $ 11.11 $ 56.50 $ 24.47
Total Return, at net asset value^
   (11.8 )% 9.7 % (29.5 )% (11.1 )% (15.7 )% (36.6 )%
Total Return, at market value^
   (11.6 )% 9.2 % (25.2 )% (10.8 )% (14.6 )% (36.5 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.21 % 1.01 % 1.26 % 0.95 % 0.98 % 0.98 %
Net investment income gain (loss)
   (1.00 )% (0.64 )% (1.01 )% (0.54 )% (0.56 )% (0.61 )%


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas*			Ultra Euro			Ultra Gold			Ultra Silver

Net asset value, at June 30, 2022	$	48.14		$	41.61		$	790.70		$	11.08		$	56.46		$	24.78
Net investment income (loss)		(0.01	)		0.01			0.58			0.00	(1)		0.05			0.00	(2)
Net realized and unrealized gain (loss)#		0.38			(15.41	)		273.12			(1.51	)		(9.44	)		(3.94	)
Change in net asset value from operations		0.37			(15.40	)		273.70			(1.51	)		(9.39	)		(3.94	)
Net asset value, at September 30, 2022	$	48.51		$	26.21		$	1064.40		$	9.57		$	47.07		$	20.84
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	842.00		$	11.11		$	56.50		$	24.47
Market value per share, at September 30, 2022 †	$	48.59		$	26.26		$	1073.20		$	9.57		$	46.93		$	20.76
Total Return, at net asset value^		0.8	%		(37.0	)%		34.6	%		(13.7	)%		(16.6	)%		(15.9	)%
Total Return, at market value^		0.8	%		(37.3	)%		27.5	%		(13.9	)%		(16.9	)%		(15.2	)%
Ratios to Average Net Assets**
Expense ratio^^		1.14	%		1 .01	%		1 .16	%		0.96	%		0.97	%		1.00	%
Net investment income gain (loss)		(0.09	)%		0 .07	%		0 .15	%		0.16	%		0.38	%		(0.02	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

(1)	Amount represents less than $0.005.

(2)	Amount represents greater than $(0.005).

112

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

Per Share Operating Performance

Ultra VIX
Short-Term
Futures ETF*

Ultra
Yen

UltraShort
Bloomberg
Crude Oil*

UltraShort
Bloomberg
Natural Gas*

UltraShort
Euro

UltraShort
Gold

Net asset value, at March 31, 2022
   $ 135.00 $ 42.02 $ 29.17 $ 64.71 $ 27.30 $ 27.23
Net investment income (loss)
   (0.50 ) (0.05 ) (0.05 ) (0.08 ) (0.05 ) (0.05 )
Net realized and unrealized gain (loss)#
   10.63 (8.46 ) (6.08 ) (21.98 ) 3.13 4.37
Change in net asset value from operations
   10.13 (8.51 ) (6.13 ) (22.06 ) 3.08 4.32
Net asset value, at June 30, 2022
   $ 145.13 $ 33.51 $ 23.04 $ 42.65 $ 30.38 $ 31.55
Market value per share, at March 31, 2022
†
   $ 134.60 $ 42.09 $ 28.95 $ 64.56 $ 27.31 $ 27.61
Market value per share, at June 30, 2022
†
   $ 145.30 $ 33.49 $ 22.93 $ 40.02 $ 30.41 $ 31.59
Total Return, at net asset value^
   7.5 % (20.3 )% (21.0 )% (34.1 )% 11.3 % 15.9 %
Total Return, at market value^
   8.0 % (20.4 )% (20.8 )% (38.0 )% 11.4 % 14.4 %
Ratios to Average Net Assets**

Expense ratio^^
   1.53 % 0.95 % 1.14 % 1.36 % 0.95 % 0.99 %
Net investment income gain (loss)
   (1.36 )% (0.59 )% (0.85 )% (1.14 )% (0.70 )% (0.74 )%


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF*			Ultra Yen			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Euro			UltraShort Gold

Net asset value, at June 30, 2022	$	145.13		$	33.51		$	23.04		$	42.65		$	30.38		$	31.55
Net investment income (loss)		(0.04	)		0.01			0.02			0.00	(1)		0.01			(0.01	)
Net realized and unrealized gain (loss)#		(16.35	)		(4.49	)		7.28			(25.30	)		4.45			5.64
Change in net asset value from operations		(16.39	)		(4.48	)		7.30			(25.30	)		4.46			5.63
Net asset value, at September 30, 2022	$	128.74		$	29.03		$	30.34		$	17.35		$	34.84		$	37.18
Market value per share, at June 30, 2022 †	$	145.30		$	33.49		$	22.93		$	40.02		$	30.41		$	31.59
Market value per share, at September 30, 2022 †	$	128.50		$	29.06		$	30.28		$	17.21		$	34.88		$	37.30
Total Return, at net asset value^		(11.3	)%		(13.3	)%		31.7	%		(59.3	)%		14.7	%		17.9	%
Total Return, at market value^		(11.6	)%		(13.2	)%		32.1	%		(57.0	)%		14.7	%		18.1	%
Ratios to Average Net Assets**
Expense ratio^^		1 .46	%		0.96	%		1.11	%		1 .25	%		0.96	%		1.00	%
Net investment income gain (loss)		(0.14	)%		0.18	%		0.32	%		(0.01	)%		0.12	%		(0.11	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

(1)	Amount represents greater than $(0.005).

113

Table of Contents

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


Per Share Operating Performance	UltraShort Silver			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF*
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	91.09
Net investment income (loss)		(0.02	)		0.01			0.00	(1)		0.05
Net realized and unrealized gain (loss)#		2.34			7.97			0.19			(5.63	)
Change in net asset value from operations		2.32			7.98			0.19			(5.58	)
Net asset value, at September 30, 2022	$	34.06		$	65.04		$	35.48		$	85.51
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	91.25
Market value per share, at September 30, 2022 †	$	34.15		$	65.02		$	35.50		$	85.50
Total Return, at net asset value^		7 .3	%		14.0	%		0 .6	%		(6.1	)%
Total Return, at market value^		6 .1	%		13.8	%		0 .3	%		(6.3	)%
Ratios to Average Net Assets**
Expense ratio^^		1.08	%		0.96	%		0.93	%		1.11	%
Net investment income gain (loss)		(0.19	)%		0.07	%		(0.01	)%		0.25	%

Per Share Operating Performance

UltraShort
Silver

UltraShort
Yen*

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF*

Net asset value, at March 31, 2022
   $ 21.45 $ 46.32 $ 31.45 $ 83.04
Net investment income (loss)
   (0.05 ) (0.09 ) (0.06 ) (0.21 )
Net realized and unrealized gain (loss)#
   10.34 10.83 3.90 8.26
Change in net asset value from operations
   10.29 10.74 3.84 8.05
Net asset value, at June 30, 2022
   $ 31.74 $ 57.06 $ 35.29 $ 91.09
Market value per share, at March 31, 2022
†
   $ 21.78 $ 46.37 $ 31.50 $ 82.85
Market value per share, at June 30, 2022
†
   $ 32.19 $ 57.13 $ 35.38 $ 91.25
Total Return, at net asset value^
   48.0 % 23.2 % 12.2 % 9.6 %
Total Return, at market value^
   47.8 % 23.2 % 12.3 % 10.1 %
Ratios to Average Net Assets**

Expense ratio^^
   1.06 % 0.95 % 0.96 % 1.16 %
Net investment income gain (loss)
   (0.78 )% (0.68 )% (0.74 )% (0.94 )%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

(1)	Amount represents greater than $(0.005).

114

Table of Contents

~~Selected~~

elected Data for a Share Outstanding Throughout the ~~six~~nine Months Ended ~~June~~September

30, 2023

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

Per Share Operating Performance

Short VIX
Short-Term
Futures ETF

Ultra
Bloomberg
Crude Oil

Ultra
Bloomberg
Natural Gas*

Ultra
Euro

Ultra
Gold

Ultra
Silver

Net asset value, at December 31, 2022
   $ 58.71 $ 30.26 $ 363.08 $ 11.27 $ 55.09 $ 31.75
Net investment income (loss)
   0.83 0.27 0.81 0.17 0.86 0.39
Net realized and unrealized gain (loss)#
   25.14 (6.79 ) (294.41 ) 0.15 2.41 (5.10 )
Change in net asset value from operations
   25.97 (6.52 ) (293.60 ) 0.32 3.27 (4.71 )
Net asset value, at June 30, 2023
   $ 84.68 $ 23.74 $ 69.48 $ 11.59 $ 58.36 $ 27.04
Market value per share, at December 31, 2022
†
   $ 58.68 $ 30.31 $ 355.60 $ 11.26 $ 55.27 $ 32.00
Market value per share, at June 30, 2023
†
   $ 84.68 $ 23.65 $ 68.99 $ 11.61 $ 58.24 $ 26.95
Total Return, at net asset value^
   44.2 % (21.5 )% (80.9 )% 2.9 % 5.9 % (14.8 )%
Total Return, at market value^
   44.3 % (22.0 )% (80.6 )% 3.1 % 5.4 % (15.8 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.15 % 1.00 % 1.43 % 0.95 % 0.97 % 0.99 %
Net investment income gain (loss)
   2.50 % 2.12 % 2.01 % 3.04 % 2.86 % 2.65 %


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas*			Ultra Euro			Ultra Gold			Ultra Silver

Net asset value, at December 31, 2022	$	58.71		$	30.26		$	363.08		$	11.27		$	55.09		$	31.75
Net investment income (loss)		1.41			0.43			1.18			0.27			1.33			0.57
Net realized and unrealized gain (loss)#		26.13			4.55			(310.26	)		(0.67	)		(3.67	)		(7.56	)
Change in net asset value from operations		27.54			4.98			(309.08	)		(0.40	)		(2.34	)		(6.99	)
Net asset value, at September 30, 2023	$	86.25		$	35.24		$	54.00		$	10.87		$	52.75		$	24.76
Market value per share, at December 31, 2022 †	$	58.68		$	30.31		$	355.60		$	11.26		$	55.27		$	32.00
Market value per share, at September 30, 2023 †	$	86.34		$	35.28		$	54.38		$	10.85		$	52.60		$	24.61
Total Return, at net asset value^		46.9	%		16.5	%		(85.1	)%		(3.5	)%		(4.3	)%		(22.0	)%
Total Return, at market value^		47.1	%		16.4	%		(84.7	)%		(3.6	)%		(4.8	)%		(23.1	)%
Ratios to Average Net Assets**
Expense ratio^^		1.15	%		0.99	%		1 .38	%		0.95	%		0.97	%		0.99	%
Net investment income gain (loss)		2.59	%		2.12	%		2 .16	%		3.19	%		2.98	%		2.63	%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

115

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

Per Share Operating Performance

Ultra VIX
Short-Term

Futures ETF*

Ultra Yen

UltraShort
Bloomberg
Crude Oil

UltraShort
Bloomberg
Natural Gas

UltraShort
Euro

UltraShort
Gold

Net asset value, at December 31, 2022
   $ 68.69 $ 34.54 $ 23.93 $ 27.00 $ 29.46 $ 31.10
Net investment income (loss)
   0.33 0.49 0.36 0.66 0.45 0.39
Net realized and unrealized gain (loss)#
   (50.54 ) (7.63 ) 1.33 27.40 (0.81 ) (2.59 )
Change in net asset value from operations
   (50.21 ) (7.14 ) 1.69 28.06 (0.36 ) (2.20 )
Net asset value, at June 30, 2023
   $ 18.48 $ 27.40 $ 25.62 $ 55.06 $ 29.10 $ 28.90
Market value per share, at December 31, 2022
†
   $ 68.60 $ 34.56 $ 23.85 $ 27.56 $ 29.45 $ 30.99
Market value per share, at June 30, 2023
†
   $ 18.49 $ 27.42 $ 25.70 $ 55.45 $ 29.11 $ 28.96
Total Return, at net asset value^
   (73.1 )% (20.7 )% 7.1 % 103.9 % (1.2 )% (7.1 )%
Total Return, at market value^
   (73.1 )% (20.7 )% 7.8 % 101.2 % (1.2 )% (6.6 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.56 % 0.95 % 1.09 % 1.74 % 0.95 % 0.99 %
Net investment income gain (loss)
   1.66 % 3.05 % 2.92 % 2.27 % 3.08 % 2.81 %


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF*			Ultra Yen			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Euro			UltraShort Gold

Net asset value, at December 31, 2022	$	68.69		$	34.54		$	23.93		$	27.00		$	29.46		$	31.10
Net investment income (loss)		0.40			0.74			0.53			1.11			0.70			0.61
Net realized and unrealized gain (loss)#		(52.89	)		(10.27	)		(7.60	)		33.35			1.27			0.43
Change in net asset value from operations		(52.49	)		(9.53	)		(7.07	)		34.46			1.97			1.04
Net asset value, at September 30, 2023	$	16.20		$	25.01		$	16.86		$	61.46		$	31.43		$	32.14
Market value per share, at December 31, 2022 †	$	68.60		$	34.56		$	23.85		$	27.56		$	29.45		$	30.99
Market value per share, at September 30, 2023 †	$	16.21		$	25.00		$	16.82		$	61.04		$	31.43		$	32.20
Total Return, at net asset value^		(76.4	)%		(27.6	)%		(29.6	)%		127.7	%		6.7	%		3.4	%
Total Return, at market value^		(76.4	)%		(27.7	)%		(29.5	)%		121.5	%		6.7	%		3.9	%
Ratios to Average Net Assets**
Expense ratio^^		1 .58	%		0 .95	%		1.07	%		1.64	%		0.95	%		0.98	%
Net investment income gain (loss)		1 .77	%		3 .28	%		3.14	%		2.57	%		3.20	%		2.90	%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

116

Table of Contents

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


Per Share Operating Performance	UltraShort Silver			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF*
Net asset value, at December 31, 2022	$	19.46		$	53.68		$	30.41		$	57.00
Net investment income (loss)		0.38			1.47			0.54			0.70
Net realized and unrealized gain (loss)#		1.60			19.93			(11.53	)		(34.39	)
Change in net asset value from operations		1.98			21.40			(10.99	)		(33.69	)
Net asset value, at September 30, 2023	$	21.44		$	75.08		$	19.42		$	23.31
Market value per share, at December 31, 2022 †	$	19.30		$	53.57		$	30.36		$	56.90
Market value per share, at September 30, 2023 †	$	21.55		$	75.08		$	19.41		$	23.30
Total Return, at net asset value^		10.2	%		39.9	%		(36.1	)%		(59.1	)%
Total Return, at market value^		11.7	%		40.2	%		(36.1	)%		(59.1	)%
Ratios to Average Net Assets**
Expense ratio^^		1.07	%		0.95	%		0 .98	%		1 .07	%
Net investment income gain (loss)		2.63	%		3.20	%		3 .03	%		2 .81	%

Per Share Operating Performance

UltraShort
Silver

UltraShort
Yen

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF*

Net asset value, at December 31, 2022
   $ 19.46 $ 53.68 $ 30.41 $ 57.00
Net investment income (loss)
   0.24 0.88 0.38 0.53
Net realized and unrealized gain (loss)#
   0.79 13.38 (10.30 ) (32.58 )
Change in net asset value from operations
   1.03 14.26 (9.92 ) (32.05 )
Net asset value, at June 30, 2023
   $ 20.49 $ 67.94 $ 20.49 $ 24.95
Market value per share, at December 31, 2022
†
   $ 19.30 $ 53.57 $ 30.36 $ 56.90
Market value per share, at June 30, 2023
†
   $ 20.58 $ 67.95 $ 20.48 $ 24.96
Total Return, at net asset value^
   5.3 % 26.6 % (32.6 )% (56.2 )%
Total Return, at market value^
   6.6 % 26.8 % (32.5 )% (56.1 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.05 % 0.95 % 0.98 % 1.09 %
Net investment income gain (loss)
   2.44 % 3.06 % 2.90 % 2.61 %

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

117

Table of Contents

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

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

Per Share Operating Performance

Short VIX
Short-Term

Futures ETF

Ultra
Bloomberg
Crude Oil
*

Ultra
Bloomberg
Natural Gas*

Ultra Euro

Ultra Gold

Ultra Silver

Net asset value, at December 31, 2021
   $ 61.56 $ 21.54 $ 511.08 $ 13.32 $ 59.69 $ 34.84
Net investment income (loss)
   (0.29 ) (0.15 ) (5.86 ) (0.04 ) (0.22 ) (0.13 )
Net realized and unrealized gain (loss)#
   (13.13 ) 20.22 285.48 (2.20 ) (3.01 ) (9.93 )
Change in net asset value from operations
   (13.42 ) 20.07 279.62 (2.24 ) (3.23 ) (10.06 )
Net asset value, at June 30, 2022
   $ 48.14 $ 41.61 $ 790.70 $ 11.08 $ 56.46 $ 24.78
Market value per share, at December 31, 2021
†
   $ 61.55 $ 21.70 $ 521.80 $ 13.33 $ 59.81 $ 34.74
Market value per share, at June 30, 2022
†
   $ 48.21 $ 41.86 $ 842.00 $ 11.11 $ 56.50 $ 24.47
Total Return, at net asset value^
   (21.8 )% 93.2 % 54.7 % (16.8 )% (5.4 )% (28.9 )%
Total Return, at market value^
   (21.7 )% 92.9 % 61.4 % (16.7 )% (5.5 )% (29.6 )%
Ratios to Average Net Assets**

Expense ratio^^
   1.28 % 1.05 % 1.29 % 0.95 % 0.99 % 0.98 %
Net investment income gain (loss)
   (1.12 )% (0.82 )% (1.10 )% (0.65 )% (0.71 )% (0.75 )%


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas *			Ultra Euro			Ultra Gold			Ultra Silver

Net asset value, at December 31, 2021	$	61.56		$	21.54		$	511.08		$	13.32		$	59.69		$	34.84
Net investment income (loss)		(0.31	)		(0.16	)		(5.33	)		(0.02	)		(0.19	)		(0.13	)
Net realized and unrealized gain (loss)#		(12.74	)		4.83			558.65			(3.73	)		(12.43	)		(13.87	)
Change in net asset value from operations		(13.05	)		4.67			553.32			(3.75	)		(12.62	)		(14.00	)
Net asset value, at September 30, 2022	$	48.51		$	26.21		$	1,064.40		$	9.57		$	47.07		$	20.84
Market value per share, at December 31, 2021 †	$	61.55		$	21.70		$	521.80		$	13.33		$	59.81		$	34.74
Market value per share, at September 30, 2022 †	$	48.59		$	26.26		$	1,073.20		$	9.57		$	46.93		$	20.76
Total Return, at net asset value^		(21.2	)%		21.7	%		108.3	%		(28.2	)%		(21.1	)%		(40.2	)%
Total Return, at market value^		(21.1	)%		21.0	%		105.7	%		(28.2	)%		(21.5	)%		(40.2	)%
Ratios to Average Net Assets**
Expense ratio^^		1 .23	%		1.04	%		1 .24	%		0.95	%		0 .99	%		0 .99	%
Net investment income gain (loss)		(0.80	)%		(0.59	)%		(0 .58	)%		(0.27	)%		(0.43	)%		(0.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

118

Table of Contents

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

Per Share Operating Performance

Ultra VIX
Short-Term

Futures ETF*

Ultra Yen

UltraShort
Bloomberg
Crude Oil
*

UltraShort
Bloomberg
Natural Gas
*

UltraShort
Euro

UltraShort
Gold

Net asset value, at December 31, 2021
   $ 124.06 $ 47.29 $ 64.26 $ 247.40 $ 25.84 $ 31.71
Net investment income (loss)
   (1.13 ) (0.13 ) (0.12 ) (0.31 ) (0.11 ) (0.12 )
Net realized and unrealized gain (loss)#
   22.20 (13.65 ) (41.10 ) (204.44 ) 4.65 (0.04 )
Change in net asset value from operations
   21.07 (13.78 ) (41.22 ) (204.75 ) 4.54 (0.16 )
Net asset value, at June 30, 2022
   $ 145.13 $ 33.51 $ 23.04 $ 42.65 $ 30.38 $ 31.55
Market value per share, at December 31, 2021
†
   $ 124.30 $ 47.29 $ 63.75 $ 242.20 $ 25.86 $ 31.66
Market value per share, at June 30, 2022
†
   $ 145.30 $ 33.49 $ 22.93 $ 40.02 $ 30.41 $ 31.59
Total Return, at net asset value^
   17.0 % (29.2 )% (64.2 )% (82.8 )% 17.5 % (0.5 )%
Total Return, at market value^
   16.9 % (29.2 )% (64.0 )% (83.5 )% 17.6 % 0.2 %
Ratios to Average Net Assets**

Expense ratio^^
   1.65 % 0.95 % 1.18 % 1.47 % 0.95 % 1.00 %
Net investment income gain (loss)
   (1.53 )% (0.67 )% (0.95 )% (1.30 )% (0.75 )% (0.81 )%


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Euro			UltraShort Gold

Net asset value, at December 31, 2021	$	124.06		$	47.29		$	64.26		$	247.40		$	25.84		$	31.71
Net investment income (loss)		(0.94	)		(0.04	)		(0.07	)		(0.14	)		(0.08	)		(0.13	)
Net realized and unrealized gain (loss)#		5.62			(18.22	)		(33.85	)		(229.91	)		9.08			5.60
Change in net asset value from operations		4.68			(18.26	)		(33.92	)		(230.05	)		9.00			5.47
Net asset value, at September 30, 2022	$	128.74		$	29.03		$	30.34		$	17.35		$	34.84		$	37.18
Market value per share, at December 31, 2021 †	$	124.30		$	47.29		$	63.75		$	242.20		$	25.86		$	31.66
Market value per share, at September 30, 2022 †	$	128.50		$	29.06		$	30.28		$	17.21		$	34.88		$	37.30
Total Return, at net asset value^		3.7	%		(38.6	)%		(52.8	)%		(93.0	)%		34.8	%		17.3	%
Total Return, at market value^		3.4	%		(38.6	)%		(52.5	)%		(92.9	)%		34.9	%		17.8	%
Ratios to Average Net Assets**
Expense ratio^^		1.57	%		0.96	%		1.15	%		1.38	%		0.95	%		1.00	%
Net investment income gain (loss)		(0.97	)%		(0.15	)%		(0.38	)%		(0.77	)%		(0.37	)%		(0.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

119

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

Per Share Operating Performance

UltraShort
Silver

UltraShort
Yen
*

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF*

Net asset value, at December 31, 2021
   $ 26.77 $ 41.50 $ 30.61 $ 75.62
Net investment income (loss)
   (0.11 ) (0.17 ) (0.14 ) (0.46 )
Net realized and unrealized gain (loss)#
   5.08 15.73 4.82 15.93
Change in net asset value from operations
   4.97 15.56 4.68 15.47
Net asset value, at June 30, 2022
   $ 31.74 $ 57.06 $ 35.29 $ 91.09
Market value per share, at December 31, 2021
†
   $ 26.84 $ 41.50 $ 30.57 $ 75.85
Market value per share, at June 30, 2022
†
   $ 32.19 $ 57.13 $ 35.38 $ 91.25
Total Return, at net asset value^
   18.6 % 37.5 % 15.3 % 20.5 %
Total Return, at market value^
   19.9 % 37.7 % 15.7 % 20.3 %
Ratios to Average Net Assets**

Expense ratio^^
   1.07 % 0.95 % 1.02 % 1.20 %
Net investment income gain (loss)
   (0.86 )% (0.72 )% (0.87 )% (1.04 )%


Per Share Operating Performance	UltraShort Silver			UltraShort Yen			VIX Mid-Term Futures ETF			VIX Short- Term Futures ETF *

Net asset value, at December 31, 2021	$	26.77		$	41.50		$	30.61		$	75.62
Net investment income (loss)		(0.13	)		(0.16	)		(0.15	)		(0.35	)
Net realized and unrealized gain (loss)#		7.42			23.70			5.02			10.24
Change in net asset value from operations		7.29			23.54			4.87			9.89
Net asset value, at September 30, 2022	$	34.06		$	65.04		$	35.48		$	85.51
Market value per share, at December 31, 2021 †	$	26.84		$	41.50		$	30.57		$	75.85
Market value per share, at September 30, 2022 †	$	34.15		$	65.02		$	35.50		$	85.50
Total Return, at net asset value^		27.2	%		56.7	%		15.9	%		13.1	%
Total Return, at market value^		27.2	%		56.7	%		16.1	%		12.7	%
Ratios to Average Net Assets**
Expense ratio^^		1.08	%		0.95	%		0.99	%		1.16	%
Net investment income gain (loss)		(0.63	)%		(0.40	)%		(0.59	)%		(0.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

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

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

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

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

120

Table of Contents

NOTE 7 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from

one-half

the inverse

(-0.5x),

two times the inverse

(-2x),

one and

one-half

times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and

one-half

or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse

(-2x) of

the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(3) bid-ask

spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

~~Table of Contents~~

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,

-0.5x,

-2x,

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

121

Table of Contents

Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

As noted, all of the relevant CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

~~129~~

~~Table of Contents~~

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

122

Table of Contents

In addition, cleared derivatives benefit from daily

mark-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled futures customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the

~~130~~

~~Table of Contents~~

counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

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

one-half

times (1.5x) multiplier) include a two times the inverse

(-2x),

or a two times (2x) multiplier, a

single-day

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

single-day

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

single-day

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

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds 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 Instruments related to one benchmark, which in many cases is highly concentrated.

123

Table of Contents

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain

~~Table of Contents~~

types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.

There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.

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.

124

Table of Contents

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

The ~~onset~~outbreak of

COVID-19

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

COVID-19,

SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the ~~novel coronavirus (COVID-19)~~impact of any outbreak on the performance of the Funds and ~~its variants has caused~~their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as

COVID-19,

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

Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant ~~shocks to~~negative impact on global financial markets and ~~economies, with many governments taking extreme actions~~economies. A widespread crisis may also affect the global economy in ~~an attempt to slow~~ways that cannot necessarily be foreseen at the current time. How long such events will last and ~~contain the spread of COVID-19. These actions have had, and likely~~whether they will continue toor recur cannot be predicted. Impacts from these events could have ~~if reimposed, a severe economic~~significant impact on ~~global economies as economic activity in some instances has essentially ceased.~~

Asa Fund’s performance, and the ~~hospitalization rates and COVID-related deaths continue to fall, the severity~~value of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. Contemporaneous with the onset of the COVID-19 pandemican investment in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.Fund may decline significantly.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region, ~~and~~ the markets for ~~securities~~gold, silver, oil, natural gas and other commodities, ~~including oil.~~and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the ~~conflicts~~conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in athe Fund may decline

significantly.

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

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

NOTE 8 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

3125

Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form

10-Q.

The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in\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, 2022 and in this Quarterly Report on Form

10-Q

for the period ended ~~June~~September 30, 2023, 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

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

~~134~~

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~~

“Mid-Term

VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

126

Table of Contents

ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a

per-Share

market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form

10-K,

Quarterly Reports on Form

10-Q,

Current Reports on Form

8-K

and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Forward and Reverse Splits

On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the

~~135~~

~~Table of Contents~~

number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, 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 (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.

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 Split was 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 Split increased the price per share of the Funds 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

127

Table of Contents

Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and ~~six~~nine months ended ~~June~~September 30, 2023 and 2022, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2023		Interest Income Three Months Ended June 30, 2022		Interest Income Six Months Ended June 30, 2023		Interest Income Six Months Ended June 30, 2022		Interest Income Three Months Ended September 30, 2023		Interest Income Three Months Ended September 30, 2022		Interest Income Nine Months Ended September 30, 2023		Interest Income Nine Months Ended September 30, 2022
ProShares Short VIX Short-Term Futures ETF	$	2,437,210	$	225,134	$	4,546,332	$	319,477	$	2,624,180	$	1,006,499	$	7,170,512	$	1,325,976
ProShares Ultra Bloomberg Crude Oil		5,878,092		1,264,011		11,886,000		1,572,891		5,340,428		2,391,191		17,226,428		3,964,082
ProShares Ultra Bloomberg Natural Gas		8,866,705		146,470		17,825,228		186,051		9,098,504		909,204		26,923,732		1,095,255
ProShares Ultra Euro		88,182		6,522		185,419		11,109		80,746		36,856		266,165		47,965
ProShares Ultra Gold		1,983,196		319,154		3,632,210		414,267		1,837,846		678,282		5,470,056		1,092,549
ProShares Ultra Silver		3,701,182		421,514		7,075,578		561,963		3,343,905		824,171		10,419,483		1,386,134
ProShares Ultra VIX Short-Term Futures ETF		4,750,595		430,670		9,167,250		525,931		3,255,531		3,945,136		12,422,781		4,471,067
ProShares Ultra Yen		114,980		3,064		235,098		3,937		174,354		25,362		409,452		29,299
ProShares UltraShort Bloomberg Crude Oil		1,560,028		289,299		3,563,237		343,206		2,609,417		1,748,548		6,172,654		2,091,754
ProShares UltraShort Bloomberg Natural Gas		1,344,889		122,188		2,531,641		178,013		1,476,050		953,050		4,007,691		1,131,063
ProShares UltraShort Euro		593,746		39,011		1,240,866		54,416		523,684		230,824		1,764,550		285,240
ProShares UltraShort Gold		184,052		19,975		316,614		29,660		142,707		72,261		459,321		101,921
ProShares UltraShort Silver		323,734		18,743		523,812		27,663		337,096		63,222		860,908		90,885
ProShares UltraShort Yen		255,354		26,913		459,554		36,312		274,125		115,191		733,679		151,503
ProShares VIX Mid-Term Futures ETF		650,585		52,826		1,298,505		76,749		597,040		220,211		1,895,545		296,960
ProShares VIX Short-Term Futures ETF		2,440,291		207,903		4,560,852		278,612		2,271,345		1,400,201		6,832,197		1,678,813

~~136~~

~~Table of Contents~~

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”~~

“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.

~~137~~

~~Table of Contents~~

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

~~The Sponsor attempts to minimize certain of these market and credit risks by normally:~~

~~executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;~~

~~limiting the outstanding amounts due from counterparties to the Funds;~~

~~not posting margin directly with a counterparty;~~

~~requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;~~

~~limiting the amount of margin or premium posted at a FCM; and~~

~~ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.~~

~~Off-Balance Sheet Arrangements and Contractual Obligations~~

As of August 8, 2023, 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 (“GAAP”) 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.

~~138~~

~~Table of Contents~~

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2023.

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. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. 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. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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.~~

~~The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.~~

~~Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.~~

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.

~~139~~

~~Table of Contents~~

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association 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 June 30, 2023 Compared to the Three Months Ended June 30, 2022~~

ProShares ~~Short~~ VIX Short-Term Futures ETF

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 295,340,393 $ 495,588,849
NAV end of period
   $ 282,353,267 $ 403,644,956
Percentage change in NAV
   (4.4 )% (18.6 )%
Shares outstanding beginning of period
   4,634,307 9,084,307
Shares outstanding end of period
   3,334,307 8,384,307
Percentage change in shares outstanding
   (28.1 )% (7.7 )%
Shares created
   550,000 1,600,000
Shares redeemed
   1,850,000 2,300,000
Per share NAV beginning of period
   $ 63.73 $ 54.55
Per share NAV end of period
   $ 84.68 $ 48.14
Percentage change in per share NAV
   32.9 % (11.8 )%
Percentage change in benchmark
   (44.4 )% 10.3 %
Benchmark annualized volatility
   45.8 % 90.4 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,634,307 outstanding Shares at March 31, 2023 to 3,334,307 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2022, 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-half the inverse (-0.5x) of 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 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 32.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~140~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 1,696,752    $ (1,094,000 )
Management fee
   617,036    1,034,361
Brokerage commission
   123,422    177,552
Futures account fees
   –    107,221
Net realized gain (loss)
   65,202,331    (13,105,212 )
Change in net unrealized appreciation (depreciation)
   9,673,101    (34,507,780 )
Net Income (loss)
   $ 76,572,184    $ (48,706,992 )

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2023.

~~ProShares Ultra Bloomberg Crude Oil~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 811,668,456 $ 1,336,980,685
NAV end of period
   $ 738,194,368 $ 1,060,867,238
Percentage change in NAV
   (9.1 )% (20.7 )%
Shares outstanding beginning of period
   30,593,096 35,243,096
Shares outstanding end of period
   31,093,096 25,493,096
Percentage change in shares outstanding
   1.6 % (27.7 )%
Shares created
   15,550,000 1,700,000
Shares redeemed
   15,050,000 11,450,000
Per share NAV beginning of period
   $ 26.53 $ 37.94
Per share NAV end of period
   $ 23.74 $ 41.61
Percentage change in per share NAV
   (10.5 )% 9.7 %
Percentage change in benchmark
   (4.4 )% 6.8 %
Benchmark annualized volatility
   32.8 % 37.5 %

. The decrease in the Fund’s NAV was offset by an increase from 30,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two

~~141~~

~~Table of Contents~~

~~times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index~~

~~. The decrease in the Fund’s NAV was offset by an decrease from 35,243,096 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.~~

For the three months ended June 30, 2023 and 2022, 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 10.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 4,038,791    $ (2,084,704 )
Management fee
   1,744,998    3,098,904
Brokerage commission
   94,303    140,210
Futures account fees
   –    109,601
Net realized gain (loss)
   (76,414,795 )    363,291,439
Change in net unrealized appreciation (depreciation)
   45,539,157    (211,544,109 )
Net Income (loss)
   $ (26,836,847 )    $ 149,662,626

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 2023.

2,271,3451,400,2016,832,1971,678,813

*	~~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 Ultra Bloomberg Crude Oil.~~

ProShares Ultra Bloomberg Natural Gas*

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 1,139,983,773 $ 145,069,486
NAV end of period
   $ 1,141,021,278 $ 187,297,842
Percentage change in NAV
   0.1 % 29.1 %
Shares outstanding beginning of period
   15,454,376 129,376
Shares outstanding end of period
   16,421,876 236,876

~~142~~

~~Table of Contents~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Percentage change in shares outstanding
   6.3 % 83.1 %
Shares created
   13,792,500 325,000
Shares redeemed
   12,825,000 217,500
Per share NAV beginning of period
   $ 73.76 $ 1121.30
Per share NAV end of period
   $ 69.48 $ 790.70
Percentage change in per share NAV
   (5.8 )% (29.5 )%
Percentage change in benchmark
   2.2 % (6.0 )%
Benchmark annualized volatility
   57.7 % 37.5 %

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 15,454,376 outstanding Shares at March 31, 2023 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 129,376 outstanding Shares at March 31, 2022 to 236,876 outstanding Shares at June 30, 2022. 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

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed

“off-exchange”

For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 4,920,978    $ (566,073 )
Management fee
   2,588,571    534,624
Brokerage commission
   1,145,371    114,706
Futures account fees
   211,785    63,213
Net realized gain (loss)
   (616,886,915 )    164,990,694
Change in net unrealized appreciation (depreciation)
   658,057,024    (271,288,469 )
Net Income (loss)
   $ 46,091,087    $ (106,863,848 )

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2023.

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.~~

~~143~~

~~Table of Contents~~

~~ProShares Ultra Euro~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 8,616,433 $ 6,236,982
NAV end of period
   $ 7,535,435 $ 9,415,626
Percentage change in NAV
   (12.5 )% 51.0 %
Shares outstanding beginning of period
   750,000 500,000
Shares outstanding end of period
   650,000 850,000
Percentage change in shares outstanding
   (13.3 )% 70.0 %
Shares created
   – 450,000
Shares redeemed
   100,000 100,000
Per share NAV beginning of period
   $ 11.49 $ 12.47
Per share NAV end of period
   $ 11.59 $ 11.08
Percentage change in per share NAV
   0.9 % (11.1 )%
Percentage change in benchmark
   0.6 % (5.3 )%
Benchmark annualized volatility
   6.8 % 9.1 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. 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 euro versus the U.S. dollar.

For the three months ended June 30, 2023 and 2022, 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 0.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

~~144~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months
Ended
June 30, 2022

Net investment income (loss)
   $ 68,331    $ (8,515 )
Management fee
   19,851    15,037
Net realized gain (loss)
   78,291    (446,365 )
Change in net unrealized appreciation (depreciation)
   (79,023 )    (281,290 )
Net Income (loss)
   $ 67,599    $ (736,170 )

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.

~~ProShares Ultra Gold~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 201,161,529 $ 355,029,822
NAV end of period
   $ 180,916,531 $ 239,938,853
Percentage change in NAV
   (10.1 )% (32.4 )%
Shares outstanding beginning of period
   3,200,000 5,300,000
Shares outstanding end of period
   3,100,000 4,250,000
Percentage change in shares outstanding
   (3.1 )% (19.8 )%
Shares created
   50,000 100,000
Shares redeemed
   150,000 1,150,000
Per share NAV beginning of period
   $ 62.86 $ 66.99
Per share NAV end of period
   $ 58.36 $ 56.46
Percentage change in per share NAV
   (7.2 )% (15.7 )%
Percentage change in benchmark
   (2.5 )% (7.6 )%
Benchmark annualized volatility
   12.7 % 13.8 %

. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

~~145~~

~~Table of Contents~~

For the three months ended June 30, 2023 and 2022, 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 7.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 1,502,010    $ (419,722 )
Management fee
   474,261    716,148
Brokerage commission
   6,925    14,064
Futures account fees
   —      8,664
Net realized gain (loss)
   17,168,107    (57,901,083 )
Change in net unrealized appreciation (depreciation)
   (32,854,842 )    4,971,043
Net Income (loss)
   $ (14,184,725 )    $ (53,349,762 )

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.

~~ProShares Ultra Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 429,115,334 $ 558,375,841
NAV end of period
   $ 356,791,659 $ 355,577,515
Percentage change in NAV
   (16.9 )% (36.3 )%
Shares outstanding beginning of period
   13,796,526 14,296,526
Shares outstanding end of period
   13,196,526 14,346,526
Percentage change in shares outstanding
   (4.3 )% 0.3 %
Shares created
   700,000 800,000
Shares redeemed
   1,300,000 750,000
Per share NAV beginning of period
   $ 31.10 $ 39.06
Per share NAV end of period
   $ 27.04 $ 24.78
Percentage change in per share NAV
   (13.1 )% (36.6 )%
Percentage change in benchmark
   (5.1 )% (19.4 )%
Benchmark annualized volatility
   24.1 % 23.7 %

~~146~~

~~Table of Contents~~

. The decrease in the Fund’s NAV also resulted in part from a decrease from 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

~~. The decrease in the Fund’s NAV was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.~~

For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 36.6% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 2,677,602    $ (695,746 )
Management fee
   976,505    1,082,340
Brokerage commission
   47,075    28,732
Futures account fees
   —      6,188
Net realized gain (loss)
   64,615,443    (156,195,349 )
Change in net unrealized appreciation (depreciation)
   (119,017,342 )    (50,135,799 )
Net Income (loss)
   $ (51,724,297 )    $ (207,026,894 )

~~147~~

~~Table of Contents~~

ProShares Ultra VIX Short-Term Futures ETF*

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 535,980,236 $ 1,127,608,641
NAV end of period
   $ 387,764,059 $ 975,683,533
Percentage change in NAV
   (27.7 )% (13.5 )%
Shares outstanding beginning of period
   11,587,842 8,352,842
Shares outstanding end of period
   20,977,842 6,722,842
Percentage change in shares outstanding
   81.0 % (19.5 )%
Shares created
   12,940,000 5,840,000
Shares redeemed
   3,550,000 7,470,000
Per share NAV beginning of period
   $ 46.25 $ 135.00
Per share NAV end of period
   $ 18.48 $ 145.13
Percentage change in per share NAV
   (60.0 )% 7.5 %
Percentage change in benchmark
   (44.4 )% 10.3 %
Benchmark annualized volatility
   45.8 % 90.4 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 11,587,842 outstanding Shares at March 31, 2023 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,352,842 outstanding Shares at March 31, 2022 to 6,722,842 outstanding Shares at June 30, 2022. 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 and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 60.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~148~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 2,581,004    $ (3,277,402 )
Management fee
   1,330,081    2,293,738
Brokerage commission
   712,511    970,211
Futures account fees
   126,999    444,123
Net realized gain (loss)
   (426,300,356 )    90,701,501
Change in net unrealized appreciation (depreciation)
   (45,315,177 )    196,735,349
Net Income (loss)
   $ (469,034,529 )    $ 284,159,448

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices, during the three months ended June 30, 2023.

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.~~

~~ProShares Ultra Yen~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 9,915,083 $ 2,099,705
NAV end of period
   $ 12,330,974 $ 5,024,773
Percentage change in NAV
   24.4 % 139.3 %
Shares outstanding beginning of period
   299,970 49,970
Shares outstanding end of period
   449,970 149,970
Percentage change in shares outstanding
   50.0 % 200.1 %
Shares created
   150,000 100,000
Shares redeemed
   —   —
Per share NAV beginning of period
   $ 33.05 $ 42.02
Per share NAV end of period
   $ 27.40 $ 33.51
Percentage change in per share NAV
   (17.1 )% (20.3 )%
Percentage change in benchmark
   (8.0 )% (10.3 )%
Benchmark annualized volatility
   8.9 % 11.5 %

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in

~~149~~

~~Table of Contents~~

the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2023 and 2022, 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 17.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 20.3% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 89,650    $ (4,972 )
Management fee
   25,330    8,036
Net realized gain (loss)
   (770,142 )    (761,478 )
Change in net unrealized appreciation (depreciation)
   (1,348,109 )    152,185
Net Income (loss)
   $ (2,028,601 )    $ (614,265 )

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar in conjunction with a significant increase in average shares outstanding during the three months ended June 30, 2023.

~~ProShares UltraShort Bloomberg Crude Oil~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 144,762,563 $ 416,799,231
NAV end of period
   $ 112,854,952 $ 501,157,304
Percentage change in NAV
   (22.0 )% 20.2 %
Shares outstanding beginning of period
   5,755,220 14,286,760
Shares outstanding end of period
   4,405,220 21,755,220
Percentage change in shares outstanding
   (23.5 )% 52.3 %
Shares created
   6,250,000 12,320,000
Shares redeemed
   7,600,000 4,851,540
Per share NAV beginning of period
   $ 25.15 $ 29.17

~~150~~

~~Table of Contents~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Per share NAV end of period
   $ 25.62 $ 23.04
Percentage change in per share NAV
   1.9 % (21.0 )%
Percentage change in benchmark
   (4.4 )% 6.8 %
Benchmark annualized volatility
   32.8 % 37.5 %

~~During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220~~

outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily due to increase in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

~~. The increase in the Fund’s NAV was offset by a increase from 14,286,760 outstanding Shares at March 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.~~

For the three months ended June 30, 2023 and 2022, 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 1.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 1,140,772    $ (849,692 )
Management fee
   359,177    946,110
Brokerage commission
   60,079    107,079
Futures account fees
   —      85,802
Net realized gain (loss)
   28,034,524    (102,594,000 )
Change in net unrealized appreciation (depreciation)
   (8,216,608 )    34,757,114
Net Income (loss)
   $ 20,958,688    $ (68,686,578 )

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 2023.

*	~~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 UltraShort Bloomberg Crude Oil.~~

~~151~~

~~Table of Contents~~

~~ProShares UltraShort Bloomberg Natural Gas~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 146,981,760 $ 250,340,837
NAV end of period
   $ 141,324,963 $ 211,823,446
Percentage change in NAV
   (3.8 )% (15.4 )%
Shares outstanding beginning of period
   2,066,856 3,868,620
Shares outstanding end of period
   2,566,856 4,966,856
Percentage change in shares outstanding
   24.2 % 28.4 %
Shares created
   6,600,000 18,700,000
Shares redeemed
   6,100,000 17,601,764
Per share NAV beginning of period
   $ 71.11 $ 64.71
Per share NAV end of period
   $ 55.06 $ 42.65
Percentage change in per share NAV
   (22.6 )% (34.1 )%
Percentage change in benchmark
   2.2 % (6.0 )%
Benchmark annualized volatility
   57.7 % 87.3 %

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 2,066,856 outstanding Shares at March 31, 2023 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,620 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. 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 the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended June 30, 2023 and 2022, 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 22.6% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 34.1% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~152~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 782,210    $ (610,379 )
Management fee
   302,274    510,704
Brokerage commission
   233,647    144,907
Futures account fees
   26,758    76,956
Net realized gain (loss)
   48,737,843    (282,646,884 )
Change in net unrealized appreciation (depreciation)
   (61,250,100 )    228,079,127
Net Income (loss)
   $ (11,730,047 )    $ (55,178,136 )

*	~~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 UltraShort Bloomberg Natural Gas.~~

~~ProShares UltraShort Euro~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 59,537,260 $ 50,498,084
NAV end of period
   $ 50,931,301 $ 62,270,097
Percentage change in NAV
   (14.5 )% 23.3 %
Shares outstanding beginning of period
   2,050,000 1,850,000
Shares outstanding end of period
   1,750,000 2,050,000
Percentage change in shares outstanding
   (14.6 )% 10.8 %
Shares created
   – 500,000
Shares redeemed
   300,000 300,000
Per share NAV beginning of period
   $ 29.04 $ 27.30
Per share NAV end of period
   $ 29.10 $ 30.38
Percentage change in per share NAV
   0.2 % 11.3 %
Percentage change in benchmark
   0.6 % (5.3 )%
Benchmark annualized volatility
   6.8 % 9.1 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond

~~153~~

~~Table of Contents~~

to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2022. 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 euro versus the U.S. dollar.

For the three months ended June 30, 2023 and 2022, 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 0.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 11.3% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 462,645    $ (107,923 )
Management fee
   131,101    146,934
Net realized gain (loss)
   (1,045,942 )    3,065,129
Change in net unrealized appreciation (depreciation)
   556,469    3,039,738
Net Income (loss)
   $ (26,828 )    $ 5,996,944

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.

~~ProShares UltraShort Gold~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 16,049,273 $ 32,598,451
NAV end of period
   $ 15,809,378 $ 34,611,284
Percentage change in NAV
   (1.5 )% 6.2 %
Shares outstanding beginning of period
   596,977 1,196,977
Shares outstanding end of period
   546,977 1,096,977
Percentage change in shares outstanding
   (8.4 )% (8.4 )%
Shares created
   300,000 700,000
Shares redeemed
   350,000 800,000

~~154~~

~~Table of Contents~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Per share NAV beginning of period
   $ 26.88 $ 27.23
Per share NAV end of period
   $ 28.90 $ 31.55
Percentage change in per share NAV
   7.5 % 15.9 %
Percentage change in benchmark
   (2.5 )% (7.6 )%
Benchmark annualized volatility
   12.7 % 13.8 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

~~. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.~~

For the three months ended June 30, 2023 and 2022, 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 7.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 139,578    $ (59,266 )
Management fee
   42,869    75,676
Brokerage commission
   1,605    2,985
Futures account fees
   —      580
Net realized gain (loss)
   (1,553,151 )    4,557,870
Change in net unrealized appreciation (depreciation)
   2,758,921    289,951
Net Income (loss)
   $ 1,345,348    $ 4,788,555

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to lesser decrease in the value of the futures prices during the three months ended June 30, 2023.

~~155~~

~~Table of Contents~~

~~ProShares UltraShort Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 20,335,691 $ 23,406,516
NAV end of period
   $ 19,290,473 $ 33,052,840
Percentage change in NAV
   (5.1 )% 41.2 %
Shares outstanding beginning of period
   1,091,329 1,091,329
Shares outstanding end of period
   941,329 1,041,329
Percentage change in shares outstanding
   (13.7 )% (4.6 )%
Shares created
   2,450,000 700,000
Shares redeemed
   2,600,000 750,000
Per share NAV beginning of period
   $ 18.63 $ 21.45
Per share NAV end of period
   $ 20.49 $ 31.74
Percentage change in per share NAV
   10.0 % 48.0 %
Percentage change in benchmark
   (5.1 )% (19.4 )%
Benchmark annualized volatility
   24.1 % 23.7 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,091,329 outstanding Shares at March 31, 2023 to 941,329 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

~~. The increase in the Fund’s NAV was offset by a decrease from 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.~~

For the three months ended June 30, 2023 and 2022, 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 10.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 48.0% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.

~~156~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 232,359    $ (51,484 )
Management fee
   82,417    62,381
Brokerage commission
   8,958    6,677
Futures account fees
   —      1,169
Net realized gain (loss)
   1,112,690    9,411,232
Change in net unrealized appreciation (depreciation)
   5,650,294    3,853,312
Net Income (loss)
   $ 6,995,343    $ 13,213,060

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.

~~ProShares UltraShort Yen~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 25,111,818 $ 27,726,701
NAV end of period
   $ 27,077,656 $ 45,568,882
Percentage change in NAV
   7.8 % 64.4 %
Shares outstanding beginning of period
   448,580 598,580
Shares outstanding end of period
   398,580 798,580
Percentage change in shares outstanding
   (11.1 )% 33.4 %
Shares created
   250,000 650,000
Shares redeemed
   300,000 450,000
Per share NAV beginning of period
   $ 55.98 $ 46.32
Per share NAV end of period
   $ 67.94 $ 57.06
Percentage change in per share NAV
   21.4 % 23.2 %
Percentage change in benchmark
   (8.0 )% (10.3 )%
Benchmark annualized volatility
   8.9 % 11.4 %

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 448,580 outstanding Shares at March 31, 2023 to 398,580 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from

~~157~~

~~Table of Contents~~

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 June 30, 2023 and 2022, 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 21.4% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 197,175    $ (66,268 )
Management fee
   58,179    93,181
Net realized gain (loss)
   1,370,771    7,917,170
Change in net unrealized appreciation (depreciation)
   3,145,023    (1,367,929 )
Net Income (loss)
   $ 4,712,969    $ 6,482,973

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2023.

*	~~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 Yen.~~

~~ProShares VIX Mid-Term Futures ETF~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 67,306,087 $ 97,869,914
NAV end of period
   $ 49,421,413 $ 95,721,271
Percentage change in NAV
   (26.6 )% (2.2 )%
Shares outstanding beginning of period
   2,512,403 3,112,403
Shares outstanding end of period
   2,412,403 2,712,403
Percentage change in shares outstanding
   (4.0 )% (12.9 )%
Shares created
   575,000 300,000
Shares redeemed
   675,000 700,000

~~158~~

~~Table of Contents~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Per share NAV beginning of period
   $ 26.79 $ 31.45
Per share NAV end of period
   $ 20.49 $ 35.29
Percentage change in per share NAV
   (23.5 )% 12.2 %
Percentage change in benchmark
   (23.1 )% 12.9 %
Benchmark annualized volatility
   22.6 % 37.1 %

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended June 30, 2023 and 2022, 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 23.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 23.1% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 12.9% for the three months ended June 30, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 492,463    $ (184,164 )
Management fee
   134,066    210,584
Brokerage commission
   12,200    15,500
Futures account fees
   11,856    10,906
Net realized gain (loss)
   (6,943,333 )    7,862,052
Change in net unrealized appreciation (depreciation)
   (9,675,102 )    3,992,670
Net Income (loss)
   $ (16,125,972 )    $ 11,670,558

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended June 30, 2023.

~~159~~

~~Table of Contents~~

ProShares VIX Short-Term Futures ETF

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

NAV beginning of period
   $ 226,765,204 $ 404,950,400
NAV end of period
   $ 230,227,830 $ 341,714,316
Percentage change in NAV
   1.5 % (15.6 )%
Shares outstanding beginning of period
   5,021,565 4,876,565
Shares outstanding end of period
   9,226,565 3,751,565
Percentage change in shares outstanding
   83.7 % (23.1 )%
Shares created
   4,460,000 1,635,000
Shares redeemed
   255,000 2,760,000
Per share NAV beginning of period
   $ 45.16 $ 83.04
Per share NAV end of period
   $ 24.95 $ 91.09
Percentage change in per share NAV
   (44.8 )% 9.6 %
Percentage change in benchmark
   (44.4 )% 10.3 %
Benchmark annualized volatility
   45.8 % 90.4 %

~~During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 5,021,565~~2,271,3451,400,2016,832,1971,678,813

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed

“off-exchange”

Market Risk

128

Table of Contents

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.

tri-party

accounts at the Fund’s custodian bank.

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 6, 2023, 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.

129

Table of Contents

Critical Accounting Policies

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.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

130

Table of Contents

Results of Operations for the Three Months Ended September 30, 2023 Compared to the Three Months Ended September 30, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	282,353,267		$	403,644,956
NAV end of period	$	261,698,747		$	321,831,051
Percentage change in NAV		(7.3)	%		(20.3)	%
Shares outstanding beginning of period		3,334,307			8,384,307
Shares outstanding end of period		3,034,307			6,634,307
Percentage change in shares outstanding		(9.0)	%		(20.9)	%
Shares created		650,000			450,000
Shares redeemed		950,000			2,200,000
Per share NAV beginning of period	$	84.68		$	48.14
Per share NAV end of period	$	86.25		$	48.51
Percentage change in per share NAV		1.9	%		0.8	%
Percentage change in benchmark		(6.1)	%		(5.7)	%
Benchmark annualized volatility		52.0	%		51.0	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,334,307 outstanding Shares at March 31, 2023 to 9,226,565 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,876,565 outstanding Shares at March 31, 2022 to 3,751,565 outstanding Shares at June 30, 2022. 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 the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2023 and 2022, 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 44.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.6% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2023 to 3,034,307 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. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. 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, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to

one-half

the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.9% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

131

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	1,851,366		$	(90,304	)
Management fee		634,871			914,054
Brokerage commission		137,943			152,661
Futures account fees		—			23,966
Non-recurring fees and expenses		—			6,122
Net realized gain (loss)		30,285,323			27,694,574
Change in net unrealized appreciation (depreciation)		(26,317,147	)		(17,470,190	)
Net Income (loss)	$	5,819,542		$	10,134,080

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2023.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	738,194,368		$	1,060,867,238
NAV end of period	$	604,124,332		$	724,595,262
Percentage change in NAV		(18.2	)%		(31.7	)%
Shares outstanding beginning of period		31,093,096			25,493,096
Shares outstanding end of period		17,143,096			27,643,096
Percentage change in shares outstanding		(44.9	)%		8.4	%
Shares created		—			10,400,000
Shares redeemed		13,950,000			8,250,000
Per share NAV beginning of period	$	23.74		$	41.61
Per share NAV end of period	$	35.24		$	26.21
Percentage change in per share NAV		48.4	%		(37.0	)%
Percentage change in benchmark		22.1	%		(18.6	)%
Benchmark annualized volatility		18.4	%		42.8	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 31,093,096 outstanding Shares at June 30, 2023 to 17,143,096 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022.

For the three months ended September 30, 2023 and 2022, 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 48.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

132

Table of Contents

The benchmark’s rise of 22.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 18.6% for the three months ended September 30, 2022, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023		Three Months Ended September 30, 2022
Net investment income (loss)	$	3,659,529	$	153,992
Management fee		1,629,737		2,118,088
Brokerage commission		51,162		85,906
Futures account fees		—		19,466
Non-recurring fees and expenses		—		13,739
Net realized gain (loss)		244,550,243		(344,578,932	)
Change in net unrealized appreciation (depreciation)		28,176,972		(33,248,174	)
Net Income (loss)	$	276,386,744	$	(377,673,114	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to an increase in the value of WTI Crude Oil during the three months ended September 30, 2023.

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	1,141,021,278		$	187,297,842
NAV end of period	$	870,339,281		$	289,386,097
Percentage change in NAV		(23.7	)%		54.5	%
Shares outstanding beginning of period		16,421,876			236,876
Shares outstanding end of period		16,118,544			271,876
Percentage change in shares outstanding		(1.8	)%		14.8	%
Shares created		12,950,000			300,000
Shares redeemed		13,253,332			265,000
Per share NAV beginning of period	$	69.48		$	790.70
Per share NAV end of period	$	54.00		$	1064.40
Percentage change in per share NAV		(22.3	)%		34.6	%
Percentage change in benchmark		(9.2	)%		25.3	%
Benchmark annualized volatility		39.6	%		76.6	%

. The decrease in the Fund’s NAV also resulted in part from a decrease from 16,421,876 outstanding Shares at June 30, 2023 to 16,118,544 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, 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 Natural Gas Subindex

. The increase in the Fund’s NAV also resulted in part from an increase from 236,876 outstanding Shares at June 30, 2022 to 271,876 outstanding Shares at September 30, 2022.

133

Table of Contents

For the three months ended September 30, 2023 and 2022, 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 22.3% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 9.2% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 25.3% for the three months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	6,034,053		$	104,679
Management fee		2,303,082			658,525
Brokerage commission		629,541			97,589
Futures account fees		131,828			43,620
Non-recurring fees and expenses		—			4,791
Net realized gain (loss)		237,080,036			(5,893,297	)
Change in net unrealized appreciation (depreciation)		(410,472,245	)		97,221,527
Net Income (loss)	$	(167,358,156	)	$	91,432,909

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended September 30, 2023.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.

134

Table of Contents

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	7,535,435		$	9,415,626
NAV end of period	$	6,523,481		$	13,869,371
Percentage change in NAV		(13.4	)%		47.3	%
Shares outstanding beginning of period		650,000			850,000
Shares outstanding end of period		600,000			1,450,000
Percentage change in shares outstanding		(7.7	)%		70.6	%
Shares created		—			700,000
Shares redeemed		50,000			100,000
Per share NAV beginning of period	$	11.59		$	11.08
Per share NAV end of period	$	10.87		$	9.57
Percentage change in per share NAV		(6.2	)%		(13.7	)%
Percentage change in benchmark		(3.1	)%		(6.0	)%
Benchmark annualized volatility		6.7	%		10.5	%

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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. 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 euro versus the U.S. dollar.

For the three months ended September 30, 2023 and 2022, 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 6.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

135

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	63,747		$	5,288
Management fee		16,999			31,331
Non-recurring fees and expenses		—			237
Net realized gain (loss)		(22,385	)		(1,618,381	)
Change in net unrealized appreciation (depreciation)		(462,400	)		(95,012	)
Net Income (loss)	$	(421,038	)	$	(1,708,105	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2023.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	180,916,531		$	239,938,853
NAV end of period	$	147,696,557		$	160,022,292
Percentage change in NAV		(18.4	)%		(33.3	)%
Shares outstanding beginning of period		3,100,000			4,250,000
Shares outstanding end of period		2,800,000			3,400,000
Percentage change in shares outstanding		(9.7	)%		(20.0	)%
Shares created		50,000			50,000
Shares redeemed		350,000			900,000
Per share NAV beginning of period	$	58.36		$	56.46
Per share NAV end of period	$	52.75		$	47.07
Percentage change in per share NAV		(9.6	)%		(16.6	)%
Percentage change in benchmark		(3.9	)%		(7.9	)%
Benchmark annualized volatility		9.5	%		13.4	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,100,000 outstanding Shares at June 30, 2023 to 2,800,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares September 30, 2022.

For the three months ended September 30, 2023 and 2022, 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 9.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.9% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 7.9% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended September 30, 2023.

136

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	1,415,082		$	191,709
Management fee		417,418			475,457
Brokerage commission		5,346			8,176
Non-recurring fees and expenses		—			2,940
Net realized gain (loss)		(16,875,865	)		(39,826,294	)
Change in net unrealized appreciation (depreciation)		(540,686	)		2,222,833
Net Income (loss)	$	(16,001,469	)	$	(37,411,752	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	356,791,659		$	355,577,515
NAV end of period	$	327,996,075		$	323,970,863
Percentage change in NAV		(8.1	)%		(8.9	)%
Shares outstanding beginning of period		13,196,526			14,346,526
Shares outstanding end of period		13,246,526			15,546,526
Percentage change in shares outstanding		0.4	%		8.4	%
Shares created		1,500,000			2,450,000
Shares redeemed		1,450,000			1,250,000
Per share NAV beginning of period	$	27.04		$	24.78
Per share NAV end of period	$	24.76		$	20.84
Percentage change in per share NAV		(8.4	)%		(15.9	)%
Percentage change in benchmark		(2.6	)%		(6.5	)%
Benchmark annualized volatility		23.4	%		31.8	%

. 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. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

. The decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022.

For the three months ended September 30, 2023 and 2022, 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 8.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

137

Table of Contents

The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	2,424,022		$	(15,349	)
Management fee		892,009			798,802
Brokerage commission		27,874			34,796
Non-recurring fees and expenses		—			5,922
Net realized gain (loss)		(30,251,410	)		(147,391,314	)
Change in net unrealized appreciation (depreciation)		218,274			91,477,472
Net Income (loss)	$	(27,609,114	)	$	(55,929,191	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	387,764,059		$	975,683,533
NAV end of period	$	283,050,691		$	995,489,778
Percentage change in NAV		(27.0	)%		2.0	%
Shares outstanding beginning of period		20,977,842			6,722,842
Shares outstanding end of period		17,474,459			7,732,842
Percentage change in shares outstanding		(16.7	)%		15.0	%
Shares created		13,400,000			9,340,000
Shares redeemed		16,903,383			8,330,000
Per share NAV beginning of period	$	18.48		$	145.13
Per share NAV end of period	$	16.20		$	128.74
Percentage change in per share NAV		(12.4	)%		(11.3	)%
Percentage change in benchmark		(6.1	)%		(5.7	)%
Benchmark annualized volatility		52.0	%		51.0	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,977,842 outstanding Shares at June 30, 2023 to 17,474,459 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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,722,842 outstanding Shares at June 30, 2022 to 7,732,842 outstanding Shares at September 30, 2022. 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 and

one-half

times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

138

Table of Contents

For the three months ended September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	1,830,246		$	(402,633	)
Management fee		803,793			2,831,005
Brokerage commission		517,699			1,276,819
Futures account fees		103,793			219,828
Non-recurring fees and expenses		—			20,117
Net realized gain (loss)		(142,584,256	)		(289,873,754	)
Change in net unrealized appreciation (depreciation)		108,851,219			161,745,283
Net Income (loss)	$	(31,902,791	)	$	(128,531,104	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of futures prices, in conjunction with a significant decrease in average shares outstanding, during the three months ended September 30, 2023.

~~160~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:~~

Three Months Ended
June 30, 2023

Three Months Ended
June 30, 2022

Net investment income (loss)
   $ 1,765,342    $ (852,779 )
Management fee
   530,826    773,717
Brokerage commission
   95,391    171,182
Futures account fees
   48,732    115,783
Net realized gain (loss)
   (127,239,912 )    23,658,785
Change in net unrealized appreciation (depreciation)
   (21,303,253 )    46,600,777
Net Income (loss)
   $ (146,777,823 )    $ 69,406,783

~~The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value~~See Note 1 of the ~~futures prices, during~~Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form

10-Q

regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.

139

Table of Contents

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	12,330,974		$	5,024,773
NAV end of period	$	17,508,248		$	10,159,189
Percentage change in NAV		42.0	%		102.2	%
Shares outstanding beginning of period		449,970			149,970
Shares outstanding end of period		699,970			349,970
Percentage change in shares outstanding		55.6	%		133.4	%
Shares created		300,000			250,000
Shares redeemed		50,000			50,000
Per share NAV beginning of period	$	27.40		$	33.51
Per share NAV end of period	$	25.01		$	29.03
Percentage change in per share NAV		(8.7	)%		(13.3	)%
Percentage change in benchmark		(3.4	)%		(6.5	)%
Benchmark annualized volatility		8.9	%		11.2	%

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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. 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, 2023 and 2022, 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 8.7% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.4% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, 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, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	138,386		$	3,923
Management fee		35,968			21,245
Non-recurring fees and expenses		—			194
Net realized gain (loss)		(1,854,770	)		(1,652,590	)
Change in net unrealized appreciation (depreciation)		277,206			(14,681	)
Net Income (loss)	$	(1,439,178	)	$	(1,663,348	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2023.

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.~~

~~Results of Operations for the Six Months Ended June 30, 2023 Compared to the Six Months Ended June 30, 2022~~

~~ProShares Short VIX Short-Term Futures ETF~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 339,591,638 $ 423,812,594
NAV end of period
   $ 282,353,267 $ 403,644,956
Percentage change in NAV
   (16.9 )% (4.8 )%
Shares outstanding beginning of period
   5,784,307 6,884,307
Shares outstanding end of period
   3,334,307 8,384,307
Percentage change in shares outstanding
   (42.4 )% 21.8 %
Shares created
   3,000,000 4,600,000
Shares redeemed
   5,450,000 3,100,000
Per share NAV beginning of period
   $ 58.71 $ 61.56
Per share NAV end of period
   $ 84.68 $ 48.14
Percentage change in per share NAV
   44.2 % (21.8 )%
Percentage change in benchmark
   (55.7 )% 21.6 %
Benchmark annualized volatility
   58.0 % 88.1 %

~~During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307~~

140

Table of Contents

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	112,854,952		$	501,157,304
NAV end of period	$	296,776,466		$	368,791,089
Percentage change in NAV		163.0	%		(26.4	)%
Shares outstanding beginning of period		4,405,220			21,755,220
Shares outstanding end of period		17,605,220			12,155,220
Percentage change in shares outstanding		299.6	%		(44.1	)%
Shares created		17,250,000			11,050,000
Shares redeemed		4,050,000			20,650,000
Per share NAV beginning of period	$	25.62		$	23.04
Per share NAV end of period	$	16.86		$	30.34
Percentage change in per share NAV		(34.2	)%		31.7	%
Percentage change in benchmark		22.1	%		(18.6	)%
Benchmark annualized volatility		18.4	%		42.8	%

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 December 31, 2022 to 3,334,307 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2022, the decrease in the

~~161~~

~~Table of Contents~~

Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 44.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 3,113,594    $ (2,390,922 )
Management fee
   1,182,813    2,020,898
Brokerage commission
   249,925    365,250
Futures account fees
   —      324,251
Net realized gain (loss)
   94,806,479    (54,216,320 )
Change in net unrealized appreciation (depreciation)
   12,828,278    (30,209,873 )
Net Income (loss)
   $ 110,748,351    $ (86,817,115 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2023.

~~ProShares Ultra Bloomberg Crude Oil~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 859,094,274 $ 1,103,783,570
NAV end of period
   $ 738,194,368 $ 1,060,867,238
Percentage change in NAV
   (14.1 )% (3.9 )%
Shares outstanding beginning of period
   28,393,096 51,243,096
Shares outstanding end of period
   31,093,096 25,493,096
Percentage change in shares outstanding
   9.5 % (50.3 )%
Shares created
   34,650,000 10,300,000
Shares redeemed
   31,950,000 36,050,000
Per share NAV beginning of period
   $ 30.26 $ 21.54

~~162~~

~~Table of Contents~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Per share NAV end of period
   $ 23.74 $ 41.61
Percentage change in per share NAV
   (21.5 )% 93.2 %
Percentage change in benchmark
   (9.5 )% 45.9 %
Benchmark annualized volatility
   31.7 % 41.9 %

. The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and 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

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022

For the six months ended June 30, 2023 and 2022, 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 21.5% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 93.2% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 8,077,737 $ (5,308,864 )
Management fee
   3,619,616 6,183,716
Brokerage commission
   188,647 335,751
Futures account fees
   —   362,288
Net realized gain (loss)
   9,365,632 1,162,711,373
Change in net unrealized appreciation (depreciation)
   (92,671,285 ) (306,208,096 )
Net Income (loss)
   $ (75,227,916 ) $ 851,194,413

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

For the three months ended September 30, 2023 and 2022, 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 34.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

*	~~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 Ultra Bloomberg Crude Oil.~~

~~163~~

~~Table of Contents~~

ProShares Ultra Bloomberg Natural Gas*

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 586,151,113 $ 193,892,178
NAV end of period
   $ 1,141,021,278 $ 187,297,842
Percentage change in NAV
   94.7 % (3.4 )%
Shares outstanding beginning of period
   1,614,376 379,376
Shares outstanding end of period
   16,421,876 236,876
Percentage change in shares outstanding
   917.2 % (37.6 )%
Shares created
   32,765,000 455,000
Shares redeemed
   17,957,500 597,500
Per share NAV beginning of period
   $ 363.08 $ 511.08
Per share NAV end of period
   $ 69.48 $ 790.70
Percentage change in per share NAV
   (80.9 )% 54.7 %
Percentage change in benchmark
   (49.3 )% 48.9 %
Benchmark annualized volatility
   69.2 % 80.3 %

~~During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376~~

141

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	2,006,197		$	392,570
Management fee		548,671			1,160,746
Brokerage commission		54,549			148,121
Futures account fees		—			39,563
Non-recurring fees and expenses		—			7,548
Net realized gain (loss)		(47,764,760	)		66,444,885
Change in net unrealized appreciation (depreciation)		(38,018,359	)		76,987,949
Net Income (loss)	$	(83,776,922	)	$	143,825,404

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to an increase in the value of WTI Crude Oil during the three months ended September 30, 2023.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	141,324,963		$	211,823,446
NAV end of period	$	111,663,062		$	242,389,998
Percentage change in NAV		(21.0	)%		14.4	%
Shares outstanding beginning of period		2,566,856			4,966,856
Shares outstanding end of period		1,816,856			13,966,856
Percentage change in shares outstanding		(29.2	)%		181.2	%
Shares created		5,500,000			58,900,000
Shares redeemed		6,250,000			49,900,000
Per share NAV beginning of period	$	55.06		$	42.65
Per share NAV end of period	$	61.46		$	17.35
Percentage change in per share NAV		11.6	%		(59.3	)%
Percentage change in benchmark		(9.2	)%		25.3	%
Benchmark annualized volatility		39.6	%		76.6	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,566,856 outstanding Shares at December 31, 2022 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 379,376 outstanding Shares at December 31, 2021 to 236,876 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

For the six months ended June 30, 2023 and 2022, 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 80.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 54.7% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets during the six months ended June 30, 2023.

The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023 to 1,816,856 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended September 30, 2023 and 2022, 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 11.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

142

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	1,013,760		$	(5,144	)
Management fee		304,567			730,949
Brokerage commission		133,782			173,386
Futures account fees		23,941			48,485
Non-recurring fees and expenses		—			5,374
Net realized gain (loss)		(10,798,625	)		8,115,767
Change in net unrealized appreciation (depreciation)		44,086,822			(23,467,384	)
Net Income (loss)	$	34,301,957		$	(15,356,761	)

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas, during the three months ended September 30, 2023.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	50,931,301		$	62,270,097
NAV end of period	$	44,004,408		$	90,584,278
Percentage change in NAV		(13.6	)%		45.5	%
Shares outstanding beginning of period		1,750,000			2,050,000
Shares outstanding end of period		1,400,000			2,600,000
Percentage change in shares outstanding		(20.0	)%		26.8	%
Shares created		—			1,100,000
Shares redeemed		350,000			550,000
Per share NAV beginning of period	$	29.10		$	30.38
Per share NAV end of period	$	31.43		$	34.84
Percentage change in per share NAV		8.0	%		14.7	%
Percentage change in benchmark		(3.1	)%		(6.5	)%
Benchmark annualized volatility		6.7	%		11.2	%

143

Table of Contents

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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. 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 euro versus the U.S. dollar.

For the three months ended September 30, 2023 and 2022, 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 8.0% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	412,212		$	25,953
Management fee		111,472			203,036
Non-recurring fees and expenses		—			1,835
Net realized gain (loss)		(122,866	)		11,086,708
Change in net unrealized appreciation (depreciation)		3,207,102			(292,818	)
Net Income (loss)	$	3,496,448		$	10,819,843

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2023.

144

Table of Contents

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	15,809,378		$	34,611,284
NAV end of period	$	14,365,869		$	29,634,725
Percentage change in NAV		(9.1	)%		(14.4	)%
Shares outstanding beginning of period		546,977			1,096,977
Shares outstanding end of period		446,977			796,977
Percentage change in shares outstanding		(18.3	)%		(27.3	)%
Shares created		100,000			350,000
Shares redeemed		200,000			650,000
Per share NAV beginning of period	$	28.90		$	31.55
Per share NAV end of period	$	32.14		$	37.18
Percentage change in per share NAV		11.2	%		17.9	%
Percentage change in benchmark		(3.9	)%		(7.9	)%
Benchmark annualized volatility		9.5	%		13.4	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 546,977 outstanding Shares at June 30, 2023 to 446,977 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Gold Subindex

. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. 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

For the three months ended September 30, 2023 and 2022, 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 11.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	108,638		$	(8,595	)
Management fee		32,970			76,652
Brokerage commission		1,099			3,565
Non-recurring fees and expenses		—			639
Net realized gain (loss)		1,436,424			4,988,228
Change in net unrealized appreciation (depreciation)		(251,606	)		841,546
Net Income (loss)	$	1,293,456		$	5,821,179

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the futures prices during the three months ended September 30, 2023.

145

Table of Contents

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	19,290,473		$	33,052,840
NAV end of period	$	16,967,517		$	33,763,052
Percentage change in NAV		(12.0	)%		2.1	%
Shares outstanding beginning of period		941,329			1,041,329
Shares outstanding end of period		791,329			991,329
Percentage change in shares outstanding		(15.9	)%		(4.8	)%
Shares created		2,950,000			1,000,000
Shares redeemed		3,100,000			1,050,000
Per share NAV beginning of period	$	20.49		$	31.74
Per share NAV end of period	$	21.44		$	34.06
Percentage change in per share NAV		4.6	%		7.3	%
Percentage change in benchmark		(2.6	)%		(6.5	)%
Benchmark annualized volatility		23.4	%		31.8	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 941,329 outstanding Shares at June 30, 2023 to 791,329 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

. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Silver Subindex

. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022.

For the three months ended September 30, 2023 and 2022, 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 4.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2023.

146

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023		Three Months Ended September 30, 2022
Net investment income (loss)	$	245,155	$	(13,304	)
Management fee		78,166		67,215
Brokerage commission		13,775		8,699
Non-recurring fees and expenses		—		612
Net realized gain (loss)		6,921,431		6,215,407
Change in net unrealized appreciation (depreciation)		61,770		(4,075,524	)
Net Income (loss)	$	7,228,356	$	2,126,579

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	27,077,656		$	45,568,882
NAV end of period	$	26,172,191		$	51,937,338
Percentage change in NAV		(3.3	)%		14.0	%
Shares outstanding beginning of period		398,580			798,580
Shares outstanding end of period		348,580			798,580
Percentage change in shares outstanding		(12.5	)%		–	%
Shares created		—			250,000
Shares redeemed		50,000			250,000
Per share NAV beginning of period	$	67.94		$	57.06
Per share NAV end of period	$	75.08		$	65.04
Percentage change in per share NAV		10.5	%		14.0	%
Percentage change in benchmark		(3.4	)%		(6.5	)%
Benchmark annualized volatility		8.9	%		11.2	%

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 398,580 outstanding Shares at June 30, 2023 to 348,580 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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022.

For the three months ended September 30, 2023 and 2022, 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 10.5% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

147

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	215,363		$	7,640
Management fee		58,762			106,598
Non-recurring fees and expenses		—			953
Net realized gain (loss)		3,079,208			5,879,873
Change in net unrealized appreciation (depreciation)		(1,059,246	)		(523,871	)
Net Income (loss)	$	2,235,325		$	5,363,642

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2023.

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, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	49,421,413		$	95,721,271
NAV end of period	$	59,968,024		$	110,420,574
Percentage change in NAV		21.3	%		15.4	%
Shares outstanding beginning of period		2,412,403			2,712,403
Shares outstanding end of period		3,087,403			3,112,403
Percentage change in shares outstanding		28.0	%		14.7	%
Shares created		850,000			850,000
Shares redeemed		175,000			450,000
Per share NAV beginning of period	$	20.49		$	35.29
Per share NAV end of period	$	19.42		$	35.48
Percentage change in per share NAV		(5.2	)%		0.6	%
Percentage change in benchmark		(4.6	)%		1.1	%
Benchmark annualized volatility		23.8	%		22.1	%

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. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. 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 the daily performance of the S&P 500 VIX

Mid-Term

Futures Index.

148

Table of Contents

For the three months ended September 30, 2023 and 2022, 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 5.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 4.6% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 1.1% for the three months ended September 30, 2022, can be attributed to a 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, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	461,209		$	(1,269	)
Management fee		117,018			201,508
Brokerage commission		8,822			17,922
Futures account fees		9,991			—
Non-recurring fees and expenses		—			2,050
Net realized gain (loss)		(12,244,511	)		(1,349,272	)
Change in net unrealized appreciation (depreciation)		8,934,542			3,368,209
Net Income (loss)	$	(2,848,760	)	$	2,017,668

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended September 30, 2023.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
NAV beginning of period	$	230,227,830		$	341,714,316
NAV end of period	$	211,604,428		$	437,536,628
Percentage change in NAV		(8.2	)%		28.0	%
Shares outstanding beginning of period		9,226,565			3,751,565
Shares outstanding end of period		9,075,947			5,116,565
Percentage change in shares outstanding		(1.6	)%		36.4	%
Shares created		2,475,000			3,555,000
Shares redeemed		2,625,618			2,190,000
Per share NAV beginning of period	$	24.95		$	91.09
Per share NAV end of period	$	23.31		$	85.51
Percentage change in per share NAV		(6.6	)%		(6.1	)%
Percentage change in benchmark		(6.1	)%		(5.7	)%
Benchmark annualized volatility		52.0	%		51.0	%

149

Table of Contents

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 9,226,565 outstanding Shares at June 30, 2023 to 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,751,565 outstanding Shares at June 30, 2022 to 5,116,565 outstanding Shares at September 30, 2022. 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.

For the three months ended September 30, 2023 and 2022, 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 6.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:


	Three Months Ended September 30, 2023			Three Months Ended September 30, 2022
Net investment income (loss)	$	1,721,249		$	259,392
Management fee		447,560			874,070
Brokerage commission		58,426			203,095
Futures account fees		44,110			54,944
Non-recurring fees and expenses		—			8,700
Net realized gain (loss)		(54,950,042	)		(45,457,319	)
Change in net unrealized appreciation (depreciation)		41,841,191			51,698,947
Net Income (loss)	$	(11,387,602	)	$	6,501,020

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of the futures prices, during the three months ended September 30, 2023.

~~164~~

~~Table~~See Note 1 of ~~Contents~~the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form

10-Q

~~Net Income/Loss~~

~~The following table provides summary income information~~regarding the reverse Share split for ~~the Fund for the six months ended June 30, 2023 and 2022:~~ProShares VIX Short-Term Futures ETF.

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 10,410,619    $ (1,082,671 )
Management fee
   4,916,981    931,234
Brokerage commission
   2,098,150    203,158
Futures account fees
   399,478    134,330
Net realized gain (loss)
   (1,678,521,779 )    241,207,930
Change in net unrealized appreciation (depreciation)
   605,047,334    (186,420,725 )
Net Income (loss)
   $ (1,063,063,826 )    $ 53,704,534

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June

150

Table of Contents

Results of Operations for the Nine Months Ended September 30, 2023 Compared to the Nine Months Ended September 30, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	339,591,638		$	423,812,594
NAV end of period	$	261,698,747		$	321,831,051
Percentage change in NAV		(22.9	)%		(24.1	)%
Shares outstanding beginning of period		5,784,307			6,884,307
Shares outstanding end of period		3,034,307			6,634,307
Percentage change in shares outstanding		(47.5	)%		(3.6	)%
Shares created		3,650,000			5,050,000
Shares redeemed		6,400,000			5,300,000
Per share NAV beginning of period	$	58.71		$	61.56
Per share NAV end of period	$	86.25		$	48.51
Percentage change in per share NAV		46.9	%		(21.2	)%
Percentage change in benchmark		(58.4	)%		14.7	%
Benchmark annualized volatility		56.0	%		86.1	%

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 3,034,307 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. By comparison, during the nine months ended September 30, 2022, 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-half

the inverse

(-0.5x)

of 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 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 46.9% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.~~

~~ProShares Ultra Euro~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 10,704,662 $ 8,659,095
NAV end of period
   $ 7,535,435 $ 9,415,626
Percentage change in NAV
   (29.6 )% 8.7 %
Shares outstanding beginning of period
   950,000 650,000
Shares outstanding end of period
   650,000 850,000
Percentage change in shares outstanding
   (31.6 )% 30.8 %
Shares created
   200,000 550,000
Shares redeemed
   500,000 350,000
Per share NAV beginning of period
   $ 11.27 $ 13.32
Per share NAV end of period
   $ 11.59 $ 11.08
Percentage change in per share NAV
   2.9 % (16.8 )%
Percentage change in benchmark
   1.9 % (7.9 )%
Benchmark annualized volatility
   8.0 % 8.8 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. 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 euro versus the U.S. dollar.

~~165~~

~~Table of Contents~~

For the six months ended June 30, 2023 and 2022, 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 2.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 141,322    $ (24,206 )
Management fee
   44,097    35,315
Net realized gain (loss)
   358,570    (893,344 )
Change in net unrealized appreciation (depreciation)
   (175,968 )    (419,715 )
Net Income (loss)
   $ 323,924    $ (1,337,265 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.

~~ProShares Ultra Gold~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 173,524,136 $ 232,780,534
NAV end of period
   $ 180,916,531 $ 239,938,853
Percentage change in NAV
   4.3 % 3.1 %
Shares outstanding beginning of period
   3,150,000 3,900,000
Shares outstanding end of period
   3,100,000 4,250,000
Percentage change in shares outstanding
   (1.6 )% 9.0 %
Shares created
   450,000 1,600,000
Shares redeemed
   500,000 1,250,000
Per share NAV beginning of period
   $ 55.09 $ 59.69
Per share NAV end of period
   $ 58.36 $ 56.46
Percentage change in per share NAV
   5.9 % (5.4 )%
Percentage change in benchmark
   5.4 % (1.5 )%
Benchmark annualized volatility
   14.3 % 15.7 %

~~166~~

~~Table of Contents~~

~~times (2x) the daily performance of the Bloomberg Gold Subindex~~

. The increase in the Fund’s NAV was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 4,250,000 outstanding Shares at June 30, 2022. 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 Gold Subindex

For the six months ended June 30, 2023 and 2022, 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 5.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 5.4% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 2,715,295    $ (1,037,188 )
Management fee
   901,375    1,387,563
Brokerage commission
   15,540    35,723
Futures account fees
   —      28,169
Net realized gain (loss)
   27,968,003    (82,487 )
Change in net unrealized appreciation (depreciation)
   (22,166,463 )    (19,849,468 )
Net Income (loss)
   $ 8,516,835    $ (20,969,143 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of futures prices, during the six months ended June 30, 2023.

~~ProShares Ultra Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 414,285,878 $ 515,453,594
NAV end of period
   $ 356,791,659 $ 355,577,515
Percentage change in NAV
   (13.9 )% (31.0 )%
Shares outstanding beginning of period
   13,046,526 14,796,526
Shares outstanding end of period
   13,196,526 14,346,526
Percentage change in shares outstanding
   1.1 % (3.0 )%
Shares created
   2,600,000 1,800,000
Shares redeemed
   2,450,000 2,250,000

~~167~~

~~Table of Contents~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Per share NAV beginning of period
   $ 31.75 $ 34.84
Per share NAV end of period
   $ 27.04 $ 24.78
Percentage change in per share NAV
   (14.8 )% (28.9 )%
Percentage change in benchmark
   (4.4 )% (13.4 )%
Benchmark annualized volatility
   25.8 % 28.2 %

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

~~. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.~~

For the six months ended June 30, 2023 and 2022, 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 14.8% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.9% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 5,153,877 $ (1,823,952 )
Management fee
   1,848,064 2,299,939
Brokerage commission
   73,637 59,283
Futures account fees
   —   26,693
Net realized gain (loss)
   35,871,579 (39,558,312 )
Change in net unrealized appreciation (depreciation)
   (96,665,222 ) (108,172,044 )
Net Income (loss)
   $ (55,639,766 ) $ (149,554,308 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a lesser decrease in the value of futures prices during the six months ended June

151

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	4,964,960		$	(2,481,226	)
Management fee		1,817,684			2,934,952
Brokerage commission		387,868			517,911
Futures account fees		—			348,217
Non-recurring fees and expenses		—			6,122
Net realized gain (loss)		125,091,802			(26,521,746	)
Change in net unrealized appreciation (depreciation)		(13,488,869	)		(47,680,063	)
Net Income (loss)	$	116,567,893		$	(76,683,035	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2023.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	859,094,274		$	1,103,783,570
NAV end of period	$	604,124,332		$	724,595,262
Percentage change in NAV		(29.7	)%		(34.4	)%
Shares outstanding beginning of period		28,393,096			51,243,096
Shares outstanding end of period		17,143,096			27,643,096
Percentage change in shares outstanding		(39.6	)%		(46.1	)%
Shares created		34,650,000			20,700,000
Shares redeemed		45,900,000			44,300,000
Per share NAV beginning of period	$	30.26		$	21.54
Per share NAV end of period	$	35.24		$	26.21
Percentage change in per share NAV		16.5	%		21.7	%
Percentage change in benchmark		10.5	%		18.7	%
Benchmark annualized volatility		28.0	%		45.6	%

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

. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. 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

For the nine months ended September 30, 2023 and 2022, 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 16.5% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

152

Table of Contents

The benchmark’s rise of 10.5% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 18.7% for the nine months ended September 30, 2022, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	11,737,266		$	(5,154,872	)
Management fee		5,249,353			8,301,804
Brokerage commission		239,809			421,657
Futures account fees		—			381,754
Non-recurring fees and expenses		—			13,739
Net realized gain (loss)		253,915,875			818,132,441
Change in net unrealized appreciation (depreciation)		(64,494,313	)		(339,456,270	)
Net Income (loss)	$	201,158,828		$	473,521,299

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser increase in the value of WTI Crude Oil during the nine months ended September 30, 2023.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	586,151,113		$	193,892,178
NAV end of period	$	870,339,281		$	289,386,097
Percentage change in NAV		48.5	%		49.3	%
Shares outstanding beginning of period		1,614,376			379,376
Shares outstanding end of period		16,118,544			271,876
Percentage change in shares outstanding		898.4	%		(28.3	)%
Shares created		45,715,000			755,000
Shares redeemed		31,210,832			862,500
Per share NAV beginning of period	$	363.08		$	511.08
Per share NAV end of period	$	54.00		$	1064.40
Percentage change in per share NAV		(85.1	)%		108.3	%
Percentage change in benchmark		(54.0	)%		86.6	%
Benchmark annualized volatility		60.8	%		71.7	%

153

Table of Contents

During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 16,118,544 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

. By comparison, during the nine months ended September 30, 2022, 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 Natural Gas Subindex

. The increase in the Fund’s NAV was offset by a decrease from 379,376 outstanding Shares at December 31, 2021 to 271,876 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 85.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 54.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 86.6% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	16,444,672		$	(977,992	)
Management fee		7,220,063			1,589,759
Brokerage commission		2,727,691			300,747
Futures account fees		531,306			177,950
Non-recurring fees and expenses		—			4,791
Net realized gain (loss)		(1,441,441,743	)		235,314,633
Change in net unrealized appreciation (depreciation)		194,575,089			(89,199,198	)
Net Income (loss)	$	(1,230,421,982	)	$	145,137,443

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2023.

154

Table of Contents

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	10,704,662		$	8,659,095
NAV end of period	$	6,523,481		$	13,869,371
Percentage change in NAV		(39.1	)%		60.2	%
Shares outstanding beginning of period		950,000			650,000
Shares outstanding end of period		600,000			1,450,000
Percentage change in shares outstanding		(36.8	)%		123.1	%
Shares created		200,000			1,250,000
Shares redeemed		550,000			450,000
Per share NAV beginning of period	$	11.27		$	13.32
Per share NAV end of period	$	10.87		$	9.57
Percentage change in per share NAV		(3.5	)%		(28.2	)%
Percentage change in benchmark		(1.2	)%		(13.2	)%
Benchmark annualized volatility		7.6	%		9.4	%

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. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. 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 euro versus the U.S. dollar.

For the nine months ended September 30, 2023 and 2022, 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, 2023, as compared to the Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 1.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 13.2% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	205,069		$	(18,918	)
Management fee		61,096			66,646
Non-recurring fees and expenses		—			237
Net realized gain (loss)		336,185			(2,511,725	)
Change in net unrealized appreciation (depreciation)		(638,368	)		(514,727	)
Net Income (loss)	$	(97,114	)	$	(3,045,370	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2023.

155

Table of Contents

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	173,524,136		$	232,780,534
NAV end of period	$	147,696,557		$	160,022,292
Percentage change in NAV		(14.9	)%		(31.3	)%
Shares outstanding beginning of period		3,150,000			3,900,000
Shares outstanding end of period		2,800,000			3,400,000
Percentage change in shares outstanding		(11.1	)%		(12.8	)%
Shares created		500,000			1,650,000
Shares redeemed		850,000			2,150,000
Per share NAV beginning of period	$	55.09		$	59.69
Per share NAV end of period	$	52.75		$	47.07
Percentage change in per share NAV		(4.3	)%		(21.1	)%
Percentage change in benchmark		1.3	%		(9.3	)%
Benchmark annualized volatility		12.9	%		17.4	%

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 2,800,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 4.3% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s rise of 1.3% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 9.3% for the nine months ended September 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2023.

156

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	4,130,377		$	(845,479	)
Management fee		1,318,793			1,863,020
Brokerage commission		20,886			43,899
Futures account fees		—			28,169
Non-recurring fees and expenses		—			2,940
Net realized gain (loss)		11,092,138			(39,908,781	)
Change in net unrealized appreciation (depreciation)		(22,707,149	)		(17,626,635	)
Net Income (loss)	$	(7,484,634	)	$	(58,380,895	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to an increase in average net assets, which was offset by an increase in futures prices, during the nine months ended September 30, 2023.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	414,285,878		$	515,453,594
NAV end of period	$	327,996,075		$	323,970,863
Percentage change in NAV		(20.8	)%		(37.1	)%
Shares outstanding beginning of period		13,046,526			14,796,526
Shares outstanding end of period		13,246,526			15,546,526
Percentage change in shares outstanding		1.5	%		5.1	%
Shares created		4,100,000			4,250,000
Shares redeemed		3,900,000			3,500,000
Per share NAV beginning of period	$	31.75		$	34.84
Per share NAV end of period	$	24.76		$	20.84
Percentage change in per share NAV		(22.0	)%		(40.2	)%
Percentage change in benchmark		(6.9	)%		(19.0	)%
Benchmark annualized volatility		25.0	%		31.7	%

. 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. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

. The decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 22.0% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

157

Table of Contents

The benchmark’s decline of 6.9% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 19.0% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	7,577,899		$	(1,839,301	)
Management fee		2,740,073			3,098,741
Brokerage commission		101,511			94,079
Futures account fees		—			26,693
Non-recurring fees and expenses		—			5,922
Net realized gain (loss)		5,620,169			(186,949,626	)
Change in net unrealized appreciation (depreciation)		(96,446,948	)		(16,694,572	)
Net Income (loss)	$	(83,248,880	)	$	(205,483,499	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser decrease in the value of futures prices during the nine months ended September 30, 2023.

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	639,318,362		$	816,679,636
NAV end of period	$	283,050,691		$	995,489,778
Percentage change in NAV		(55.7	)%		21.9	%
Shares outstanding beginning of period		9,307,842			6,582,842
Shares outstanding end of period		17,474,459			7,732,842
Percentage change in shares outstanding		87.7	%		17.5	%
Shares created		34,710,000			23,490,000
Shares redeemed		26,543,383			22,340,000
Per share NAV beginning of period	$	68.69		$	124.06
Per share NAV end of period	$	16.20		$	128.74
Percentage change in per share NAV		(76.4	)%		3.7	%
Percentage change in benchmark		(58.4	)%		14.7	%
Benchmark annualized volatility		56.0	%		86.1	%

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 9,307,842 outstanding Shares at December 31, 2022 to 17,474,459 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 7,732,842 outstanding Shares at September 30, 2022. 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.

158

Table of Contents

For the nine months ended September 30, 2023 and 2022, 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 76.4% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	6,553,073		$	(7,265,397	)
Management fee		3,507,644			7,085,920
Brokerage commission		2,007,911			3,183,788
Futures account fees		354,153			1,446,639
Non-recurring fees and expenses		—			20,117
Net realized gain (loss)		(751,125,820	)		81,807,278
Change in net unrealized appreciation (depreciation)		65,573,569			323,479,748
Net Income (loss)	$	(678,999,178	)	$	398,021,629

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2023.

~~168~~

~~Table~~See Note 1 of ~~Contents~~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*ETF.

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 639,318,362 $ 816,679,636
NAV end of period
   $ 387,764,059 $ 975,683,533
Percentage change in NAV
   (39.3 )% 19.5 %
Shares outstanding beginning of period
   9,307,842 6,582,842
Shares outstanding end of period
   20,977,842 6,722,842
Percentage change in shares outstanding
   125.4 % 2.1 %
Shares created
   21,310,000 14,150,000
Shares redeemed
   9,640,000 14,010,000
Per share NAV beginning of period
   $ 68.89 $ 124.06
Per share NAV end of period
   $ 18.48 $ 145.13
Percentage change in per share NAV
   (73.1 )% 17.0 %
Percentage change in benchmark
   (55.7 )% 21.6 %
Benchmark annualized volatility
   58.0 % 88.1 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,307,842 outstanding Shares at December 31, 2022 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 6,722,842 outstanding Shares at June 30, 2022

For the six months ended June 30, 2023 and 2022, 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 73.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.0% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June

159

Table of Contents

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	13,814,796		$	2,362,849
NAV end of period	$	17,508,248		$	10,159,189
Percentage change in NAV		26.7	%		330.0	%
Shares outstanding beginning of period		399,970			49,970
Shares outstanding end of period		699,970			349,970
Percentage change in shares outstanding		75.0	%		600.4	%
Shares created		500,000			350,000
Shares redeemed		200,000			50,000
Per share NAV beginning of period	$	34.54		$	47.29
Per share NAV end of period	$	25.01		$	29.03
Percentage change in per share NAV		(27.6	)%		(38.6	)%
Percentage change in benchmark		(12.2	)%		(20.3	)%
Benchmark annualized volatility		10.2	%		10.1	%

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. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. 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, 2023 and 2022, 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 27.6% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 12.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 20.3% for the nine months ended September 30, 2022, 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, 2023.

160

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	317,594		$	(5,605	)
Management fee		91,858			34,710
Non-recurring fees and expenses		—			194
Net realized gain (loss)		(2,923,720	)		(2,531,291	)
Change in net unrealized appreciation (depreciation)		(1,564,970	)		(3,861	)
Net Income (loss)	$	(4,171,096	)	$	(2,540,757	)

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the nine months ended September 30, 2023.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	222,697,337		$	114,167,602
NAV end of period	$	296,776,466		$	368,791,089
Percentage change in NAV		33.3	%		223.0	%
Shares outstanding beginning of period		9,305,220			1,776,760
Shares outstanding end of period		17,605,220			12,155,220
Percentage change in shares outstanding		89.2	%		584.1	%
Shares created		28,800,000			38,940,000
Shares redeemed		20,500,000			28,561,540
Per share NAV beginning of period	$	23.93		$	64.26
Per share NAV end of period	$	16.86		$	30.34
Percentage change in per share NAV		(29.6	)%		(52.8	)%
Percentage change in benchmark		10.5	%		18.7	%
Benchmark annualized volatility		28.0	%		45.6	%

During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 9,305,220 outstanding Shares at December 31, 2022 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

For the nine months ended September 30, 2023 and 2022, 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 29.6% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

161

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	4,599,541		$	(1,043,095	)
Management fee		1,392,728			2,599,503
Brokerage commission		180,385			332,256
Futures account fees		—			195,542
Non-recurring fees and expenses		—			7,548
Net realized gain (loss)		7,884,531			(142,631,216	)
Change in net unrealized appreciation (depreciation)		(35,278,737	)		113,674,105
Net Income (loss)	$	(22,794,665	)	$	(30,000,206	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2023.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	134,109,520		$	242,145,130
NAV end of period	$	111,663,062		$	242,389,998
Percentage change in NAV		(16.7	)%		0.1	%
Shares outstanding beginning of period		4,966,856			978,742
Shares outstanding end of period		1,816,856			13,966,856
Percentage change in shares outstanding		(63.4	)%		1,327.0	%
Shares created		19,350,000			82,240,000
Shares redeemed		22,500,000			69,251,886
Per share NAV beginning of period	$	27.00		$	247.40
Per share NAV end of period	$	61.46		$	17.35
Percentage change in per share NAV		127.7	%		(93.0	)%
Percentage change in benchmark		(54.0	)%		86.6	%
Benchmark annualized volatility		60.8	%		71.7	%

162

Table of Contents

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 1,816,856 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

For the nine months ended September 30, 2023 and 2022, 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 127.7% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	2,446,610		$	(1,452,942	)
Management fee		903,703			1,784,017
Brokerage commission		577,070			539,244
Futures account fees		80,308			255,370
Non-recurring fees and expenses		—			5,374
Net realized gain (loss)		221,345,184			(389,255,425	)
Change in net unrealized appreciation (depreciation)		(62,123,076	)		116,824,672
Net Income (loss)	$	161,668,718		$	(273,883,695	)

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2023.

163

Table of Contents

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	75,113,179		$	54,263,045
NAV end of period	$	44,004,408		$	90,584,278
Percentage change in NAV		(41.4	)%		66.9	%
Shares outstanding beginning of period		2,550,000			2,100,000
Shares outstanding end of period		1,400,000			2,600,000
Percentage change in shares outstanding		(45.1	)%		23.8	%
Shares created		100,000			1,650,000
Shares redeemed		1,250,000			1,150,000
Per share NAV beginning of period	$	29.46		$	25.84
Per share NAV end of period	$	31.43		$	34.84
Percentage change in per share NAV		6.7	%		34.8	%
Percentage change in benchmark		(1.2	)%		(13.2	)%
Benchmark annualized volatility		7.6	%		9.4	%

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. By comparison, during the nine months ended September 30, 2022, 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 euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 6.7% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	1,360,409		$	(184,021	)
Management fee		404,141			467,426
Non-recurring fees and expenses		—			1,835
Net realized gain (loss)		(2,576,119	)		16,904,945
Change in net unrealized appreciation (depreciation)		3,904,782			3,015,661
Net Income (loss)	$	2,689,072		$	19,736,585

164

Table of Contents

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2023.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	15,456,037		$	26,859,844
NAV end of period	$	14,365,869		$	29,634,725
Percentage change in NAV		(7.1	)%		10.3	%
Shares outstanding beginning of period		496,977			846,977
Shares outstanding end of period		446,977			796,977
Percentage change in shares outstanding		(10.1	)%		(5.9	)%
Shares created		700,000			1,500,000
Shares redeemed		750,000			1,550,000
Per share NAV beginning of period	$	31.10		$	31.71
Per share NAV end of period	$	32.14		$	37.18
Percentage change in per share NAV		3.4	%		17.3	%
Percentage change in benchmark		1.3	%		(9.3	)%
Benchmark annualized volatility		12.9	%		17.4	%

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

(-2x)

of the daily performance of the Bloomberg Gold Subindex

. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 3.4% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

165

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	343,044		$	(128,991	)
Management fee		112,212			218,466
Brokerage commission		4,065			9,361
Futures account fees		—			2,446
Non-recurring fees and expenses		—			639
Net realized gain (loss)		(1,147,608	)		3,237,429
Change in net unrealized appreciation (depreciation)		1,851,613			3,160,276
Net Income (loss)	$	1,047,049		$	6,268,714

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2023.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	31,932,799		$	26,537,000
NAV end of period	$	16,967,517		$	33,763,052
Percentage change in NAV		(46.9	)%		27.2	%
Shares outstanding beginning of period		1,641,329			991,329
Shares outstanding end of period		791,329			991,329
Percentage change in shares outstanding		(51.8	)%		—	%
Shares created		6,050,000			2,800,000
Shares redeemed		6,900,000			2,800,000
Per share NAV beginning of period	$	19.46		$	26.77
Per share NAV end of period	$	21.44		$	34.06
Percentage change in per share NAV		10.2	%		27.2	%
Percentage change in benchmark		(6.9	)%		(19.0	)%
Benchmark annualized volatility		25.0	%		31.7	%

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 791,329 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

(-2x)

of the daily performance of the Bloomberg Silver Subindex

. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022.

For the nine months ended September 30, 2023 and 2022, 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 10.2% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

166

Table of Contents

The benchmark’s decline of 6.9% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 19.0% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023		Nine Months Ended September 30, 2022
Net investment income (loss)	$	611,721	$	(125,396	)
Management fee		220,751		190,549
Brokerage commission		28,436		20,677
Futures account fees		—		4,443
Non-recurring fees and expenses		—		612
Net realized gain (loss)		10,747,744		8,252,703
Change in net unrealized appreciation (depreciation)		4,528,828		1,567,440
Net Income (loss)	$	15,888,293	$	9,694,747

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2023.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	21,397,736		$	24,840,784
NAV end of period	$	26,172,191		$	51,937,338
Percentage change in NAV		22.3	%		109.1	%
Shares outstanding beginning of period		398,580			598,580
Shares outstanding end of period		348,580			798,580
Percentage change in shares outstanding		(12.5	)%		33.4	%
Shares created		450,000			1,100,000
Shares redeemed		500,000			900,000
Per share NAV beginning of period	$	53.68		$	41.50
Per share NAV end of period	$	75.08		$	65.04
Percentage change in per share NAV		39.9	%		56.7	%
Percentage change in benchmark		(12.2	)%		(20.3	)%
Benchmark annualized volatility		10.2	%		10.1	%

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 398,580 outstanding Shares at December 31, 2022 to 348,580 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, 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 also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022.

167

Table of Contents

For the nine months ended September 30, 2023 and 2022, 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 39.9% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023		Nine Months Ended September 30, 2022
Net investment income (loss)	$	565,926	$	(109,049	)
Management fee		167,753		259,599
Non-recurring fees and expenses		—		953
Net realized gain (loss)		3,422,003		14,980,187
Change in net unrealized appreciation (depreciation)		3,945,278		(453,336	)
Net Income (loss)	$	7,933,207	$	14,417,802

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, 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, 2023.

168

Table of Contents

ProShares VIX

Mid-Term

Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	84,014,959		$	112,875,680
NAV end of period	$	59,968,024		$	110,420,574
Percentage change in NAV		(28.6	)%		(2.2	)%
Shares outstanding beginning of period		2,762,403			3,687,403
Shares outstanding end of period		3,087,403			3,112,403
Percentage change in shares outstanding		11.8	%		(15.6	)%
Shares created		1,700,000			1,850,000
Shares redeemed		1,375,000			2,425,000
Per share NAV beginning of period	$	30.41		$	30.61
Per share NAV end of period	$	19.42		$	35.48
Percentage change in per share NAV		(36.1	)%		15.9	%
Percentage change in benchmark		(35.0	)%		17.8	%
Benchmark annualized volatility		28.2	%		32.5	%

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. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. 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 the daily performance of the S&P 500 VIX

Mid-Term

Futures Index.

For the nine months ended September 30, 2023 and 2022, 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 36.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 35.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 17.8% for the nine months ended September 30, 2022, can be attributed to a 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, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	1,430,860		$	(437,530	)
Management fee		401,207			627,755
Brokerage commission		30,191			58,291
Futures account fees		33,287			46,394
Non-recurring fees and expenses		—			2,050
Net realized gain (loss)		(35,008,564	)		11,304,277
Change in net unrealized appreciation (depreciation)		3,841,900			6,887,044
Net Income (loss)	$	(29,735,804	)	$	17,753,791

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2023.

169

Table of Contents

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
NAV beginning of period	$	266,580,320		$	269,703,164
NAV end of period	$	211,604,428		$	437,536,628
Percentage change in NAV		(20.6	)%		62.2	%
Shares outstanding beginning of period		4,676,565			3,566,565
Shares outstanding end of period		9,075,947			5,116,565
Percentage change in shares outstanding		94.1	%		43.5	%
Shares created		9,235,000			7,180,000
Shares redeemed		4,835,618			5,630,000
Per share NAV beginning of period	$	57.00		$	75.62
Per share NAV end of period	$	23.31		$	85.51
Percentage change in per share NAV		(59.1	)%		13.1	%
Percentage change in benchmark		(58.4	)%		14.7	%
Benchmark annualized volatility		56.0	%		86.1	%

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 4,676,565 outstanding Shares at December 31, 2022 to 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 5,116,565 outstanding Shares at September 30, 2022. 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 Short-Term Futures Index.

For the nine months ended September 30, 2023 and 2022, 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 59.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

170

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:


	Nine Months Ended September 30, 2023			Nine Months Ended September 30, 2022
Net investment income (loss)	$	4,942,508		$	(1,545,500	)
Management fee		1,495,874			2,353,478
Brokerage commission		250,314			490,751
Futures account fees		143,501			371,384
Non-recurring fees and expenses		—			8,700
Net realized gain (loss)		(228,286,648	)		31,935,690
Change in net unrealized appreciation (depreciation)		21,667,964			84,851,343
Net Income (loss)	$	(201,676,176	)	$	115,241,533

~~169~~

~~Table~~See Note 1 of ~~Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for~~ the ~~Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 4,722,827    $ (6,862,764 )
Management fee
   2,703,851    4,254,915
Brokerage commission
   1,490,212    1,906,969
Futures account fees
   250,360    1,226,811
Net realized gain (loss)
   (608,541,564 )    371,681,032
Change in net unrealized appreciation (depreciation)
   (43,277,650 )    161,734,465
Net Income (loss)
   $ (647,096,387 )    $ 526,552,733

~~The Fund’s net income decreased for the six months ended June 30, 2023 as compared~~Notes to ~~the six months ended June 30, 2022, primarily due a decrease~~Financial Statements in ~~the value~~Item 1 of ~~futures prices during the six months ended June 30, 2023.~~part I in this Quarterly Report on Form

10-Q

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q~~ regarding the reverse Share split for ProShares ~~Ultra~~ VIX Short-Term Futures ETF.

~~ProShares Ultra Yen~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 13,814,796 $ 2,362,849
NAV end of period
   $ 12,330,974 $ 5,024,773
Percentage change in NAV
   (10.7 )% 112.7 %
Shares outstanding beginning of period
   399,970 49,970
Shares outstanding end of period
   449,970 149,970
Percentage change in shares outstanding
   12.5 % 200.1 %
Shares created
   200,000 100,000
Shares redeemed
   150,000 —
Per share NAV beginning of period
   $ 34.54 $ 47.29
Per share NAV end of period
   $ 27.40 $ 33.51
Percentage change in per share NAV
   (20.7 )% (29.2 )%
Percentage change in benchmark
   (9.0 )% (15.2 )%
Benchmark annualized volatility
   10.8 % 9.5 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. 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.

~~170~~

~~Table of Contents~~

For the six months ended June 30, 2023 and 2022, 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 20.7% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.2% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 179,208    $ (9,528 )
Management fee
   55,890    13,465
Net realized gain (loss)
   (1,068,950 )    (878,701 )
Change in net unrealized appreciation (depreciation)
   (1,842,176 )    10,820
Net Income (loss)
   $ (2,731,918 )    $ (877,409 )

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the six months ended June 30, 2023.

~~ProShares UltraShort Bloomberg Crude Oil~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 222,697,337 $ 114,167,602
NAV end of period
   $ 112,854,952 $ 501,157,304
Percentage change in NAV
   (49.3 )% 339.0 %
Shares outstanding beginning of period
   9,305,220 1,776,760
Shares outstanding end of period
   4,405,220 21,755,220
Percentage change in shares outstanding
   (52.7 )% 1,124.4 %
Shares created
   11,550,000 27,890,000
Shares redeemed
   16,450,000 7,911,540
Per share NAV beginning of period
   $ 23.93 $ 64.26
Per share NAV end of period
   $ 25.62 $ 23.04
Percentage change in per share NAV
   7.1 % (64.2 )%
Percentage change in benchmark
   (9.5 )% 45.9 %
Benchmark annualized volatility
   31.7 % 41.9 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 2023. The

171

~~Table of Contents~~

decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

For the six months ended June 30, 2023 and 2022, 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 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 2,593,344    $ (1,435,665 )
Management fee
   844,057    1,438,757
Brokerage commission
   125,836    184,135
Futures account fees
   —      155,979
Net realized gain (loss)
   55,649,291    (209,076,101 )
Change in net unrealized appreciation (depreciation)
   2,739,622    36,686,156
Net Income (loss)
   $ 60,982,257    $ (173,825,610 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023.

*	~~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 UltraShort Bloomberg Crude Oil.~~

~~172~~

~~Table of Contents~~

~~ProShares UltraShort Bloomberg Natural Gas~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 134,109,520 $ 242,145,130
NAV end of period
   $ 141,324,963 $ 211,823,446
Percentage change in NAV
   5.4 % (12.5 )%
Shares outstanding beginning of period
   4,966,856 978,742
Shares outstanding end of period
   2,566,856 4,966,856
Percentage change in shares outstanding
   (48.3 )% 407.5 %
Shares created
   13,850,000 23,340,000
Shares redeemed
   16,250,000 19,351,886
Per share NAV beginning of period
   $ 27.00 $ 247.40
Per share NAV end of period
   $ 55.06 $ 42.65
Percentage change in per share NAV
   103.9 % (82.8 )%
Percentage change in benchmark
   (49.3 )% 48.9 %
Benchmark annualized volatility
   69.2 % 80.3 %

. The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

~~. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.~~

For the six months ended June 30, 2023 and 2022, 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 103.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 82.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

~~173~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 1,432,850    $ (1,447,798 )
Management fee
   599,136    1,053,068
Brokerage commission
   443,288    365,858
Futures account fees
   56,367    206,885
Net realized gain (loss)
   232,143,809    (397,371,192 )
Change in net unrealized appreciation (depreciation)
   (106,209,898 )    140,292,056
Net Income (loss)
   $ 127,366,761    $ (258,526,934 )

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2023.

*	~~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 UltraShort Bloomberg Natural Gas.~~

~~ProShares UltraShort Euro~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 75,113,179 $ 54,263,045
NAV end of period
   $ 50,931,301 $ 62,270,097
Percentage change in NAV
   (32.2 )% 14.8 %
Shares outstanding beginning of period
   2,550,000 2,100,000
Shares outstanding end of period
   1,750,000 2,050,000
Percentage change in shares outstanding
   (31.4 )% (2.4 )%
Shares created
   100,000 550,000
Shares redeemed
   900,000 600,000
Per share NAV beginning of period
   $ 29.46 $ 25.84
Per share NAV end of period
   $ 29.10 $ 30.38
Percentage change in per share NAV
   (1.2 )% 17.5 %
Percentage change in benchmark
   1.9 % (7.9 )%
Benchmark annualized volatility
   8.0 % 8.8 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2022, 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

~~174~~

~~Table of Contents~~

spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 1.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.5% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 948,197    $ (209,974 )
Management fee
   292,669    264,390
Net realized gain (loss)
   (2,453,253 )    5,818,237
Change in net unrealized appreciation (depreciation)
   697,680    3,308,479
Net Income (loss)
   $ (807,376 )    $ 8,916,742

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.

~~ProShares UltraShort Gold~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 15,456,037 $ 26,859,844
NAV end of period
   $ 15,809,378 $ 34,611,284
Percentage change in NAV
   2.3 % 28.9 %
Shares outstanding beginning of period
   496,977 846,977
Shares outstanding end of period
   546,977 1,096,977
Percentage change in shares outstanding
   10.1 % 29.5 %
Shares created
   600,000 1,150,000
Shares redeemed
   550,000 900,000
Per share NAV beginning of period
   $ 31.10 $ 31.71
Per share NAV end of period
   $ 28.90 $ 31.55
Percentage change in per share NAV
   (7.1 )% (0.5 )%
Percentage change in benchmark
   5.4 % (1.5 )%
Benchmark annualized volatility
   14.3 % 15.7 %

~~175~~

~~Table of Contents~~

During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted 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 Gold Subindex

For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 0.5% for the six months ended June 30, 2022, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 234,406    $ (120,396 )
Management fee
   79,242    141,814
Brokerage commission
   2,966    5,796
Futures account fees
   —      2,446
Net realized gain (loss)
   (2,584,032 )    (1,750,799 )
Change in net unrealized appreciation (depreciation)
   2,103,219    2,318,730
Net Income (loss)
   $ (246,407 )    $ 447,535

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the futures prices during the six months ended June 30, 2023.

~~ProShares UltraShort Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 31,932,799 $ 26,537,000
NAV end of period
   $ 19,290,473 $ 33,052,840
Percentage change in NAV
   (39.6 )% 24.6 %
Shares outstanding beginning of period
   1,641,329 991,329

~~176~~

~~Table of Contents~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Shares outstanding end of period
   941,329 1,041,329
Percentage change in shares outstanding
   (42.6 )% 5.0 %
Shares created
   3,100,000 1,800,000
Shares redeemed
   3,800,000 1,750,000
Per share NAV beginning of period
   $ 19.46 $ 26.77
Per share NAV end of period
   $ 20.49 $ 31.74
Percentage change in per share NAV
   5.3 % 18.6 %
Percentage change in benchmark
   (4.4 )% (13.4 )%
Benchmark annualized volatility
   25.8 % 28.2 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 941,329 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV 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 the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 5.3% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 18.6% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 366,566    $ (112,092 )
Management fee
   142,585    123,334
Brokerage commission
   14,661    11,978
Futures account fees
   —      4,443
Net realized gain (loss)
   3,826,313    2,037,296
Change in net unrealized appreciation (depreciation)
   4,467,058    5,642,964
Net Income (loss)
   $ 8,659,937    $ 7,568,168

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 2023.

~~177~~

~~Table of Contents~~

~~ProShares UltraShort Yen~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 21,397,736 $ 24,840,784
NAV end of period
   $ 27,077,656 $ 45,568,882
Percentage change in NAV
   26.5 % 83.4 %
Shares outstanding beginning of period
   398,580 598,580
Shares outstanding end of period
   398,580 798,580
Percentage change in shares outstanding
   —   % 33.4 %
Shares created
   450,000 850,000
Shares redeemed
   450,000 650,000
Per share NAV beginning of period
   $ 53.68 $ 41.50
Per share NAV end of period
   $ 67.94 $ 57.06
Percentage change in per share NAV
   26.6 % 37.5 %
Percentage change in benchmark
   (9.0 )% (15.2 )%
Benchmark annualized volatility
   10.8 % 9.5 %

During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2022 to June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at June 30, 2022. 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.

For the six months ended June 30, 2023 and 2022, 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 26.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 37.5% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

~~178~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 350,563    $ (116,689 )
Management fee
   108,991    153,001
Net realized gain (loss)
   342,795    9,100,314
Change in net unrealized appreciation (depreciation)
   5,004,524    70,535
Net Income (loss)
   $ 5,697,882    $ 9,054,160

*	~~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 Ultra Short Yen.~~

~~ProShares VIX Mid-Term Futures ETF~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 84,014,959 $ 112,875,680
NAV end of period
   $ 49,421,413 $ 95,721,271
Percentage change in NAV
   (41.2 )% (15.2 )%
Shares outstanding beginning of period
   2,762,403 3,687,403
Shares outstanding end of period
   2,412,403 2,712,403
Percentage change in shares outstanding
   (12.7 )% (26.4 )%
Shares created
   850,000 1,000,000
Shares redeemed
   1,200,000 1,975,000
Per share NAV beginning of period
   $ 30.41 $ 30.61
Per share NAV end of period
   $ 20.49 $ 35.29
Percentage change in per share NAV
   (32.6 )% 15.3 %
Percentage change in benchmark
   (31.9 )% 16.5 %
Benchmark annualized volatility
   30.2 % 34.9 %

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 2,712,403 outstanding Shares at June 30, 2022. 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index.

~~179~~

~~Table of Contents~~

For the six months ended June 30, 2023 and 2022, 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 32.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.3% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 31.9% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 16.5% for the six months ended June 30, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 969,651    $ (436,261 )
Management fee
   284,189    426,247
Brokerage commission
   21,369    40,369
Futures account fees
   23,296    46,394
Net realized gain (loss)
   (22,764,053 )    12,653,549
Change in net unrealized appreciation (depreciation)
   (5,092,642 )    3,518,835
Net Income (loss)
   $ (26,887,044 )    $ 15,736,123

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of the futures prices during the six months ended June 30, 2023.

ProShares VIX Short-Term Futures ETF*

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

NAV beginning of period
   $ 266,580,320 $ 269,703,164
NAV end of period
   $ 230,227,830 $ 341,714,316
Percentage change in NAV
   (13.6 )% 26.7 %
Shares outstanding beginning of period
   4,676,565 3,566,565
Shares outstanding end of period
   9,226,565 3,751,565
Percentage change in shares outstanding
   97.3 % 5.2 %
Shares created
   6,760,000 3,625,000
Shares redeemed
   2,210,000 3,440,000
Per share NAV beginning of period
   $ 57.00 $ 75.62
Per share NAV end of period
   $ 24.95 $ 91.09
Percentage change in per share NAV
   (56.2 )% 20.5 %
Percentage change in benchmark
   (55.7 )% 21.6 %
Benchmark annualized volatility
   58.0 % 88.1 %

~~180~~

~~Table of Contents~~

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 4,676,565 outstanding Shares at December 31, 2022 to 9,226,565 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, 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 also resulted in part from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 3,751,565 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 56.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 20.4% for the six months ended June 30, 2022, was primarily due to deprecation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:~~

Six Months Ended
June 30, 2023

Six Months Ended
June 30, 2022

Net investment income (loss)
   $ 3,221,259    $ (1,804,892 )
Management fee
   1,048,314    1,479,408
Brokerage commission
   191,888    287,656
Futures account fees
   99,391    316,440
Net realized gain (loss)
   (173,336,606 )    77,393,009
Change in net unrealized appreciation (depreciation)
   (20,173,227 )    33,152,396
Net Income (loss)
   $ (190,288,574 )    $ 108,740,513

*	~~See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.~~

~~181~~

Table of Contents

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

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 ~~June~~September 30, 2023 and 2022, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023												Futures Positions as of September 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	July 2023		5,241	$	15.01		1,000	$	(78,672,651	)		Short	October 2023		4,373	$	17.77		1,000	$	(77,713,457	)
VIX Futures (Cboe)	Short	August 2023		3,810		16.40		1,000		(62,485,143	)		Short	November 2023		2,906		18.25		1,000		(53,023,748	)
Futures Positions as of June 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	July 2022		3,652	$	28.56		1,000	$	(104,309,520	)
VIX Futures (Cboe)	Short	August 2022		3,346		29.18		1,000		(97,627,580	)


Futures Positions as of September 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Short	October 2022		3,083	$	31.52		1,000	$	(97,163,828	)
VIX Futures (Cboe)		Short	November 2022		2,052		31.07		1,000		(63,759,128	)

The ~~June~~September 30, 2023 and 2022 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.

~~182~~172

Table of Contents

ProShares Ultra Bloomberg Crude Oil:

As of ~~June~~September 30, 2023 and 2022, 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 Index

. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023											Futures Positions as of September 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	September 2023		2,315	$	70.78		1,000	$	163,855,700		Long	December 2023		879	$	88.80		1,000	$	78,055,200
WTI Crude Oil (NYMEX)	Long	December 2023		2,393		70.40		1,000		168,467,200		Long	June 2024		920		81.12		1,000		74,630,400
WTI Crude Oil (NYMEX)	Long	June 2024		2,478		69.02		1,000		171,031,560		Long	December 2024		956		77.86		1,000		74,434,160

Swap Agreements as of June 30, 2023

Swap Agreements as of September 30, 2023

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount
at Value

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Long

76.6109

172,685,565

Citibank, N.A.

Long

93.5651

210,901,349

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

Long

76.6109

214,703,580

Goldman Sachs International

Long

93.5651

262,218,064

Bloomberg Commodity Balanced WTI Crude Oil Index

Morgan Stanley & Co.
International PLC

Long

76.6109

179,707,950

Morgan Stanley & Co.
International PLC

Long

93.5651

151,363,911

Bloomberg Commodity Balanced WTI Crude Oil Index

Societe Generale

Long

76.6109

162,974,521

Societe Generale

Long

93.5651

199,041,224

Bloomberg Commodity Balanced WTI Crude Oil Index

UBS AG

Long

76.6109

242,623,120

UBS AG

Long

93.5651

157,428,427


Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022											Futures Positions as of September 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	September 2022		2,204	$	103.10		1,000	$	227,232,400		Long	December 2022		1,450	$	78.72		1,000	$	114,144,000
WTI Crude Oil (NYMEX)	Long	December 2022		2,535		95.56		1,000		242,244,600		Long	June 2023		1,535		73.00		1,000		112,055,000
WTI Crude Oil (NYMEX)	Long	June 2023		2,688		87.62		1,000		235,522,560		Long	December 2023		1,610		69.66		1,000		112,152,600

Swap Agreements as of June 30, 2022

Swap Agreements as of September 30, 2022

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount
at Value

Counterparty

Long or
Short

Index
Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Long

95.7921

215,921,141

Citibank, N.A.

Long

77.9524

175,709,387

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

Long

95.7921

321,089,755

Goldman Sachs International

Long

77.9524

218,463,160

Bloomberg Commodity Balanced WTI Crude Oil Index

Morgan Stanley & Co.
International PLC

Long

95.7921

373,984,332

Morgan Stanley & Co.
International PLC

Long

77.9524

304,335,914

Bloomberg Commodity Balanced WTI Crude Oil Index

Societe Generale

Long

95.7921

203,778,726

Societe Generale

Long

77.9524

165,828,296

Bloomberg Commodity Balanced WTI Crude Oil Index

UBS AG

Long

95.7921

303,369,078

UBS AG

Long

77.9524

246,871,587

~~183~~173

Table of Contents

The ~~June~~September 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 2023 and 2022 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 ~~June~~September 30, 2023 and 2022, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts and swap agreements linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

September 2023

71,349

2.77

10,000

1,979,221,260

Long

November

2023

50,182

2.93

10,000

1,469,830,780

Swap Agreements as of June 30, 2023

Swap Agreements as of September 30, 2023

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount
at Value

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Natural Gas Subindex

Citibank, N.A.

Long

0.0892

148,091,216

Citibank, N.A.

Long

0.0799

132,651,213

Bloomberg Natural Gas Subindex

Goldman Sachs International

Long

0.0892

101,183,890

Goldman Sachs International

Long

0.0799

90,634,449

Bloomberg Natural Gas Subindex

Societe General

Long

0.0892

52,717,728

Societe General

Long

0.0799

47,221,373

Bloomberg Natural Gas Subindex

UBS AG

Long

0.0892

810,173

UBS AG

Long

0.0799

725,704

Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

September 2022

6,954

5.39

10,000

374,959,680

Long

November

2022

8,556

6.77

10,000

578,898,960

The ~~June~~September 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 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, 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

tri-party

accounts at the Fund’s third-party custodian.

~~184~~

~~Table of Contents~~

ProShares Ultra Euro:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023

Reference Currency

Counterparty

Long or
Short

Settlement
Date

Local
Currency

Forward
Rate

Market Value
USD

Euro
   Goldman Sachs International    Long    07/14/23    7,784,921 1.0754    $ 8,372,037
Euro
   UBS AG    Long    07/14/23    7,204,502 1.0765    7,755,419
Euro
   Goldman Sachs International    Short    07/14/23    (93,000 ) 1.0899    (101,361 )
Euro
   UBS AG    Short    07/14/23    (1,152,000 ) 1.0907    (1,256,509 )

Foreign Currency Forward Contracts as of June 30, 2022

Reference Currency

Counterparty

Long or
Short

Settlement
Date

Local
Currency

Forward
Rate

Market Value
USD

Euro
   Goldman Sachs International    Long    07/08/22    4,532,921 1.0752    $ 4,873,797
Euro
   UBS AG    Long    07/08/22    14,836,502 1.0632    15,774,356
Euro
   UBS AG    Short    07/08/22    (1,446,000 ) 1.0601    (1,532,970 )

174

Table of Contents

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

)

Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward Rate

Market Value
USD

Euro

Goldman Sachs International

Long

10/07/22

12,276,921

0.9964

12,232,264

Euro

UBS AG

Long

10/07/22

17,572,502

0.9940

17,466,744

Euro

UBS AG

Short

10/07/22

(1,566,000

)

0.9801

(1,534,866

)

The ~~June~~September 30, 2023 and 2022 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 ~~June~~September 30, 2023 and 2022 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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

August 2023

530

1,929.40

100

102,258,200

Long

December 2023

264

1,866.10

100

49,265,040

Swap Agreements as of June 30, 2023

Swap Agreements as of September 30, 2023

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

201.2774

111,454,930

Citibank, N.A.

Long

190.8900

105,703,033

Bloomberg Gold Subindex

Goldman Sachs International

Long

201.2774

52,937,566

Goldman Sachs International

Long

190.8900

50,205,597

Bloomberg Gold Subindex

UBS AG

Long

201.2774

95,175,948

UBS AG

Long

190.8900

90,264,166

Futures Positions as of September 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

December 2022

409

1,672.00

100

68,384,800

Swap Agreements as of September 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

180.7152

100,068,860

Bloomberg Gold Subindex

Goldman Sachs International

Long

180.7152

47,529,603

Bloomberg Gold Subindex

UBS AG

Long

180.7152

104,098,025

~~185~~175

Table of Contents

Futures Positions as of June 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)
   Long    August 2022    954    $ 1,807.30    100    $ 172,416,420

Swap Agreements as of June 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 197.5387    $ 109,384,670
Bloomberg Gold Subindex
   Goldman Sachs International    Long    197.5387    84,543,271
Bloomberg Gold Subindex
   UBS AG    Long    197.5387    113,788,925

The ~~June~~September 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 2023 and 2022 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 ~~June~~September 30, 2023 and 2022 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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

September 2023

2,047

23.02

5,000

235,609,700

Long

December 2023

1,756

22.45

5,000

197,111,000

Swap Agreements as of June 30, 2023

Swap Agreements as of September 30, 2023

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

198.4659

166,412,438

Citibank, N.A.

Long

190.6601

159,867,323

Bloomberg Silver Subindex

Goldman Sachs International

Long

198.4659

21,984,663

Goldman Sachs International

Long

190.6601

21,119,991

Bloomberg Silver Subindex

Morgan Stanley & Co.
International PLC

Long

198.4659

149,157,444

Morgan Stanley & Co.
International PLC

Long

190.6601

143,290,980

Bloomberg Silver Subindex

UBS AG

Long

198.4659

140,386,283

UBS AG

Long

190.6601

134,864,794

Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

September 2022

773

20.35

5,000

78,660,480

Long

December 2022

2,163

19.04

5,000

205,906,785

~~186~~

~~Table of Contents~~

Swap Agreements as of June 30, 2022

Swap Agreements as of September 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

182.7827

153,262,171

Citibank, N.A.

Long

169.7456

142,330,643

Bloomberg Silver Subindex

Goldman Sachs International

Long

182.7827

177,466,859

Goldman Sachs International

Long

169.7456

18,803,260

Bloomberg Silver Subindex

Morgan Stanley & Co.
International PLC

Long

182.7827

168,307,407

Morgan Stanley & Co.
International PLC

Long

169.7456

156,302,767

Bloomberg Silver Subindex

UBS AG

Long

182.7827

134,298,894

UBS AG

Long

169.7456

124,719,934

The ~~June~~September 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 2023 and 2022 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

tri-party

accounts at the Fund’s third-party custodian.

176

Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023											Futures Positions as of September 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2023		21,591	$	15.01		1,000	$	324,102,501		Long	October 2023		14,181	$	17.77		1,000	$	252,013,387
VIX Futures (Cboe)	Long	August 2023		15,704		16.40		1,000		257,550,311		Long	November 2023		9,464		18.25		1,000		172,682,983


Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022											Futures Positions as of September 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2022		26,481	$	28.56		1,000	$	756,358,266		Long	October 2022		28,597	$	31.52		1,000	$	901,263,052
VIX Futures (Cboe)	Long	August 2022		24,277		29.18		1,000		708,339,740		Long	November 2022		19,065		31.07		1,000		592,381,961

The ~~June~~September 30, 2023 and 2022 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

~~187~~

~~Table of Contents~~

ProShares Ultra Yen:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023

Reference Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward
Rate

Market Value
USD

Yen
   Goldman Sachs International    Long    07/14/23    1,507,359,517 0.007217    $ 10,877,886
Yen
   UBS AG    Long    07/14/23    2,188,352,856 0.007161    15,670,467
Yen
   Goldman Sachs International    Short    07/14/23    (1,461 ) 0.006844    (10 )
Yen
   UBS AG    Short    07/14/23    (158,537,000 ) 0.007066    (1,120,148 )

177

Table of Contents

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

)


Foreign Currency Forward Contracts as of June 30, 2022

Foreign Currency Forward Contracts as of September 30, 2022													Foreign Currency Forward Contracts as of September 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD				Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		07/08/22		333,241,517			0.007476	$	2,491,153			Goldman Sachs International	Long		10/07/22		1,186,245,517			0.006949	$	8,243,617
Yen	UBS AG	Long		07/08/22		1,080,855,856			0.007414		8,013,151			UBS AG	Long		10/07/22		1,919,545,856			0.006945		13,331,165
Yen	UBS AG	Short		07/08/22		(54,170,000	)		0.007409		(401,369	)		Goldman Sachs International	Short		10/07/22		(33,368,000	)		0.006974		(232,706	)
Yen														UBS AG	Short		10/07/22		(133,030,000	)		0.006945		(923,831	)

The ~~June~~September 30, 2023 and 2022 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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023												Futures Positions as of September 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2023		1,038	$	70.78		1,000	$	(73,469,640	)		Short	December 2023		2,296	$	88.80		1,000	$	(203,884,800	)
WTI Crude Oil (NYMEX)	Short	December 2023		1,073		70.40		1,000		(75,539,200	)		Short	June 2024		2,404		81.12		1,000		(195,012,480	)
WTI Crude Oil (NYMEX)	Short	June 2024		1,111		69.02		1,000		(76,681,220	)		Short	December 2024		2,500		77.86		1,000		(194,650,000	)


Futures Positions as of September 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2022		3,174	$	78.72		1,000	$	(249,857,280	)
WTI Crude Oil (NYMEX)	Short	June 2023		3,344		73.00		1,000		(244,112,000	)
WTI Crude Oil (NYMEX)	Short	December 2023		3,500		69.66		1,000		(243,810,000	)

~~188~~178

Table of Contents

Futures Positions as of June 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)
   Short    September 2022    3,134    $ 103.10    1,000    $ (323,115,400 )
WTI Crude Oil (NYMEX)
   Short    December 2022    3,605    95.56    1,000    (344,493,800 )
WTI Crude Oil (NYMEX)
   Short    June 2023    3,824    87.62    1,000    (335,058,880 )

The ~~June~~September 30, 2023 and 2022 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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Short

September 2023

10,189

2.77

10,000

(282,642,860

)

Short

November

2023

7,624

2.93

10,000

(223,306,960

)

Futures Positions as of June 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

September 2022

7,871

5.39

10,000

(424,404,320

)

Futures Positions as of September 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Short

November
2022

7,167

6.77

10,000

(484,919,220

)

The ~~June~~September 30, 2023 and 2022 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.

~~189~~

~~Table of Contents~~

ProShares UltraShort Euro:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2023

Foreign Currency Forward Contracts as of September 30, 2023													Foreign Currency Forward Contracts as of September 30, 2023
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD				Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/14/23		4,446,000			1.1002	$	4,891,387			Goldman Sachs International	Long		10/06/23		486,000			1.0694	$	519,743
Euro	UBS AG	Long		07/14/23		12,460,000			1.0897		13,577,549			UBS AG	Long		10/06/23		10,804,000			1.0696		11,556,452
Euro	Goldman Sachs International	Short		07/14/23		(51,941,263	)		1.0759		(55,884,697	)		Goldman Sachs International	Short		10/06/23		(43,752,263	)		1.0751		(47,038,130	)
Euro	UBS AG	Short		07/14/23		(58,308,199	)		1.0763		(62,758,994	)		UBS AG	Short		10/06/23		(50,970,199	)		1.0735		(54,717,780	)
Foreign Currency Forward Contracts as of June 30, 2022

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/08/22		12,080,000			1.0563	$	12,760,213
Euro	UBS AG	Long		07/08/22		12,060,000			1.0551		12,724,426
Euro	Goldman Sachs International	Short		07/08/22		(51,635,263	)		1.0740		(55,457,155	)
Euro	UBS AG	Short		07/08/22		(91,489,199	)		1.0702		(97,911,917	)

179

Table of Contents


Foreign Currency Forward Contracts as of September 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long	10/07/22		38,000,000			0.9876	$	37,528,206
Euro	Goldman Sachs International	Short	10/07/22		(78,612,263	)		0.9970		(78,374,875	)
Euro	UBS AG	Short	10/07/22		(144,189,199	)		0.9931		(143,198,834	)

The ~~June~~September 30, 2023 and 2022 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 ~~June~~September 30, 2023 and 2022 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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023														Futures Positions as of September 30, 2023
Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)		Short		August 2023		79	$	1,929.40		100	$	(15,242,260	)		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	)

Futures Positions as of September 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Short

December 2022

157

1,672.00

100

(26,250,400

)


Swap Agreements as of September 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	180.7152	$	(13,547,911	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		180.7152		(8,863,141	)
Bloomberg Gold Subindex	UBS AG	Short		180.7152		(10,598,433	)

~~190~~180

Table of Contents

Swap Agreements as of June 30, 2023

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 201.2774    $ (3,783,471 )
Bloomberg Gold Subindex
   Goldman Sachs International    Short    201.2774    (4,958,670 )
Bloomberg Gold Subindex
   UBS AG    Short    201.2774    (7,669,707 )

Futures Positions as of June 30, 2022

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)
   Short    August 2022    184    $ 1,807.30    100    $ (33,254,320 )

Swap Agreements as of June 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 197.5387    $ (14,809,140 )
Bloomberg Gold Subindex
   Goldman Sachs International    Short    197.5387    (9,688,247 )
Bloomberg Gold Subindex
   UBS AG    Short    197.5387    (11,585,084 )

The ~~June~~September 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 2023 and 2022 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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of ~~June~~September 30, 2023 and 2022 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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of ~~June~~September 30, 2023 and 2022, which were sensitive to commodity price risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023														Futures Positions as of September 30, 2023
Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)		Short		September 2023		139	$	23.02		5,000	$	(15,998,900	)		Short	December 2023		109	$	22.45		5,000	$	(12,235,250	)

~~191~~

~~Table of Contents~~


Swap Agreements as of June 30, 2023

Swap Agreements as of September 30, 2023								Swap Agreements as of September 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value				Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	198.4659	$	(2,676,258	)		Citibank, N.A.	Short	$	190.6601	$	(2,570,998	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		198.4659		(9,749,240	)		Goldman Sachs International	Short		190.6601		(9,365,796	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		198.4659		(7,708,614	)		Morgan Stanley & Co. International PLC	Short		190.6601		(7,405,429	)
Bloomberg Silver Subindex	UBS AG	Short		198.4659		(2,464,968	)		UBS AG	Short		190.6601		(2,368,019	)


Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022														Futures Positions as of September 30, 2022
Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)		Short		September 2022		445	$	20.35		5,000	$	(45,283,200	)		Short	December 2022		506	$	19.04		5,000	$	(48,168,670	)


Swap Agreements as of June 30, 2022

Swap Agreements as of September 30, 2022								Swap Agreements as of September 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value				Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	182.7827	$	(2,464,774	)		Citibank, N.A.	Short	$	169.7456	$	(2,288,972	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		182.7827		(8,978,838	)		Goldman Sachs International	Short		169.7456		(8,338,415	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		182.7827		(7,099,463	)		Morgan Stanley & Co. International PLC	Short		169.7456		(6,593,089	)
Bloomberg Silver Subindex	UBS AG	Short		182.7827		(2,270,181	)		UBS AG	Short		169.7456		(2,108,259	)

The ~~June~~September 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The ~~June~~September 30, 2023 and 2022 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

181

Table of Contents

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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2023

Foreign Currency Forward Contracts as of September 30, 2023													Foreign Currency Forward Contracts as of September 30, 2023
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD				Counterparty	Long or Short	Settlement Date	Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long		07/14/23		1,228,677,000			0.007157	$	8,793,482			UBS AG	Long	10/06/23		428,237,000			0.006813	$	2,917,500
Yen	Goldman Sachs International	Short		07/14/23		(3,428,392,165	)		0.007206		(24,704,991	)		Goldman Sachs International	Short	10/06/23		(3,330,184,165	)		0.006821		(22,714,958	)
Yen	UBS AG	Short		07/14/23		(5,596,567,574	)		0.007187		(40,224,318	)		UBS AG	Short	10/06/23		(4,908,633,574	)		0.006814		(33,445,689	)

~~192~~

~~Table of Contents~~


Foreign Currency Forward Contracts as of June 30, 2022
Foreign Currency Forward Contracts as of September 30, 2022												Foreign Currency Forward Contracts as of September 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency			Forward Rate		Market Value USD				Counterparty	Long or Short	Settlement Date	Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long	07/08/22		1,505,180,000			0.007476	$	11,252,838			Goldman Sachs International	Long	10/07/22		513,732,000			0.007033	$	3,613,292
Yen	Goldman Sachs International	Short	07/08/22		(1,658,463,165	)		0.007476		(12,389,197	)		UBS AG	Long	10/07/22		1,169,990,000			0.006995		8,183,497
Yen	UBS AG	Short	07/08/22		(12,207,008,574	)		0.007451		(90,956,530	)		Goldman Sachs International	Short	10/07/22		(4,358,922,165	)		0.006949		(30,291,833	)
Yen													UBS AG	Short	10/07/22		(12,349,528,574	)		0.006949		(85,811,526	)

The ~~June~~September 30, 2023 and 2022 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

tri-party

accounts at the Fund’s third-party custodian.

ProShares VIX

Mid-Term

Futures ETF

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2023

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

VIX Futures (Cboe)
   Long    October 2023    501    $ 18.35    1,000    $ 9,192,799
VIX Futures (Cboe)
   Long    November 2023    865    18.85    1,000    16,305,250
VIX Futures (Cboe)
   Long    December 2023    865    19.15    1,000    16,564,750
VIX Futures (Cboe)
   Long    January 2024    364    20.20    1,000    7,352,800

182

Table of Contents


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


Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022											Futures Positions as of September 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2022		569	$	29.78		1,000	$	16,944,251		Long	January 2023		728	$	30.70		1,000	$	22,351,129
VIX Futures (Cboe)	Long	November 2022		1,089		29.52		1,000		32,144,884		Long	February 2023		1,214		30.31		1,000		36,796,340
VIX Futures (Cboe)	Long	December 2022		1,090		28.81		1,000		31,400,611		Long	March 2023		1,214		30.18		1,000		36,638,520
VIX Futures (Cboe)	Long	January 2023		521		29.60		1,000		15,420,610		Long	April 2023		486		30.25		1,000		14,700,868

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.

~~193~~

~~Table of Contents~~

ProShares VIX Short-Term Futures ETF

As of ~~June~~September 30, 2023 and 2022, 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 ~~June~~September 30, 2023 and 2022, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2023

Futures Positions as of September 30, 2023											Futures Positions as of September 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2023		8,545	$	15.01		1,000	$	128,268,995		Long	October 2023		7,067	$	17.77		1,000	$	125,589,070
VIX Futures (Cboe)	Long	August 2023		6,216		16.40		1,000		101,944,265		Long	November 2023		4,719		18.25		1,000		86,104,290


Futures Positions as of June 30, 2022

Futures Positions as of September 30, 2022											Futures Positions as of September 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value			Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2022		6,185	$	28.56		1,000	$	176,657,825		Long	October 2022		8,381	$	31.52		1,000	$	264,135,596
VIX Futures (Cboe)	Long	August 2022		5,672		29.18		1,000		165,494,213		Long	November 2022		5,587		31.07		1,000		173,597,588

each day

10-K

for additional information regarding performance for periods longer than a single day.

183

Table of Contents

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. 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.

~~194~~

~~Table of Contents~~

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)

*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,

184

Table of Contents

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.

~~195~~

~~Table of Contents~~

(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)

*0.8)-1

-4%

period Fund return (rather than simply two times the period return of the benchmark).

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,~~

(-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).

~~196~~

~~Table of Contents~~

Item 4. Controls and Procedures.

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, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules

13a-15(e)

and

15d-15(e)

under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of ~~June~~September 30, 2023, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

185

Table of Contents

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 ~~June~~September 30, 2023 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.

~~197~~186

Table of Contents

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of ~~June~~September 30, 2023, the Trust is not a party to any material legal proceedings.

Item 1A. Risk Factors.

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

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

The ~~onset~~outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the ~~novel coronavirus (COVID-19)~~impact of any outbreak on the performance of the Funds and ~~its variants has caused~~their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to important global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing of 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~~gold, silver, oil, natural gas and other commodities, ~~including oil.~~and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the ~~conflicts~~conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in athe Fund may decline significantly.

~~198~~

~~Table of Contents~~

187

Table of Contents

Natural Disasters and Public Health Disruptions, such as the

COVID-19

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

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

COVID-19

including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread of

COVID-19,

federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance r 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.

The outbreak of

COVID-19 ~~(including~~

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

COVID-19,

SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as

COVID-19,

the extent of any such outbreak’s disruption to important

~~199~~

~~Table of Contents~~

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

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

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

a) None.

b) Not applicable.

c) The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2023:

~~None.~~

b)	~~Not applicable.~~

c)	~~The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended June 30, 2023:~~

Title of Securities Registered
*



Total Number of
Shares Redeemed

Average Price
Per Share

ProShares Short VIX Short-Term Futures ETF

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    1,600,000    $ 67.92
   05/01/23 to 05/31/23    —      $ —
   06/01/23 to 06/30/23    250,000    $ 77.20
ProShares Ultra Bloomberg Crude Oil

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    7,050,000    $ 29.30
   05/01/23 to 05/31/23    4,000,000    $ 24.62
   06/01/23 to 06/30/23    4,000,000    $ 23.93
ProShares Ultra Bloomberg Natural Gas (Note 1)

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    4,330,000    $ 71.01
   05/01/23 to 05/31/23    3,927,500    $ 66.99
   06/01/23 to 06/30/23    4,567,500    $ 62.93
ProShares Ultra Euro

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    —      $ —
   05/01/23 to 05/31/23    50,000    $ 11.39
   06/01/23 to 06/30/23    50,000    $ 11.58
ProShares Ultra Gold

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    —      $ —
   05/01/23 to 05/31/23    50,000    $ 66.13
   06/01/23 to 06/30/23    100,000    $ 59.90
ProShares Ultra Silver

Common Units of Beneficial Interest

   04/01/23 to 04/30/23    900,000    $ 32.70
   05/01/23 to 05/31/23    50,000    $ 34.48
   06/01/23 to 06/30/23    350,000    $ 29.61

~~200~~

188

Table of Contents


Title of Securities Registered *		Total Number of Shares Redeemed		Average Price Per Share			Total Number of Shares Redeemed		Average Price Per Share
ProShares Ultra VIX Short-Term Futures ETF (Note 1)
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		450,000	$	88.08
						08/01/23 to 08/31/23		450,000	$	86.17
						09/01/23 to 09/30/23		50,000	$	92.61
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		7,950,000	$	26.87
						08/01/23 to 08/31/23		1,950,000	$	30.67
						09/01/23 to 09/30/23		4,050,000	$	35.16
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		3,353,332	$	63.97
						08/01/23 to 08/31/23		6,000,000	$	66.70
						09/01/23 to 09/30/23		3,900,000	$	55.93
ProShares Ultra Euro
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		50,000	$	11.82
						08/01/23 to 08/31/23		—	$	—
						09/01/23 to 09/30/23		—	$	—
ProShares Ultra Gold
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		100,000	$	58.94
						08/01/23 to 08/31/23		100,000	$	57.47
						09/01/23 to 09/30/23		150,000	$	57.69
ProShares Ultra Silver
Common Units of Beneficial Interest
						07/01/23 to 07/31/23		600,000	$	30.85
						08/01/23 to 08/31/23		600,000	$	29.62
						09/01/23 to 09/30/23		250,000	$	27.58
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—	07/01/23 to 07/31/23		2,353,383	$	18.57
	05/01/23 to 05/31/23		3,300,000	$	37.71	08/01/23 to 08/31/23		5,050,000	$	18.29
	06/01/23 to 06/30/23		250,000	$	23.78	09/01/23 to 09/30/23		9,500,000	$	16.29
ProShares Ultra Yen
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—	07/01/23 to 07/31/23		50,000	$	28.94
	05/01/23 to 05/31/23		—	$	—	08/01/23 to 08/31/23		—	$	—
	06/01/23 to 06/30/23		—	$	—	09/01/23 to 09/30/23		—	$	—
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		2,000,000	$	24.48	07/01/23 to 07/31/23		1,000,000	$	21.53
	05/01/23 to 05/31/23		3,400,000	$	27.40	08/01/23 to 08/31/23		1,650,000	$	19.97
	06/01/23 to 06/30/23		2,200,000	$	26.97	09/01/23 to 09/30/23		1,400,000	$	16.73
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		1,950,000	$	75.15	07/01/23 to 07/31/23		1,750,000	$	60.64
	05/01/23 to 05/31/23		2,850,000	$	73.12	08/01/23 to 08/31/23		3,050,000	$	54.57
	06/01/23 to 06/30/23		1,300,000	$	71.98	09/01/23 to 09/30/23		1,450,000	$	62.25
ProShares UltraShort Euro
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		50,000	$	28.73	07/01/23 to 07/31/23		100,000	$	29.02
	05/01/23 to 05/31/23		150,000	$	28.30	08/01/23 to 08/31/23		100,000	$	29.31
	06/01/23 to 06/30/23		100,000	$	28.87	09/01/23 to 09/30/23		150,000	$	30.60
ProShares UltraShort Gold
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—	07/01/23 to 07/31/23		50,000	$	27.73
	05/01/23 to 05/31/23		150,000	$	26.27	08/01/23 to 08/31/23		150,000	$	29.27
	06/01/23 to 06/30/23		200,000	$	28.48	09/01/23 to 09/30/23		—	$	—
ProShares UltraShort Silver
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		250,000	$	17.03	07/01/23 to 07/31/23		50,000	$	20.33
	05/01/23 to 05/31/23		1,550,000	$	19.17	08/01/23 to 08/31/23		2,750,000	$	19.57
	06/01/23 to 06/30/23		800,000	$	19.97	09/01/23 to 09/30/23		300,000	$	20.32
ProShares UltraShort Yen
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		150,000	$	56.19	07/01/23 to 07/31/23		50,000	$	62.82
	05/01/23 to 05/31/23		100,000	$	60.30	08/01/23 to 08/31/23		—	$	—
	06/01/23 to 06/30/23		50,000	$	63.75	09/01/23 to 09/30/23		—	$	—
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		125,000	$	27.25	07/01/23 to 07/31/23		100,000	$	20.17
	05/01/23 to 05/31/23		—	$	—	08/01/23 to 08/31/23		75,000	$	19.32
	06/01/23 to 06/30/23		550,000	$	22.52	09/01/23 to 09/30/23		—	$	—
ProShares VIX Short-Term Futures ETF (Note 1)
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—	07/01/23 to 07/31/23		125,618	$	25.62
	05/01/23 to 05/31/23		170,000	$	38.52	08/01/23 to 08/31/23		2,025,000	$	24.51
	06/01/23 to 06/30/23		85,000	$	29.40	09/01/23 to 09/30/23		475,000	$	23.28

~~201~~

189

Table of Contents

*	The registration statement covers an indeterminate amount of securities to be offered or sold.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a Rule

~~Rule~~ 10b5-1

trading arrangement (as such terms are defined in ~~item~~Item 408 of Regulation

S-K

under the Securities Act of 1933, as amended) for the three month period ended ~~June~~September 30, 2023.

190

Table of Contents

Item 6. Exhibits.


Exhibit No.		Description of Document

31.1		Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

31.2		Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

32.1*		Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted

32.1*		Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

32.2*		Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

101.INS		XBRL Instance Document (1)

101.SCH		XBRL Taxonomy Extension Schema (1)

101.CAL		XBRL Taxonomy Extension Calculation Linkbase (1)

101.DEF		XBRL Taxonomy Extension Definition Linkbase (1)

101.LAB		XBRL Taxonomy Extension Label Linkbase (1)

101.PRE		XBRL Taxonomy Extension Presentation Linkbase (1)

104.1		Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL

~~104.1~~		tags are embedded within the inline XBRL document.

(1)	Filed herewith.

These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.

~~202~~191

Table of Contents

Signatures

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

~~PROSHARES TRUST II~~

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: ~~August 8,~~November 6, 2023

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: ~~August 8,~~November 6, 2023

~~203~~192


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires July 2023		5,241	$	78,672,651	$	21,799,615
VIX Futures - Cboe, expires August 2023		3,810		62,485,143		2,129,590

					$	23,929,205


	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	2,437,210		$	225,134		$	4,546,332		$	319,477

Expenses
Management fee		617,036			1,034,361			1,182,813			2,020,898
Brokerage commissions		123,422			177,552			249,925			365,250
Futures account fees		—			107,221			—			324,251

Total expenses		740,458			1,319,134			1,432,738			2,710,399

Net investment income (loss)		1,696,752			(1,094,000	)		3,113,594			(2,390,922	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		65,228,142			(13,029,194	)		94,832,290			(54,129,808	)
Short-term U.S. government and agency obligations		(25,811	)		(76,018	)		(25,811	)		(86,512	)

Net realized gain (loss)		65,202,331			(13,105,212	)		94,806,479			(54,216,320	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		9,658,017			(34,466,848	)		12,836,824			(29,757,664	)
Short-term U.S. government and agency obligations		15,084			(40,932	)		(8,546	)		(452,209	)

Change in net unrealized appreciation (depreciation)		9,673,101			(34,507,780	)		12,828,278			(30,209,873	)

Net realized and unrealized gain (loss)		74,875,432			(47,612,992	)		107,634,757			(84,426,193	)

Net income (loss)	$	76,572,184		$	(48,706,992	)	$	110,748,351		$	(86,817,115	)


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/ Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35	%		07/06/23	$	172,685,565	$	(303,753	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/23		214,703,580		(377,662	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/23		179,707,950		(316,105	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			07/06/23		162,974,521		(275,938	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			07/06/23		242,623,120		(418,783	)

							Total Unrealized Depreciation	$	(1,692,241	)


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with Goldman Sachs International		07/14/23		7,784,921		$	8,501,340		$	129,303
Euro with UBS AG		07/14/23		7,204,502			7,867,506			112,087

							Total Unrealized Appreciation		$	241,390

Contracts to Sell
Euro with Goldman Sachs International		07/14/23		(93,000	)	$	(101,558	)	$	(197	)
Euro with UBS AG		07/14/23		(1,152,000	)		(1,258,014	)		(1,505	)

							Total Unrealized Depreciation		$	(1,702	)


Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties		Cash Collateral for the Benefit of (the Funds) / the Counterparties		Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	(303,753	)	$	303,753	$	—	$	—
Goldman Sachs International		(377,662	)		—		377,662		—
Morgan Stanley & Co. International PLC		(316,105	)		—		316,105		—
Societe Generale		(275,938	)		275,938		—		—
UBS AG		(418,783	)		—		418,783		—


Fund	Three Months Ended June 30, 2023		Six Months Ended June 30, 2023


ProShares Short VIX Short-Term Futures ETF	$	49,722	$	161,936
ProShares Ultra Bloomberg Crude Oil		—		—
ProShares Ultra Bloomberg Natural Gas		—		—
ProShares Ultra Euro		—		—
ProShares Ultra Gold		—		—
ProShares Ultra Silver		—		—
ProShares Ultra VIX Short-Term Futures ETF		389,333		820,351
ProShares Ultra Yen		—		—
ProShares UltraShort Bloomberg Crude Oil		—		—
ProShares UltraShort Bloomberg Natural Gas		—		—
ProShares UltraShort Euro		—		—
ProShares UltraShort Gold		—		—
ProShares UltraShort Silver		—		—
ProShares UltraShort Yen		—		—
ProShares VIX Mid-Term Futures ETF		9,046		15,511
ProShares VIX Short-Term Futures ETF		82,901		167,222

Combined Trust:	$	531,002	$	1,165,020


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas*			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at March 31, 2023	$	63.73		$	26.53		$	73.76		$	11.49		$	62.86		$	31.10
Net investment income (loss)		0.46			0.14			0.28			0.09			0.47			0.20
Net realized and unrealized gain (loss)#		20.49			(2.93	)		(4.56	)		0.01			(4.97	)		(4.26	)
Change in net asset value from operations		20.95			(2.79	)		(4.28	)		0.10			(4.50	)		(4.06	)
Net asset value, at June 30, 2023	$	84.68		$	23.74		$	69.48		$	11.59		$	58.36		$	27.04
Market value per share, at March 31, 2023 †	$	63.75		$	26.47		$	72.20		$	11.49		$	63.02		$	31.23
Market value per share, at June 30, 2023 †	$	84.68		$	23.65		$	68.99		$	11.61		$	58.24		$	26.95
Total Return, at net asset value^		32.9	%		(10.5	)%		(5.8	)%		0.9	%		(7.2	)%		(13.1	)%
Total Return, at market value^		32.8	%		(10.7	)%		(4.5	)%		1.0	%		(7.6	)%		(13.7	)%
Ratios to Average Net Assets**
Expense ratio^^		1.14	%		1.00	%		1.45	%		0.95	%		0.96	%		1.00	%
Net investment income gain (loss)		2.61	%		2.20	%		1.81	%		3.27	%		3.01	%		2.61	%


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF*			Ultra Yen			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Euro			UltraShort Gold
Net asset value, at March 31, 2023	$	46.25		$	33.05		$	25.15		$	71.11		$	29.04		$	26.88
Net investment income (loss)		0.15			0.26			0.19			0.44			0.24			0.22
Net realized and unrealized gain (loss)#		(27.92	)		(5.91	)		0.28			(16.49	)		(0.18	)		1.80
Change in net asset value from operations		(27.77	)		(5.65	)		0.47			(16.05	)		0.06			2.02
Net asset value, at June 30, 2023	$	18.48		$	27.40		$	25.62		$	55.06		$	29.10		$	28.90
Market value per share, at March 31, 2023 †	$	46.50		$	33.02		$	25.22		$	72.42		$	29.04		$	26.84
Market value per share, at June 30, 2023 †	$	18.49		$	27.42		$	25.70		$	55.45		$	29.11		$	28.96
Total Return, at net asset value^		(60.0	)%		(17.1	)%		1.9	%		(22.6	)%		0.2	%		7.5	%
Total Return, at market value^		(60.2	)%		(17.0	)%		1.9	%		(23.4	)%		0.2	%		7.9	%
Ratios to Average Net Assets**
Expense ratio^^		1.55	%		0.95	%		1.11	%		1.77	%		0.95	%		0.98	%
Net investment income gain (loss)		1.84	%		3.36	%		3.01	%		2.47	%		3.36	%		3.09	%


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at March 31, 2022	$	54.55		$	37.94		$	1121.30		$	12.47		$	66.99		$	39.06
Net investment income (loss)		(0.13	)		(0.07	)		(4.28	)		(0.02	)		(0.09	)		(0.05	)
Net realized and unrealized gain (loss)#		(6.28	)		3.74			(326.32	)		(1.37	)		(10.44	)		(14.23	)
Change in net asset value from operations		(6.41	)		3.67			(330.60	)		(1.39	)		(10.53	)		(14.28	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	790.70		$	11.08		$	56.46		$	24.78
Market value per share, at March 31, 2022 †	$	54.56		$	38.33		$	1126.20		$	12.46		$	66.14		$	38.53
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	842.00		$	11.11		$	56.50		$	24.47
Total Return, at net asset value^		(11.8	)%		9.7	%		(29.5	)%		(11.1	)%		(15.7	)%		(36.6	)%
Total Return, at market value^		(11.6	)%		9.2	%		(25.2	)%		(10.8	)%		(14.6	)%		(36.5	)%
Ratios to Average Net Assets**
Expense ratio^^		1.21	%		1.01	%		1.26	%		0.95	%		0.98	%		0.98	%
Net investment income gain (loss)		(1.00	)%		(0.64	)%		(1.01	)%		(0.54	)%		(0.56	)%		(0.61	)%


Per Share Operating Performance	UltraShort Silver			UltraShort Yen*			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF*
Net asset value, at March 31, 2022	$	21.45		$	46.32		$	31.45		$	83.04
Net investment income (loss)		(0.05	)		(0.09	)		(0.06	)		(0.21	)
Net realized and unrealized gain (loss)#		10.34			10.83			3.90			8.26
Change in net asset value from operations		10.29			10.74			3.84			8.05
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	91.09
Market value per share, at March 31, 2022 †	$	21.78		$	46.37		$	31.50		$	82.85
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	91.25
Total Return, at net asset value^		48.0	%		23.2	%		12.2	%		9.6	%
Total Return, at market value^		47.8	%		23.2	%		12.3	%		10.1	%
Ratios to Average Net Assets**
Expense ratio^^		1.06	%		0.95	%		0.96	%		1.16	%
Net investment income gain (loss)		(0.78	)%		(0.68	)%		(0.74	)%		(0.94	)%


Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil *			Ultra Bloomberg Natural Gas*			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2021	$	61.56		$	21.54		$	511.08		$	13.32		$	59.69		$	34.84
Net investment income (loss)		(0.29	)		(0.15	)		(5.86	)		(0.04	)		(0.22	)		(0.13	)
Net realized and unrealized gain (loss)#		(13.13	)		20.22			285.48			(2.20	)		(3.01	)		(9.93	)
Change in net asset value from operations		(13.42	)		20.07			279.62			(2.24	)		(3.23	)		(10.06	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	790.70		$	11.08		$	56.46		$	24.78
Market value per share, at December 31, 2021 †	$	61.55		$	21.70		$	521.80		$	13.33		$	59.81		$	34.74
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	842.00		$	11.11		$	56.50		$	24.47
Total Return, at net asset value^		(21.8	)%		93.2	%		54.7	%		(16.8	)%		(5.4	)%		(28.9	)%
Total Return, at market value^		(21.7	)%		92.9	%		61.4	%		(16.7	)%		(5.5	)%		(29.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.28	%		1.05	%		1.29	%		0.95	%		0.99	%		0.98	%
Net investment income gain (loss)		(1.12	)%		(0.82	)%		(1.10	)%		(0.65	)%		(0.71	)%		(0.75	)%


Per Share Operating Performance	UltraShort Silver			UltraShort Yen *			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF*
Net asset value, at December 31, 2021	$	26.77		$	41.50		$	30.61		$	75.62
Net investment income (loss)		(0.11	)		(0.17	)		(0.14	)		(0.46	)
Net realized and unrealized gain (loss)#		5.08			15.73			4.82			15.93
Change in net asset value from operations		4.97			15.56			4.68			15.47
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	91.09
Market value per share, at December 31, 2021 †	$	26.84		$	41.50		$	30.57		$	75.85
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	91.25
Total Return, at net asset value^		18.6	%		37.5	%		15.3	%		20.5	%
Total Return, at market value^		19.9	%		37.7	%		15.7	%		20.3	%
Ratios to Average Net Assets**
Expense ratio^^		1.07	%		0.95	%		1.02	%		1.20	%
Net investment income gain (loss)		(0.86	)%		(0.72	)%		(0.87	)%		(1.04	)%


	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	295,340,393		$	495,588,849
NAV end of period	$	282,353,267		$	403,644,956
Percentage change in NAV		(4.4	)%		(18.6	)%
Shares outstanding beginning of period		4,634,307			9,084,307
Shares outstanding end of period		3,334,307			8,384,307
Percentage change in shares outstanding		(28.1	)%		(7.7	)%
Shares created		550,000			1,600,000
Shares redeemed		1,850,000			2,300,000
Per share NAV beginning of period	$	63.73		$	54.55
Per share NAV end of period	$	84.68		$	48.14
Percentage change in per share NAV		32.9	%		(11.8	)%
Percentage change in benchmark		(44.4	)%		10.3	%
Benchmark annualized volatility		45.8	%		90.4	%


	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	68,331		$	(8,515	)
Management fee		19,851			15,037
Net realized gain (loss)		78,291			(446,365	)
Change in net unrealized appreciation (depreciation)		(79,023	)		(281,290	)
Net Income (loss)	$	67,599		$	(736,170	)


	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	339,591,638		$	423,812,594
NAV end of period	$	282,353,267		$	403,644,956
Percentage change in NAV		(16.9	)%		(4.8	)%
Shares outstanding beginning of period		5,784,307			6,884,307
Shares outstanding end of period		3,334,307			8,384,307
Percentage change in shares outstanding		(42.4	)%		21.8	%
Shares created		3,000,000			4,600,000
Shares redeemed		5,450,000			3,100,000
Per share NAV beginning of period	$	58.71		$	61.56
Per share NAV end of period	$	84.68		$	48.14
Percentage change in per share NAV		44.2	%		(21.8	)%
Percentage change in benchmark		(55.7	)%		21.6	%
Benchmark annualized volatility		58.0	%		88.1	%

Large Accelerated Filer

Accelerated Filer

Non-Accelerated Filer

Smaller Reporting Company

Emerging Growth Company