BOIL 0001193125-21-321351 10-Q as filed: Nov 5, 2021

Large Accelerated Filer

Accelerated Filer

Non-Accelerated
Filer

Smaller Reporting Company

Emerging Growth Company

10-Q

P1DfalseQ30001415311--12-31Rates 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 foreign currency forward contracts. All or partial amount pledged as collateral for futures contracts. All or partial amount pledged as collateral for update UDE domicile.The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.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, 2021.On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).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 positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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.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.Percentages are not annualized for the period ended September 30, 2021.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 annualized.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.See Note 1 of these Notes to Financial Statements.Amount represents greater than (0.05)%.The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. 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Table of Contents

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, 2021.

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to .

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 Ave, 21st Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(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 on which registered
ProShares Short Euro	EUFX	NYSE Arca
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 Australian Dollar	CROC	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 October 26, 2021, the registrant had

165,148,980 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		3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		138
Item 3. Quantitative and Qualitative Disclosures About Market Risk		204
Item 4. Controls and Procedures		219

Part II. OTHER INFORMATION
Item 1. Legal Proceedings		221
Item 1A. Risk Factors		221
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		223
Item 3. Defaults Upon Senior Securities		225
Item 4. Mine Safety Disclosures		225
Item 5. Other Information		225
Item 6. Exhibits		226

Table of Contents

Part	I. FINANCIAL INFORMATION

Item 1. Financial Statements.


Index
Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short Euro		4
ProShares Short VIX Short-Term Futures ETF		9
ProShares Ultra Bloomberg Crude Oil		14
ProShares Ultra Bloomberg Natural Gas		19
ProShares Ultra Euro		24
ProShares Ultra Gold		29
ProShares Ultra Silver		34
ProShares Ultra VIX Short-Term Futures ETF		39
ProShares Ultra Yen		44
ProShares UltraShort Australian Dollar		49
ProShares UltraShort Bloomberg Crude Oil		54
ProShares UltraShort Bloomberg Natural Gas		59
ProShares UltraShort Euro		64
ProShares UltraShort Gold		69
ProShares UltraShort Silver		74
ProShares UltraShort Yen		79
ProShares VIX Mid-Term Futures ETF		84
ProShares VIX Short-Term Futures ETF		89
ProShares Trust II		94
Notes to Financial Statements		98

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Cash	$	2,168,859	$	4,105,781
Segregated cash balances with brokers for futures contracts		36,300		68,310
Receivable on open futures contracts		3,562		21,094
Interest receivable		87		175

Total assets		2,208,808		4,195,360

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		281		—
Payable to Sponsor		1,695		3,391
Non-recurring fees and expenses payable		14		14

Total liabilities		1,990		3,405

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,206,818		4,191,955

Total liabilities and shareholders’ equity	$	2,208,808	$	4,195,360

Shares outstanding		50,000		100,000

Net asset value per share	$	44.14	$	41.92

Market value per share (Note 2)	$	44.16	$	41.35

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Euro Fx Currency Futures - CME, expires December 2021		15	$	2,175,000	$	46,781

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	269		$	127		$	1,175		$	7,776

Expenses
Management fee		5,193			5,247			19,278			16,266
Brokerage commissions		79			82			339			272
Non-recurring fees and expenses		—			65			—			65

Total expenses		5,272			5,394			19,617			16,603

Net investment income (loss)		(5,003	)		(5,267	)		(18,442	)		(8,827	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		57,489			(77,567	)		88,710			(116,225	)

Net realized gain (loss)		57,489			(77,567	)		88,710			(116,225	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(4,770	)		(14,989	)		91,407			31,531
Short-term U.S. government and agency obligations		—			—			—			(30	)

Change in net unrealized appreciation (depreciation)		(4,770	)		(14,989	)		91,407			31,501

Net realized and unrealized gain (loss)		52,719			(92,556	)		180,117			(84,724	)

Net income (loss)	$	47,716		$	(97,823	)	$	161,675		$	(93,551	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	2,159,102		$	2,286,467		$	4,191,955		$	2,282,195

Redemption of –, –, 50,000 and – shares, respectively		—			—			(2,146,812	)		—

Net addition (redemption) of –, –, (50,000) and – shares, respectively		—			—			(2,146,812	)		—

Net investment income (loss)		(5,003	)		(5,267	)		(18,442	)		(8,827	)
Net realized gain (loss)		57,489			(77,567	)		88,710			(116,225	)
Change in net unrealized appreciation (depreciation)		(4,770	)		(14,989	)		91,407			31,501

Net income (loss)		47,716			(97,823	)		161,675			(93,551	)

Shareholders’ equity, end of period	$	2,206,818		$	2,188,644		$	2,206,818		$	2,188,644

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	161,675		$	(93,551	)
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		(1,999,562	)		—
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,000,000			747,000
Net amortization and accretion on short-term U.S. government and agency obligations		(438	)		(1,225	)
Change in unrealized appreciation (depreciation) on investments		—			30
Decrease (Increase) in receivable on futures contracts		17,532			(3,844	)
Decrease (Increase) in interest receivable		88			2,347
Increase (Decrease) in payable to Sponsor		(1,696	)		(167	)
Increase (Decrease) in payable on futures contracts		281			(5,100	)

Net cash provided by (used in) operating activities		177,880			645,490

Cash flow from financing activities
Payment on shares redeemed		(2,146,812	)		—

Net cash provided by (used in) financing activities		(2,146,812	)		—

Net increase (decrease) in cash		(1,968,932	)		645,490
Cash, beginning of period		4,174,091			1,540,916

Cash, end of period	$	2,205,159		$	2,186,406

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively)	$	129,992,467	$	69,999,639
Cash		57,127,931		132,392,153
Segregated cash balances with brokers for futures contracts		130,619,573		134,187,067
Receivable on open futures contracts		71,173,354		74,226,825
Interest receivable		1,773		4,384

Total assets		388,915,098		410,810,068

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		996,159
Brokerage commissions and futures account fees payable		85,856		114,522
Payable to Sponsor		304,044		326,566
Non-recurring fees and expenses payable		1,353		1,353

Total liabilities		391,253		1,438,600

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		388,523,845		409,371,468

Total liabilities and shareholders’ equity	$	388,915,098	$	410,810,068

Shares outstanding		7,134,307		9,884,307

Net asset value per share	$	54.46	$	41.42

Market value per share (Note 2)	$	54.39	$	41.44

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(33% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.006% due 10/21/21	$	20,000,000	$	19,999,112
0.029% due 11/18/21		70,000,000		69,996,731
0.043% due 12/16/21		40,000,000		39,996,624

Total short-term U.S. government and agency obligations (cost $129,993,650)			$	129,992,467

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2021		4,341	$	99,269,120	$	(2,399,545	)
VIX Futures - Cboe, expires November 2021		4,001		94,767,286		(3,782,433	)

					$	(6,181,978	)

^^	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 OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	8,152		$	53,301		$	75,729		$	909,185

Expenses
Management fee		1,055,823			1,116,999			3,415,545			3,592,232
Brokerage commissions		208,885			167,648			638,744			585,356
Futures account fees		209,717			291,350			795,836			752,869
Non-recurring fees and expenses		—			22,038			—			22,038

Total expenses		1,474,425			1,598,035			4,850,125			4,952,495

Net investment income (loss)		(1,466,273	)		(1,544,734	)		(4,774,396	)		(4,043,310	)

Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
Futures contracts		34,573,906			60,593,315			168,120,340			(129,091,526	)
Short-term U.S. government and agency obligations		(1,303	)		(10	)		(1,303	)		(768	)

Net realized gain (loss)		34,572,603			60,593,305			168,119,037			(129,092,294	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(43,362,244	)		(1,463,210	)		(14,530,761	)		(2,706,204	)
Short-term U.S. government and agency obligations		12,400			(189	)		(2,095	)		(2,866	)

Change in net unrealized appreciation (depreciation)		(43,349,844	)		(1,463,399	)		(14,532,856	)		(2,709,070	)

Net realized and unrealized gain (loss)		(8,777,241	)		59,129,906			153,586,181			(131,801,364	)

Net income (loss)	$	(10,243,514	)	$	57,585,172		$	148,811,785		$	(135,844,674	)

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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	588,615,946		$	509,811,853		$	409,371,468		$	284,437,179

Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively		30,777,084			—			150,390,026			914,411,669
Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively		(220,625,671	)		(231,931,959	)		(320,049,434	)		(727,539,108	)

Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively		(189,848,587	)		(231,931,959	)		(169,659,408	)		186,872,561

Net investment income (loss)		(1,466,273	)		(1,544,734	)		(4,774,396	)		(4,043,310	)
Net realized gain (loss)		34,572,603			60,593,305			168,119,037			(129,092,294	)
Change in net unrealized appreciation (depreciation)		(43,349,844	)		(1,463,399	)		(14,532,856	)		(2,709,070	)

Net income (loss)		(10,243,514	)		57,585,172			148,811,785			(135,844,674	)

Shareholders’ equity, end of period	$	388,523,845		$	335,465,066		$	388,523,845		$	335,465,066

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	148,811,785		$	(135,844,674	)
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		(411,950,977	)		(509,581,499	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		351,997,423			446,998,196
Net amortization and accretion on short-term U.S. government and agency obligations		(42,672	)		(466,825	)
Net realized gain (loss) on investments		1,303			768
Change in unrealized appreciation (depreciation) on investments		2,095			2,866
Decrease (Increase) in receivable on futures contracts		3,053,471			(38,580,764	)
Decrease (Increase) in interest receivable		2,611			120,515
Increase (Decrease) in payable to Sponsor		(22,522	)		86,957
Increase (Decrease) in brokerage commissions and futures account fees payable		(28,666	)		92,881
Increase (Decrease) in payable on futures contracts		(996,159	)		1,344,400

Net cash provided by (used in) operating activities		90,827,692			(235,827,179	)

Cash flow from financing activities
Proceeds from addition of shares		150,390,026			914,411,669
Payment on shares redeemed		(320,049,434	)		(697,482,198	)

Net cash provided by (used in) financing activities		(169,659,408	)		216,929,471

Net increase (decrease) in cash		(78,831,716	)		(18,897,708	)
Cash, beginning of period		266,579,220			167,544,087

Cash, end of period	$	187,747,504		$	148,646,379

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively)	$	834,942,326	$	219,998,394
Cash		59,467,995		491,732,847
Segregated cash balances with brokers for futures contracts		140,365,174		175,526,749
Unrealized appreciation on swap agreements		70,885,762		18,242,195
Receivable on open futures contracts		2,775,359		1,611,608
Interest receivable		14,763		21,388

Total assets		1,108,451,379		907,133,181

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		16,894,746		3,627,934
Brokerage commissions and futures account fees payable		21,834		—
Payable to Sponsor		856,541		728,955
Non-recurring fees and expenses payable		64,542		37,042

Total liabilities		17,837,663		4,393,931

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,090,613,716		902,739,250

Total liabilities and shareholders’ equity	$	1,108,451,379	$	907,133,181

Shares outstanding		12,910,774		24,810,774

Net asset value per share	$	84.47	$	36.38

Market value per share (Note 2)	$	84.22	$	36.27

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(77% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.018% due 10/14/21 †	$	145,000,000	$	144,998,695
0.039% due 10/21/21 †		90,000,000		89,996,004
0.033% due 11/18/21 †		150,000,000		149,992,995
0.043% due 12/16/21 †		325,000,000		324,972,570
0.037% due 01/20/22		75,000,000		74,990,752
0.028% due 02/17/22		50,000,000		49,991,310

Total short-term U.S. government and agency obligations (cost $834,947,719)			$	834,942,326

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2021		5,657	$	422,577,900	$	158,475,710
WTI Crude Oil - NYMEX, expires June 2022		5,843		415,729,450		89,351,620
WTI Crude Oil - NYMEX, expires December 2022		6,063		410,465,100		20,176,983

					$	268,004,313

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	%		10/06/21	$	143,554,545	$	10,910,833
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/21		203,094,978		15,436,191
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/21		248,642,399		18,898,011
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			10/06/21		135,481,695		10,305,144
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			10/06/21		201,694,052		15,335,583

							Total Unrealized Appreciation	$	70,885,762

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	86,370		$	50,356		$	365,778		$	1,817,563

Expenses
Management fee		2,775,351			3,210,517			8,104,728			6,887,044
Brokerage commissions		198,498			600,233			701,710			1,744,115
Futures account fees		215,514			635,311			632,199			1,172,060
Non-recurring fees and expenses		27,500			24,637			27,500			24,637

Total expenses		3,216,863			4,470,698			9,466,137			9,827,856

Net investment income (loss)		(3,130,493	)		(4,420,342	)		(9,100,359	)		(8,010,293	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		92,637,432			294,310,497			539,758,995			174,272,485
Swap agreements		13,693,131			(8,356,234	)		221,428,455			(1,065,452,045	)
Short-term U.S. government and agency obligations		(4,742	)		—			(4,742	)		159,318

Net realized gain (loss)		106,325,821			285,954,263			761,182,708			(891,020,242	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(48,048,297	)		(222,585,432	)		123,440,274			127,961,958
Swap agreements		31,138,258			(10,038,323	)		52,643,567			(21,814,590	)
Short-term U.S. government and agency obligations		31,451			(6,531	)		(7,634	)		(20,469	)

Change in net unrealized appreciation (depreciation)		(16,878,588	)		(232,630,286	)		176,076,207			106,126,899

Net realized and unrealized gain (loss)		89,447,233			53,323,977			937,258,915			(784,893,343	)

Net income (loss)	$	86,316,740		$	48,903,635		$	928,158,556		$	(792,903,636	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	1,303,530,902		$	1,508,661,459		$	902,739,250		$	309,844,582

Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively		62,865,806			659,253,641			240,118,659			3,612,784,316
Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively		(362,099,732	)		(1,020,933,679	)		(980,402,749	)		(1,933,840,206	)

Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively		(299,233,926	)		(361,680,038	)		(740,284,090	)		1,678,944,110

Net investment income (loss)		(3,130,493	)		(4,420,342	)		(9,100,359	)		(8,010,293	)
Net realized gain (loss)		106,325,821			285,954,263			761,182,708			(891,020,242	)
Change in net unrealized appreciation (depreciation)		(16,878,588	)		(232,630,286	)		176,076,207			106,126,899

Net income (loss)		86,316,740			48,903,635			928,158,556			(792,903,636	)

Shareholders’ equity, end of period	$	1,090,613,716		$	1,195,885,056		$	1,090,613,716		$	1,195,885,056

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	928,158,556		$	(792,903,636	)
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		(2,012,720,434	)		(609,752,656	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,397,994,503			611,325,151
Net amortization and accretion on short-term U.S. government and agency obligations		(230,377	)		(1,266,463	)
Net realized gain (loss) on investments		4,742			(159,318	)
Change in unrealized appreciation (depreciation) on investments		(52,635,933	)		21,835,059
Decrease (Increase) in receivable on futures contracts		(1,163,751	)		(43,615,866	)
Decrease (Increase) in interest receivable		6,625			93,028
Increase (Decrease) in payable to Sponsor		127,586			699,847
Increase (Decrease) in brokerage commissions and futures account fees payable		21,834			—
Increase (Decrease) in payable on futures contracts		—			(266,056	)
Increase (Decrease) in non-recurring fees and expenses payable		27,500			—

Net cash provided by (used in) operating activities		259,590,851			(814,010,910	)

Cash flow from financing activities
Proceeds from addition of shares		240,118,659			3,605,599,295
Payment on shares redeemed		(967,135,937	)		(1,933,840,206	)

Net cash provided by (used in) financing activities		(727,017,278	)		1,671,759,089

Net increase (decrease) in cash		(467,426,427	)		857,748,179
Cash, beginning of period		667,259,596			88,315,563

Cash, end of period	$	199,833,169		$	946,063,742

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively)	$	32,997,127	$	29,999,889
Cash		57,275,787		92,972,312
Segregated cash balances with brokers for futures contracts		29,792,570		44,320,410
Receivable from capital shares sold		12,521,135		—
Receivable on open futures contracts		12,504,114		13,775,851
Interest receivable		1,065		4,326

Total assets		145,091,798		181,072,788

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		11,132,546
Brokerage commissions and futures account fees payable		145		—
Payable to Sponsor		52,856		139,455
Non-recurring fees and expenses payable		416		416

Total liabilities		53,417		11,272,417

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		145,038,381		169,800,371

Total liabilities and shareholders’ equity	$	145,091,798	$	181,072,788

Shares outstanding		1,737,527		8,087,527

Net asset value per share	$	83.47	$	21.00

Market value per share (Note 2)	$	82.30	$	21.07

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(23% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 11/18/21	$	8,000,000	$	7,999,626
0.044% due 12/16/21		15,000,000		14,998,734
0.037% due 01/20/22		10,000,000		9,998,767

Total short-term U.S. government and agency obligations (cost $32,997,075)			$	32,997,127

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2021		4,944	$	290,064,480	$	42,185,730


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

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	7,355		$	15,347		$	32,714		$	191,160

Expenses
Management fee		161,130			199,772			568,903			378,784
Brokerage commissions		40,472			106,449			195,831			214,255
Futures account fees		18,263			31,540			112,998			44,182
Non-recurring fees and expenses		—			1,129			—			1,129

Total expenses		219,865			338,890			877,732			638,350

Net investment income (loss)		(212,510	)		(323,543	)		(845,018	)		(447,190	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		33,925,711			41,156,156			80,409,384			2,225,390
Short-term U.S. government and agency obligations		12			—			563			977

Net realized gain (loss)		33,925,723			41,156,156			80,409,947			2,226,367

Change in net unrealized appreciation (depreciation) on
Futures contracts		25,134,988			(4,754,372	)		35,685,009			(4,336,578	)
Short-term U.S. government and agency obligations		720			(455	)		(252	)		(2,014	)

Change in net unrealized appreciation (depreciation)		25,135,708			(4,754,827	)		35,684,757			(4,338,592	)

Net realized and unrealized gain (loss)		59,061,431			36,401,329			116,094,704			(2,112,225	)

Net income (loss)	$	58,848,921		$	36,077,786		$	115,249,686		$	(2,559,415	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	70,213,227		$	50,599,783		$	169,800,371		$	45,160,205

Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively		79,122,213			139,174,605			169,309,627			193,426,833
Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively		(63,145,980	)		(126,648,412	)		(309,321,303	)		(136,823,861	)

Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively		15,976,233			12,526,193			(140,011,676	)		56,602,972

Net investment income (loss)		(212,510	)		(323,543	)		(845,018	)		(447,190	)
Net realized gain (loss)		33,925,723			41,156,156			80,409,947			2,226,367
Change in net unrealized appreciation (depreciation)		25,135,708			(4,754,827	)		35,684,757			(4,338,592	)

Net income (loss)		58,848,921			36,077,786			115,249,686			(2,559,415	)

Shareholders’ equity, end of period	$	145,038,381		$	99,203,762		$	145,038,381		$	99,203,762

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	115,249,686		$	(2,559,415	)
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		(143,979,838	)		(115,881,108	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		140,999,619			83,563,843
Net amortization and accretion on short-term U.S. government and agency obligations		(16,708	)		(144,767	)
Net realized gain (loss) on investments		(563	)		(977	)
Change in unrealized appreciation (depreciation) on investments		252			2,014
Decrease (Increase) in receivable on futures contracts		1,271,737			37,024
Decrease (Increase) in interest receivable		3,261			9,758
Increase (Decrease) in payable to Sponsor		(86,599	)		29,126
Increase (Decrease) in brokerage commissions and futures account fees payable		145			—
Increase (Decrease) in payable on futures contracts		—			2,392,727

Net cash provided by (used in) operating activities		113,440,992			(32,551,775	)

Cash flow from financing activities
Proceeds from addition of shares		156,788,492			193,426,833
Payment on shares redeemed		(320,453,849	)		(136,823,861	)

Net cash provided by (used in) financing activities		(163,665,357	)		56,602,972

Net increase (decrease) in cash		(50,224,365	)		24,051,197
Cash, beginning of period		137,292,722			17,619,062

Cash, end of period	$	87,068,357		$	41,670,259

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively)	$	999,916	$	—
Cash		2,644,602		4,045,092
Segregated cash balances with brokers for foreign currency forward contracts		—		607,000
Unrealized appreciation on foreign currency forward contracts		2,136		89,103
Interest receivable		100		162

Total assets		3,646,754		4,741,357

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		2,813		3,625
Unrealized depreciation on foreign currency forward contracts		164,822		367
Non-recurring fees and expenses payable		15		15

Total liabilities		167,650		4,007

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,479,104		4,737,350

Total liabilities and shareholders’ equity	$	3,646,754	$	4,741,357

Shares outstanding		250,000		300,000

Net asset value per share	$	13.92	$	15.79

Market value per share (Note 2)	$	13.92	$	15.81

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(29% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 12/16/21 †	$	1,000,000	$	999,916

Total short-term U.S. government and agency obligations (cost $999,912)			$	999,916

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		10/08/21		3,388,921		$	3,925,672		$	(90,545	)
Euro with UBS AG		10/08/21		2,801,502			3,245,215			(74,277	)

							Total Unrealized Depreciation		$	(164,822	)

Contracts to Sell
Euro with Goldman Sachs International		10/08/21		(93,000	)	$	(107,730	)	$	941
Euro with UBS AG		10/08/21		(84,000	)		(97,304	)		1,195

							Total Unrealized Appreciation		$	2,136

†	All or partial amount pledged as collateral for foreign currency forwards.

^	The positions and counterparties herein are as of September 30, 2021. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	393		$	357		$	1,415		$	16,350

Expenses
Management fee		8,664			12,404			28,158			33,852
Non-recurring fees and expenses		—			108			—			108

Total expenses		8,664			12,512			28,158			33,960

Net investment income (loss)		(8,271	)		(12,155	)		(26,743	)		(17,610	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(254,219	)		441,714			(186,149	)		369,811

Net realized gain (loss)		(254,219	)		441,714			(186,149	)		369,811

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		72,810			(84,317	)		(251,422	)		(208,243	)
Short-term U.S. government and agency obligations		43			—			4			(208	)

Change in net unrealized appreciation (depreciation)		72,853			(84,317	)		(251,418	)		(208,451	)

Net realized and unrealized gain (loss)		(181,366	)		357,397			(437,567	)		161,360

Net income (loss)	$	(189,637	)	$	345,242		$	(464,310	)	$	143,750

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	3,668,741		$	4,067,686		$	4,737,350		$	6,204,424

Addition of –, 100,000, 100,000 and 200,000 shares, respectively		—			1,470,669			1,488,793			2,838,707
Redemption of –, 100,000, 150,000 and 350,000 shares, respectively		—			(1,485,922	)		(2,282,729	)		(4,789,206	)

Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively		—			(15,253	)		(793,936	)		(1,950,499	)

Net investment income (loss)		(8,271	)		(12,155	)		(26,743	)		(17,610	)
Net realized gain (loss)		(254,219	)		441,714			(186,149	)		369,811
Change in net unrealized appreciation (depreciation)		72,853			(84,317	)		(251,418	)		(208,451	)

Net income (loss)		(189,637	)		345,242			(464,310	)		143,750

Shareholders’ equity, end of period	$	3,479,104		$	4,397,675		$	3,479,104		$	4,397,675

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(464,310	)	$	143,750
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		(3,999,381	)		(1,395,795	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		3,000,000			5,375,000
Net amortization and accretion on short-term U.S. government and agency obligations		(531	)		(9,001	)
Change in unrealized appreciation (depreciation) on investments		251,418			208,451
Decrease (Increase) in interest receivable		62			1,304
Increase (Decrease) in payable to Sponsor		(812	)		(830	)

Net cash provided by (used in) operating activities		(1,213,554	)		4,322,879

Cash flow from financing activities
Proceeds from addition of shares		1,488,793			2,838,707
Payment on shares redeemed		(2,282,729	)		(4,789,206	)

Net cash provided by (used in) financing activities		(793,936	)		(1,950,499	)

Net increase (decrease) in cash		(2,007,490	)		2,372,380
Cash, beginning of period		4,652,092			2,127,437

Cash, end of period	$	2,644,602		$	4,499,817

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively)	$	185,985,614	$	74,999,467
Cash		45,172,246		164,381,859
Segregated cash balances with brokers for futures contracts		7,404,375		11,581,250
Segregated cash balances with brokers for swap agreements		—		7,489,000
Unrealized appreciation on swap agreements		—		5,140,980
Receivable on open futures contracts		2,711,621		148,784
Interest receivable		2,629		6,531

Total assets		241,276,485		263,747,871

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,781,899		—
Brokerage commissions and futures account fees payable		5,068		—
Payable to Sponsor		163,803		206,394
Unrealized depreciation on swap agreements		7,406,864		—
Non-recurring fees and expenses payable		1,004		1,004

Total liabilities		10,358,638		207,398

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		230,917,847		263,540,473

Total liabilities and shareholders’ equity	$	241,276,485	$	263,747,871

Shares outstanding		4,150,000		3,900,000

Net asset value per share	$	55.64	$	67.57

Market value per share (Note 2)	$	55.59	$	68.20

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(81% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.013% due 10/14/21 †	$	50,000,000	$	49,999,550
0.006% due 10/21/21 †		25,000,000		24,998,890
0.028% due 11/18/21 †		31,000,000		30,998,553
0.037% due 01/20/22 †		50,000,000		49,993,835
0.028% due 02/17/22		30,000,000		29,994,786

Total short-term U.S. government and agency obligations (cost $185,989,826)			$	185,985,614

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2021		856	$	150,399,200	$	(3,936,408	)

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	%		10/06/21	$	107,235,945	$	(2,550,199	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			10/06/21		92,669,240		(2,203,785	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/21		111,553,685		(2,652,880	)

							Total Unrealized Depreciation	$	(7,406,864	)

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	14,338		$	59,354		$	70,259		$	543,895

Expenses
Management fee		582,103			640,992			1,718,350			1,269,866
Brokerage commissions		9,421			12,115			32,974			28,599
Futures account fees		19,008			20,487			64,764			30,683
Non-recurring fees and expenses		—			3,751			—			3,751

Total expenses		610,532			677,345			1,816,088			1,332,899

Net investment income (loss)		(596,194	)		(617,991	)		(1,745,829	)		(789,004	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,125,004	)		2,752,270			(12,636,331	)		5,806,708
Swap agreements		(18,733,085	)		22,990,026			(14,963,523	)		45,798,972
Short-term U.S. government and agency obligations		—			—			245			—

Net realized gain (loss)		(21,858,089	)		25,742,296			(27,599,609	)		51,605,680

Change in net unrealized appreciation (depreciation) on
Futures contracts		319,305			1,046,895			(6,583,282	)		3,086,565
Swap agreements		15,245,013			(19,104,511	)		(12,547,844	)		(14,343,779	)
Short-term U.S. government and agency obligations		9,966			3,025			(5,396	)		(1,725	)

Change in net unrealized appreciation (depreciation)		15,574,284			(18,054,591	)		(19,136,522	)		(11,258,939	)

Net realized and unrealized gain (loss)		(6,283,805	)		7,687,705			(46,736,131	)		40,346,741

Net income (loss)	$	(6,879,999	)	$	7,069,714		$	(48,481,960	)	$	39,557,737

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	243,456,703		$	165,689,050		$	263,540,473		$	110,726,032

Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively		14,836,141			120,448,172			75,112,671			204,437,233
Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively		(20,494,998	)		(17,756,330	)		(59,253,337	)		(79,270,396	)

Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively		(5,658,857	)		102,691,842			15,859,334			125,166,837

Net investment income (loss)		(596,194	)		(617,991	)		(1,745,829	)		(789,004	)
Net realized gain (loss)		(21,858,089	)		25,742,296			(27,599,609	)		51,605,680
Change in net unrealized appreciation (depreciation)		15,574,284			(18,054,591	)		(19,136,522	)		(11,258,939	)

Net income (loss)		(6,879,999	)		7,069,714			(48,481,960	)		39,557,737

Shareholders’ equity, end of period	$	230,917,847		$	275,450,606		$	230,917,847		$	275,450,606

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(48,481,960	)	$	39,557,737
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		(502,945,919	)		(491,677,717	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		391,999,771			313,257,000
Net amortization and accretion on short-term U.S. government and agency obligations		(45,150	)		(364,129	)
Net realized gain (loss) on investments		(245	)		—
Change in unrealized appreciation (depreciation) on investments		12,553,240			14,345,504
Decrease (Increase) in receivable on futures contracts		(2,562,837	)		170,073
Decrease (Increase) in interest receivable		3,902			44,228
Increase (Decrease) in payable to Sponsor		(42,591	)		141,074
Increase (Decrease) in brokerage commissions and futures account fees payable		5,068			—
Increase (Decrease) in payable on futures contracts		—			746,800

Net cash provided by (used in) operating activities		(149,516,721	)		(123,779,430	)

Cash flow from financing activities
Proceeds from addition of shares		75,112,671			204,437,233
Payment on shares redeemed		(56,471,438	)		(79,270,396	)

Net cash provided by (used in) financing activities		18,641,233			125,166,837

Net increase (decrease) in cash		(130,875,488	)		1,387,407
Cash, beginning of period		183,452,109			38,526,723

Cash, end of period	$	52,576,621		$	39,914,130

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively)	$	494,966,819	$	244,993,989
Cash		62,548,518		301,951,458
Segregated cash balances with brokers for futures contracts		15,865,625		66,062,502
Segregated cash balances with brokers for swap agreements		—		78,388,000
Unrealized appreciation on swap agreements		—		56,752,666
Receivable on open futures contracts		421,500		—
Interest receivable		3,756		10,698

Total assets		573,806,218		748,159,313

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		274,804		2,312,939
Brokerage commissions and futures account fees payable		9,969		—
Payable to Sponsor		449,040		539,986
Unrealized depreciation on swap agreements		92,760,569		—
Non-recurring fees and expenses payable		2,360		2,360

Total liabilities		93,496,742		2,855,285

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		480,309,476		745,304,028

Total liabilities and shareholders’ equity	$	573,806,218	$	748,159,313

Shares outstanding		15,146,526		14,696,526

Net asset value per share	$	31.71	$	50.71

Market value per share (Note 2)	$	31.99	$	51.28

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.015% due 10/14/21 †	$	130,000,000	$	129,998,830
0.039% due 10/21/21 †		60,000,000		59,997,336
0.032% due 11/18/21 †		90,000,000		89,995,797
0.041% due 12/16/21 †		100,000,000		99,991,560
0.037% due 01/20/22 †		65,000,000		64,991,986
0.028% due 02/17/22		50,000,000		49,991,310

Total short-term U.S. government and agency obligations (cost $494,973,149)			$	494,966,819

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2021		1,213	$	133,715,055	$	(5,439,801	)

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	%		10/06/21	$	219,572,067	$	(28,588,785	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			10/06/21		219,657,055		(23,220,141	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/21		204,665,509		(21,635,372	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/21		182,787,599		(19,316,271	)

							Total Unrealized Depreciation	$	(92,760,569	)

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	44,511		$	103,976		$	208,169		$	1,018,578

Expenses
Management fee		1,394,627			1,462,400			4,640,919			2,369,293
Brokerage commissions		27,419			54,812			114,716			99,986
Futures account fees		47,170			80,036			258,250			100,982
Non-recurring fees and expenses		—			3,943			—			3,943

Total expenses		1,469,216			1,601,191			5,013,885			2,574,204

Net investment income (loss)		(1,424,705	)		(1,497,215	)		(4,805,716	)		(1,555,626	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(49,762,947	)		97,830,248			(32,273,408	)		107,671,815
Swap agreements		(151,552,363	)		192,408,549			(47,760,872	)		190,255,641
Short-term U.S. government and agency obligations		(4,720	)		—			(4,529	)		—

Net realized gain (loss)		(201,320,030	)		290,238,797			(80,038,809	)		297,927,456

Change in net unrealized appreciation (depreciation) on
Futures contracts		9,589,898			(53,237,345	)		(42,630,013	)		(52,855,325	)
Swap agreements		(15,630,674	)		(146,084,199	)		(149,513,235	)		(162,217,464	)
Short-term U.S. government and agency obligations		22,486			7,772			(13,068	)		(754	)

Change in net unrealized appreciation (depreciation)		(6,018,290	)		(199,313,772	)		(192,156,316	)		(215,073,543	)

Net realized and unrealized gain (loss)		(207,338,320	)		90,925,025			(272,195,125	)		82,853,913

Net income (loss)	$	(208,763,025	)	$	89,427,810		$	(277,000,841	)	$	81,298,287

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	661,778,727		$	249,671,968		$	745,304,028		$	239,254,842

Addition of 1,050,000, 8,050,000, 4,450,000 and 10,300,000 shares, respectively		38,538,861			383,530,355			205,312,655			439,990,085
Redemption of 300,000, 1,800,000, 4,000,000 and 3,150,000 shares, respectively		(11,245,087	)		(101,746,977	)		(193,306,366	)		(139,660,058	)

Net addition (redemption) of 750,000, 6,250,000, 450,000 and 7,150,000 shares, respectively		27,293,774			281,783,378			12,006,289			300,330,027

Net investment income (loss)		(1,424,705	)		(1,497,215	)		(4,805,716	)		(1,555,626	)
Net realized gain (loss)		(201,320,030	)		290,238,797			(80,038,809	)		297,927,456
Change in net unrealized appreciation (depreciation)		(6,018,290	)		(199,313,772	)		(192,156,316	)		(215,073,543	)

Net income (loss)		(208,763,025	)		89,427,810			(277,000,841	)		81,298,287

Shareholders’ equity, end of period	$	480,309,476		$	620,883,156		$	480,309,476		$	620,883,156

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(277,000,841	)	$	81,298,287
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		(1,369,823,802	)		(874,359,830	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,119,994,333			465,705,000
Net amortization and accretion on short-term U.S. government and agency obligations		(160,958	)		(692,431	)
Net realized gain (loss) on investments		4,529			—
Change in unrealized appreciation (depreciation) on investments		149,526,303			162,218,218
Decrease (Increase) in receivable on futures contracts		(421,500	)		—
Decrease (Increase) in interest receivable		6,942			84,307
Increase (Decrease) in payable to Sponsor		(90,946	)		391,121
Increase (Decrease) in brokerage commissions and futures account fees payable		9,969			—
Increase (Decrease) in payable on futures contracts		(2,038,135	)		9,328,727

Net cash provided by (used in) operating activities		(379,994,106	)		(156,026,601	)

Cash flow from financing activities
Proceeds from addition of shares		205,312,655			439,990,085
Payment on shares redeemed		(193,306,366	)		(135,435,342	)

Net cash provided by (used in) financing activities		12,006,289			304,554,743

Net increase (decrease) in cash		(367,987,817	)		148,528,142
Cash, beginning of period		446,401,960			79,058,662

Cash, end of period	$	78,414,143		$	227,586,804

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively)	$	274,984,707	$	244,995,969
Cash		175,755,806		181,991,996
Segregated cash balances with brokers for futures contracts		531,626,515		879,704,000
Segregated cash balances with brokers for swap agreements		—		7,976,000
Unrealized appreciation on swap agreements		7,933,765		—
Receivable from capital shares sold		—		49,086,388
Receivable on open futures contracts		64,382,858		16,422,512
Interest receivable		5,331		7,054

Total assets		1,054,688,982		1,380,183,919

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		26,870,187		—
Payable on open futures contracts		5,927,604		22,424,475
Brokerage commissions and futures account fees payable		244,898		485,039
Payable to Sponsor		795,603		1,040,582
Unrealized depreciation on swap agreements		—		24,807
Non-recurring fees and expenses payable		4,817		4,817

Total liabilities		33,843,109		23,979,720

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,020,845,873		1,356,204,199

Total liabilities and shareholders’ equity	$	1,054,688,982	$	1,380,183,919

Shares outstanding (Note 1)		41,778,420		12,713,091

Net asset value per share (Note 1)	$	24.43	$	106.68

Market value per share (Note 1)(Note 2)	$	24.55	$	106.50

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.030% due 10/14/21	$	100,000,000	$	99,999,100
0.042% due 11/18/21		10,000,000		9,999,533
0.043% due 12/16/21 †		165,000,000		164,986,074

Total short-term U.S. government and agency obligations (cost $274,983,511)			$	274,984,707

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2021		32,595	$	745,375,941	$	62,929,777
VIX Futures - Cboe, expires November 2021		30,104		713,040,334		27,089,105

					$	90,018,882

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index		0.94	%		10/06/21	$	73,401,625	$	7,933,765

							Total Unrealized Appreciation	$	7,933,765

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	11,979		$	88,621		$	328,504		$	1,601,884

Expenses
Management fee		2,221,755			2,969,740			8,897,953			5,646,893
Brokerage commissions		1,095,975			1,102,235			4,225,879			2,282,095
Futures account fees		688,048			1,143,160			3,243,304			1,614,431
Non-recurring fees and expenses		—			10,480			—			10,480

Total expenses		4,005,778			5,225,615			16,367,136			9,553,899

Net investment income (loss)		(3,993,799	)		(5,136,994	)		(16,038,632	)		(7,952,015	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(185,968,398	)		(541,559,555	)		(1,650,738,359	)		43,875,522
Swap agreements		(12,412,592	)		(17,978,295	)		(106,689,716	)		14,791,068
Short-term U.S. government and agency obligations		—			—			20,657			—

Net realized gain (loss)		(198,380,990	)		(559,537,850	)		(1,757,407,418	)		58,666,590

Change in net unrealized appreciation (depreciation) on
Futures contracts		178,803,476			11,342,353			138,543,548			66,121,853
Swap agreements		7,933,765			3,959,662			7,958,572			209,784
Short-term U.S. government and agency obligations		4,980			1,112			(3,982	)		(12,474	)

Change in net unrealized appreciation (depreciation)		186,742,221			15,303,127			146,498,138			66,319,163

Net realized and unrealized gain (loss)		(11,638,769	)		(544,234,723	)		(1,610,909,280	)		124,985,753

Net income (loss)	$	(15,632,568	)	$	(549,371,717	)	$	(1,626,947,912	)	$	117,033,738

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	840,870,703		$	992,156,607		$	1,356,204,199		$	527,636,003

Addition of 37,800,000, 4,280,000, 70,385,000 and 7,755,000 shares, respectively (Note 1)		923,628,398			1,066,976,088			3,297,406,475			2,276,625,957
Redemption of 26,150,000, 805,000, 41,319,671 and 5,430,000 shares, respectively (Note 1)		(728,020,660	)		(202,149,457	)		(2,005,816,889	)		(1,613,684,177	)

Net addition (redemption) of 11,650,000, 3,475,000, 29,065,329 and 2,325,000 shares, respectively (Note 1)		195,607,738			864,826,631			1,291,589,586			662,941,780

Net investment income (loss)		(3,993,799	)		(5,136,994	)		(16,038,632	)		(7,952,015	)
Net realized gain (loss)		(198,380,990	)		(559,537,850	)		(1,757,407,418	)		58,666,590
Change in net unrealized appreciation (depreciation)		186,742,221			15,303,127			146,498,138			66,319,163

Net income (loss)		(15,632,568	)		(549,371,717	)		(1,626,947,912	)		117,033,738

Shareholders’ equity, end of period	$	1,020,845,873		$	1,307,611,521		$	1,020,845,873		$	1,307,611,521

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(1,626,947,912	)	$	117,033,738
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		(1,136,829,195	)		(965,269,478	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,106,989,987			701,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(132,855	)		(901,502	)
Net realized gain (loss) on investments		(20,657	)		—
Change in unrealized appreciation (depreciation) on investments		(7,954,590	)		(197,310	)
Decrease (Increase) in securities sold receivable		—			(246,192	)
Decrease (Increase) in receivable on futures contracts		(47,960,346	)		(72,257,550	)
Decrease (Increase) in interest receivable		1,723			203,751
Increase (Decrease) in payable to Sponsor		(244,979	)		633,542
Increase (Decrease) in brokerage commissions and futures account fees payable		(240,141	)		419,056
Increase (Decrease) in payable on futures contracts		(16,496,871	)		(34,019,820	)

Net cash provided by (used in) operating activities		(1,729,835,836	)		(253,601,765	)

Cash flow from financing activities
Proceeds from addition of shares		3,346,492,863			2,248,489,431
Payment on shares redeemed		(1,978,946,702	)		(1,613,684,177	)

Net cash provided by (used in) financing activities		1,367,546,161			634,805,254

Net increase (decrease) in cash		(362,289,675	)		381,203,489
Cash, beginning of period		1,069,671,996			361,561,329

Cash, end of period	$	707,382,321		$	742,764,818

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively)	$	999,953	$	—
Cash		1,601,167		2,618,696
Segregated cash balances with brokers for foreign currency forward contracts		—		306,000
Unrealized appreciation on foreign currency forward contracts		757		67,235
Interest receivable		66		111

Total assets		2,601,943		2,992,042

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		2,029		2,384
Unrealized depreciation on foreign currency forward contracts		60,023		148
Non-recurring fees and expenses payable		11		11

Total liabilities		62,063		2,543

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,539,880		2,989,499

Total liabilities and shareholders’ equity	$	2,601,943	$	2,992,042

Shares outstanding		49,970		49,970

Net asset value per share	$	50.83	$	59.83

Market value per share (Note 2)	$	50.82	$	59.82

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
( 39 % of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.023 % due 11/18/21 †	$	1,000,000	$	999,953

Total short-term U.S. government and agency obligations (cost $ 999,970 )			$	999,953

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		10/08/21		327,930,517		$	2,946,301		$	(34,305	)
Yen with UBS AG		10/08/21		253,562,756			2,278,140			(25,718	)

							Total Unrealized Depreciation		$	(60,023	)

Contracts to Sell
Yen with Goldman Sachs International		10/08/21		(6,319,000	)	$	(56,773	)	$	(182	)
Yen with UBS AG		10/08/21		(10,090,000	)		(90,654	)		939

							Total Unrealized Appreciation		$	757

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of September 30, 2021. 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.

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,
	2021			2020			2021			2020
Investment Income
Interest	$	260		$	171		$	923		$	9,100

Expenses
Management fee		6,233			6,813			19,144			20,655
Non-recurring fees and expenses		—			78			—			78

Total expenses		6,233			6,891			19,144			20,733

Net investment income (loss)		(5,973	)		(6,720	)		(18,221	)		(11,633	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(25,554	)		126,569			(305,028	)		11,333

Net realized gain (loss)		(25,554	)		126,569			(305,028	)		11,333

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		10,988			(1,524	)		(126,353	)		48,104
Short-term U.S. government and agency obligations		71			—			(17	)		(74	)

Change in net unrealized appreciation (depreciation)		11,059			(1,524	)		(126,370	)		48,030

Net realized and unrealized gain (loss)		(14,495	)		125,045			(431,398	)		59,363

Net income (loss)	$	(20,468	)	$	118,325		$	(449,619	)	$	47,730

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,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	2,560,348		$	2,764,355		$	2,989,499		$	5,580,964

Redemption of –, –, – and 50,000 shares, respectively		—			—			—			(2,746,014	)

Net addition (redemption) of –, –, – and (50,000) shares, respectively		—			—			—			(2,746,014	)

Net investment income (loss)		(5,973	)		(6,720	)		(18,221	)		(11,633	)
Net realized gain (loss)		(25,554	)		126,569			(305,028	)		11,333
Change in net unrealized appreciation (depreciation)		11,059			(1,524	)		(126,370	)		48,030

Net income (loss)		(20,468	)		118,325			(449,619	)		47,730

Shareholders’ equity, end of period	$	2,539,880		$	2,882,680		$	2,539,880		$	2,882,680

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(449,619	)	$	47,730
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		(1,499,740	)		(99,700	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		500,000			1,911,000
Net amortization and accretion on short-term U.S. government and agency obligations		(230	)		(3,270	)
Change in unrealized appreciation (depreciation) on investments		126,370			(48,030	)
Decrease (Increase) in interest receivable		45			4,622
Increase (Decrease) in payable to Sponsor		(355	)		(2,235	)

Net cash provided by (used in) operating activities		(1,323,529	)		1,810,117

Cash flow from financing activities
Payment on shares redeemed		—			(2,746,014	)

Net cash provided by (used in) financing activities		—			(2,746,014	)

Net increase (decrease) in cash		(1,323,529	)		(935,897	)
Cash, beginning of period		2,924,696			3,783,138

Cash, end of period	$	1,601,167		$	2,847,241

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Cash	$	4,739,816	$	2,133,707
Segregated cash balances with brokers for futures contracts		239,360		100,320
Interest receivable		187		119

Total assets		4,979,363		2,234,146

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		61,327		9,118
Payable to Sponsor		3,748		2,370
Non-recurring fees and expenses payable		19		19

Total liabilities		65,094		11,507

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,914,269		2,222,639

Total liabilities and shareholders’ equity	$	4,979,363	$	2,234,146

Shares outstanding		100,000		50,000

Net asset value per share	$	49.14	$	44.45

Market value per share (Note 2)	$	49.16	$	43.89

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Australian Dollar Fx Currency Futures - CME, expires December 2021		136	$	9,838,240	$	182,163

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	443		$	289		$	961		$	20,385

Expenses
Management fee		8,860			12,478			19,191			42,496
Brokerage commissions		962			928			1,722			3,766
Non-recurring fees and expenses		—			177			—			177

Total expenses		9,822			13,583			20,913			46,439

Net investment income (loss)		(9,379	)		(13,294	)		(19,952	)		(26,054	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		188,884			(432,100	)		17,207			(799,054	)

Net realized gain (loss)		188,884			(432,100	)		17,207			(799,054	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		56,770			5,020			321,113			390,370
Short-term U.S. government and agency obligations		—			—			—			(206	)

Change in net unrealized appreciation (depreciation)		56,770			5,020			321,113			390,164

Net realized and unrealized gain (loss)		245,654			(427,080	)		338,320			(408,890	)

Net income (loss)	$	236,275		$	(440,374	)	$	318,368		$	(434,944	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	2,304,732		$	5,614,042		$	2,222,639		$	5,608,612

Addition of 50,000, –, 50,000 and – shares, respectively		2,373,262			—			2,373,262			—

Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively		2,373,262			—			2,373,262			—

Net investment income (loss)		(9,379	)		(13,294	)		(19,952	)		(26,054	)
Net realized gain (loss)		188,884			(432,100	)		17,207			(799,054	)
Change in net unrealized appreciation (depreciation)		56,770			5,020			321,113			390,164

Net income (loss)		236,275			(440,374	)		318,368			(434,944	)

Shareholders’ equity, end of period	$	4,914,269		$	5,173,668		$	4,914,269		$	5,173,668

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	318,368		$	(434,944	)
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		—			(498,498	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			4,436,000
Net amortization and accretion on short-term U.S. government and agency obligations		—			(6,234	)
Change in unrealized appreciation (depreciation) on investments		—			206
Decrease (Increase) in interest receivable		(68	)		1,510
Increase (Decrease) in payable to Sponsor		1,378			(759	)
Increase (Decrease) in payable on futures contracts		52,209			6,830

Net cash provided by (used in) operating activities		371,887			3,504,111

Cash flow from financing activities
Proceeds from addition of shares		2,373,262			—

Net cash provided by (used in) financing activities		2,373,262			—

Net increase (decrease) in cash		2,745,149			3,504,111
Cash, beginning of period		2,234,027			1,717,873

Cash, end of period	$	4,979,176		$	5,221,984

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $ – , respectively)	$	32,997,116	$	—
Cash		37,673,178		74,317,150
Segregated cash balances with brokers for futures contracts		23,127,496		22,608,223
Segregated cash balances with brokers for swap agreements		—		188,000
Receivable on open futures contracts		—		60,902
Interest receivable		1,383		3,299

Total assets		93,799,173		97,177,574

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		143,515		257,410
Brokerage commissions and futures account fees payable		12,910		—
Payable to Sponsor		67,184		80,580
Non-recurring fees and expenses payable		351		351

Total liabilities		223,960		338,341

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		93,575,213		96,839,233

Total liabilities and shareholders’ equity	$	93,799,173	$	97,177,574

Shares outstanding (Note 1)		6,183,799		2,084,971

Net asset value per share (Note 1)	$	15.13	$	46.45

Market value per share (Note 1)(Note 2)	$	15.18	$	46.56

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 10/14/21	$	5,000,000	$	4,999,955
0.043% due 11/18/21		8,000,000		7,999,627
0.037% due 01/20/22		20,000,000		19,997,534

Total short-term U.S. government and agency obligations (cost $32,997,250)			$	32,997,116

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2021		848	$	63,345,600	$	(10,110,286	)
WTI Crude Oil - NYMEX, expires June 2022		876		62,327,400		(7,616,511	)
WTI Crude Oil - NYMEX, expires December 2022		909		61,539,300		(2,739,363	)

					$	(20,466,160	)

^^	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,
	2021			2020			2021			2020
Investment Income
Interest	$	6,891		$	4,832		$	36,069		$	259,750

Expenses
Management fee		201,146			238,038			603,444			789,307
Brokerage commissions		29,277			64,657			100,902			488,442
Futures account fees		18,193			39,565			83,373			132,868
Non-recurring fees and expenses		—			4,892			—			4,892

Total expenses		248,616			347,152			787,719			1,415,509

Net investment income (loss)		(241,725	)		(342,320	)		(751,650	)		(1,155,759	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(11,449,562	)		(12,932,125	)		(86,637,748	)		(13,146,261	)
Swap agreements		—			(3,364,704	)		—			41,576,107
Short-term U.S. government and agency obligations		—			—			—			(20	)

Net realized gain (loss)		(11,449,562	)		(16,296,829	)		(86,637,748	)		28,429,826

Change in net unrealized appreciation (depreciation) on
Futures contracts		(1,521,543	)		3,752,436			(5,829,347	)		3,196,977
Swap agreements		—			2,095,678			—			4,033,931
Short-term U.S. government and agency obligations		650			—			(134	)		(3,162	)

Change in net unrealized appreciation (depreciation)		(1,520,893	)		5,848,114			(5,829,481	)		7,227,746

Net realized and unrealized gain (loss)		(12,970,455	)		(10,448,715	)		(92,467,229	)		35,657,572

Net income (loss)	$	(13,212,180	)	$	(10,791,035	)	$	(93,218,879	)	$	34,501,813

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,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	79,400,059		$	117,821,898		$	96,839,233		$	125,451,681

Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1)		56,590,239			69,006,205			164,074,678			737,435,154
Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1)		(29,202,905	)		(95,618,902	)		(74,119,819	)		(816,970,482	)

Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1)		27,387,334			(26,612,697	)		89,954,859			(79,535,328	)

Net investment income (loss)		(241,725	)		(342,320	)		(751,650	)		(1,155,759	)
Net realized gain (loss)		(11,449,562	)		(16,296,829	)		(86,637,748	)		28,429,826
Change in net unrealized appreciation (depreciation)		(1,520,893	)		5,848,114			(5,829,481	)		7,227,746

Net income (loss)		(13,212,180	)		(10,791,035	)		(93,218,879	)		34,501,813

Shareholders’ equity, end of period	$	93,575,213		$	80,418,166		$	93,575,213		$	80,418,166

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(93,218,879	)	$	34,501,813
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		(117,984,270	)		(32,897,274	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		85,000,000			95,246,647
Net amortization and accretion on short-term U.S. government and agency obligations		(12,980	)		(153,272	)
Net realized gain (loss) on investments		—			20
Change in unrealized appreciation (depreciation) on investments		134			(4,030,769	)
Decrease (Increase) in receivable on futures contracts		60,902			281,879
Decrease (Increase) in interest receivable		1,916			51,970
Increase (Decrease) in payable to Sponsor		(13,396	)		(20,975	)
Increase (Decrease) in brokerage commissions and futures account fees payable		12,910			—
Increase (Decrease) in payable on futures contracts		(113,895	)		3,316,805

Net cash provided by (used in) operating activities		(126,267,558	)		96,296,844

Cash flow from financing activities
Proceeds from addition of shares		164,074,678			741,702,169
Payment on shares redeemed		(74,119,819	)		(816,970,482	)

Net cash provided by (used in) financing activities		89,954,859			(75,268,313	)

Net increase (decrease) in cash		(36,312,699	)		21,028,531
Cash, beginning of period		97,113,373			61,909,177

Cash, end of period	$	60,800,674		$	82,937,708

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively)	$	56,993,148	$	9,999,861
Cash		84,342,212		12,600,775
Segregated cash balances with brokers for futures contracts		29,635,820		6,546,607
Interest receivable		2,662		548

Total assets		170,973,842		29,147,791

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		16,371,629		2,604,177
Payable on open futures contracts		15,998,799		1,543,700
Brokerage commissions and futures account fees payable		27,103		—
Payable to Sponsor		107,494		22,029
Non-recurring fees and expenses payable		140		140

Total liabilities		32,505,165		4,170,046

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		138,468,677		24,977,745

Total liabilities and shareholders’ equity	$	170,973,842	$	29,147,791

Shares outstanding		19,724,832		524,832

Net asset value per share	$	7.02	$	47.59

Market value per share (Note 2)	$	7.12	$	47.38

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
( 41 % of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043 % due 10/14/21	$	5,000,000	$	4,999,955
0.043 % due 11/18/21		7,000,000		6,999,673
0.044 % due 12/16/21		15,000,000		14,998,734
0.028 % due 02/17/22		30,000,000		29,994,786

Total short-term U.S. government and agency obligations (cost $ 56,994,979 )			$	56,993,148

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2021		4,720	$	276,922,400	$	(35,288,843	)

^^	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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	9,879		$	8,136		$	25,512		$	51,939

Expenses
Management fee		258,824			138,507			609,472			207,544
Brokerage commissions		67,808			98,416			249,831			177,159
Futures account fees		42,064			20,454			99,190			25,803
Non-recurring fees and expenses		—			345			—			345

Total expenses		368,696			257,722			958,493			410,851

Net investment income (loss)		(358,817	)		(249,586	)		(932,981	)		(358,912	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(95,609,878	)		(31,450,011	)		(112,274,576	)		(20,587,193	)
Short-term U.S. government and agency obligations		—			19			—			(531	)

Net realized gain (loss)		(95,609,878	)		(31,449,992	)		(112,274,576	)		(20,587,724	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(17,870,697	)		8,968,702			(35,668,153	)		9,530,001
Short-term U.S. government and agency obligations		(839	)		435			(2,080	)		108

Change in net unrealized appreciation (depreciation)		(17,871,536	)		8,969,137			(35,670,233	)		9,530,109

Net realized and unrealized gain (loss)		(113,481,414	)		(22,480,855	)		(147,944,809	)		(11,057,615	)

Net income (loss)	$	(113,840,231	)	$	(22,730,441	)	$	(148,877,790	)	$	(11,416,527	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	97,525,300		$	28,552,210		$	24,977,745		$	12,515,603

Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively		210,189,776			130,455,301			446,153,207			198,730,524
Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively		(55,406,168	)		(89,339,084	)		(183,784,485	)		(152,891,614	)

Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively		154,783,608			41,116,217			262,368,722			45,838,910

Net investment income (loss)		(358,817	)		(249,586	)		(932,981	)		(358,912	)
Net realized gain (loss)		(95,609,878	)		(31,449,992	)		(112,274,576	)		(20,587,724	)
Change in net unrealized appreciation (depreciation)		(17,871,536	)		8,969,137			(35,670,233	)		9,530,109

Net income (loss)		(113,840,231	)		(22,730,441	)		(148,877,790	)		(11,416,527	)

Shareholders’ equity, end of period	$	138,468,677		$	46,937,986		$	138,468,677		$	46,937,986

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(148,877,790	)	$	(11,416,527	)
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		(144,983,115	)		(54,978,482	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		98,000,000			28,159,767
Net amortization and accretion on short-term U.S. government and agency obligations		(12,252	)		(21,483	)
Net realized gain (loss) on investments		—			531
Change in unrealized appreciation (depreciation) on investments		2,080			(108	)
Decrease (Increase) in receivable on futures contracts		—			(1,269,994	)
Decrease (Increase) in interest receivable		(2,114	)		5,726
Increase (Decrease) in payable to Sponsor		85,465			40,651
Increase (Decrease) in brokerage commissions and futures account fees payable		27,103			—
Increase (Decrease) in payable on futures contracts		14,455,099			(6,826	)

Net cash provided by (used in) operating activities		(181,305,524	)		(39,486,745	)

Cash flow from financing activities
Proceeds from addition of shares		446,153,207			198,730,524
Payment on shares redeemed		(170,017,033	)		(130,442,926	)

Net cash provided by (used in) financing activities		276,136,174			68,287,598

Net increase (decrease) in cash		94,830,650			28,800,853
Cash, beginning of period		19,147,382			7,370,891

Cash, end of period	$	113,978,032		$	36,171,744

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively)	$	34,997,817	$	9,999,861
Cash		11,552,843		42,133,228
Segregated cash balances with brokers for foreign currency forward contracts		—		1,999,000
Unrealized appreciation on foreign currency forward contracts		2,284,006		5,705
Interest receivable		396		2,148

Total assets		48,835,062		54,139,942

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		36,822		43,974
Unrealized depreciation on foreign currency forward contracts		157,203		1,142,409
Non-recurring fees and expenses payable		220		220

Total liabilities		194,245		1,186,603

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		48,640,817		52,953,339

Total liabilities and shareholders’ equity	$	48,835,062	$	54,139,942

Shares outstanding		1,950,000		2,350,000

Net asset value per share	$	24.94	$	22.53

Market value per share (Note 2)	$	24.93	$	22.52

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(72% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 10/14/21 †	$	5,000,000	$	4,999,955
0.039% due 10/21/21 †		10,000,000		9,999,555
0.043% due 11/18/21 †		5,000,000		4,999,767
0.044% due 12/16/21		10,000,000		9,999,156
0.037% due 01/20/22		5,000,000		4,999,384

Total short-term U.S. government and agency obligations (cost $34,997,966)			$	34,997,817

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 UBS AG		10/08/21		5,650,000		$	6,544,869		$	(157,203	)

							Total Unrealized Depreciation		$	(157,203	)

Contracts to Sell
Euro with Goldman Sachs International		10/08/21		(39,458,263	)	$	(45,707,819	)	$	1,000,511
Euro with UBS AG		10/08/21		(49,895,199	)		(57,797,799	)		1,283,495

							Total Unrealized Appreciation		$	2,284,006

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of September 30, 2021. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	5,008		$	18,939		$	17,814		$	486,623

Expenses
Management fee		116,733			161,145			355,451			638,218
Non-recurring fees and expenses		—			2,622			—			2,622

Total expenses		116,733			163,767			355,451			640,840

Net investment income (loss)		(111,725	)		(144,828	)		(337,637	)		(154,217	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		2,974,466			(7,511,153	)		2,249,236			(8,749,738	)
Short-term U.S. government and agency obligations		—			(14	)		—			(14	)

Net realized gain (loss)		2,974,466			(7,511,167	)		2,249,236			(8,749,752	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(618,447	)		1,523,931			3,263,507			3,449,397
Short-term U.S. government and agency obligations		489			1,860			(398	)		(3,038	)

Change in net unrealized appreciation (depreciation)		(617,958	)		1,525,791			3,263,109			3,446,359

Net realized and unrealized gain (loss)		2,356,508			(5,985,376	)		5,512,345			(5,303,393	)

Net income (loss)	$	2,244,783		$	(6,130,204	)	$	5,174,708		$	(5,457,610	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	48,820,440		$	78,848,965		$	52,953,339		$	120,581,173

Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively		2,387,142			24,186,298			7,000,386			34,244,548
Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively		(4,811,548	)		(28,327,526	)		(16,487,616	)		(80,790,578	)

Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively		(2,424,406	)		(4,141,228	)		(9,487,230	)		(46,546,030	)

Net investment income (loss)		(111,725	)		(144,828	)		(337,637	)		(154,217	)
Net realized gain (loss)		2,974,466			(7,511,167	)		2,249,236			(8,749,752	)
Change in net unrealized appreciation (depreciation)		(617,958	)		1,525,791			3,263,109			3,446,359

Net income (loss)		2,244,783			(6,130,204	)		5,174,708			(5,457,610	)

Shareholders’ equity, end of period	$	48,640,817		$	68,577,533		$	48,640,817		$	68,577,533

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	5,174,708		$	(5,457,610	)
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		(89,988,404	)		(198,751,004	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		65,000,000			220,684,953
Net amortization and accretion on short-term U.S. government and agency obligations		(9,950	)		(338,406	)
Net realized gain (loss) on investments		—			14
Change in unrealized appreciation (depreciation) on investments		(3,263,109	)		(3,446,359	)
Decrease (Increase) in interest receivable		1,752			59,976
Increase (Decrease) in payable to Sponsor		(7,152	)		(47,737	)

Net cash provided by (used in) operating activities		(23,092,155	)		12,703,827

Cash flow from financing activities
Proceeds from addition of shares		7,000,386			34,244,548
Payment on shares redeemed		(16,487,616	)		(78,341,410	)

Net cash provided by (used in) financing activities		(9,487,230	)		(44,096,862	)

Net increase (decrease) in cash		(32,579,385	)		(31,393,035	)
Cash, beginning of period		44,132,228			44,280,278

Cash, end of period	$	11,552,843		$	12,887,243

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively)	$	17,998,972	$	—
Cash		8,368,137		16,935,121
Segregated cash balances with brokers for futures contracts		860,625		1,503,750
Segregated cash balances with brokers for swap agreements		—		2,194,500
Unrealized appreciation on swap agreements		830,123		—
Receivable on open futures contracts		—		1,317
Interest receivable		299		742

Total assets		28,058,156		20,635,430

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		306,991		12,410
Brokerage commissions and futures account fees payable		211		—
Payable to Sponsor		19,851		16,835
Unrealized depreciation on swap agreements		—		268,728
Non-recurring fees and expenses payable		81		81

Total liabilities		327,134		298,054

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		27,731,022		20,337,376

Total liabilities and shareholders’ equity	$	28,058,156	$	20,635,430

Shares outstanding		796,977		646,977

Net asset value per share	$	34.80	$	31.43

Market value per share (Note 2)	$	34.82	$	31.14

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(65% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 10/14/21	$	5,000,000	$	4,999,955
0.039% due 10/21/21 †		3,000,000		2,999,867
0.043% due 11/18/21 †		5,000,000		4,999,767
0.037% due 01/20/22		5,000,000		4,999,383

Total short-term U.S. government and agency obligations (cost $17,999,022)			$	17,998,972

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2021		114	$	20,029,800	$	432,050

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	%		10/06/21	$	(14,518,233	)	$	340,577
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20			10/06/21		(9,497,933	)		223,115
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/21		(11,357,509	)		266,431

							Total Unrealized Appreciation		$	830,123

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	3,075		$	1,831		$	9,213		$	65,111

Expenses
Management fee		66,304			45,591			199,999			129,451
Brokerage commissions		3,301			1,980			9,174			5,743
Futures account fees		1,856			1,232			8,344			2,597
Non-recurring fees and expenses		—			499			—			499

Total expenses		71,461			49,302			217,517			138,290

Net investment income (loss)		(68,386	)		(47,471	)		(208,304	)		(73,179	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(883,113	)		(1,305,687	)		(1,598,368	)		(5,001,545	)
Swap agreements		2,096,834			(2,715,850	)		(169,268	)		(7,040,145	)
Short-term U.S. government and agency obligations		—			—			169			—

Net realized gain (loss)		1,213,721			(4,021,537	)		(1,767,467	)		(12,041,690	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(153,889	)		782,022			628,980			893,052
Swap agreements		(1,744,696	)		1,906,708			1,098,851			1,834,548
Short-term U.S. government and agency obligations		166			331			(50	)		(496	)

Change in net unrealized appreciation (depreciation)		(1,898,419	)		2,689,061			1,727,781			2,727,104

Net realized and unrealized gain (loss)		(684,698	)		(1,332,476	)		(39,686	)		(9,314,586	)

Net income (loss)	$	(753,084	)	$	(1,379,947	)	$	(247,990	)	$	(9,387,765	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	32,835,014		$	15,851,043		$	20,337,376		$	21,047,560

Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively		21,916,482			23,162,997			59,279,388			38,594,844
Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively		(26,267,390	)		(10,494,112	)		(51,637,752	)		(23,114,658	)

Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively		(4,350,908	)		12,668,885			7,641,636			15,480,186

Net investment income (loss)		(68,386	)		(47,471	)		(208,304	)		(73,179	)
Net realized gain (loss)		1,213,721			(4,021,537	)		(1,767,467	)		(12,041,690	)
Change in net unrealized appreciation (depreciation)		(1,898,419	)		2,689,061			1,727,781			2,727,104

Net income (loss)		(753,084	)		(1,379,947	)		(247,990	)		(9,387,765	)

Shareholders’ equity, end of period	$	27,731,022		$	27,139,981		$	27,731,022		$	27,139,981

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(247,990	)	$	(9,387,765	)
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		(40,994,386	)		(19,981,048	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		22,999,935			27,371,000
Net amortization and accretion on short-term U.S. government and agency obligations		(4,402	)		(34,425	)
Net realized gain (loss) on investments		(169	)		—
Change in unrealized appreciation (depreciation) on investments		(1,098,801	)		(1,834,052	)
Decrease (Increase) in receivable on futures contracts		1,317			(55,281	)
Decrease (Increase) in interest receivable		443			11,119
Increase (Decrease) in payable to Sponsor		3,016			472
Increase (Decrease) in brokerage commissions and futures account fees payable		211			—
Increase (Decrease) in payable on futures contracts		294,581			(25,211	)

Net cash provided by (used in) operating activities		(19,046,245	)		(3,935,191	)

Cash flow from financing activities
Proceeds from addition of shares		59,279,388			38,594,844
Payment on shares redeemed		(51,637,752	)		(23,114,658	)

Net cash provided by (used in) financing activities		7,641,636			15,480,186

Net increase (decrease) in cash		(11,404,609	)		11,544,995
Cash, beginning of period		20,633,371			9,895,915

Cash, end of period	$	9,228,762		$	21,440,910

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively)	$	21,998,799	$	—
Cash		11,285,816		18,919,314
Segregated cash balances with brokers for futures contracts		4,768,750		1,503,250
Segregated cash balances with brokers for swap agreements		—		11,732,485
Unrealized appreciation on swap agreements		4,090,510		—
Receivable from capital shares sold		1,563,293		—
Receivable on open futures contracts		—		39,445
Interest receivable		479		814

Total assets		43,707,647		32,195,308

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,126,586		—
Payable on open futures contracts		176,667		86,282
Brokerage commissions and futures account fees payable		1,471		—
Payable to Sponsor		28,913		25,557
Unrealized depreciation on swap agreements		—		3,197,561
Non-recurring fees and expenses payable		133		133

Total liabilities		3,333,770		3,309,533

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		40,373,877		28,885,775

Total liabilities and shareholders’ equity	$	43,707,647	$	32,195,308

Shares outstanding (Note 1)		1,291,329		1,041,744

Net asset value per share (Note 1)	$	31.27	$	27.73

Market value per share (Note 1)(Note 2)	$	30.97	$	27.40

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(54% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.043% due 10/14/21 †	$	5,000,000	$	4,999,955
0.013% due 10/21/21 †		9,000,000		8,999,600
0.043% due 11/18/21 †		3,000,000		2,999,860
0.037% due 01/20/22		5,000,000		4,999,384

Total short-term U.S. government and agency obligations (cost $21,999,135)			$	21,998,799

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2021		380	$	41,889,300	$	2,955,976

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	%		10/06/21	$	(7,432,206	)	$	782,817
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25			10/06/21		(9,839,512	)		1,036,372
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/21		(7,779,988	)		819,178
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/21		(13,786,912	)		1,452,143

							Total Unrealized Appreciation		$	4,090,510

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

^	The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	3,100		$	3,192		$	8,895		$	48,379

Expenses
Management fee		90,963			84,377			248,539			147,262
Brokerage commissions		8,141			8,539			19,409			16,460
Futures account fees		6,528			4,945			20,726			6,620
Non-recurring fees and expenses		—			321			—			321

Total expenses		105,632			98,182			288,674			170,663

Net investment income (loss)		(102,532	)		(94,990	)		(279,779	)		(122,284	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		523,159			(6,023,570	)		(929,991	)		(5,016,408	)
Swap agreements		6,138,986			(9,873,250	)		(1,216,671	)		(13,915,911	)
Short-term U.S. government and agency obligations		—			—			85			—

Net realized gain (loss)		6,662,145			(15,896,820	)		(2,146,577	)		(18,932,319	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		2,684,085			4,674,780			3,176,052			4,541,796
Swap agreements		1,237,760			6,454,866			7,288,071			8,024,939
Short-term U.S. government and agency obligations		751			88			(336	)		(616	)

Change in net unrealized appreciation (depreciation)		3,922,596			11,129,734			10,463,787			12,566,119

Net realized and unrealized gain (loss)		10,584,741			(4,767,086	)		8,317,210			(6,366,200	)

Net income (loss)	$	10,482,209		$	(4,862,076	)	$	8,037,431		$	(6,488,484	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	34,859,763		$	10,145,625		$	28,885,775		$	13,834,163

Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1)		26,169,229			102,544,682			91,351,542			122,851,884
Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1)		(31,137,324	)		(56,772,556	)		(87,900,871	)		(79,141,888	)

Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1)		(4,968,095	)		45,772,126			3,450,671			43,709,996

Net investment income (loss)		(102,532	)		(94,990	)		(279,779	)		(122,284	)
Net realized gain (loss)		6,662,145			(15,896,820	)		(2,146,577	)		(18,932,319	)
Change in net unrealized appreciation (depreciation)		3,922,596			11,129,734			10,463,787			12,566,119

Net income (loss)		10,482,209			(4,862,076	)		8,037,431			(6,488,484	)

Shareholders’ equity, end of period	$	40,373,877		$	51,055,675		$	40,373,877		$	51,055,675

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	8,037,431		$	(6,488,484	)
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		(49,994,362	)		(19,382,698	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		27,999,988			13,574,000
Net amortization and accretion on short-term U.S. government and agency obligations		(4,676	)		(27,476	)
Net realized gain (loss) on investments		(85	)		—
Change in unrealized appreciation (depreciation) on investments		(7,287,735	)		(8,024,323	)
Decrease (Increase) in receivable on futures contracts		39,445			(499,230	)
Decrease (Increase) in interest receivable		335			3,740
Increase (Decrease) in payable to Sponsor		3,356			22,693
Increase (Decrease) in brokerage commissions and futures account fees payable		1,471			—
Increase (Decrease) in payable on futures contracts		90,385			774,314

Net cash provided by (used in) operating activities		(21,114,447	)		(20,047,464	)

Cash flow from financing activities
Proceeds from addition of shares		89,788,249			122,851,884
Payment on shares redeemed		(84,774,285	)		(79,141,888	)

Net cash provided by (used in) financing activities		5,013,964			43,709,996

Net increase (decrease) in cash		(16,100,483	)		23,662,532
Cash, beginning of period		32,155,049			6,646,212

Cash, end of period	$	16,054,566		$	30,308,744

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively)	$	16,998,447	$	—
Cash		5,846,465		21,470,564
Segregated cash balances with brokers for foreign currency forward contracts		—		2,804,000
Unrealized appreciation on foreign currency forward contracts		549,354		7,008
Interest receivable		361		914

Total assets		23,394,627		24,282,486

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		17,831		19,348
Unrealized depreciation on foreign currency forward contracts		47,780		571,974
Non-recurring fees and expenses payable		94		94

Total liabilities		65,705		591,416

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		23,328,922		23,691,070

Total liabilities and shareholders’ equity	$	23,394,627	$	24,282,486

Shares outstanding		299,290		349,290

Net asset value per share	$	77.95	$	67.83

Market value per share (Note 2)	$	77.96	$	67.81

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.006% due 10/21/21 †	$	3,000,000	$	2,999,867
0.043% due 11/18/21		4,000,000		3,999,813
0.037% due 01/20/22		10,000,000		9,998,767

Total short-term U.S. government and agency obligations (cost $16,998,654)			$	16,998,447

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		10/08/21		32,600,000		$	292,895		$	(5,286	)
Yen with UBS AG		10/08/21		373,110,000			3,352,216			(42,494	)

							Total Unrealized Depreciation		$	(47,780	)

Contracts to Sell
Yen with Goldman Sachs International		10/08/21		(1,558,854,165	)	$	(14,005,562	)	$	143,685
Yen with UBS AG		10/08/21		(4,049,118,875	)		(36,379,405	)		405,669

							Total Unrealized Appreciation		$	549,354

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of September 30, 2021. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	2,392		$	5,085		$	9,558		$	136,411

Expenses
Management fee		57,037			60,238			196,036			209,105
Non-recurring fees and expenses		—			717			—			717

Total expenses		57,037			60,955			196,036			209,822

Net investment income (loss)		(54,645	)		(55,870	)		(186,478	)		(73,411	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		197,444			(1,451,651	)		3,055,103			(1,847,423	)

Net realized gain (loss)		197,444			(1,451,651	)		3,055,103			(1,847,423	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(190,261	)		200,915			1,066,540			(427,974	)
Short-term U.S. government and agency obligations		329			606			(207	)		(1,113	)

Change in net unrealized appreciation (depreciation)		(189,932	)		201,521			1,066,333			(429,087	)

Net realized and unrealized gain (loss)		7,512			(1,250,130	)		4,121,436			(2,276,510	)

Net income (loss)	$	(47,133	)	$	(1,306,000	)	$	3,934,958		$	(2,349,921	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	27,231,748		$	29,787,034		$	23,691,070		$	38,132,320

Addition of –, –, 100,000 and 100,000 shares, respectively		—			—			7,132,412			7,806,745
Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively		(3,855,693	)		(3,700,271	)		(11,429,518	)		(18,808,381	)

Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively		(3,855,693	)		(3,700,271	)		(4,297,106	)		(11,001,636	)

Net investment income (loss)		(54,645	)		(55,870	)		(186,478	)		(73,411	)
Net realized gain (loss)		197,444			(1,451,651	)		3,055,103			(1,847,423	)
Change in net unrealized appreciation (depreciation)		(189,932	)		201,521			1,066,333			(429,087	)

Net income (loss)		(47,133	)		(1,306,000	)		3,934,958			(2,349,921	)

Shareholders’ equity, end of period	$	23,328,922		$	24,780,763		$	23,328,922		$	24,780,763

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	3,934,958		$	(2,349,921	)
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		(43,494,229	)		(46,753,062	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		26,500,000			59,374,000
Net amortization and accretion on short-term U.S. government and agency obligations		(4,425	)		(78,419	)
Change in unrealized appreciation (depreciation) on investments		(1,066,333	)		429,087
Decrease (Increase) in interest receivable		553			18,897
Increase (Decrease) in payable to Sponsor		(1,517	)		(13,487	)

Net cash provided by (used in) operating activities		(14,130,993	)		10,627,095

Cash flow from financing activities
Proceeds from addition of shares		7,132,412			7,806,745
Payment on shares redeemed		(11,429,518	)		(18,808,381	)

Net cash provided by (used in) financing activities		(4,297,106	)		(11,001,636	)

Net increase (decrease) in cash		(18,428,099	)		(374,541	)
Cash, beginning of period		24,274,564			12,507,112

Cash, end of period	$	5,846,465		$	12,132,571

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively)	$	61,995,036	$	44,999,732
Cash		43,870,674		14,723,084
Segregated cash balances with brokers for futures contracts		21,337,800		13,079,750
Receivable on open futures contracts		551,816		247,077
Interest receivable		1,638		643

Total assets		127,756,964		73,050,286

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		915,787
Brokerage commissions and futures account fees payable		9,018		10,395
Payable to Sponsor		74,809		49,009

Total liabilities		83,827		975,191

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		127,673,137		72,075,095

Total liabilities and shareholders’ equity	$	127,756,964	$	73,050,286

Shares outstanding		3,962,403		1,962,403

Net asset value per share	$	32.22	$	36.73

Market value per share (Note 2)	$	32.31	$	36.70

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(49% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.006% due 10/21/21	$	10,000,000	$	9,999,556
0.042% due 11/18/21		12,000,000		11,999,440
0.043% due 12/16/21		25,000,000		24,997,890
0.037% due 01/20/22		15,000,000		14,998,150

Total short-term U.S. government and agency obligations (cost $61,995,381)			$	61,995,036

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires January 2022		872	$	21,626,210	$	1,256,557
VIX Futures - Cboe, expires February 2022		1,677		42,304,841		1,690,707
VIX Futures - Cboe, expires March 2022		1,677		43,023,603		1,475,197
VIX Futures - Cboe, expires April 2022		804		20,765,953		394,387

					$	4,816,848

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

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	8,914		$	13,590		$	27,487		$	199,491

Expenses
Management fee		221,356			172,587			586,702			391,147
Brokerage commissions		20,803			19,350			48,211			51,973
Futures account fees		28,911			26,113			86,674			46,624

Total expenses		271,070			218,050			721,587			489,744

Net investment income (loss)		(262,156	)		(204,460	)		(694,100	)		(290,253	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,024,133	)		755,845			(14,890,359	)		21,708,785

Net realized gain (loss)		(4,024,133	)		755,845			(14,890,359	)		21,708,785

Change in net unrealized appreciation (depreciation) on
Futures contracts		10,651,835			1,751,675			5,950,464			5,422,315
Short-term U.S. government and agency obligations		1,117			405			(1,004	)		(898	)

Change in net unrealized appreciation (depreciation)		10,652,952			1,752,080			5,949,460			5,421,417

Net realized and unrealized gain (loss)		6,628,819			2,507,925			(8,940,899	)		27,130,202

Net income (loss)	$	6,366,663		$	2,303,465		$	(9,634,999	)	$	26,839,949

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	92,662,734		$	59,085,470		$	72,075,095		$	45,986,584

Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively		37,425,551			45,600,053			87,035,790			85,866,144
Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively		(8,781,811	)		(5,031,468	)		(21,802,749	)		(56,735,157	)

Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively		28,643,740			40,568,585			65,233,041			29,130,987

Net investment income (loss)		(262,156	)		(204,460	)		(694,100	)		(290,253	)
Net realized gain (loss)		(4,024,133	)		755,845			(14,890,359	)		21,708,785
Change in net unrealized appreciation (depreciation)		10,652,952			1,752,080			5,949,460			5,421,417

Net income (loss)		6,366,663			2,303,465			(9,634,999	)		26,839,949

Shareholders’ equity, end of period	$	127,673,137		$	101,957,520		$	127,673,137		$	101,957,520

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(9,634,999	)	$	26,839,949
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		(112,984,923	)		(116,503,878	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		96,000,000			70,600,000
Net amortization and accretion on short-term U.S. government and agency obligations		(11,385	)		(104,027	)
Change in unrealized appreciation (depreciation) on investments		1,004			898
Decrease (Increase) in receivable on futures contracts		(304,739	)		(1,087,170	)
Decrease (Increase) in interest receivable		(995	)		32,512
Increase (Decrease) in payable to Sponsor		25,800			40,237
Increase (Decrease) in brokerage commissions and futures account fees payable		(1,377	)		12,012
Increase (Decrease) in payable on futures contracts		—			(1,129,877	)

Net cash provided by (used in) operating activities		(26,911,614	)		(21,299,344	)

Cash flow from financing activities
Proceeds from addition of shares		87,035,790			85,866,144
Payment on shares redeemed		(22,718,536	)		(56,735,157	)

Net cash provided by (used in) financing activities		64,317,254			29,130,987

Net increase (decrease) in cash		37,405,640			7,831,643
Cash, beginning of period		27,802,834			33,130,653

Cash, end of period	$	65,208,474		$	40,962,296

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively)	$	127,990,204	$	84,999,583
Cash		107,057,042		71,736,247
Segregated cash balances with brokers for futures contracts		133,904,930		134,825,900
Receivable on open futures contracts		1,461,435		2,295,585
Interest receivable		3,891		2,815

Total assets		370,417,502		293,860,130

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,413,813		231,900
Brokerage commissions and futures account fees payable		52,197		81,049
Payable to Sponsor		174,159		156,632

Total liabilities		1,640,169		469,581

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		368,777,333		293,390,549

Total liabilities and shareholders’ equity	$	370,417,502	$	293,860,130

Shares outstanding (Note 1)		16,257,826		5,331,579

Net asset value per share (Note 1)	$	22.68	$	55.03

Market value per share (Note 1)(Note 2)	$	22.80	$	54.96

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
( 35 % of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.016 % due 10/14/21	$	30,000,000	$	29,999,730
0.043 % due 11/18/21		8,000,000		7,999,626
0.043 % due 12/16/21		50,000,000		49,995,780
0.037 % due 01/20/22		40,000,000		39,995,068

Total short-term U.S. government and agency obligations (cost $ 127,990,453 )			$	127,990,204

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2021		8,245	$	188,545,011	$	15,851,921
VIX Futures - Cboe, expires November 2021		7,617		180,415,500		5,515,175

					$	21,367,096

^^	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 September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Investment Income
Interest	$	11,739		$	34,770		$	91,187		$	1,117,617

Expenses
Management fee		660,051			560,301			2,154,874			1,584,861
Brokerage commissions		97,516			66,969			365,013			311,826
Futures account fees		151,758			165,725			591,272			278,752

Total expenses		909,325			792,995			3,111,159			2,175,439

Net investment income (loss)		(897,586	)		(758,225	)		(3,019,972	)		(1,057,822	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(51,868,433	)		(75,120,135	)		(304,349,667	)		249,771,936

Net realized gain (loss)		(51,868,433	)		(75,120,135	)		(304,349,667	)		249,771,936

Change in net unrealized appreciation (depreciation) on
Futures contracts		42,164,263			555,267			27,731,186			16,595,465
Short-term U.S. government and agency obligations		4,034			1,199			(1,396	)		(5,725	)

Change in net unrealized appreciation (depreciation)		42,168,297			556,466			27,729,790			16,589,740

Net realized and unrealized gain (loss)		(9,700,136	)		(74,563,669	)		(276,619,877	)		266,361,676

Net income (loss)	$	(10,597,722	)	$	(75,321,894	)	$	(279,639,849	)	$	265,303,854

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Shareholders’ equity, beginning of period	$	272,352,675		$	221,343,175		$	293,390,549		$	279,792,503

Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1)		142,476,815			156,332,956			593,853,539			342,792,630
Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1)		(35,454,435	)		(23,081,940	)		(238,826,906	)		(608,616,690	)

Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1)		107,022,380			133,251,016			355,026,633			(265,824,060	)

Net investment income (loss)		(897,586	)		(758,225	)		(3,019,972	)		(1,057,822	)
Net realized gain (loss)		(51,868,433	)		(75,120,135	)		(304,349,667	)		249,771,936
Change in net unrealized appreciation (depreciation)		42,168,297			556,466			27,729,790			16,589,740

Net income (loss)		(10,597,722	)		(75,321,894	)		(279,639,849	)		265,303,854

Shareholders’ equity, end of period	$	368,777,333		$	279,272,297		$	368,777,333		$	279,272,297

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020
Cash flow from operating activities
Net income (loss)	$	(279,639,849	)	$	265,303,854
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		(425,941,319	)		(390,519,095	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		383,000,000			348,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(50,698	)		(589,708	)
Change in unrealized appreciation (depreciation) on investments		1,396			5,725
Decrease (Increase) in receivable on futures contracts		834,150			(6,431,358	)
Decrease (Increase) in interest receivable		(1,076	)		120,780
Increase (Decrease) in payable to Sponsor		17,527			52,310
Increase (Decrease) in brokerage commissions and futures account fees payable		(28,852	)		59,366
Increase (Decrease) in payable on futures contracts		1,181,913			(12,920,593	)

Net cash provided by (used in) operating activities		(320,626,808	)		203,081,281

Cash flow from financing activities
Proceeds from addition of shares		593,853,539			342,792,630
Payment on shares redeemed		(238,826,906	)		(608,616,690	)

Net cash provided by (used in) financing activities		355,026,633			(265,824,060	)

Net increase (decrease) in cash		34,399,825			(62,742,779	)
Cash, beginning of period		206,562,147			194,935,341

Cash, end of period	$	240,961,972		$	132,192,562

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	September 30, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively)	$	2,327,838,468	$	1,034,986,384
Cash		778,499,094		1,651,161,384
Segregated cash balances with brokers for futures contracts		1,069,584,913		1,491,618,088
Segregated cash balances with brokers for foreign currency forward contracts		—		5,716,000
Segregated cash balances with brokers for swap agreements		—		107,967,985
Unrealized appreciation on swap agreements		83,740,160		80,135,841
Unrealized appreciation on foreign currency forward contracts		2,836,253		169,051
Receivable from capital shares sold		14,084,428		49,086,388
Receivable on open futures contracts		155,985,619		108,851,000
Interest receivable		40,866		66,871

Total assets		4,432,609,801		4,529,758,992

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		66,045,047		18,280,444
Payable on open futures contracts		24,303,801		27,874,393
Brokerage commissions and futures account fees payable		470,680		691,005
Payable to Sponsor		3,159,235		3,407,672
Unrealized depreciation on swap agreements		100,167,433		3,491,096
Unrealized depreciation on foreign currency forward contracts		429,828		1,714,898
Non-recurring fees and expenses payable		75,570		48,070

Total liabilities		194,651,594		55,507,578

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,237,958,207		4,474,251,414

Total liabilities and shareholders’ equity	$	4,432,609,801	$	4,529,758,992

Shares outstanding (Note 1)		133,773,980		228,676,695

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020*			2021			2020*
Investment Income
Interest	$	225,068		$	462,274		$	1,311,362		$	8,985,252

Expenses
Management fee		9,892,153			11,098,146			32,386,686			24,755,322
Brokerage commissions		1,808,557			2,304,413			6,704,455			6,308,753
Futures account fees		1,447,030			2,459,918			5,996,930			4,208,471
Non-recurring fees and expenses		27,500			75,802			27,500			75,802

Total expenses		13,175,240			15,938,279			45,115,571			35,348,348

Net investment income (loss)		(12,950,172	)		(15,476,005	)		(43,804,209	)		(26,363,096	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(240,784,887	)		(171,502,419	)		(1,427,934,171	)		110,215,750
Swap agreements		(160,769,089	)		173,110,242			50,628,405			(794,321,232	)
Options		—			—			—			(9,707,000	)
Foreign currency forward contracts		2,892,137			(8,394,521	)		4,813,162			(10,216,017	)
Short-term U.S. government and agency obligations		(10,753	)		(5	)		11,145			296,893

Net realized gain (loss)		(398,672,592	)		(6,786,703	)		(1,372,481,459	)		(703,731,606	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		158,443,180			(249,176,198	)		230,326,477			178,965,282
Swap agreements		38,179,426			(160,810,119	)		(93,072,018	)		(184,272,631	)
Foreign currency forward contracts		(724,910	)		1,639,005			3,952,272			2,861,284
Short-term U.S. government and agency obligations		88,814			9,658			(38,045	)		(61,092	)

Change in net unrealized appreciation (depreciation)		195,986,510			(408,337,654	)		141,168,686			(2,507,157	)

Net realized and unrealized gain (loss)		(202,686,082	)		(415,124,357	)		(1,231,312,773	)		(706,238,763	)

Net income (loss)	$	(215,636,254	)	$	(430,600,362	)	$	(1,275,116,982	)	$	(732,601,859	)

*	The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020*			2021			2020*
Shareholders’ equity, beginning of period	$	4,404,846,864		$	4,052,758,690		$	4,474,251,414		$	2,356,325,101

Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1)		1,649,296,999			2,922,142,022			5,597,393,110			9,686,341,059
Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1)		(1,600,549,402	)		(2,015,018,595	)		(4,558,569,335	)		(6,780,782,546	)

Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively (Note 1)		48,747,597			907,123,427			1,038,823,775			2,905,558,513

Net investment income (loss)		(12,950,172	)		(15,476,005	)		(43,804,209	)		(26,363,096	)
Net realized gain (loss)		(398,672,592	)		(6,786,703	)		(1,372,481,459	)		(703,731,606	)
Change in net unrealized appreciation (depreciation)		195,986,510			(408,337,654	)		141,168,686			(2,507,157	)

Net income (loss)		(215,636,254	)		(430,600,362	)		(1,275,116,982	)		(732,601,859	)

Shareholders’ equity, end of period	$	4,237,958,207		$	4,529,281,755		$	4,237,958,207		$	4,529,281,755

*	The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2021			2020*
Cash flow from operating activities
Net income (loss)	$	(1,275,116,982	)	$	(732,601,859	)
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		(6,612,113,856	)		(4,582,922,901	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		5,319,975,559			3,736,919,081
Net amortization and accretion on short-term U.S. government and agency obligations		(740,687	)		(5,453,567	)
Net realized gain (loss) on investments		(11,145	)		(296,893	)
Change in unrealized appreciation (depreciation) on investments		89,157,791			181,472,439
Decrease (Increase) in securities sold receivable		—			(242,309	)
Decrease (Increase) in receivable on futures contracts		(47,134,619	)		(161,192,003	)
Decrease (Increase) in interest receivable		26,005			916,323
Increase (Decrease) in payable to Sponsor		(248,437	)		1,913,708
Increase (Decrease) in brokerage commissions and futures account fees payable		(220,325	)		583,315
Increase (Decrease) in payable on futures contracts		(3,570,592	)		(32,538,644	)
Increase (Decrease) in non-recurring fees and expenses payable		27,500			—

Net cash provided by (used in) operating activities		(2,529,969,788	)		(1,593,443,310	)

Cash flow from financing activities
Proceeds from addition of shares		5,632,395,070			9,655,286,527
Payment on shares redeemed		(4,510,804,732	)		(6,721,603,064	)

Net cash provided by (used in) financing activities		1,121,590,338			2,933,683,463

Net increase (decrease) in cash		(1,408,379,450	)		1,340,240,153
Cash, beginning of period		3,256,463,457			1,190,195,205

Cash, end of period	$	1,848,084,007		$	2,530,435,358

*	The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.

See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2021

(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 September 30, 2021, the following eighteen 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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, 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”); and (iv) ProShares Short Euro (the “Short Euro Fund”). 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, the Short Euro Fund 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 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 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 April 3, 2020.

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.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either

one-half

the inverse

(-0.5x)

or the inverse

(-1x)

of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and

one-half

times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

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,

-1x,

-2x,

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

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Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the nine months ended September 30, 2021, and during the year ended December 31, 2020. 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 Ultra Bloomberg Crude Oil	April 20, 2020	1-for-25 reverse Share split	April 21, 2020

ProShares Ultra Bloomberg Natural Gas	April 20, 2020	1-for-10 reverse Share split	April 21, 2020

ProShares Ultra VIX Short-Term Futures ETF	May 25, 2021	1-for-10 reverse Share split	May 26, 2021

ProShares UltraShort Bloomberg Crude Oil	May 25, 2021	1-for-4 reverse Share split	May 26, 2021

ProShares UltraShort Silver	May 25, 2021	1-for-4 reverse Share split	May 26, 2021

ProShares VIX Short-Term Futures ETF	May 25, 2021	1-for-4 reverse Share split	May 26, 2021

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.

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”).

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, 2020, as filed with the SEC on February 19, 2021.

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 loss to be remote.

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.

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Statements of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated September 30, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The

cut-off

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2021 were typically as follows. All times are Eastern Standard Time:


	Create/Redeem	NAV Calculation	NAV
Fund	Cut-off*	Time	Calculation Date
Ultra Silver and UltraShort Silver	1:00 p.m.	1:25 p.m.	September 30, 2021

Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	September 30, 2021

Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	September 30, 2021

Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	September 30, 2021

Short VIX Short-Term Futures ETF**,
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.	September 30, 2021

*	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, 2021.

**	On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).

Please see Note 8 in these Notes to Financial Statements for more information.

Market value per Share is determined at the close of the applicable primary listing exchange and may be later than 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 nine months ended September 30, 2021.

100

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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.

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, Silver, Australian Dollar and Short Euro 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, Silver, Australian Dollar and Short Euro Funds 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.

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The following table summarizes the valuation of investments at September 30, 2021 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 Euro	$	—	$	46,781		$	—		$	—		$	46,781
ProShares Short VIX Short-Term Fut u res ETF		129,992,467		(6,181,978	)		—			—			123,810,489
ProShares Ultra Bloomberg Crude Oil		834,942,326		268,004,313			—			70,885,762			1,173,832,401
ProShares Ultra Bloomberg Natural Gas		32,997,127		42,185,730			—			—			75,182,857
ProShares Ultra Euro		999,916		—			(162,686	)		—			837,230
ProShares Ultra Gold		185,985,614		(3,936,408	)		—			(7,406,864	)		174,642,342
ProShares Ultra Silver		494,966,819		(5,439,801	)		—			(92,760,569	)		396,766,449
ProShares Ultra VIX Short-Term Futures ETF		274,984,707		90,018,882			—			7,933,765			372,937,354
ProShares Ultra Yen		999,953		—			(59,266	)		—			940,687
ProShares UltraShort Australian Dollar		—		182,163			—			—			182,163
ProShares UltraShort Bloomberg Crude Oil		32,997,116		(20,466,160	)		—			—			12,530,956
ProShares UltraShort Bloomberg Natural Gas		56,993,148		(35,288,843	)		—			—			21,704,305
ProShares UltraShort Euro		34,997,817		—			2,126,803			—			37,124,620
ProShares UltraShort Gold		17,998,972		432,050			—			830,123			19,261,145
ProShares UltraShort Silver		21,998,799		2,955,976			—			4,090,510			29,045,285
ProShares UltraShort Yen		16,998,447		—			501,574			—			17,500,021
ProShares VIX Mid-Term Futures ETF		61,995,036		4,816,848			—			—			66,811,884
ProShares VIX Short-Term Futures ETF		127,990,204		21,367,096			—			—			149,357,300

Total Trust	$	2,327,838,468	$	358,696,649		$	2,406,425		$	(16,427,273	)	$	2,672,514,269

*	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, 2020 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 Euro	$	—	$	(44,626	)	$	—		$	—		$	(44,626	)
ProShares Short VIX Short-Term Futures ETF		69,999,639		8,348,783			—			—			78,348,422
ProShares Ultra Bloomberg Crude Oil		219,998,394		144,564,039			—			18,242,195			382,804,628
ProShares Ultra Bloomberg Natural Gas		29,999,889		6,500,721			—			—			36,500,610
ProShares Ultra Euro		—		—			88,736			—			88,736
ProShares Ultra Gold		74,999,467		2,646,874			—			5,140,980			82,787,321
ProShares Ultra Silver		244,993,989		37,190,212			—			56,752,666			338,936,867
ProShares Ultra VIX Short-Term Futures ETF		244,995,969		(48,524,666	)		—			(24,807	)		196,446,496
ProShares Ultra Yen		—		—			67,087			—			67,087
ProShares UltraShort Australian Dollar		—		(138,950	)		—			—			(138,950	)
ProShares UltraShort Bloomberg Crude Oil		—		(14,636,813	)		—			—			(14,636,813	)
ProShares UltraShort Bloomberg Natural Gas		9,999,861		379,310			—			—			10,379,171
ProShares UltraShort Euro		9,999,861		—			(1,136,704	)		—			8,863,157
ProShares UltraShort Gold		—		(196,930	)		—			(268,728	)		(465,658	)
ProShares UltraShort Silver		—		(220,076	)		—			(3,197,561	)		(3,417,637	)
ProShares UltraShort Yen		—		—			(564,966	)		—			(564,966	)
ProShares VIX Mid-Term Futures ETF		44,999,732		(1,133,616	)		—			—			43,866,116
ProShares VIX Short-Term Futures ETF		84,999,583		(6,364,090	)		—			—			78,635,493

Total Trust	$	1,034,986,384	$	128,370,172		$	(1,545,847	)	$	76,644,745		$	1,238,455,454

*	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.

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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 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 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.

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New Accounting Pronouncement

In March 2020, the FASB issued Accounting Standards Update

No. 2020-04

(“ASU

2020-04”),

“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU

2020-04

provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU

2020-04

allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.

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 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.

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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).

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 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.

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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.

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 September 30, 2021

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.

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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 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.

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 September 30, 2021, 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

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 September 30, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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.

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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.

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

Fair Value of Derivative Instruments as of September 30, 2021


		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		Receivables 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		$	—			$	6,181,978	*
	ProShares Ultra VIX Short-Term Futures ETF			97,952,647	*			—
	ProShares VIX Mid-Term Futures ETF			4,816,848	*			—
	ProShares VIX Short-Term Futures ETF			21,367,096	*			—
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			338,890,075	*			—
	ProShares Ultra Bloomberg Natural Gas			42,185,730	*			—
	ProShares Ultra Gold			—				11,343,272	*
	ProShares Ultra Silver			—				98,200,370	*
	ProShares UltraShort Bloomberg Crude Oil			—				20,466,160	*
	ProShares UltraShort Bloomberg Natural Gas			—				35,288,843	*
	ProShares UltraShort Gold			1,262,173	*			—
	ProShares UltraShort Silver			7,046,486	*			—
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 Short Euro			46,781	*			–
	ProShares Ultra Euro			2,136				164,822
	ProShares Ultra Yen			757				60,023
	ProShares UltraShort Australian Dollar			182,163	*			–
	ProShares UltraShort Euro			2,284,006				157,203
	ProShares UltraShort Yen			549,354				47,780

		Total Trust	$	516,586,252	*		$	171,910,451	*


*	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.

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Fair Value of Derivative Instruments as of December 31, 2020


		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		Receivables 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		$	8,348,783	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				48,549,473	*
	ProShares VIX Mid-Term Futures ETF			147,915	*			1,281,531	*
	ProShares VIX Short-Term Futures ETF			—				6,364,090	*
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			162,806,234	*			—
	ProShares Ultra Bloomberg Natural Gas			6,500,721	*			—
	ProShares Ultra Gold			7,787,854	*			—
	ProShares Ultra Silver			93,942,878	*			—
	ProShares UltraShort Bloomberg Crude Oil			—				14,636,813	*
	ProShares UltraShort Bloomberg Natural Gas			379,310	*			—
	ProShares UltraShort Gold			—				465,658	*
	ProShares UltraShort Silver			—				3,417,637	*
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 Short Euro			—				44,626	*
	ProShares Ultra Euro			89,103				367
	ProShares Ultra Yen			67,235				148
	ProShares UltraShort Australian Dollar			—				138,950	*
	ProShares UltraShort Euro			5,705				1,142,409
	ProShares UltraShort Yen			7,008				571,974

		Total Trust	$	280,082,746	*		$	76,613,676	*

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2021


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	$	34,573,906		$	(43,362,244	)
		ProShares Ultra VIX Short-Term Futures ETF		(198,380,990	)		186,737,241
		ProShares VIX Mid-Term Futures ETF		(4,024,133	)		10,651,835
		ProShares VIX Short-Term Futures ETF		(51,868,433	)		42,164,263
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		106,330,563			(16,910,039	)
		ProShares Ultra Bloomberg Natural Gas		33,925,711			25,134,988
		ProShares Ultra Gold		(21,858,089	)		15,564,318
		ProShares Ultra Silver		(201,315,310	)		(6,040,776	)
		ProShares UltraShort Bloomberg Crude Oil		(11,449,562	)		(1,521,543	)
		ProShares UltraShort Bloomberg Natural Gas		(95,609,878	)		(17,870,697	)
		ProShares UltraShort Gold		1,213,721			(1,898,585	)
		ProShares UltraShort Silver		6,662,145			3,921,845
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 Short Euro		57,489			(4,770	)
		ProShares Ultra Euro		(254,219	)		72,810
		ProShares Ultra Yen		(25,554	)		10,988
		ProShares UltraShort Australian Dollar		188,884			56,770
		ProShares UltraShort Euro		2,974,466			(618,447	)
		ProShares UltraShort Yen		197,444			(190,261	)

		Total Trust	$	(398,661,839	)	$	195,897,696

*	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.

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2021


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	$	168,120,340		$	(14,530,761	)
		ProShares Ultra VIX Short-Term Futures ETF		(1,757,428,075	)		146,502,120
		ProShares VIX Mid-Term Futures ETF		(14,890,359	)		5,950,464
		ProShares VIX Short-Term Futures ETF		(304,349,667	)		27,731,186
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		761,187,450			176,083,841
		ProShares Ultra Bloomberg Natural Gas		80,409,384			35,685,009
		ProShares Ultra Gold		(27,599,854	)		(19,131,126	)
		ProShares Ultra Silver		(80,034,280	)		(192,143,248	)
		ProShares UltraShort Bloomberg Crude Oil		(86,637,748	)		(5,829,347	)
		ProShares UltraShort Bloomberg Natural Gas		(112,274,576	)		(35,668,153	)
		ProShares UltraShort Gold		(1,767,636	)		1,727,831
		ProShares UltraShort Silver		(2,146,662	)		10,464,123
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 Short Euro		88,710			91,407
		ProShares Ultra Euro		(186,149	)		(251,422	)
		ProShares Ultra Yen		(305,028	)		(126,353	)
		ProShares UltraShort Australian Dollar		17,207			321,113
		ProShares UltraShort Euro		2,249,236			3,263,507
		ProShares UltraShort Yen		3,055,103			1,066,540

		Total Trust	$	(1,372,492,604	)	$	141,206,731

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2020

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	$	60,593,315		$	(1,463,210	)
		ProShares Ultra VIX Short-Term Futures ETF		(559,537,850	)		15,302,015
		ProShares VIX Mid-Term Futures ETF		755,845			1,751,675
		ProShares VIX Short-Term Futures ETF		(75,120,135	)		555,267
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		285,954,263			(232,623,755	)
		ProShares Ultra Bloomberg Natural Gas		41,156,156			(4,754,372	)
		ProShares Ultra Gold		25,742,296			(18,057,616	)
		ProShares Ultra Silver		290,238,797			(199,321,544	)
		ProShares UltraShort Bloomberg Crude Oil		(16,296,829	)		5,848,114
		ProShares UltraShort Bloomberg Natural Gas		(31,450,011	)		8,968,702
		ProShares UltraShort Gold		(4,021,537	)		2,688,730
		ProShares UltraShort Silver		(15,896,820	)		11,129,646
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 Short Euro		(77,567	)		(14,989	)
		ProShares Ultra Euro		441,714			(84,317	)
		ProShares Ultra Yen		126,569			(1,524	)
		ProShares UltraShort Australian Dollar		(432,100	)		5,020
		ProShares UltraShort Euro		(7,511,153	)		1,523,931
		ProShares UltraShort Yen		(1,451,651	)		200,915

		Total Trust	$	(6,786,698	)	$	(408,347,312	)

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2020

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	$	(129,091,526	)	$	(2,706,204	)
		ProShares Ultra VIX Short-Term Futures ETF		58,666,590			66,331,637
		ProShares VIX Mid-Term Futures ETF		21,708,785			5,422,315
		ProShares VIX Short-Term Futures ETF		249,771,936			16,595,465
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		(891,179,560	)		106,147,368
		ProShares Ultra Bloomberg Natural Gas		2,225,390			(4,336,578	)
		ProShares Ultra Gold		51,605,680			(11,257,214	)
		ProShares Ultra Silver		297,927,456			(215,072,789	)
		ProShares UltraShort Bloomberg Crude Oil		28,429,846			7,230,908
		ProShares UltraShort Bloomberg Natural Gas		(20,587,193	)		9,530,001
		ProShares UltraShort Gold		(12,041,690	)		2,727,600
		ProShares UltraShort Silver		(18,932,319	)		12,566,735
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 Short Euro		(116,225	)		31,531
		ProShares Ultra Euro		369,811			(208,243	)
		ProShares Ultra Yen		11,333			48,104
		ProShares UltraShort Australian Dollar		(799,054	)		390,370
		ProShares UltraShort Euro		(8,749,738	)		3,449,397
		ProShares UltraShort Yen		(1,847,423	)		(427,974	)

		Total Trust	$	(372,627,901	)	$	(3,537,571	)

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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 September 30, 2021.

Fair Values of Derivative Instruments as of September 30, 2021
	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	$	70,885,762	$	—	$	70,885,762	$	—	$	—	$	—
ProShares Ultra Euro
Foreign currency forward contracts		2,136		—		2,136		164,822		—		164,822
ProShares Ultra Gold
Swap agreements		—		—		—		7,406,864		—		7,406,864
ProShares Ultra Silver
Swap agreements		—		—		—		92,760,569		—		92,760,569
ProShares Ultra VIX Short-Term Futures ETF
Swap agreements		7,933,765		—		7,933,765		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		757		—		757		60,023		—		60,023
ProShares UltraShort Euro
Foreign currency forward contracts		2,284,006		—		2,284,006		157,203		—		157,203
ProShares UltraShort Gold
Swap agreements		830,123		—		830,123		—		—		—
ProShares UltraShort Silver
Swap agreements		4,090,510		—		4,090,510		—		—		—
ProShares UltraShort Yen
Foreign currency forward contracts		549,354		—		549,354		47,780		—		47,780

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2021. 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”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021
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.	$	10,910,833		$	—		$	(10,820,000	)	$	90,833
Goldman Sachs International		15,436,191			(15,436,191	)		—			—
Morgan Stanley & Co. International PLC		18,898,011			—			(18,898,011	)		—
Societe Generale		10,305,144			(10,302,497	)		(2,648	)		—
UBS AG		15,335,583			—			(15,200,000	)		135,583
ProShares Ultra Euro
Goldman Sachs International		(89,604	)		89,604			—			—
UBS AG		(73,082	)		73,082			—			—
ProShares Ultra Gold
Citibank, N.A.		(2,550,199	)		2,550,199			—			—
Goldman Sachs International		(2,203,785	)		2,203,785			—			—
UBS AG		(2,652,880	)		2,652,880			—			—
ProShares Ultra Silver
Citibank, N.A.		(28,588,785	)		28,588,785			—			—
Goldman Sachs International		(23,220,141	)		23,220,141			—			—
Morgan Stanley & Co. International PLC		(21,635,372	)		21,635,372			—			—
UBS AG		(19,316,271	)		19,316,271			—			—
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		7,933,765			(7,933,765	)		—			—
ProShares Ultra Yen
Goldman Sachs International		(34,487	)		34,487			—			—
UBS AG		(24,779	)		24,779			—			—
ProShares UltraShort Euro
Goldman Sachs International		1,000,511			(970,612	)		—			29,899
UBS AG		1,126,292			—			(1,070,000	)		56,292
ProShares UltraShort Gold
Citibank, N.A.		340,577			—			(340,577	)		—
Goldman Sachs International		223,115			(223,115	)		—			—
UBS AG		266,431			—			(266,431	)		—
ProShares UltraShort Silver
Citibank, N.A.		782,817			—			(782,817	)		—
Goldman Sachs International		1,036,372			(1,036,372	)		—			—
Morgan Stanley & Co. International PLC		819,178			—			(819,178	)		—
UBS AG		1,452,143			—			(1,452,143	)		—
ProShares UltraShort Yen
Goldman Sachs International		138,399			—			—			138,399
UBS AG		363,175			—			(363,175	)		—

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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, 2020:

Fair Values of Derivative Instruments as of December 31, 2020
	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	$	18,242,195	$	—	$	18,242,195	$	—	$	—	$	—
ProShares Ultra Euro Foreign currency forward contracts		89,103		—		89,103		367		—		367
ProShares Ultra Gold Swap agreements		5,140,980		—		5,140,980		—		—		—
ProShares Ultra Silver Swap agreements		56,752,666		—		56,752,666		—		—		—
ProShares Ultra VIX Short-Term Futures ETF Swap agreements		—		—		—		24,807		—		24,807
ProShares Ultra Yen Foreign currency forward contracts		67,235		—		67,235		148		—		148
ProShares UltraShort Euro Foreign currency forward contracts		5,705		—		5,705		1,142,409		—		1,142,409
ProShares UltraShort Gold Swap agreements		—		—		—		268,728		—		268,728
ProShares UltraShort Silver Swap agreements		—		—		—		3,197,561		—		3,197,561
ProShares UltraShort Yen Foreign currency forward contracts		7,008		—		7,008		571,974		—		571,974

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. 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”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
	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
Goldman Sachs International	$	1,377,243		$	(1,281,309	)	$	—		$	95,934
Morgan Stanley & Co. Internatio n al PLC		10,959,227			—			(10,629,000	)		330,227
Societe Generale		1,679,334			(1,679,334	)		—			—
UBS AG		4,226,391			(4,151,442	)		(6,270	)		68,679
ProShares Ultra Euro
Goldman Sachs International		22,950			—			—			22,950
UBS AG		65,786			—			—			65,786
ProShares Ultra Gold
Citibank, N.A.		1,770,050			—			(1,670,000	)		100,050
Goldman Sachs International		1,529,612			(1,497,203	)		—			32,409
UBS AG		1,841,318			—			—			1,841,318
ProShares Ultra Silver
Citibank, N.A.		18,010,776			—			(18,010,776	)		—
Goldman Sachs International		12,930,574			(12,930,574	)		—			—
Morgan Stanley & Co. International PLC		12,353,706			—			(12,353,706	)		—
UBS AG		13,457,610			(4,126,610	)		(9,331,000	)		—
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		(24,807	)		—			24,807			—
ProShares Ultra Yen
Goldman Sachs International		34,265			—			—			34,265
UBS AG		32,822			—			—			32,822
ProShares UltraShort Euro
Goldman Sachs International		(388,233	)		—			388,233			—
UBS AG		(748,471	)		748,471			—			—
ProShares UltraShort Gold
Citibank, N.A.		(80,068	)		—			80,068			—
Goldman Sachs International		(82,645	)		—			82,645			—
UBS AG		(106,015	)		—			106,015			—
ProShares UltraShort Silver
Citibank, N.A.		(1,208,988	)		—			1,208,988			—
Goldman Sachs International		(927,829	)		—			927,829			—
Morgan Stanley & Co. International PLC		(579,421	)		—			579,421			—
UBS AG		(481,323	)		—			481,323			—
ProShares UltraShort Yen
Goldman Sachs International		(207,021	)		—			207,021			—
UBS AG		(357,945	)		—			357,945			—

NOTE 4 — AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro 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 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 Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, 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.

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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.

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 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, and 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.

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). 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 – OFFERING COSTS

Offering costs will be amortized by the Funds over a

twelve month

period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – 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.

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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.

Transaction fees for the three and nine months ended September 30, 2021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Fund	Three Months Ended September 30, 2021		Nine Months Ended September 30, 2021
ProShares Short Euro	$	—	$	—
ProShares Short VIX Short-Term Futures ETF		75,629		139,978
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		908,895		2,277,545
ProShares Ultra Yen		—		—
ProShares UltraShort Australian Dollar		—		—
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		13,723		32,535
ProShares VIX Short-Term Futures ETF		81,985		314,310

Total Trust	$	1,080,232	$	2,764,368

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding throughout the three months ended September 30, 2021

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold

Net asset value, at June 30, 2021	$	43.18		$	55.61		$	78.24		$	35.33		$	14.67		$	57.28
Net investment income (loss)		(0.10	)		(0.19	)		(0.20	)		(0.14	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss)#		1.06			(0.96	)		6.43			48.28			(0.72	)		(1.50	)
Change in net asset value from operations		0.96			(1.15	)		6.23			48.14			(0.75	)		(1.64	)
Net asset value, at September 30, 2021	$	44.14		$	54.46		$	84.47		$	83.47		$	13.92		$	55.64
Market value per share, at June 30, 2021 †	$	43.14		$	55.55		$	78.23		$	37.17		$	14.66		$	57.22
Market value per share, at September 30, 2021 †	$	44.16		$	54.39		$	84.22		$	82.30		$	13.92		$	55.59
Total Return, at net asset value^		2.3	%		(2.1	)%		8.0	%		136.3	%		(5.1	)%		(2.9	)%
Total Return, at market value^		2.4	%		(2.1	)%		7.7	%		121.4	%		(5.1	)%		(2.9	)%
Ratios to Average Net Assets**
Expense ratio^^		0.96	%		1.33	%		1.10	%		1.30	%		0.95	%		1.00	%
Net investment income gain (loss)		(0.92	)%		(1.32	)%		(1.07	)%		(1.25	)%		(0.91	)%		(0.97	)%

**	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 September 30, 2021.

^^	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.

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For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas

Net asset value, at June 30, 2021	$	45.97		$	27.91		$	51.24		$	46.09		$	18.11		$	21.55
Net investment income (loss)		(0.10	)		(0.11	)		(0.12	)		(0.12	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss)#		(14.16	)		(3.37	)		(0.29	)		3.17			(2.93	)		(14.48	)
Change in net asset value from operations		(14.26	)		(3.48	)		(0.41	)		3.05			(2.98	)		(14.53	)
Net asset value, at September 30, 2021	$	31.71		$	24.43		$	50.83		$	49.14		$	15.13		$	7.02
Market value per share, at June 30, 2021 †	$	46.12		$	27.98		$	51.26		$	45.96		$	18.11		$	20.44
Market value per share, at September 30, 2021 †	$	31.99		$	24.55		$	50.82		$	49.16		$	15.18		$	7.12
Total Return, at net asset value^		(31.0	)%		(12.5	)%		(0.8	)%		6.6	%		(16.5	)%		(67.4	)%
Total Return, at market value^		(30.6	)%		(12.3	)%		(0.9	)%		7.0	%		(16.2	)%		(65.2	)%
Ratios to Average Net Assets**
Expense ratio^^		1.00	%		1.71	%		0.95	%		1.05	%		1.17	%		1.35	%
Net investment income gain (loss)		(0.97	)%		(1.71	)%		(0.91	)%		(1.01	)%		(1.14	)%		(1.32	)%

*	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 September 30, 2021.

^^	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.

121

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For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *

Net asset value, at June 30, 2021	$	23.81		$	34.67		$	23.37		$	77.96		$	30.51		$	24.09
Net investment income (loss)		(0.06	)		(0.08	)		(0.07	)		(0.17	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss)#		1.19			0.21			7.97			0.16			1.79			(1.34	)
Change in net asset value from operations		1.13			0.13			7.90			(0.01	)		1.71			(1.41	)
Net asset value, at September 30, 2021	$	24.94		$	34.80		$	31.27		$	77.95		$	32.22		$	22.68
Market value per share, at June 30, 2021 †	$	23.82		$	34.69		$	23.28		$	77.98		$	30.54		$	24.08
Market value per share, at September 30, 2021 †	$	24.93		$	34.82		$	30.97		$	77.96		$	32.31		$	22.80
Total Return, at net asset value^		4.8	%		0.4	%		33.8	%		(0.0	)% @		5.6	%		(5.8	)%
Total Return, at market value^		4.7	%		0.4	%		33.0	%		(0.0	)% @		5.8	%		(5.3	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.02	%		1.10	%		0.95	%		1.04	%		1.17	%
Net investment income gain (loss)		(0.91	)%		(0.98	)%		(1.07	)%		(0.91	)%		(1.01	)%		(1.16	)%

*	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 September 30, 2021.

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

@	Amount represents greater than (0.05)%.

122

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Selected data for a Share outstanding throughout the three months ended September 30, 2020

For the Three Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold

Net asset value, at June 30, 2020	$	45.73		$	31.40		$	28.59		$	28.31		$	13.56		$	64.98
Net investment income (loss)		(0.11	)		(0.11	)		(0.10	)		(0.14	)		(0.03	)		(0.17	)
Net realized and unrealized gain (loss)#		(1.85	)		4.08			0.25			6.19			1.13			4.05
Change in net asset value from operations		(1.96	)		3.97			0.15			6.05			1.10			3.88
Net asset value, at September 30, 2020	$	43.77		$	35.37		$	28.74		$	34.36		$	14.66		$	68.86
Market value per share, at June 30, 2020 †	$	44.83		$	31.50		$	28.68		$	28.36		$	13.57		$	64.83
Market value per share, at September 30, 2020 †	$	43.28		$	35.50		$	28.45		$	34.63		$	14.64		$	68.58
Total Return, at net asset value^		(4.3	)%		12.6	%		0.5	%		21.4	%		8.1	%		6.0	%
Total Return, at market value^		(3.5	)%		12.7	%		(0.8	)%		22.1	%		7.9	%		5.8	%
Ratios to Average Net Assets**
Expense ratio^^		0.98	%		1.36	%		1.32	%		1.61	%		0.96	%		1.00	%
Net investment income gain (loss)		(0.95	)%		(1.31	)%		(1.31	)%		(1.54	)%		(0.93	)%		(0.92	)%

**	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 September 30, 2020.

^^	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.

123

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For the Three Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas

Net asset value, at June 30, 2020	$	29.56		$	329.28		$	55.32		$	56.14		$	73.18		$	67.21
Net investment income (loss)		(0.12	)		(0.97	)		(0.13	)		(0.13	)		(0.22	)		(0.16	)
Net realized and unrealized gain (loss)#		12.81			(126.77	)		2.50			(4.27	)		(6.50	)		(28.73	)
Change in net asset value from operations		12.69			(127.74	)		2.37			(4.40	)		(6.72	)		(28.89	)
Net asset value, at September 30, 2020	$	42.25		$	201.54		$	57.69		$	51.74		$	66.46		$	38.32
Market value per share, at June 30, 2020 †	$	29.33		$	327.70		$	55.31		$	56.06		$	73.00		$	67.21
Market value per share, at September 30, 2020 †	$	41.77		$	199.20		$	57.69		$	51.67		$	67.08		$	38.01
Total Return, at net asset value^		42.9	%		(38.8	)%		4.3	%		(7.8	)%		(9.2	)%		(43.0	)%
Total Return, at market value^		42.4	%		(39.2	)%		4.3	%		(7.8	)%		(8.1	)%		(43.5	)%
Ratios to Average Net Assets**
Expense ratio^^		1.04	%		1.67	%		0.96	%		1.03	%		1.39	%		1.77	%
Net investment income gain (loss)		(0.97	)%		(1.64	)%		(0.94	)%		(1.01	)%		(1.37	)%		(1.71	)%

*	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 September 30, 2020.

^^	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.

124

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For the Three Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *

Net asset value, at June 30, 2020	$	26.73		$	35.46		$	78.50		$	74.60		$	40.40		$	111.70
Net investment income (loss)		(0.05	)		(0.08	)		(0.09	)		(0.16	)		(0.10	)		(0.26	)
Net realized and unrealized gain (loss)#		(2.19	)		(3.34	)		(39.64	)		(3.49	)		0.69			(29.31	)
Change in net asset value from operations		(2.24	)		(3.42	)		(39.73	)		(3.65	)		0.59			(29.57	)
Net asset value, at September 30, 2020	$	24.49		$	32.04		$	38.77		$	70.95		$	40.99		$	82.13
Market value per share, at June 30, 2020 †	$	26.73		$	35.57		$	79.08		$	74.58		$	40.24		$	111.04
Market value per share, at September 30, 2020 †	$	24.49		$	32.19		$	39.24		$	70.93		$	40.68		$	81.64
Total Return, at net asset value^		(8.4	)%		(9.7	)%		(50.6	)%		(4.9	)%		1.5	%		(26.5	)%
Total Return, at market value^		(8.4	)%		(9.5	)%		(50.4	)%		(4.9	)%		1.1	%		(26.5	)%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.03	%		1.11	%		0.96	%		1.07	%		1.20	%
Net investment income gain (loss)		(0.85	)%		(0.99	)%		(1.07	)%		(0.88	)%		(1.01	)%		(1.15	)%

*	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 September 30, 2020.

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

125

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Selected data for a Share outstanding throughout the nine months ended September 30, 2021

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold

Net asset value, at December 31, 2020	$	41.92		$	41.42		$	36.38		$	21.00		$	15.79		$	67.57
Net investment income (loss)		(0.29	)		(0.49	)		(0.49	)		(0.29	)		(0.10	)		(0.43	)
Net realized and unrealized gain (loss)#		2.51			13.53			48.58			62.76			(1.77	)		(11.50	)
Change in net asset value from operations		2.22			13.04			48.09			62.47			(1.87	)		(11.93	)
Net asset value, at September 30, 2021	$	44.14		$	54.46		$	84.47		$	83.47		$	13.92		$	55.64
Market value per share, at December 31, 2020 †	$	41.35		$	41.44		$	36.27		$	21.07		$	15.81		$	68.20
Market value per share, at September 30, 2021 †	$	44.16		$	54.39		$	84.22		$	82.30		$	13.92		$	55.59
Total Return, at net asset value^		5.2	%		31.5	%		132.2	%		297.6	%		(11.9	)%		(17.7	)%
Total Return, at market value^		6.8	%		31.3	%		132.2	%		290.7	%		(11.9	)%		(18.5	)%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.35	%		1.11	%		1.47	%		0.95	%		1.00	%
Net investment income gain (loss)		(0.91	)%		(1.33	)%		(1.07	)%		(1.41	)%		(0.90	)%		(0.97	)%

**	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 September 30, 2021.

^^	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.

126

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For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas

Net asset value, at December 31, 2020	$	50.71		$	106.68		$	59.83		$	44.45		$	46.45		$	47.59
Net investment income (loss)		(0.33	)		(0.59	)		(0.36	)		(0.34	)		(0.21	)		(0.23	)
Net realized and unrealized gain (loss)#		(18.67	)		(81.66	)		(8.64	)		5.03			(31.11	)		(40.34	)
Change in net asset value from operations		(19.00	)		(82.25	)		(9.00	)		4.69			(31.32	)		(40.57	)
Net asset value, at September 30, 2021	$	31.71		$	24.43		$	50.83		$	49.14		$	15.13		$	7.02
Market value per share, at December 31, 2020 †	$	51.28		$	106.50		$	59.82		$	43.89		$	46.56		$	47.38
Market value per share, at September 30, 2021 †	$	31.99		$	24.55		$	50.82		$	49.16		$	15.18		$	7.12
Total Return, at net asset value^		(37.5	)%		(77.1	)%		(15.0	)%		10.6	%		(67.4	)%		(85.3	)%
Total Return, at market value^		(37.6	)%		(77.0	)%		(15.1	)%		12.0	%		(67.4	)%		(85.0	)%
Ratios to Average Net Assets**
Expense ratio^^		1.03	%		1.75	%		0.95	%		1.04	%		1.24	%		1.49	%
Net investment income gain (loss)		(0.98	)%		(1.71	)%		(0.90	)%		(0.99	)%		(1.18	)%		(1.45	)%

*	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 September 30, 2021.

^^	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.

127

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For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *

Net asset value, at December 31, 2020	$	22.53		$	31.43		$	27.73		$	67.83		$	36.73		$	55.03
Net investment income (loss)		(0.16	)		(0.25	)		(0.20	)		(0.50	)		(0.25	)		(0.28	)
Net realized and unrealized gain (loss)#		2.57			3.62			3.74			10.62			(4.26	)		(32.07	)
Change in net asset value from operations		2.41			3.37			3.54			10.12			(4.51	)		(32.35	)
Net asset value, at September 30, 2021	$	24.94		$	34.80		$	31.27		$	77.95		$	32.22		$	22.68
Market value per share, at December 31, 2020 †	$	22.52		$	31.14		$	27.40		$	67.81		$	36.70		$	54.96
Market value per share, at September 30, 2021 †	$	24.93		$	34.82		$	30.97		$	77.96		$	32.31		$	22.80
Total Return, at net asset value^		10.7	%		10.7	%		12.8	%		14.9	%		(12.3	)%		(58.8	)%
Total Return, at market value^		10.7	%		11.8	%		13.0	%		15.0	%		(12.0	)%		(58.5	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.03	%		1.10	%		0.95	%		1.05	%		1.23	%
Net investment income gain (loss)		(0.90	)%		(0.99	)%		(1.07	)%		(0.90	)%		(1.01	)%		(1.19	)%

*	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 September 30, 2021.

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

128

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Selected data for a Share outstanding throughout the nine months ended September 30, 2020

For the Nine Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold

Net asset value, at December 31, 2019	$	45.64		$	65.62		$	509.23		$	83.97		$	13.79		$	49.21
Net investment income (loss)		(0.18	)		(0.28	)		(0.25	)		(0.35	)		(0.05	)		(0.28	)
Net realized and unrealized gain (loss)#		(1.69	)		(29.97	)		(480.24	)		(49.26	)		0.92			19.93
Change in net asset value from operations		(1.87	)		(30.25	)		(480.49	)		(49.61	)		0.87			19.65
Net asset value, at September 30, 2020	$	43.77		$	35.37		$	28.74		$	34.36		$	14.66		$	68.86
Market value per share, at December 31, 2019 †	$	45.69		$	65.23		$	511.50		$	83.40		$	13.77		$	49.05
Market value per share, at September 30, 2020 †	$	43.28		$	35.50		$	28.45		$	34.63		$	14.64		$	68.58
Total Return, at net asset value^		(4.1	)%		(46.1	)%		(94.4	)%		(59.1	)%		6.3	%		39.9	%
Total Return, at market value^		(5.3	)%		(45.6	)%		(94.4	)%		(58.5	)%		6.3	%		39.8	%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.31	%		1.35	%		1.60	%		0.95	%		1.00	%
Net investment income gain (loss)		(0.52	)%		(1.07	)%		(1.10	)%		(1.12	)%		(0.49	)%		(0.59	)%

**	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 September 30, 2020.

^^	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.

129

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For the Nine Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas

Net asset value, at December 31, 2019	$	31.70		$	126.74		$	55.83		$	56.09		$	48.77		$	38.53
Net investment income (loss)		(0.17	)		(2.43	)		(0.22	)		(0.26	)		(0.86	)		(0.52	)
Net realized and unrealized gain (loss)#		10.72			77.23			2.08			(4.09	)		18.55			0.31
Change in net asset value from operations		10.55			74.80			1.86			(4.35	)		17.69			(0.21	)
Net asset value, at September 30, 2020	$	42.25		$	201.54		$	57.69		$	51.74		$	66.46		$	38.32
Market value per share, at December 31, 2019 †	$	31.65		$	128.90		$	55.83		$	55.88		$	48.60		$	38.82
Market value per share, at September 30, 2020 †	$	41.77		$	199.20		$	57.69		$	51.67		$	67.08		$	38.01
Total Return, at net asset value^		33.3	%		59.0	%		3.3	%		(7.8	)%		36.3	%		(0.5	)%
Total Return, at market value^		32.0	%		54.5	%		3.3	%		(7.5	)%		38.0	%		(2.1	)%
Ratios to Average Net Assets**
Expense ratio^^		1.03	%		1.61	%		0.95	%		1.04	%		1.70	%		1.88	%
Net investment income gain (loss)		(0.62	)%		(1.34	)%		(0.54	)%		(0.58	)%		(1.39	)%		(1.64	)%

*	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 September 30, 2020.

^^	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.

130

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For the Nine Months Ended September 30, 2020 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *

Net asset value, at December 31, 2019	$	26.80		$	53.02		$	107.04		$	76.37		$	21.27		$	49.19
Net investment income (loss)		(0.05	)		(0.15	)		(0.29	)		(0.19	)		(0.16	)		(0.34	)
Net realized and unrealized gain (loss)#		(2.26	)		(20.83	)		(67.98	)		(5.23	)		19.88			33.28
Change in net asset value from operations		(2.31	)		(20.98	)		(68.27	)		(5.42	)		19.72			32.94
Net asset value, at September 30, 2020	$	24.49		$	32.04		$	38.77		$	70.95		$	40.99		$	82.13
Market value per share, at December 31, 2019 †	$	26.80		$	53.21		$	107.20		$	76.35		$	21.29		$	49.72
Market value per share, at September 30, 2020 †	$	24.49		$	32.19		$	39.24		$	70.93		$	40.68		$	81.64
Total Return, at net asset value^		(8.6	)%		(39.6	)%		(63.8	)%		(7.1	)%		92.8	%		67.0	%
Total Return, at market value^		(8.6	)%		(39.5	)%		(63.4	)%		(7.1	)%		91.1	%		64.2	%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.02	%		1.10	%		0.95	%		1.06	%		1.17	%
Net investment income gain (loss)		(0.23	)%		(0.54	)%		(0.79	)%		(0.33	)%		(0.63	)%		(0.57	)%

*	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 September 30, 2020.

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

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NOTE 8 – 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),

the inverse

(-1x),

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.

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,

-1x,

-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.

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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 herein 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 have only recently become 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.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, 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, the 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.

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 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 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, 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

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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.

In addition, cleared derivatives benefit from daily

marking-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 FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its 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 customer segregated funds, under which the clearing house may access all of the commingled 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. This exposes 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 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 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.

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“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 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. 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 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain 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.

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. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.

Change to Investment Strategies

In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.

•

By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.

•

In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.

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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse

(-2x),

as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.

In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.

Change to the Oil Funds Benchmark Index

Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex

to the Bloomberg Commodity Balanced WTI Crude Oil Index

(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse

(-2x),

as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.

In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.

Description of the New Benchmark

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,

one-third

of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below

one-third

between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus

COVID-19),

have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, 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. 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 of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these

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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. 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’ 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 substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. 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, resulting in losses to your investment.

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

The onset of the novel coronavirus

(COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of

COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the

COVID-19

pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Change to the VIX Funds Benchmark Indices

Change to VIX Futures Contracts Settlement Time \ Index Methodology.

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX

Mid-Term

Futures Index, the benchmark for ProShares VIX

Mid-Term

Futures ETF, and the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information

about the calculation of NAV is included in each Fund’s Prospectus.

Change to the VIX Funds Exchange Listing.

On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.

NOTE 9 – 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.

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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. 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.

Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Introduction

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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, 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”); and (iv) ProShares Short Euro (the “Short Euro Fund”). 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, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.

On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 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 April 3, 2020.

On April 3, 2020, the Trust announced a

1-for-25

reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a

1-for-10

reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

On May 11, 2021, the Trust announced a

1-for-10

reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a

1-for-4

reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a

1-for-4

reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a

1-for-4

reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

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The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form

10-Q

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.

As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark 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 the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either

one-half

the inverse

(-0.5x)

or the inverse

(-1x)

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,

-1x,

-2x,

1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX

Mid-Term

Futures Index (the

“Mid-Term

VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a

per-Share

market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

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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.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2021 and 2020, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended September 30, 2021		Interest Income Three Months Ended September 30, 2020		Interest Income Nine Months Ended September 30, 2021		Interest Income Nine Months Ended September 30, 2020

ProShares Short Euro	$	269	$	127	$	1,175	$	7,776
ProShares Short VIX Short-Term Futures ETF		8,152		53,301		75,729		909,185
ProShares Ultra Bloomberg Crude Oil		86,370		50,356		365,778		1,817,563
ProShares Ultra Bloomberg Natural Gas		7,355		15,347		32,714		191,160
ProShares Ultra Euro		393		357		1,415		16,350
ProShares Ultra Gold		14,338		59,354		70,259		543,895
ProShares Ultra Silver		44,511		103,976		208,169		1,018,578
ProShares Ultra VIX Short-Term Futures ETF		11,979		88,621		328,504		1,601,884
ProShares Ultra Yen		260		171		923		9,100
ProShares UltraPro 3x Crude Oil ETF*		—		—		—		346,326
ProShares UltraPro 3x Short Crude Oil ETF*		—		—		—		166,789
ProShares UltraShort Australian Dollar		443		289		961		20,385
ProShares UltraShort Bloomberg Crude Oil		6,891		4,832		36,069		259,750
ProShares UltraShort Bloomberg Natural Gas		9,879		8,136		25,512		51,939
ProShares UltraShort Euro		5,008		18,939		17,814		486,623
ProShares UltraShort Gold		3,075		1,831		9,213		65,111
ProShares UltraShort Silver		3,100		3,192		8,895		48,379
ProShares UltraShort Yen		2,392		5,085		9,558		136,411
ProShares VIX Mid-Term Futures ETF		8,914		13,590		27,487		199,491
ProShares VIX Short-Term Futures ETF		11,739		34,770		91,187		1,117,617

*	The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.

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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed

“off-exchange”

between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on

Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated

tri-party

accounts at the Fund’s custodian bank.

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Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties to the Funds;

•

not posting margin directly with a counterparty;

•

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

•

limiting the amount of margin or premium posted at a FCM; and

•

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance

Sheet Arrangements and Contractual Obligations

As of November 5, 2021, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate

off-balance

sheet financing arrangements and have no loan guarantee arrangements or

off-balance

sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2021.

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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.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

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Results of Operations for the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	2,159,102		$	2,286,467
NAV end of period	$	2,206,818		$	2,188,644
Percentage change in NAV		2.2	%		(4.3	)%
Shares outstanding beginning of period		50,000			50,000
Shares outstanding end of period		50,000			50,000
Percentage change in shares outstanding		—	%		—	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	43.18		$	45.73
Per share NAV end of period	$	44.14		$	43.77
Percentage change in per share NAV		2.3	%		(4.3	)%
Percentage change in benchmark		(2.3	)%		4.4	%
Benchmark annualized volatility		4.5	%		6.3	%

During the three months ended September 30, 2021, 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 inverse

(-1x)

of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, 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 inverse

(-1x)

of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(5,003	)	$	(5,267	)
Management fee		5,193			5,247
Brokerage commission		79			82
Non-recurring fees and expenses		—			65
Net realized gain (loss)		57,489			(77,567	)
Change in net unrealized appreciation (depreciation)		(4,770	)		(14,989	)
Net Income (loss)	$	47,716		$	(97,823	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

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, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	588,615,946		$	509,811,853
NAV end of period	$	388,523,845		$	335,465,066
Percentage change in NAV		(34.0	)%		(34.2	)%
Shares outstanding beginning of period		10,584,307			16,234,307
Shares outstanding end of period		7,134,307			9,484,307
Percentage change in shares outstanding		(32.6	)%		(41.6	)%
Shares created		550,000			—
Shares redeemed		4,000,000			6,750,000
Per share NAV beginning of period	$	55.61		$	31.40
Per share NAV end of period	$	54.46		$	35.37
Percentage change in per share NAV		(2.1	)%		12.6	%
Percentage change in benchmark		(5,6	)%		(26.3	)%
Benchmark annualized volatility		69.6	%		56.2	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

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During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. 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

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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,234,307 outstanding Shares at June 30, 2020 to 9,484,307 outstanding Shares at September 30, 2020. 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, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to

one-half

the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 12.6% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(1,466,273	)	$	(1,544,734	)
Management fee		1,055,823			1,116,999
Brokerage commission		208,885			167,648
Non-recurring fees and expenses		—			22,038
Net realized gain (loss)		34,572,603			60,593,305
Change in net unrealized appreciation (depreciation)		(43,349,844	)		(1,463,399	)
Net Income (loss)	$	(10,243,514	)	$	57,585,172

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2021.

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ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	1,303,530,902		$	1,508,661,459
NAV end of period	$	1,090,613,716		$	1,195,885,056
Percentage change in NAV		(16.3	)%		(20.7	)%
Shares outstanding beginning of period		16,660,774			52,760,774
Shares outstanding end of period		12,910,774			41,610,774
Percentage change in shares outstanding		(22.5	)%		(21.1	)%
Shares created		950,000			21,500,000
Shares redeemed		4,700,000			32,650,000
Per share NAV beginning of period	$	78.24		$	28.59
Per share NAV end of period	$	84.47		$	28.74
Percentage change in per share NAV		8.0	%		0.5	%
Percentage change in benchmark		5.4	%		2.6	%
Benchmark annualized volatility		30.9	%		26.3	%

On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index

(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex

. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.

one-third

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,660,774 outstanding Shares at June 30, 2021 to 12,910,774 outstanding Shares at September 30, 2021. 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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. 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 three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(3,130,493	)	$	(4,420,342	)
Management fee		2,775,351			3,210,517
Brokerage commission		198,498			600,233
Non-recurring fees and expenses		27,500			24,637
Net realized gain (loss)		106,325,821			285,954,263
Change in net unrealized appreciation (depreciation)		(16,878,588	)		(232,630,286	)
Net Income (loss)	$	86,316,740		$	48,903,635

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	70,213,227		$	50,599,783
NAV end of period	$	145,038,381		$	99,203,762
Percentage change in NAV		106.6	%		96.1	%
Shares outstanding beginning of period		1,987,527			1,787,527
Shares outstanding end of period		1,737,527			2,887,527
Percentage change in shares outstanding		(12.6	)%		61.5	%
Shares created		1,150,000			4,350,000
Shares redeemed		1,400,000			3,250,000
Per share NAV beginning of period	$	35.33		$	28.31
Per share NAV end of period	$	83.47		$	34.36
Percentage change in per share NAV		136.3	%		21.4	%
Percentage change in benchmark		58.6	%		15.0	%
Benchmark annualized volatility		48.6	%		58.7	%

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. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,787,527 outstanding Shares at June 30, 2020 to 2,887,527 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended September 30, 2021 and 2020, 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 136.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(212,510	)	$	(323,543	)
Management fee		161,130			199,772
Brokerage commission		40,472			106,449
Non-recurring fees and expenses		—			1,129
Net realized gain (loss)		33,925,723			41,156,156
Change in net unrealized appreciation (depreciation)		25,135,708			(4,754,827	)
Net Income (loss)	$	58,848,921		$	36,077,786

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	3,668,741		$	4,067,686
NAV end of period	$	3,479,104		$	4,397,675
Percentage change in NAV		(5.2	)%		8.1	%
Shares outstanding beginning of period		250,000			300,000
Shares outstanding end of period		250,000			300,000
Percentage change in shares outstanding		—	%		—	%
Shares created		—			100,000
Shares redeemed		—			100,000
Per share NAV beginning of period	$	14.67		$	13.56
Per share NAV end of period	$	13.92		$	14.66
Percentage change in per share NAV		(5.1	)%		8.1	%
Percentage change in benchmark		(2.3	)%		4.4	%
Benchmark annualized volatility		4.5	%		6.3	%

During the three months ended September 30, 2021, 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 euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, 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 5.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(8,271	)	$	(12,155	)
Management fee		8,664			12,404
Non-recurring fees and expenses		—			108
Net realized gain (loss)		(254,219	)		441,714
Change in net unrealized appreciation (depreciation)		72,853			(84,317	)
Net Income (loss)	$	(189,637	)	$	345,242

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The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	243,456,703		$	165,689,050
NAV end of period	$	230,917,847		$	275,450,606
Percentage change in NAV		(5.2	)%		66.2	%
Shares outstanding beginning of period		4,250,000			2,550,000
Shares outstanding end of period		4,150,000			4,000,000
Percentage change in shares outstanding		(2.4	)%		56.9	%
Shares created		250,000			1,700,000
Shares redeemed		350,000			250,000
Per share NAV beginning of period	$	57.28		$	64.98
Per share NAV end of period	$	55.64		$	68.86
Percentage change in per share NAV		(2.9	)%		6.0	%
Percentage change in benchmark		(1.0	)%		3.6	%
Benchmark annualized volatility		13.8	%		25.4	%

. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,550,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

For the three months ended September 30, 2021 and 2020, 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 2.9% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(596,194	)	$	(617,991	)
Management fee		582,103			640,992
Brokerage commission		9,421			12,115
Non-recurring fees and expenses		—			3,751
Net realized gain (loss)		(21,858,089	)		25,742,296
Change in net unrealized appreciation (depreciation)		15,574,284			(18,054,591	)
Net Income (loss)	$	(6,879,999	)	$	7,069,714

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	661,778,727		$	249,671,968
NAV end of period	$	480,309,476		$	620,883,156
Percentage change in NAV		(27.4	)%		148.7	%
Shares outstanding beginning of period		14,396,526			8,446,526
Shares outstanding end of period		15,146,526			14,696,526
Percentage change in shares outstanding		5.2	%		74.0	%
Shares created		1,050,000			8,050,000
Shares redeemed		300,000			1,800,000
Per share NAV beginning of period	$	45.97		$	29.56
Per share NAV end of period	$	31.71		$	42.25
Percentage change in per share NAV		(31.0	)%		42.9	%
Percentage change in benchmark		(16.0	)%		25.1	%
Benchmark annualized volatility		26.7	%		33.8	%

. The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 8,446,526 outstanding Shares at June 30, 2020 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

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For the three months ended September 30, 2021 and 2020, 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 31.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(1,424,705	)	$	(1,497,215	)
Management fee		1,394,627			1,462,400
Brokerage commission		27,419			54,812
Non-recurring fees and expenses		—			3,943
Net realized gain (loss)		(201,320,030	)		290,238,797
Change in net unrealized appreciation (depreciation)		(6,018,290	)		(199,313,772	)
Net Income (loss)	$	(208,763,025	)	$	89,427,810

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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, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	840,870,703		$	992,156,607
NAV end of period	$	1,020,845,873		$	1,307,611,521
Percentage change in NAV		21.4	%		31.8	%
Shares outstanding beginning of period		30,128,420			3,013,091
Shares outstanding end of period		41,778,420			6,488,091
Percentage change in shares outstanding		38.7	%		115.3	%
Shares created		37,800,000			4,280,000
Shares redeemed		26,150,000			805,000
Per share NAV beginning of period	$	27.91		$	329.28
Per share NAV end of period	$	24.43		$	201.54
Percentage change in per share NAV		(12.5	)%		(38.8	)%
Percentage change in benchmark		(5.6	)%		(26.3	)%
Benchmark annualized volatility		69.6	%		56.2	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. 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. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 3,013,091 outstanding Shares at June 30, 2020 to 6,488,091 outstanding Shares at September 30, 2020. 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.

For the three months ended September 30, 2021 and 2020, 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 12.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 38.8% for the three months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(3,993,799	)	$	(5,136,994	)
Management fee		2,221,755			2,969,740
Brokerage commission		1,095,975			1,102,235
Non-recurring fees and expenses		—			10,480
Net realized gain (loss)		(198,380,990	)		(559,537,850	)
Change in net unrealized appreciation (depreciation)		186,742,221			15,303,127
Net Income (loss)	$	(15,632,568	)	$	(549,371,717	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.

*	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 September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	2,560,348		$	2,764,355
NAV end of period	$	2,539,880		$	2,882,680
Percentage change in NAV		(0.8	)%		4.3	%
Shares outstanding beginning of period		49,970			49,970
Shares outstanding end of period		49,970			49,970
Percentage change in shares outstanding		—	%		—	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	51.24		$	55.32
Per share NAV end of period	$	50.83		$	57.69
Percentage change in per share NAV		(0.8	)%		4.3	%
Percentage change in benchmark		(0.2	)%		2.4	%
Benchmark annualized volatility		5.5	%		5.8	%

During the three months ended September 30, 2021, 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. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

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For the three months ended September 30, 2021 and 2020, 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 0.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(5,973	)	$	(6,720	)
Management fee		6,233			6,813
Non-recurring fees and expenses		—			78
Net realized gain (loss)		(25,554	)		126,569
Change in net unrealized appreciation (depreciation)		11,059			(1,524	)
Net Income (loss)	$	(20,468	)	$	118,325

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	2,304,732		$	5,614,042
NAV end of period	$	4,914,269		$	5,173,668
Percentage change in NAV		113.2	%		(7.8	)%
Shares outstanding beginning of period		50,000			100,000
Shares outstanding end of period		100,000			100,000
Percentage change in shares outstanding		100.0	%		—	%
Shares created		50,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	46.09		$	56.14
Per share NAV end of period	$	49.14		$	51.74
Percentage change in per share NAV		6.6	%		(7.8	)%
Percentage change in benchmark		(3.6	)%		3.8	%
Benchmark annualized volatility		8.8	%		9.0	%

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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at June 30, 2021 to 100,000 outstanding Shares at September 30, 2021. 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 Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 3.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.8% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(9,379	)	$	(13,294	)
Management fee		8,860			12,478
Brokerage commission		962			928
Non-recurring fees and expenses		—			177
Net realized gain (loss)		188,884			(432,100	)
Change in net unrealized appreciation (depreciation)		56,770			5,020
Net Income (loss)	$	236,275		$	(440,374	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2021.

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ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	79,400,059		$	117,821,898
NAV end of period	$	93,575,213		$	80,418,166
Percentage change in NAV		17.9	%		(31.7	)%
Shares outstanding beginning of period		4,383,799			1,609,971
Shares outstanding end of period		6,183,799			1,209,971
Percentage change in shares outstanding		41.1	%		(24.8	)%
Shares created		3,350,000			1,075,000
Shares redeemed		1,550,000			1,475,000
Per share NAV beginning of period	$	18.11		$	73.18
Per share NAV end of period	$	15.13		$	66.46
Percentage change in per share NAV		(16.5	)%		(9.2	)%
Percentage change in benchmark		5.4	%		2.6	%
Benchmark annualized volatility		30.9	%		26.3	%

On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index

(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex

. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the New Benchmark.

one-third

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,799 outstanding Shares at June 30, 2021 to 6,183,799 outstanding Shares at September 30, 2021. 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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,609,971 outstanding Shares at June 30, 2020 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

For the three months ended September 30, 2021 and 2020, 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 16.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(241,725	)	$	(342,320	)
Management fee		201,146			238,038
Brokerage commission		29,277			64,657
Non-recurring fees and expenses		—			4,892
Net realized gain (loss)		(11,449,562	)		(16,296,829	)
Change in net unrealized appreciation (depreciation)		(1,520,893	)		5,848,114
Net Income (loss)	$	(13,212,180	)	$	(10,791,035	)

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.

*	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.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	97,525,300		$	28,552,210
NAV end of period	$	138,468,677		$	46,937,986
Percentage change in NAV		42.0	%		64.4	%
Shares outstanding beginning of period		4,524,832			424,832
Shares outstanding end of period		19,724,832			1,224,832
Percentage change in shares outstanding		335.9	%		188.3	%
Shares created		20,500,000			3,200,000
Shares redeemed		5,300,000			2,400,000
Per share NAV beginning of period	$	21.55		$	67.21
Per share NAV end of period	$	7.02		$	38.32
Percentage change in per share NAV		(67.4	)%		(43.0	)%
Percentage change in benchmark		58.6	%		15.0	%
Benchmark annualized volatility		48.6	%		58.7	%

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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,524,832 outstanding Shares at June 30, 2021 to 19,724,832 outstanding Shares at September 30, 2021. 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

. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. 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, 2021 and 2020, 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 67.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(358,817	)	$	(249,586	)
Management fee		258,824			138,507
Brokerage commission		67,808			98,416
Non-recurring fees and expenses		—			345
Net realized gain (loss)		(95,609,878	)		(31,449,992	)
Change in net unrealized appreciation (depreciation)		(17,871,536	)		8,969,137
Net Income (loss)	$	(113,840,231	)	$	(22,730,441	)

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	48,820,440		$	78,848,965
NAV end of period	$	48,640,817		$	68,577,533
Percentage change in NAV		(0.4	)%		(13.0	)%
Shares outstanding beginning of period		2,050,000			2,950,000
Shares outstanding end of period		1,950,000			2,800,000
Percentage change in shares outstanding		(4.9	)%		(5.1	)%
Shares created		100,000			1,000,000
Shares redeemed		200,000			1,150,000
Per share NAV beginning of period	$	23.81		$	26.73
Per share NAV end of period	$	24.94		$	24.49
Percentage change in per share NAV		4.8	%		(8.4	)%
Percentage change in benchmark		(2.3	)%		4.4	%
Benchmark annualized volatility		4.5	%		6.3	%

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. 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, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.

For the three months ended September 30, 2021 and 2020, 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 4.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(111,725	)	$	(144,828	)
Management fee		116,733			161,145
Non-recurring fees and expenses		—			2,622
Net realized gain (loss)		2,974,466			(7,511,167	)
Change in net unrealized appreciation (depreciation)		(617,958	)		1,525,791
Net Income (loss)	$	2,244,783		$	(6,130,204	)

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ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	32,835,014		$	15,851,043
NAV end of period	$	27,731,022		$	27,139,981
Percentage change in NAV		(15.5	)%		71.2	%
Shares outstanding beginning of period		946,977			446,977
Shares outstanding end of period		796,977			846,977
Percentage change in shares outstanding		(15.8	)%		89.5	%
Shares created		650,000			750,000
Shares redeemed		800,000			350,000
Per share NAV beginning of period	$	34.67		$	35.46
Per share NAV end of period	$	34.80		$	32.04
Percentage change in per share NAV		0.4	%		(9.6	)%
Percentage change in benchmark		(1.0	)%		3.6	%
Benchmark annualized volatility		13.8	%		19.1	%

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. 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, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at June 30, 2020 to 846,977 outstanding Shares at September 30, 2020. 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

For the three months ended September 30, 2021 and 2020, 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 0.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(68,386	)	$	(47,471	)
Management fee		66,304			45,591
Brokerage commission		3,301			1,980
Non-recurring fees and expenses		—			499
Net realized gain (loss)		1,213,721			(4,021,537	)
Change in net unrealized appreciation (depreciation)		(1,898,419	)		2,689,061
Net Income (loss)	$	(753,084	)	$	(1,379,947	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the three months ended September 30, 2021.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	34,859,763		$	10,145,625
NAV end of period	$	40,373,877		$	51,055,675
Percentage change in NAV		15.8	%		403.2	%
Shares outstanding beginning of period		1,491,329			129,244
Shares outstanding end of period		1,291,329			1,316,744
Percentage change in shares outstanding		(13.4	)%		918.8	%
Shares created		1,000,000			2,825,000
Shares redeemed		1,200,000			1,637,500
Per share NAV beginning of period	$	23.37		$	78.50
Per share NAV end of period	$	31.27		$	38.77
Percentage change in per share NAV		33.8	%		(50.6	)%
Percentage change in benchmark		(16.0	)%		25.1	%
Benchmark annualized volatility		26.7	%		57.7	%

(-2x)

of the daily performance of the Bloomberg Silver Subindex

. The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at June 30, 2020 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Silver Subindex

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For the three months ended September 30, 2021 and 2020, 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 33.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(102,532	)	$	(94,990	)
Management fee		90,963			84,377
Brokerage commission		8,141			8,539
Non-recurring fees and expenses		—			321
Net realized gain (loss)		6,662,145			(15,896,820	)
Change in net unrealized appreciation (depreciation)		3,922,596			11,129,734
Net Income (loss)	$	10,482,209		$	(4,862,076	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.

*	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 Silver.

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	27,231,748		$	29,787,034
NAV end of period	$	23,328,922		$	24,780,763
Percentage change in NAV		(14.3	)%		(16.8	)%
Shares outstanding beginning of period		349,290			399,290
Shares outstanding end of period		299,290			349,290
Percentage change in shares outstanding		(14.3	)%		(12.5	)%
Shares created		—			—
Shares redeemed		50,000			50,000
Per share NAV beginning of period	$	77.96		$	74.60
Per share NAV end of period	$	77.95		$	70.95
Percentage change in per share NAV		(0.0	)%@		(4.9	)%
Percentage change in benchmark		(0.2	)%		2.4	%
Benchmark annualized volatility		5.5	%		5.8	%

@	Amount represents greater than (0.05)%.

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at June 30, 2021 to 299,290 outstanding Shares at September 30, 2021. 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,290 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020. 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 Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2021 and 2020, 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 0.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended September 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(54,645	)	$	(55,870	)
Management fee		57,037			60,238
Non-recurring fees and expenses		—			717
Net realized gain (loss)		197,444			(1,451,651	)
Change in net unrealized appreciation (depreciation)		(189,932	)		201,521
Net Income (loss)	$	(47,133	)	$	(1,306,000	)

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The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.

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, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	92,662,734		$	59,085,470
NAV end of period	$	127,673,137		$	101,957,520
Percentage change in NAV		37.7	%		72.6	%
Shares outstanding beginning of period		3,037,403			1,462,403
Shares outstanding end of period		3,962,403			2,487,403
Percentage change in shares outstanding		30.5	%		70.1	%
Shares created		1,200,000			1,150,000
Shares redeemed		275,000			125,000
Per share NAV beginning of period	$	30.51		$	40.40
Per share NAV end of period	$	32.22		$	40.99
Percentage change in per share NAV		5.6	%		1.5	%
Percentage change in benchmark		6.0	%		1.8	%
Benchmark annualized volatility		22.9	%		26.2	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares VIX

Mid-Term

Futures ETF, to reflect the new settlement time.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX

Mid-Term

Futures Index. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,462,403 outstanding Shares at June 30, 2020 to 2,487,403 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX

Mid-Term

Futures Index.

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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s rise of 6.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of the futures contracts that made the S&P 500 VIX

Mid-Term

Futures Index during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(262,156	)	$	(204,460	)
Management fee		221,356			172,587
Brokerage commission		20,803			19,350
Net realized gain (loss)		(4,024,133	)		755,845
Change in net unrealized appreciation (depreciation)		10,652,952			1,752,080
Net Income (loss)	$	6,366,663		$	2,303,465

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of the futures prices during the three months ended September 30, 2021.

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, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
NAV beginning of period	$	272,352,675		$	221,343,175
NAV end of period	$	368,777,333		$	279,272,297
Percentage change in NAV		35.3	%		26.2	%
Shares outstanding beginning of period		11,307,826			1,981,579
Shares outstanding end of period		16,257,826			3,400,329
Percentage change in shares outstanding		43.8	%		71.6	%
Shares created		6,300,000			1,662,500
Shares redeemed		1,350,000			243,750
Per share NAV beginning of period	$	24.09		$	111.70
Per share NAV end of period	$	22.68		$	82.13
Percentage change in per share NAV		(5.8	)%		(26.5	)%
Percentage change in benchmark		(5.6	)%		(26.3	)%
Benchmark annualized volatility		69.6	%		56.2	%

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On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. 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 September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,981,579 outstanding Shares at June 30, 2020 to 3,400,329 outstanding Shares at September 30, 2020. 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, 2021 and 2020, 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 5.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.5% for the three months ended September 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:


	Three Months Ended September 30, 2021			Three Months Ended September 30, 2020
Net investment income (loss)	$	(897,586	)	$	(758,225	)
Management fee		660,051			560,301
Brokerage commission		97,516			66,969
Net realized gain (loss)		(51,868,433	)		(75,120,135	)
Change in net unrealized appreciation (depreciation)		42,168,297			556,466
Net Income (loss)	$	(10,597,722	)	$	(75,321,894	)

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.

*	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.

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Results of Operations for the Nine Months Ended September 30, 2021 Compared to the Nine Months Ended September 30, 2020

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	4,191,955		$	2,282,195
NAV end of period	$	2,206,818		$	2,188,644
Percentage change in NAV		(47.4	)%		(4.1	)%
Shares outstanding beginning of period		100,000			50,000
Shares outstanding end of period		50,000			50,000
Percentage change in shares outstanding		(50.0	)%		–	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	41.92		$	45.64
Per share NAV end of period	$	44.14		$	43.77
Percentage change in per share NAV		5.2	%		(4.1	)%
Percentage change in benchmark		(5.2	)%		4.5	%
Benchmark annualized volatility		5.6	%		7.9	%

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at September 30, 2021. 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 inverse

(-1x)

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, 2020, 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 inverse

(-1x)

of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(18,442	)	$	(8,827	)
Management fee		19,278			16,266
Brokerage commission		339			272
Non-recurring fees and expenses		—			65
Net realized gain (loss)		88,710			(116,225	)
Change in net unrealized appreciation (depreciation)		91,407			31,501
Net Income (loss)	$	161,675		$	(93,551	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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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, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	409,371,468		$	284,437,179
NAV end of period	$	388,523,845		$	335,465,066
Percentage change in NAV		(5.1	)%		17.9	%
Shares outstanding beginning of period		9,884,307			4,334,307
Shares outstanding end of period		7,134,307			9,484,307
Percentage change in shares outstanding		(27.8	)%		118.8	%
Shares created		3,400,000			25,850,000
Shares redeemed		6,150,000			20,700,000
Per share NAV beginning of period	$	41.42		$	65.62
Per share NAV end of period	$	54.46		$	35.37
Percentage change in per share NAV		31.5	%		(46.1	)%
Percentage change in benchmark		(58.4	)%		68.5	%
Benchmark annualized volatility		73.8	%		112.9	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. 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, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 9,484,307 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to

one-half

the inverse

(-0.5x)

of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2021 and 2020, 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 31.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, 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, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(4,774,396	)	$	(4,043,310	)
Management fee		3,415,545			3,592,232
Brokerage commission		638,744			585,356
Non-recurring fees and expenses		—			22,038
Net realized gain (loss)		168,119,037			(129,092,294	)
Change in net unrealized appreciation (depreciation)		(14,532,856	)		(2,709,070	)
Net Income (loss)	$	148,811,785		$	(135,844,674	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

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ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	902,739,250		$	309,844,582
NAV end of period	$	1,090,613,716		$	1,195,885,056
Percentage change in NAV		20.8	%		286.0	%
Shares outstanding beginning of period		24,810,774			608,453
Shares outstanding end of period		12,910,774			41,610,774
Percentage change in shares outstanding		(48.0	)%		6,738.8	%
Shares created		4,350,000			109,662,000
Shares redeemed		16,250,000			68,659,679
Per share NAV beginning of period	$	36.38		$	509.23
Per share NAV end of period	$	84.47		$	28.74
Percentage change in per share NAV		132.2	%		(94.4	)%
Percentage change in benchmark		58.2	%		(33.6	)%
Benchmark annualized volatility		29.1	%		90.6	%

(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex

. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.

one-third

During the nine months ended September 30, 2021, 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 Commodity Balance WTI Crude Oil Index

. The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 12,910,774 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 41,610,774 outstanding Shares at September 30, 2020. 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 two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

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For the nine months ended September 30, 2021 and 2020, 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 132.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(9,100,359	)	$	(8,010,293	)
Management fee		8,104,728			6,887,044
Brokerage commission		701,710			1,744,115
Non-recurring fees and expenses		27,500			24,637
Net realized gain (loss)		761,182,708			(891,020,242	)
Change in net unrealized appreciation (depreciation)		176,076,207			106,126,899
Net Income (loss)	$	928,158,556		$	(792,903,636	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	169,800,371		$	45,160,205
NAV end of period	$	145,038,381		$	99,203,762
Percentage change in NAV		(14.6	)%		119.7	%
Shares outstanding beginning of period		8,087,527			537,815
Shares outstanding end of period		1,737,527			2,887,527
Percentage change in shares outstanding		(78.5	)%		436.9	%
Shares created		5,200,000			5,835,000
Shares redeemed		11,550,000			3,485,288
Per share NAV beginning of period	$	21.00		$	83.97
Per share NAV end of period	$	83.47		$	34.36
Percentage change in per share NAV		297.6	%		(59.1	)%
Percentage change in benchmark		113.0	%		(28.5	)%
Benchmark annualized volatility		40.5	%		53.5	%

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the nine months ended September 30, 2020, 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 the timing of shareholder activity, which was offset by a decrease from 537,815 outstanding Shares at December 31, 2019 to 2,887,527 outstanding Shares at September 30, 2020.

For the nine months ended September 30, 2021 and 2020, 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 297.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(845,018	)	$	(447,190	)
Management fee		568,903			378,784
Brokerage commission		195,831			214,255
Non-recurring fees and expenses		—			1,129
Net realized gain (loss)		80,409,947			2,226,367
Change in net unrealized appreciation (depreciation)		35,684,757			(4,338,592	)
Net Income (loss)	$	115,249,686		$	(2,559,415	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2021.

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020

NAV beginning of period	$	4,737,350		$	6,204,424
NAV end of period	$	3,479,104		$	4,397,675
Percentage change in NAV		(26.6	)%		(29.1	)%
Shares outstanding beginning of period		300,000			450,000
Shares outstanding end of period		250,000			300,000
Percentage change in shares outstanding		(16.7	)%		(33.3	)%
Shares created		100,000			200,000
Shares redeemed		150,000			350,000
Per share NAV beginning of period	$	15.79		$	13.79
Per share NAV end of period	$	13.92		$	14.66
Percentage change in per share NAV		(11.9	)%		6.3	%
Percentage change in benchmark		(5.2	)%		4.5	%
Benchmark annualized volatility		5.6	%		7.9	%

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. 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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, 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 11.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.3% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(26,743	)	$	(17,610	)
Management fee		28,158			33,852
Non-recurring fees and expenses		—			108
Net realized gain (loss)		(186,149	)		369,811
Change in net unrealized appreciation (depreciation)		(251,418	)		(208,451	)
Net Income (loss)	$	(464,310	)	$	143,750

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	263,540,473		$	110,726,032
NAV end of period	$	230,917,847		$	275,450,606
Percentage change in NAV		(12.4	)%		148.8	%
Shares outstanding beginning of period		3,900,000			2,250,000
Shares outstanding end of period		4,150,000			4,000,000
Percentage change in shares outstanding		6.4	%		77.8	%
Shares created		1,250,000			3,150,000
Shares redeemed		1,000,000			1,400,000
Per share NAV beginning of period	$	67.57		$	49.21
Per share NAV end of period	$	55.64		$	68.86
Percentage change in per share NAV		(17.7	)%		39.9	%
Percentage change in benchmark		(7.9	)%		21.4	%
Benchmark annualized volatility		15.7	%		22.6	%

. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

For the nine months ended September 30, 2021 and 2020, 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 17.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 21.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(1,745,829	)	$	(789,004	)
Management fee		1,718,350			1,269,866
Brokerage commission		32,974			28,599
Non-recurring fees and expenses		—			3,751
Net realized gain (loss)		(27,599,609	)		51,605,680
Change in net unrealized appreciation (depreciation)		(19,136,522	)		(11,258,939	)
Net Income (loss)	$	(48,481,960	)	$	39,557,737

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	745,304,028		$	239,254,842
NAV end of period	$	480,309,476		$	620,883,156
Percentage change in NAV		(35.6	)%		159.5	%
Shares outstanding beginning of period		14,696,526			7,546,526
Shares outstanding end of period		15,146,526			14,696,526
Percentage change in shares outstanding		3.1	%		94.7	%
Shares created		4,450,000			10,300,000
Shares redeemed		4,000,000			3,150,000
Per share NAV beginning of period	$	50.71		$	31.70
Per share NAV end of period	$	31.71		$	42.25
Percentage change in per share NAV		(37.5	)%		33.3	%
Percentage change in benchmark		(17.0	)%		27.4	%
Benchmark annualized volatility		33.0	%		48.6	%

. The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

For the nine months ended September 30, 2021 and 2020, 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 37.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 33.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(4,805,716	)	$	(1,555,626	)
Management fee		4,640,919			2,369,293
Brokerage commission		114,716			99,986
Non-recurring fees and expenses		—			3,943
Net realized gain (loss)		(80,038,809	)		297,927,456
Change in net unrealized appreciation (depreciation)		(192,156,316	)		(215,073,543	)
Net Income (loss)	$	(277,000,841	)	$	81,298,287

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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, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	1,356,204,199		$	527,636,003
NAV end of period	$	1,020,845,873		$	1,307,611,521
Percentage change in NAV		(24.7	)%		147.8	%
Shares outstanding beginning of period		12,713,091			4,163,091
Shares outstanding end of period		41,778,420			6,488,091
Percentage change in shares outstanding		228.6	%		55.8	%
Shares created		70,385,000			7,755,000
Shares redeemed		41,319,671			5,430,000
Per share NAV beginning of period	$	106.68		$	126.74
Per share NAV end of period	$	24.43		$	201.54
Percentage change in per share NAV		(77.1	)%		59.0	%
Percentage change in benchmark		(58.4	)%		68.5	%
Benchmark annualized volatility		73.8	%		112.9	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.

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 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,163,091 outstanding Shares at December 31, 2019 to 6,488,091 outstanding Shares at September 30, 2020. 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.

For the nine months ended September 30, 2021 and 2020, 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 77.1% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 59.0% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(16,038,632	)	$	(7,952,015	)
Management fee		8,897,953			5,646,893
Brokerage commission		4,225,879			2,282,095
Non-recurring fees and expenses		—			10,480
Net realized gain (loss)		(1,757,407,418	)		58,666,590
Change in net unrealized appreciation (depreciation)		146,498,138			66,319,163
Net Income (loss)	$	(1,626,947,912	)	$	117,033,738

*	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.

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	2,989,499		$	5,580,964
NAV end of period	$	2,539,880		$	2,882,680
Percentage change in NAV		(15.0	)%		(48.3	)%
Shares outstanding beginning of period		49,970			99,970
Shares outstanding end of period		49,970			49,970
Percentage change in shares outstanding		—	%		(50.0	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	59.83		$	55.83
Per share NAV end of period	$	50.83		$	57.69
Percentage change in per share NAV		(15.0	)%		3.3	%
Percentage change in benchmark		(7.2	)%		3.0	%
Benchmark annualized volatility		5.2	%		10.2	%

During the nine months ended September 30, 2021, 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. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at September 30, 2020. 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 Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, 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 15.0% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 3.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(18,221	)	$	(11,633	)
Management fee		19,144			20,655
Non-recurring fees and expenses		—			78
Net realized gain (loss)		(305,028	)		11,333
Change in net unrealized appreciation (depreciation)		(126,370	)		48,030
Net Income (loss)	$	(449,619	)	$	47,730

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.

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Table of Contents

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	2,222,639		$	5,608,612
NAV end of period	$	4,914,269		$	5,173,668
Percentage change in NAV		121.1	%		(7.8	)%
Shares outstanding beginning of period		50,000			100,000
Shares outstanding end of period		100,000			100,000
Percentage change in shares outstanding		100.0	%		—	%
Shares created		50,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	44.45		$	56.09
Per share NAV end of period	$	49.14		$	51.74
Percentage change in per share NAV		10.6	%		(7.8	)%
Percentage change in benchmark		(6.2	)%		2.1	%
Benchmark annualized volatility		9.5	%		13.0	%

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2020 to 100,000 outstanding Shares at September 30, 2021. 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 Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.

For the nine months ended September 30, 2021 and 2020, 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 10.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 6.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 2.1% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(19,952	)	$	(26,054	)
Management fee		19,191			42,496
Brokerage commission		1,722			3,766
Non-recurring fees and expenses		—			177
Net realized gain (loss)		17,207			(799,054	)
Change in net unrealized appreciation (depreciation)		321,113			390,164
Net Income (loss)	$	318,368		$	(434,944	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2021.

188

Table of Contents

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	96,839,233		$	125,451,681
NAV end of period	$	93,575,213		$	80,418,166
Percentage change in NAV		(3.4	)%		(35.9	)%
Shares outstanding beginning of period		2,084,971			2,572,471
Shares outstanding end of period		6,183,799			1,209,971
Percentage change in shares outstanding		196.6	%		(53.0	)%
Shares created		7,237,500			6,662,500
Shares redeemed		3,138,672			8,025,000
Per share NAV beginning of period	$	46.45		$	48.77
Per share NAV end of period	$	15.13		$	66.46
Percentage change in per share NAV		(67.4	)%		36.3	%
Percentage change in benchmark		58.2	%		(33.6	)%
Benchmark annualized volatility		29.1	%		90.6	%

(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex

. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the New Benchmark.

one-third

(-2x)

the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index

. The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 6,183,799 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,209,971 outstanding Shares at September 30, 2020. 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

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For the nine months ended September 30, 2021 and 2020, 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 67.4% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 36.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(751,650	)	$	(1,155,759	)
Management fee		603,444			789,307
Brokerage commission		100,902			488,442
Non-recurring fees and expenses		—			4,892
Net realized gain (loss)		(86,637,748	)		28,429,826
Change in net unrealized appreciation (depreciation)		(5,829,481	)		7,227,746
Net Income (loss)	$	(93,218,879	)	$	34,501,813

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.

*	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.

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Table of Contents

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	24,977,745		$	12,515,603
NAV end of period	$	138,468,677		$	46,937,986
Percentage change in NAV		454.4	%		275.0	%
Shares outstanding beginning of period		524,832			324,832
Shares outstanding end of period		19,724,832			1,224,832
Percentage change in shares outstanding		3,658.3	%		277.1	%
Shares created		28,050,000			4,400,000
Shares redeemed		8,850,000			3,500,000
Per share NAV beginning of period	$	47.59		$	38.53
Per share NAV end of period	$	7.02		$	38.32
Percentage change in per share NAV		(85.3	)%		(0.5	)%
Percentage change in benchmark		113.0	%		(28.5	)%
Benchmark annualized volatility		40.5	%		53.5	%

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 19,724,832 outstanding Shares at September 30, 2021. 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

. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 324,832 outstanding Shares at December 31, 2019 to 1,224,832 outstanding Shares at September 30, 2020. 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 two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

For the nine months ended September 30, 2021 and 2020, 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 85.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.5% for the nine months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(932,981	)	$	(358,912	)
Management fee		609,472			207,544
Brokerage commission		249,831			177,159
Non-recurring fees and expenses		—			345
Net realized gain (loss)		(112,274,576	)		(20,587,724	)
Change in net unrealized appreciation (depreciation)		(35,670,233	)		9,530,109
Net Income (loss)	$	(148,877,790	)	$	(11,416,527	)

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.

192

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, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	52,953,339		$	120,581,173
NAV end of period	$	48,640,817		$	68,577,533
Percentage change in NAV		(8.1	)%		(43.1	)%
Shares outstanding beginning of period		2,350,000			4,500,000
Shares outstanding end of period		1,950,000			2,800,000
Percentage change in shares outstanding		(17.0	)%		(37.8	)%
Shares created		300,000			1,350,000
Shares redeemed		700,000			3,050,000
Per share NAV beginning of period	$	22.53		$	26.80
Per share NAV end of period	$	24.94		$	24.49
Percentage change in per share NAV		10.7	%		(8.6	)%
Percentage change in benchmark		(5.2	)%		4.5	%
Benchmark annualized volatility		5.6	%		7.9	%

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. 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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,800,000 outstanding Shares at September 30, 2020. 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.

For the nine months ended September 30, 2021 and 2020, 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 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(337,637	)	$	(154,217	)
Management fee		355,451			638,218
Non-recurring fees and expenses		—			2,622
Net realized gain (loss)		2,249,236			(8,749,752	)
Change in net unrealized appreciation (depreciation)		3,263,109			3,446,359
Net Income (loss)	$	5,174,708		$	(5,457,610	)

194

Table of Contents

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	20,337,376		$	21,047,560
NAV end of period	$	27,731,022		$	27,139,981
Percentage change in NAV		36.4	%		28.9	%
Shares outstanding beginning of period		646,977			396,977
Shares outstanding end of period		796,977			846,977
Percentage change in shares outstanding		23.2	%		113.4	%
Shares created		1,700,000			1,100,000
Shares redeemed		1,550,000			650,000
Per share NAV beginning of period	$	31.43		$	53.02
Per share NAV end of period	$	34.80		$	32.04
Percentage change in per share NAV		10.7	%		(39.6	)%
Percentage change in benchmark		(7.9	)%		3.6	%
Benchmark annualized volatility		15.7	%		22.6	%

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Gold Subindex

. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. 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

For the nine months ended September 30, 2021 and 2020, 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 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 39.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(208,304	)	$	(73,179	)
Management fee		199,999			129,451
Brokerage commission		9,174			5,743
Non-recurring fees and expenses		—			499
Net realized gain (loss)		(1,767,467	)		(12,041,690	)
Change in net unrealized appreciation (depreciation)		1,727,781			2,727,104
Net Income (loss)	$	(247,990	)	$	(9,387,765	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.

196

Table of Contents

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	28,885,775		$	13,834,163
NAV end of period	$	40,373,877		$	51,055,675
Percentage change in NAV		39.8	%		269.1	%
Shares outstanding beginning of period		1,041,744			129,244
Shares outstanding end of period		1,291,329			1,316,744
Percentage change in shares outstanding		24.0	%		918.8	%
Shares created		3,750,000			3,025,000
Shares redeemed		3,500,415			1,837,500
Per share NAV beginning of period	$	27.73		$	107.04
Per share NAV end of period	$	31.27		$	38.77
Percentage change in per share NAV		12.8	%		(63.8	)%
Percentage change in benchmark		(17.0	)%		27.4	%
Benchmark annualized volatility		33.0	%		48.6	%

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Silver Subindex

. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at December 31, 2019 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the Bloomberg Silver Subindex

For the nine months ended September 30, 2021 and 2020, 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 12.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.

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Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(279,779	)	$	(122,284	)
Management fee		248,539			147,262
Brokerage commission		19,409			16,460
Non-recurring fees and expenses		—			321
Net realized gain (loss)		(2,146,577	)		(18,932,319	)
Change in net unrealized appreciation (depreciation)		10,463,787			12,566,119
Net Income (loss)	$	8,037,431		$	(6,488,484	)

*	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 Silver.

198

Table of Contents

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	23,691,070		$	38,132,320
NAV end of period	$	23,328,922		$	24,780,763
Percentage change in NAV		(1.5	)%		(35.0	)%
Shares outstanding beginning of period		349,290			499,290
Shares outstanding end of period		299,290			349,290
Percentage change in shares outstanding		(14.3	)%		(30.0	)%
Shares created		100,000			100,000
Shares redeemed		150,000			250,000
Per share NAV beginning of period	$	67.83		$	76.37
Per share NAV end of period	$	77.95		$	70.95
Percentage change in per share NAV		14.9	%		(7.1	)%
Percentage change in benchmark		(7.2	)%		3.0	%
Benchmark annualized volatility		5.2	%		10.2	%

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at December 31, 2020 to 299,290 outstanding Shares at September 30, 2021. 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 nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 349,290 outstanding Shares at September 30, 2020. 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 Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, 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 14.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(186,478	)	$	(73,411	)
Management fee		196,036			209,105
Non-recurring fees and expenses		—			717
Net realized gain (loss)		3,055,103			(1,847,423	)
Change in net unrealized appreciation (depreciation)		1,066,333			(429,087	)
Net Income (loss)	$	3,934,958		$	(2,349,921	)

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.

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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, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	72,075,095		$	45,986,584
NAV end of period	$	127,673,137		$	101,957,520
Percentage change in NAV		77.1	%		121.7	%
Shares outstanding beginning of period		1,962,403			2,162,403
Shares outstanding end of period		3,962,403			2,487,403
Percentage change in shares outstanding		101.9	%		15.0	%
Shares created		2,625,000			2,250,000
Shares redeemed		625,000			1,925,000
Per share NAV beginning of period	$	36.73		$	21.27
Per share NAV end of period	$	32.22		$	40.99
Percentage change in per share NAV		(12.3	)%		92.8	%
Percentage change in benchmark		(11.4	)%		94.3	%
Benchmark annualized volatility		28.3	%		63.0	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares VIX

Mid-Term

Futures ETF, to reflect the new settlement time.

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX

Mid-Term

Futures Index. By comparison, during the nine months ended September 30, 2020, 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

Mid-Term

Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,403 outstanding Shares at December 31, 2019 to 2,487,403 outstanding Shares at September 30, 2020.

For the nine months ended September 30, 2021 and 2020, 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 12.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 92.8% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 11.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 94.3% for the nine months ended September 30, 2020, 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, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(694,100	)	$	(290,253	)
Management fee		586,702			391,147
Brokerage commission		48,211			51,973
Net realized gain (loss)		(14,890,359	)		21,708,785
Change in net unrealized appreciation (depreciation)		5,949,460			5,421,417
Net Income (loss)	$	(9,634,999	)	$	26,839,949

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.

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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, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
NAV beginning of period	$	293,390,549		$	279,792,503
NAV end of period	$	368,777,333		$	279,272,297
Percentage change in NAV		25.7	%		(0.2	)%
Shares outstanding beginning of period		5,331,579			5,687,829
Shares outstanding end of period		16,257,826			3,400,329
Percentage change in shares outstanding		204.9	%		(40.2	)%
Shares created		16,556,250			4,331,250
Shares redeemed		5,630,003			6,618,750
Per share NAV beginning of period	$	55.03		$	49.19
Per share NAV end of period	$	22.68		$	82.13
Percentage change in per share NAV		(58.8	)%		67.0	%
Percentage change in benchmark		(58.4	)%		68.5	%
Benchmark annualized volatility		73.8	%		112.9	%

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 3,400,329 outstanding Shares at September 30, 2020. 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 nine months ended September 30, 2021 and 2020, 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 58.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 67.0% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, 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, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:


	Nine Months Ended September 30, 2021			Nine Months Ended September 30, 2020
Net investment income (loss)	$	(3,019,972	)	$	(1,057,822	)
Management fee		2,154,874			1,584,861
Brokerage commission		365,013			311,826
Net realized gain (loss)		(304,349,667	)		249,771,936
Change in net unrealized appreciation (depreciation)		27,729,790			16,589,740
Net Income (loss)	$	(279,639,849	)	$	265,303,854

*	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.

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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 September 30, 2021 and 2020, each of the Fund’s positions were as follows:

ProShares Short Euro

As of September 30, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2021		15	$	1.16		125,000	$	(2,175,000	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2020		15	$	1.17		125,000	$	(2,200,406	)

The September 30, 2021 and 2020 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 positions in Financial Instruments

each day

to have $1.00 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 one. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	October 2021		4,341	$	22.87		1,000	$	(99,269,120	)
VIX Futures (Cboe)	Short	November 2021		4,001		23.69		1,000		(94,767,286	)

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Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	October 2020		2,972	$	30.38		1,000	$	(90,274,500	)
VIX Futures (Cboe)	Short	November 2020		2,335		32.88		1,000		(76,763,125	)

one-half.

See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index

and Bloomberg WTI Crude Oil Subindex

, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	December 2021		5,657	$	74.70		1,000	$	422,577,900
WTI Crude Oil (NYMEX)	Long	June 2022		5,843		71.15		1,000		415,729,450
WTI Crude Oil (NYMEX)	Long	December 2022		6,063		67.70		1,000		410,465,100

Swap Agreements as of September 30, 2021

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Long

63.6871

143,554,545

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

Long

63.6871

203,094,978

Bloomberg Commodity Balanced WTI Crude Oil Index

Morgan Stanley & Co.
International PLC

Long

63.6871

248,642,399

Bloomberg Commodity Balanced WTI Crude Oil Index

Societe Generale

Long

63.6871

135,481,695

Bloomberg Commodity Balanced WTI Crude Oil Index

UBS AG

Long

63.6871

201,694,052

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Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value

WTI Crude Oil (NYMEX)	Long	December 2020		19,296	$	40.47		1,000	$	780,909,120
WTI Crude Oil (NYMEX)	Long	June 2021		18,635		42.28		1,000		787,887,800
WTI Crude Oil (NYMEX)	Long	December 2021		18,385		43.12		1,000		792,761,200

Swap Agreements as of September 30, 2020

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Subindex

Societe Generale

Long

35.2114

30,255,607

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

November 2021

4,944

5.87

10,000

290,064,480

Futures Positions as of September 30, 2020

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

November 2020

7,854

2.53

10,000

198,470,580

The September 30, 2021 and 2020 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, 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.

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ProShares Ultra Euro:

As of September 30, 2021 and 2020, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/08/21		3,388,921			1.1851	$	4,016,217
Euro	UBS AG	Long		10/08/21		2,801,502			1.1849		3,319,491
Euro	Goldman Sachs International	Short		10/08/21		(93,000	)		1.1685		(108,671	)
Euro	UBS AG	Short		10/08/21		(84,000	)		1.1726		(98,499	)

Foreign Currency Forward Contracts as of September 30, 2020

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward Rate

Market Value
USD

Euro

Goldman Sachs International

Long

10/09/20

3,440,921

1.1835

4,072,330

Euro

UBS AG

Long

10/09/20

6,830,302

1.1845

8,090,716

Euro

UBS AG

Short

10/09/20

(2,760,000

)

1.1801

(3,257,049

)

The September 30, 2021 and 2020 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of September 30, 2021 and 2020 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 September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

December 2021

856

1,757.00

100

150,399,200

Swap Agreements as of September 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

193.6583

107,235,945

Bloomberg Gold Subindex

Goldman Sachs International

Long

193.6583

92,669,240

Bloomberg Gold Subindex

UBS AG

Long

193.6583

111,553,685

Futures Positions as of September 30, 2020

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

December 2020

1,114

1,895.50

100

211,158,700

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Swap Agreements as of September 30, 2020

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

211.1862

116,941,808

Bloomberg Gold Subindex

Goldman Sachs International

Long

211.1862

101,056,679

Bloomberg Gold Subindex

UBS AG

Long

211.1862

121,650,344

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 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. Counterparty risk related to the swap agreements 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 Silver:

As of September 30, 2021 and 2020 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 September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

December 2021

1,213

22.05

5,000

133,715,055

Swap Agreements as of September 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

200.3035

219,572,067

Bloomberg Silver Subindex

Goldman Sachs International

Long

200.3035

219,657,055

Bloomberg Silver Subindex

Morgan Stanley & Co. International PLC

Long

200.3035

204,665,509

Bloomberg Silver Subindex

UBS AG

Long

200.3035

182,787,599

Futures Positions as of September 30, 2020

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

December 2020

3,288

23.49

5,000

386,241,359

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Swap Agreements as of September 30, 2020

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

215.9803

257,181,535

Bloomberg Silver Subindex

Goldman Sachs International

Long

215.9803

223,086,085

Bloomberg Silver Subindex

Morgan Stanley & Co. International PLC

Long

215.9803

205,360,117

Bloomberg Silver Subindex

UBS AG

Long

215.9803

169,907,857

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 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.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2021		32,595	$	22.87		1,000	$	745,375,941
VIX Futures (Cboe)	Long	November 2021		30,104		23.69		1,000		713,040,334

Swap Agreements as of September 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

Goldman Sachs International

Long

27.8300

73,401,625

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2020		34,258	$	30.38		1,000	$	1,040,586,750
VIX Futures (Cboe)	Long	November 2020		26,919		32.88		1,000		884,962,125

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Swap Agreements as of September 30, 2020

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount

at Value

iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

Goldman Sachs & Co.

Long

25.0468

38,626,764

one-half.

See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 2021 and 2020, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/08/21		327,930,517			0.009089	$	2,980,604
Yen	UBS AG	Long		10/08/21		253,562,756			0.009086		2,303,860
Yen	Goldman Sachs International	Short		10/08/21		(6,319,000	)		0.008956		(56,590	)
Yen	UBS AG	Short		10/08/21		(10,090,000	)		0.009078		(91,593	)

Foreign Currency Forward Contracts as of September 30, 2020

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward Rate

Market Value
USD

Yen

Goldman Sachs International

Long

10/09/20

332,532,517

0.009418

3,131,929

Yen

UBS AG

Long

10/09/20

278,602,756

0.009425

2,625,726

Yen

UBS AG

Short

10/09/20

(2,680,000

)

0.009488

(25,429

)

The September 30, 2021 and 2020 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.

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ProShares UltraShort Australian Dollar:

As of September 30, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2021		136	$	72.29		1,000	$	(9,838,240	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2020		145	$	71.63		1,000	$	(10,386,350	)

each day

to have $2.00 of short exposure to the Australian dollar 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 Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index

and Bloomberg WTI Crude Oil Subindex

, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2021		848	$	74.70		1,000	$	(63,345,600	)
WTI Crude Oil (NYMEX)	Short	June 2022		876		71.15		1,000		(62,327,400	)
WTI Crude Oil (NYMEX)	Short	December 2022		909		67.70		1,000		(61,539,300	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2020		1,314	$	40.47		1,000	$	(53,177,580	)
WTI Crude Oil (NYMEX)	Short	June 2021		1,269		42.28		1,000		(53,653,320	)
WTI Crude Oil (NYMEX)	Short	December 2021		1,252		43.12		1,000		(53,986,240	)

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The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2021 and 2020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These 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 September 30, 2021 and 2020, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2021		4,720	$	5.87		10,000	$	(276,922,400	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2020		3,715	$	2.53		10,000	$	(93,878,050	)

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2021 and 2020, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts as of September 30, 2021


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long		10/08/21		5,650,000			1.1862	$	6,702,072
Euro	Goldman Sachs International	Short		10/08/21		(39,458,263	)		1.1837		(46,708,330	)
Euro	UBS AG	Short		10/08/21		(49,895,199	)		1.1841		(59,081,294	)

Foreign Currency Forward Contracts as of September 30, 2020


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/09/20		3,698,000			1.1727	$	4,336,534
Euro	UBS AG	Long		10/09/20		6,700,000			1.1787		7,897,485
Euro	Goldman Sachs International	Short		10/09/20		(41,689,263	)		1.1835		(49,339,243	)
Euro	UBS AG	Short		10/09/20		(85,627,199	)		1.1818		(101,193,803	)

The September 30, 2021 and 2020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of September 30, 2021 and 2020 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 September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2021		114	$	1,757.00		100	$	(20,029,800	)

Swap Agreements as of September 30, 2021


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	193.6583	$	(14,518,233	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		193.6583		(9,497,933	)
Bloomberg Gold Subindex	UBS AG	Short		193.6583		(11,357,509	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2020		111	$	1,895.50		100	$	(21,040,050	)

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Swap Agreements as of September 30, 2020


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	211.1862	$	(10,138,690	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		211.1862		(8,325,763	)
Bloomberg Gold Subindex	UBS AG	Short		211.1862		(14,773,987	)

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 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 September 30, 2021 and 2020 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 September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2021		380	$	22.05		5,000	$	(41,889,300	)

Swap Agreements as of September 30, 2021


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	200.3035	$	(7,432,206	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		200.3035		(9,839,512	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		200.3035		(7,779,988	)
Bloomberg Silver Subindex	UBS AG	Short		200.3035		(13,786,912	)

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2020		296	$	23.49		5,000	$	(34,771,120	)

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Swap Agreements as of September 30, 2020


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	215.9803	$	(26,820,589	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		215.9803		(22,073,190	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		215.9803		(4,366,690	)
Bloomberg Silver Subindex	UBS AG	Short		215.9803		(14,081,291	)

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 2021 and 2020, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/08/21		32,600,000			0.009147	$	298,181
Yen	UBS AG	Long		10/08/21		373,110,000			0.009098		3,394,710
Yen	Goldman Sachs International	Short		10/08/21		(1,558,854,165	)		0.009077		(14,149,247	)
Yen	UBS AG	Short		10/08/21		(4,049,118,875	)		0.009085		(36,785,074	)

Foreign Currency Forward Contracts as of September 30, 2020


Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/09/20		23,643,000			0.009483	$	224,207
Yen	UBS AG	Long		10/09/20		223,810,000			0.009506		2,127,624
Yen	Goldman Sachs International	Short		10/09/20		(2,032,728,165	)		0.009418		(19,145,073	)
Yen	UBS AG	Short		10/09/20		(3,439,162,875	)		0.009426		(32,416,476	)

The September 30, 2021 and 2020 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.

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ProShares VIX

Mid-Term

Futures ETF

As of September 30, 2021 and 2020, the ProShares VIX

Mid-Term

Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	January 2022		872	$	24.80		1,000	$	21,626,210
VIX Futures (Cboe)	Long	February 2022		1,677		25.23		1,000		42,304,841
VIX Futures (Cboe)	Long	March 2022		1,677		25.66		1,000		43,023,603
VIX Futures (Cboe)	Long	April 2022		804		25.83		1,000		20,765,953

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	January 2021		652	$	29.88		1,000	$	19,478,500
VIX Futures (Cboe)	Long	February 2021		1,165		29.40		1,000		34,251,000
VIX Futures (Cboe)	Long	March 2021		1,165		28.93		1,000		33,697,625
VIX Futures (Cboe)	Long	April 2021		512		28.38		1,000		14,528,000

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2021


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2021		8,245	$	22.87		1,000	$	188,545,011
VIX Futures (Cboe)	Long	November 2021		7,617		23.69		1,000		180,415,500

Futures Positions as of September 30, 2020


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2020		4,979	$	30.38		1,000	$	151,237,125
VIX Futures (Cboe)	Long	November 2020		3,912		32.88		1,000		128,607,000

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

10-K

for additional information regarding performance for periods longer than a single day.

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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)

or the inverse

(-1x)

of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative

one-half,

one, one and

one-half,

two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

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

sub-indexes

are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

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

As described in Item 7 in the Annual Report on Form

10-K,

trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

10-K,

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

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a

(1.1*0.9)-1

-1%

period benchmark return, the

two-day

period return for a theoretical

two-times

fund would be equal to a (1.2

*0.8)-1

-4%

period Fund return (rather than simply two times the period return of the benchmark).

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Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

10-K,

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

(1.1*0.9)-1

-1%

period benchmark return, the

two-day

period return for a theoretical

two-times

fund would be equal to a (1.2

*0.8)-1

-4%

period Fund return (rather than simply two times the period return of the benchmark).

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,

-1x,

-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), 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 create/redeem 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. Conversely, if the Index has fallen on a given day. 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).

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 December 31, 2020, 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.

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Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2021 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.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule

10b-5

of the 1934 Act, and Items 303 and 105 of Regulation

S-K,

17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.

Item 1A. Risk Factors.

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.

During April 2020, the collapse of demand for fuel as a result of economic conditions relating to

COVID-19

and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.

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 futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants 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.

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Natural Disasters and Public Health Disruptions, such as the

COVID-19

Virus, 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, the novel coronavirus

COVID-19),

have been and may continue to be highly disruptive to economies and markets and have recently 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, 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. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the

COVID-19

pandemic, the effects and results of which are uncertain. 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 of 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. A widespread crisis, such as the

COVID-19

pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

Natural or environmental disasters or public health crisis, such as the

COVID-19

pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the

COVID-19

pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.

The

COVID-19

pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.

Market downturns, disruptions or illiquidity as a result of, or related to, the

COVID-19

pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or 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 transact 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 consistent 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.

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

The onset of the novel coronavirus

(COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of

COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the

COVID-19

pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

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The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing

COVID-19

pandemic

Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The

COVID-19

pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The

COVID-19

pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.

Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

a) None.

Not applicable.

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Title of Securities Registered	Amount Registered as of September 30, 2021		Shares Sold For the Three Months Ended September 30, 2021		Sale Price of Shares Sold For the Three Months Ended September 30, 2021		Shares Sold For the Nine Months Ended September 30, 2021		Sale Price of Shares Sold For the Nine Months Ended September 30, 2021
ProShares Short Euro
Common Units of Beneficial Interest	$	35,191,282		—	$	—		—	$	—
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	1,389,373,514		550,000	$	30,777,084		3,400,000	$	150,390,026
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest	$	1,385,606,139		950,000	$	62,865,806		4,350,000	$	240,118,659
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest	$	548,831,164		1,150,000	$	79,122,213		5,200,000	$	169,309,627
ProShares Ultra Euro
Common Units of Beneficial Interest	$	12,965,765		—	$	—		100,000	$	1,488,793
ProShares Ultra Gold
Common Units of Beneficial Interest	$	437,056,102		250,000	$	14,836,141		1,250,000	$	75,112,671
ProShares Ultra Silver
Common Units of Beneficial Interest	$	382,208,757		1,050,000	$	38,538,861		4,450,000	$	205,312,655
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	6,664,421,573		37,800,000	$	923,628,398		70,385,000	$	3,297,406,475
ProShares Ultra Yen
Common Units of Beneficial Interest	$	21,407,176		—	$	—		—	$	—
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest	$	51,054,751		50,000	$	2,373,262		50,000	$	2,373,262
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest	$	447,139,262		3,350,000	$	56,590,239		7,237,500	$	164,074,678
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest	$	1,546,810,909		20,500,000	$	210,189,776		28,050,000	$	446,153,207
ProShares UltraShort Euro
Common Units of Beneficial Interest	$	115,002,443		100,000	$	2,387,142		300,000	$	7,000,386
ProShares UltraShort Gold
Common Units of Beneficial Interest	$	75,106,370		650,000	$	21,916,482		1,700,000	$	59,279,388

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Title of Securities Registered	Amount Registered as of September 30, 2021		Shares Sold For the Three Months Ended September 30, 2021		Sale Price of Shares Sold For the Three Months Ended September 30, 2021		Shares Sold For the Nine Months Ended September 30, 2021		Sale Price of Shares Sold For the Nine Months Ended September 30, 2021
ProShares UltraShort Silver
Common Units of Beneficial Interest	$	316,715,689		1,000,000	$	26,169,229		3,750,000	$	91,351,542
ProShares UltraShort Yen
Common Units of Beneficial Interest	$	114,882,391		—	$	—		100,000	$	7,132,412
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest	$	269,455,873		1,200,000	$	37,425,551		2,625,000	$	87,035,790
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	1,884,359,393		6,300,000	$	142,476,815		16,556,250	$	593,853,539

Total Trust:	$	15,697,588,553		74,900,000	$	1,649,296,999		149,503,750	$	5,597,393,110

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

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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 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)

		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.

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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

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: November 5, 2021

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: November 5, 2021

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