ProShares UltraShort Bloomberg ETF Volatility
| SCO ETF | USD 6.91 -0.08 -1.14% |
Sharpe Ratio = -0.2502
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ProShares UltraShort Bloomberg reported a Market Risk Adjusted Performance of 31.2%, a Risk of 4.58, and a Risk Adjusted Performance of -0.2%. Monthly performance data suggests the ETF is falling short of its full potential.
Key indicators related to ProShares UltraShort's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for ProShares UltraShort (3 Months):
Beta -0.04 | Alpha -1.15 | Risk 4.58 | Sharpe Ratio -0.25 | Expected Return -1.14 |
Assets With Similar Volatility
| 0.89 | WTID | UBS ETRACS | PairCorr |
| 0.63 | BND | Vanguard Total Bond | PairCorr |
| 0.62 | AXP | American Express | PairCorr |
| 0.61 | DD | Dupont De Nemours | PairCorr |
| 0.87 | PG | Procter Gamble | PairCorr |
| 0.95 | HD | The Home Depot | PairCorr |
Lower Correlation Assets
Sensitivity To Market
ProShares UltraShort Bloomberg exhibits a beta of -0.0367, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 4.58%. ProShares UltraShort Bloomberg return patterns over the selected horizon reflect a forward elevated level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 4.53%. Options markets imply a forward-looking volatility estimate near 119.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. For ProShares UltraShort Bloomberg, measured volatility may combine index movement with premium/discount dynamics. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |ProShares UltraShort Demand TrendCurrent 90-day ProShares UltraShort correlation with market (Dow Jones Industrial)Downside Risk
For ProShares, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of ProShares standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates ProShares total risk from its market-driven component. Combining ProShares standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 4.58 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for ProShares UltraShort. Standard deviation reflects total return dispersion for ProShares UltraShort, while downside deviation captures only the adverse portion of ProShares UltraShort's returns. Standard deviation and downside deviation for ProShares UltraShort measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in ProShares UltraShort's returns. ProShares UltraShort Bloomberg reported a Maximum Drawdown of 18.51.
ProShares Put Option Risk Profile Based on 2026-07-17 Contracts
ProShares UltraShort Bloomberg reported an Option Implied Volatility of 1.19 and an Option Max Pain Price of 7. Put options written on ProShares UltraShort allow holders to profit from or offset a decline in ProShares UltraShort's price. A put option on ProShares ETF gives the buyer the right to sell ProShares UltraShort at the strike price until expiration. ProShares UltraShort put options are associated with existing long-exposure coverage or directional views on a price decline in ProShares ETF. Reviewing ProShares UltraShort's put open interest reveals where institutional hedging activity is concentrated for ProShares UltraShort.
ProShares UltraShort's PUT expiring on 2026-07-17
Profit |
| ProShares UltraShort Price At Expiration |
Current ProShares UltraShort Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | SCO260717P00001000 | -0.024328 | 0.003963 | 1 | 2026-07-17 | 0.0 - 0.75 | 0.0 | View |
| Put | SCO260717P00002000 | -0.025954 | 0.010855 | 8 | 2026-07-17 | 0.0 - 0.15 | 0.0 | View |
| Put | SCO260717P00003000 | -0.0756 | 0.025438 | 63 | 2026-07-17 | 0.0 - 0.55 | 0.0 | View |
| Put | SCO260717P00004000 | -0.104682 | 0.046974 | 699 | 2026-07-17 | 0.1 - 0.4 | 0.0 | View |
| Put | SCO260717P00005000 | -0.168171 | 0.084379 | 2121 | 2026-07-17 | 0.25 - 0.35 | 0.0 | View |
| Put | SCO260717P00006000 | -0.290001 | 0.128487 | 6682 | 2026-07-17 | 0.55 - 0.65 | 0.0 | View |
| Put | SCO260717P00007000 | -0.440123 | 0.149696 | 4861 | 2026-07-17 | 1.0 - 1.15 | 0.0 | View |
| Put | SCO260717P00008000 | -0.592658 | 0.155384 | 1733 | 2026-07-17 | 1.65 - 1.85 | 0.0 | View |
| Put | SCO260717P00009000 | -0.748036 | 0.141061 | 796 | 2026-07-17 | 2.0 - 2.8 | 0.0 | View |
| Put | SCO260717P00010000 | -0.884203 | 0.09541 | 425 | 2026-07-17 | 2.6 - 3.8 | 0.0 | View |
| Put | SCO260717P00011000 | 0.0 | 0.0 | 437 | 2026-07-17 | 3.5 - 4.7 | 0.0 | View |
ETF Volatility Analysis
For ProShares UltraShort, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically ProShares UltraShort's price swings over a specific time horizon. For ProShares UltraShort, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in ProShares UltraShort's are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of ProShares UltraShort's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over a 90-day investment horizon, ProShares UltraShort Bloomberg has a beta of -0.0367. This usually implies that as returns on the benchmark increase, returns on ProShares UltraShort tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, ProShares UltraShort Bloomberg tends to outperform the market.Holders of ProShares UltraShort face systematic risk from broad ETF market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. ProShares UltraShort Bloomberg reported a Mean Deviation of 3.42, an Option Implied Volatility of 1.19, and a Standard Deviation of 4.53.
Predicted Return Distribution |
| Density |
What Drives ProShares UltraShort's Price Volatility?
Holdings and Allocation
ProShares UltraShort's volatility can rise when allocation drift or holdings turnover shifts across the Trading--Inverse Commodities category.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into ProShares UltraShort's trading.ProShares UltraShort's Fund-Specific Factors
Fund flow dynamics, expense-ratio competitiveness, and index reconstitution events can create abrupt price dispersion in ProShares UltraShort.ETF Risk Measures
Over a 90-day investment horizon, the coefficient of variation of ProShares UltraShort is -399.71. The daily returns are distributed with a variance of 20.94 and standard deviation of 4.58. The mean deviation of ProShares UltraShort Bloomberg is currently at 3.47. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.92
α | Alpha over Dow Jones | -1.1461 | |
β | Beta against Dow Jones | -0.0367 | |
σ | Overall volatility | 4.58 | |
Ir | Information ratio | -0.2481 |
ETF Return Volatility
ProShares UltraShort return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The ETF has volatility of 4.5755% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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ProShares UltraShort Constituents Risk-Adjusted Indicators
ProShares UltraShort ETF can look attractive on recent price action while risk efficiency lags the peer group. Reviewing ProShares UltraShort's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| KOLD | 3.63 | 0.75 | 0.16 | 0.80 | 3.87 | 8.04 | 27.32 | |||
| UUP | 0.29 | 0.01 | 0.08 | 0.27 | 0.36 | 0.61 | 1.89 | |||
| CHAU | 1.60 | 0.18 | 0.11 | -12.07 | 1.82 | 3.23 | 10.52 | |||
| SVIX | 3.29 | -0.14 | 0.00 | 0.28 | 0.00 | 7.70 | 19.50 | |||
| XES | 1.39 | 0.29 | 0.18 | -2.36 | 1.42 | 2.87 | 8.45 | |||
| TMV | 1.46 | 0.02 | 0.02 | -0.22 | 1.90 | 2.78 | 9.76 | |||
| RDTE | 0.95 | 0.11 | 0.10 | -1.00 | 1.15 | 2.39 | 5.26 | |||
| GCC | 0.81 | 0.18 | 0.15 | -1.75 | 1.15 | 1.71 | 5.22 | |||
| UDN | 0.29 | -0.01 | 0.04 | 0.56 | 0.35 | 0.72 | 1.85 | |||
| TJUL | 0.17 | 0.01 | 0.17 | 0.57 | 0.13 | 0.34 | 0.92 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for ProShares UltraShort identifies whether the fund is currently in a high, low, or transitioning dispersion state. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
ProShares UltraShort Bloomberg figures are aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that ProShares UltraShort Bloomberg is more volatile than Dow Jones Industrial by approximately 4.98x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 41% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.ProShares UltraShort Bloomberg exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View ProShares UltraShort probability analysis.
Moderate diversification
The correlation between ProShares UltraShort and Dow Jones is 0.39, which Macroaxis classifies as Moderate diversification for the selected horizon. A 0.39 reading means ProShares UltraShort and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
Secondary risk indicators for ProShares UltraShort Bloomberg evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.22 | |||
| Market Risk Adjusted Performance | 31.22 | |||
| Mean Deviation | 3.42 | |||
| Coefficient Of Variation | -398.70 | |||
| Standard Deviation | 4.53 | |||
| Variance | 20.49 | |||
| Information Ratio | -0.25 |
ProShares UltraShort Suggested Diversification Pairs
A pair-trading setup around ProShares UltraShort shifts the return benchmark from the broad market to a second position, altering the risk profile. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around ProShares UltraShort, market-wide risk remains. What pair trading can address is ProShares UltraShort's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.