ProShares Russell 2000 High Income ETF

Frequently Asked Questions About ITWO

What does ITWO invest in?

ITWO combines long positions in the Russell 2000 Index with short positions in daily call options. The objective is to provide monthly distributions derived from option premiums and dividends, though some payments may be classified as a return of capital. The index employs a buy-write (or covered call) strategy, generating additional income from selling call options while maintaining exposure to small-cap US stocks. Unlike traditional call option strategies, this index uses short-dated, out-of-the-money call options, which are rebalanced daily to capture short-term market movements. Instead of directly writing options, the fund gains its short exposure through swap agreements and futures contracts, replicating returns from the covered call strategy without direct option transactions. The portfolio is constructed using a mathematical approach that optimizes the type, quantity, and mix of positions to produce returns in line with the index.

What is the expense ratio of ITWO?

ProShares Russell 2000 High Income ETF (ITWO) charges an expense ratio of 0.55%. This is the annual fee deducted from fund assets to cover management and operations.

What is ITWO's distribution yield?

ITWO's trailing-twelve-month yield is 7.57%, calculated from the sum of distributions over the past year divided by the current price.

How does ITWO's covered-call strategy work?

ITWO sells call options against the stocks (or index) it holds, collecting premium income that gets passed through to shareholders as distributions. The strategy generates above-market income in flat or rising markets but caps upside. When the underlying rallies past the strike, the gains above the strike go to the option buyer, not the fund.

How big is ITWO?

ProShares Russell 2000 High Income ETF (ITWO) manages $181.5M in total assets. AUM determines bid-ask liquidity and the fund's vulnerability to closure. Funds below ~$50M are at higher risk of liquidation.

Is ITWO actively managed or an index fund?

ITWO's management style is described in the fund's prospectus. See the description on the Summary tab for the published strategy.