After the battle in Sokovia, the Vision and Ultron are talking. But when they are done the Vision shoots Ultron with a flash of light. But I don't think that kills Ultron. Also the Vision has 86% of Ultron's cerebral matrix and base consciousness in himself.
It's a comic movie. With a comic character. Known for not being dead often. But official word is... exactly the same. He's dead until he's not.
"You know, for me, Ultron is really gone," [Director Josh Whedon] told Mashable during an interview at Disney's Burbank studios. "For me, that's the cut to the gunshot. That's him dead. But, I work at Marvel. So if I happen to see Ultron wandering around in another movie later on, I will be neither surprised nor at all disappointed."
But Ultron doesn't exist just inside a metal body; his programming has infiltrated the Internet itself. He has more than a few escape hatches.
"Ultron's famous for coming back," Whedon said. "I like to put a period at the end of a sentence, [Marvel] likes to add two more. You know, into an ellipse." (Joss Whedon is usually the last person to explain a joke, but we'll grant this.)
As for The Vision himself, Paul Bettany was equally equivocating in his assessment of Ultron's fate.
"One of the great things about the Marvel world is that it sort of doesn't matter," Bettany told Mashable. "They can figure out retroactively — if they want James Spader back, they can figure that out. I loved that last scene. It was really well-written, and we did it in 20 minutes as the sun was going down in a car-park."
Whedon remains firm that his scene was indeed a killshot for Ultron — and at the same time, hopeful that it wasn't.
"Look, I think James is so phenomenal," he said. "I just have a huge crush on Ultron. And if he showed up in Infinity War, nobody would be more pleased than me."
Whedon is no longer directing Marvel's headline movie franchise, the Avengers. So if Marvel, or the Winter Soldier/Civil War directors Joe and Anthony Russo who are supposed to direct Infinity War bring Ultron back, well, that's (comic) show biz.
Keep in mind, Whedon killed Agent Coulson in the 1st Avengers movie, and is dead as far as the films are concerned. There's conflicting info on his status in the TV Show Agents of SHIELD, where he's no longer Dead. Ultron is fair game too.