Bitcoin's explosive growth has captured attention worldwide. Despite its surging demand, its extreme volatility has made many investors skeptical. Now, leveraging our expertise in risk management, we’ve created a suite of Protected Bitcoin ETFs with customizable downside protection up to 100%. But how does it work?
Each Calamos Bitcoin Structured Protection ETF consists of three layers. The first two layers are options positions that work together as a call spread, while the third layer is made up of Treasury bonds providing downside protection. The options layers have different strike prices (the price at which the option purchaser may buy or sell the security), the same expiration date (approximately one year), and the same style (European style options). These option contracts are set at a predetermined strike price at launch and then again at the beginning of each new outcome period.
Generates full exposure to the price return of an index
For the first layer, we track the upside price return of Bitcoin. We do this by purchasing a 1-year option contract on the CBOE Mini Bitcoin U.S. ETF Index. For the 100% Protection strategy, we use an at-the-money (ATM) call, and for the 90% and 80% series, we use an in-the-money (ITM) call at 10% or 20%, respectively, below the current reference asset price.
This layer costs around 25% of the portfolio’s value and gives us exposure to the price increase of the CBOE Mini Bitcoin U.S. ETF Index.
Generates defined downside protection over the outcome period
The second layer involves purchasing 1-year zero coupon bonds that return par at maturity, providing capital protection over that 1-year period.
Zero-coupon bonds provide protection because they are issued at a discount (original issue discount or OID) and then redeemed at maturity for par or 100% of value. This allows the ETFs to purchase these bonds at a discount and provide 100% of the value at maturity (minus fees and expenses).
Let’s use an example: A $1,000 par 1-year bond is issued at $960, or 96% of par value, has a 4% original issue discount. When it is redeemed at maturity after 1-year, it is worth $1,000 or 100% of its par value.
The cost of this capital protection layer today is around 96% of portfolio value at launch. Those who have done the arithmetic up to this point will conclude, “I’ve overspent. I started with 100% and spent 121% of my portfolio value! (25% + 96% = 121%).”
This is where the third layer comes into play.
Determines the upside cap
The third and final layer establishes the upside participation and sets the cap rate. It involves a short 1-year out-of-the-money (OTM) FLEX call option on the CBOE Mini Bitcoin U.S. ETF Index. An OTM call occurs when an option has not reached its strike price. The strike price of the OTM call ultimately establishes the upside cap.
The upside participation layer acts as a credit to the portfolio value, equal to the price that would make the total options package “no-cost” (or fully financed). In this example, the sold call would generate proceeds of 21%, making the total package equal to 100% (96% + 25% - 21%).
By combining an asset class with historical performance and our traditional risk management expertise, we offer:
Learn more about Calamos Protected Bitcoin ETFs.
Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.
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Calamos Investments LLC, referred to herein as Calamos Investments®, is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Financial Services LLC and Calamos Antetokounmpo Asset Management LLC.
Cap rate and ranges are shown gross of management fees.
*Cap rates and ranges are shown gross of management fees. Initial cap rates shown are calculated on the business day prior to fund launch.
Estimated cap range are estimates based on the last 15 trading days prior to range announcement, based on market conditions during the sample period and are subject to change. The actual cap rate may be different based on market events.
The information in each fund’s prospectus and statement of addition- al information) is not complete and may be changed. We may not sell the securities of any fund until such fund’s registration statement filed with the Securities and Exchange Commission is effective. Each fund’s prospectus and statement of additional information is not an offer to sell such fund’s securities and is not soliciting an offer to buy such fund’s securities in any state where the offer or sale is not permitted.
Each of CBOJ, CBOA, CBOY and CBOO seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of the CME CF Bitcoin Reference Rate – New York Variant (“BRRNY”) (“Spot bitcoin”) up to a predetermined upside cap (the “Cap”) while seeking to protect against 100% of losses (before fees and expenses) of (i) Spot bitcoin or (ii) one or more of the Underlying ETPs and/or Bitcoin Indexes, in each case, over a period of approximately one (1) year (the “100% Protection 1 Year Outcome Period”).
Each of CBSJ and CBSY seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of Spot bitcoin up to a Cap while seeking to protect against 100% of Spot bitcoin losses (before fees and expenses) over a period of approximately six months. Each of CBXJ, CBXA, CBXY and CBXO seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of Spot bitcoin up to a Cap while seeking to provide a floor with protection to a maximum loss of 10% of the negative price return of Spot bitcoin (before fees and expenses) over a period of approximately one year (the “90% Protection Outcome Period”). Each of CBTJ, CBTA, CBTY and CBTO seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of Spot bitcoin up to a Cap while seeking to provide a floor with protection to a maximum loss of 20% of the negative price return of Spot bitcoin (before fees and expenses) over a period of approximately one year (the “80% Protection Outcome Period” and collectively with the 100% Protection 1 Year Outcome Period, and 90% Protection Outcome Period, each an “Outcome Period”).
The Funds will not invest directly in bitcoin. Instead, the Funds seeks to provide investment results that, before taking fees and expenses into ac- count, track the positive price return of Spot bitcoin by investing in options that reference the price performance of either (i) one or more underlying exchange-traded products (“Underlying ETPs”) which, in turn, own bitcoin or (ii) one or more indexes that are designed to track the price of bitcoin (“Bitcoin Index”).
A Fund’s Target Outcome may not be achieved, and investors may lose some or all of their money. Each Fund is designed to achieve the Target Outcome only if an investor buys on the first day of the Outcome Period and holds the Fund until the end of the Outcome Period. While each Fund seeks to provide a specified percentage of protection against loss- es experienced by the price of Spot bitcoin for shareholders who hold Fund Shares for an entire Outcome Period, there is no guarantee it will successfully do so. If a Fund’s NAV has increased significantly, a share- holder that purchases Fund Shares after the first day of an Outcome Period could lose their entire investment. An investment in a Fund is only appropriate for shareholders willing to bear those losses. There is no guarantee the Capital Protection or Floor, as applicable, and Cap will be successful and a shareholder investing at the beginning of an Outcome Period could also lose their entire investment.
An investment in a Fund is subject to risks, and you could lose money on your investment in a Fund. There can be no assurance that a Fund will achieve its investment objective. Your investment in a Fund is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in a Fund can increase during times of significant market volatility. Each Fund also has specific principal risks, which are described below. More detailed information regarding these risks can be found in each Fund’s prospectus.
Digital Assets Risk: The bitcoin network was first launched in 2009 and bitcoins were the first cryptographic digital assets created to gain global adoption and critical mass. Although the bitcoin network is the most established digital asset network, the bitcoin network and other cryptographic and algorithmic protocols governing the issuance of digital assets represent a new and rapidly evolving industry that is subject to a variety of factors that are difficult to evaluate. Moreover, because digital assets, including bitcoin, have been in existence for a short period of time and are continuing to develop, there may be additional risks in the future that are impossible to predict as of the date of this prospectus. Digital assets represent a new and rapidly evolving industry, and the value of the Underlying ETPs’ shares depends on the acceptance of bitcoin. The realization of one or more of the following risks could materially adversely affect the value of the Underlying ETPs’ shares.
Investing involves risks. Loss of principal is possible. The Funds face numerous market trading risks, including authorized participation concentration risk, underlying ETP risk, cap change risk, capital protection risk or floor risk, as applicable, capped upside risk, cash holdings risk, concentration risk, clearing member default risk, correlation risk, costs of buying and selling fund shares, counterparty risk, derivatives risk, equity securities risk, FLEX options risk, interest rate risk, investment in a subsidiary, investment timing risk, liquidity risk, management risk, market maker risk, market risk, new fund risk, non-diversification risk, options risk, OTC options risk, position limits risk, premium-discount risk, secondary market trading risk, sector risk, tax risk, trading issues risk, U.S. Government security risk, U.S. Treasury risk, and valuation risk. For a detailed list of fund risks see the prospectus.
With respect to each of CBOJ, CBOA, CBOY and CBOO, 100% capital protection is over a one-year period before fees and expenses. With respect to each of each of CBSJ and CBSY, 100% capital protection is over a six month period before fees and expenses. All caps are pre-determined.
Cap Rate – Maximum percentage return an investor can achieve from an investment in the Fund if held over the Outcome Period. Protection Level – Amount of protection the Fund is designed to achieve over the Days Remaining.
Outcome Period – Number of days in the Outcome Period