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Protected Bitcoin ETFs – The “Double-Dip” Trade and Buying Beyond Day One
July 18, 2025
Calamos Protected Bitcoin ETFs offer investors participation in Bitcoin’s positive returns up to a defined cap rate, with 80%, 90%, or 100% downside protection over the one-year outcome period. While many investors buy at launch to lock in the initial cap rate, a compelling alternative entry point exists: the “double-dip” trade.
| Bitcoin Structured Alt Protection ETF® – April Series | Starting Cap Level | Starting Protection Level | 7/11/2025 Cap Level | 7/11/2025 Protection Level |
|---|---|---|---|---|
| CBOA Calamos Bitcoin Structured Alt Protection ETF April | 10.98%/10.29% | 100%/99.31% | 4.93%/4.41% | 94.57%/94.06% |
| CBXA Calamos Bitcoin 90 Structured Alt Protection ETF April | 29.43%/28.74% | 90%/89.31% | 10.09%/9.59% | 76.64%/76.14% |
| CBTA Calamos Bitcoin 80 Structured Alt Protection ETF April | 51.76%/51.07% | 80%/79.31% | 17.63%/17.13% | 62.14%/61.65% |
The Performance-Gap Phenomenon
When Bitcoin appreciated early in the outcome period of the Calamos Protected Bitcoin ETF April series, the ETFs did not move in lockstep with the underlying index because option premiums within the ETFs haven’t fully decayed to their intrinsic value. This disparity is evident in the performance of CBTA in the following table. As of July 11, 2025, Bitcoin had returned 51.51% since April 7, which also happens to approximate CBTA’s cap rate, while CBTA itself returned 28.96%—representing a 22.55% gap.
| CBTA Performance as of July 11, 2025 | Launch Date | Bitcoin Return Since ETF Launch | ETF Return Since Launch | Difference | Days Left In Outcome Period |
|---|---|---|---|---|---|
| CBTA Calamos Bitcoin 80 Sr. Str. Alt. Prt. ETF April | 4/7/2025 | 51.51% | 28.96% | 22.55% | 270 |
Source: Calamos website
That raises an important question: Did investors miss the buying opportunity if they didn’t buy on day one? For certain investors, the answer is a resounding “no.” In fact, for investors looking to reduce their risk from the underlying Bitcoin index or “full Bitcoin exposure,” there’s arguably an even better trade. Enter the “double-dip” scenario.
The “Double-Dip” Trade
Getting back to CBTA, what happens to the return difference if the market stays flat or appreciates? It won’t be lost! CBTA’s performance gap will steadily close as the influence of the option premiums decay and the intrinsic value of the options takes over. CBTA investors will earn the return difference if the market moves either sideways or higher over the remainder of the outcome period. This performance gap may create an opportunity for Bitcoin holders.
The Trade:
- Sell direct Bitcoin exposure after strong early performance. If investors held a fully exposed Bitcoin asset starting on April 7, 2025, they would have realized the approximate return of CBTA’s cap on July 11, 2025.
- Rotate into the protected ETF that hasn’t yet captured the full move. By selling the fully exposed asset and rotating into CBTA, which hasn’t yet realized the full move (but might), investors have the opportunity to “double dip” and potentially collect the return difference.
CBTA Double-Dip Trade Opportunity as of July 11, 2025
Current values above reflect fund and product expenses incurred to date during the outcome period, based off the number of days elapsed within the outcome period. Net values reflect fund and product expenses over the entire outcome period. Fund return and current outcome period values are based on the price return of the reference asset. This example is hypothetical and for illustrative purposes only.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. There are no assurances the Fund will be successful in providing the sought-after protection. The outcomes that the Fund seeks to provide may only be realized if you are holding shares on the first day of the outcome period and continue to hold them on the last day of the outcome period, approximately one year. There is no guarantee that the outcomes for an outcome period will be realized or that the Fund will achieve its investment objective. If the outcome period has begun and the reference asset has increased in value, any appreciation of the Fund by virtue of increases in the reference asset since the commencement of the outcome period will not be protected by the sought-after protection, and an investor could experience losses until the reference asset returns to the original price at the commencement of the outcome period. Fund shareholders are subject to an upside return cap (the “Cap”) that represents the maximum percentage return an investor can achieve from an investment in the Fund for the outcome period, before fees and expenses. If the outcome period has begun and the Fund has increased in value to a level near to the Cap, an investor purchasing at that price has little or no ability to achieve gains but remains vulnerable to downside risks. Additionally, the Cap may rise or fall from one outcome period to the next. The Cap, and the Fund's position relative to it, should be considered before investing in the Fund. The Fund' website, www.calamos.com, provides important Fund information.
As the gap closes over the outcome period, investors who rotated from the fully exposed Bitcoin asset into CBTA will outperform the underlying index in any down or sideways market, and also potentially realize up to 17.13% additional upside above Bitcoin’s July 11 level.
CBTA vs Bitcoin Net Return at Expiration
Source: Calamos Investments as of 7/11/25
With Bitcoin hitting new highs, this may be an opportune time to take profits on direct Bitcoin exposure and rotate into Calamos Protected Bitcoin ETFs. These funds offer downside floors and are positioned to capture the return difference between the current value and cap rate if Bitcoin moves sideways or higher.
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.
The Funds seek 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%, 90% or 80%, respectively, of losses (before total fund operating fees and expenses) of Spot bitcoin over a period of approximately one (1) year (the “Outcome Period”). The Funds will not invest directly in bitcoin. Instead, the Funds seek to provide investment results that, before taking total fund operating fees and expenses into account, track the positive price return of Spot bitcoin by investing in options that reference the price performance of one or more underlying exchange-traded products (“Underlying ETPs”) which, in turn, own bitcoin and/or one or more indexes that are designed to track the price of bitcoin (“Bitcoin Index”).
The Target Outcome may not be achieved, and investors may lose some or all of their money. The Funds are designed to achieve the Target Outcome only if an investor buys on the first day of the Outcome Period and holds a Fund until the end of the Outcome Period. While the Funds seek to provide 100%, 90% or 80% protection against losses experienced by the price of Spot bitcoin for shareholders who hold Fund Shares for an entire Outcome Period, there is no guarantee a Fund will successfully do so. If a Fund’s NAV has increased significantly, a shareholder that purchases Fund Shares after the first day of an Outcome Period could lose their entire investment. An investment in the Funds is only appropriate for shareholders willing to bear those losses. There is no guarantee the Capital Protection 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 the Funds 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. The Funds also have specific principal risks, which are described below. More detailed information regarding these risks can be found in the Funds’ prospectus.
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, 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.
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.
100%, 90% or 80% capital protection is over a one-year period before fees and expenses. All caps are predetermined.
Cap Rate – Maximum percentage return an investor can achieve from an investment in a Fund if held over the Outcome Period.
Protection Level – Amount of protection a Fund is designed to achieve over the Days Remaining.
Outcome Period – Number of days in the Outcome Period.
The Cboe Mini Bitcoin US ETF Index (MBTX) is based on 1/10th the value of the Cboe Bitcoin US ETF Index, a modified market capitalization-weighted index that is designed to track the performance of a basket of spot Bitcoin ETFs listed on US exchanges.
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