While Bitcoin and the broader concept of decentralized digital assets have revolutionized the global economy, the innovation comes with a profound risk: BTC and similar virtual currencies are wildly volatile. Given the inherent capital risks, many investors have chosen to stay away from the sector. Recognizing the opportunity gap, Calamos Investments – a leading global investment firm – introduced an exchange-traded fund called the Calamos Bitcoin Structured Alt Protection ETF CBOJ.
As the name suggests, the CBOJ fund aims to combine the best of both worlds: the capital gains potential of the benchmark blockchain asset and the mitigatory mechanisms found in advanced options trading strategies. Through an investment in CBOJ, market participants can potentially sleep easier, knowing that their principal receives built-in downside protection over a defined outcome period. At the same time, they may receive upside exposure to Bitcoin's rise to a defined cap.
Still, the idea of a downside-protected Bitcoin investment may sound like pure science fiction to many, especially given BTC's remarkable undulations. Investors learning about Calamos' risk-mitigated products all have the same question: how do these strategies work?
A Brief Rundown Of The Bull Call Spread
To understand the mechanism of the CBOJ ETF, it's critical to have a solid understanding of multi-leg options strategies, particularly the bull call spread. A call option is a derivative instrument that gives the holder the right (but not the obligation) to buy an underlying security or asset at the listed strike price. Conversely, call sellers underwrite the risk that the said security will not materially rise.
Now, astute traders may engage in a defined-risk, defined-reward strategy known as the bull call spread. In this transaction, a trader buys a call option and simultaneously sells a call option (for the same expiration date) at a higher strike price. The proceeds from the short call partially offset the debit paid for the long call, resulting in a discounted long position. Effectively, it's a sophisticated mechanism to reduce the cash outlay to buy "expensive" options while also potentially benefiting (to a defined level) from capital gains.
The Beauty Behind The CBOJ ETF
Having gone over the mechanics of the bull call spread, let's turn to the CBOJ ETF. To achieve the downside protection, the CBOJ utilizes a nearly identical structure to a standard call spread. However, rather than utilizing a direct cash outlay, Calamos uses a combination of the protected principal to enter a position in the ETF and proceeds received from the short call component of the call spread.
In this setup, most of the investor's funds are allocated to zero-coupon U.S. Treasury bonds. These bonds are purchased at a discount and mature at par, meaning the investor's principal is effectively protected at the end of the outcome period. That's the first major difference from a standard call spread – the investor's base capital isn't actually exposed to Bitcoin's volatility.
With that principal shielded, fund managers construct a synthetic bull call spread using the remainder of the capital. On the debit side, they acquire a call option on a Bitcoin-linked index to gain exposure to potential upside. However, due to the high premiums associated with at-the-money (ATM) or ITM call options, Calamos sells a higher out-of-the-money call to offset the cost. The premium from this short call helps fund the position, resulting in a net-zero or near-zero cost for the options spread.
Subsequently, the outcome is a defined-risk, defined-reward structure – but instead of risking investor capital on the front end, the ETF uses a combination of bond math and options strategy to create a payoff profile similar to a bull call spread. Therefore, if Bitcoin drops sharply, the investor can walk away with their initial investment (less fees). However, if BTC rises, the investor participates in the gains up to a preset cap, determined by the strike of the short call.
For clarity, the full downside protection applies to positions held for the entire outcome period, which typically lasts about one year. As with standard bull call spreads, the CBOJ offers a capped reward potential while limiting risk to a defined level.
Investing Rather Than Betting
Although Bitcoin has sparked a new wave of investing sentiment, the crypto sector is notorious for its intense volatility. While this framework may appeal to extreme speculators, the unpredictable nature of the blockchain may dissuade many other investors. To that end, Calamos aims to bridge the gap, providing an alternative that allows investors to participate in Bitcoin's potential gains while limiting its downside risks.
By structuring the ETF around capital-protective treasuries and a fully financed call spread, the fund offers a defined outcome: upside participation to a cap with the assurance of principal return if held for the full term. It's a measured approach to one of the market's most dynamic assets – a way to engage without overexposing. For investors seeking exposure to the blockchain without the usual wildness, this strategy may offer a measure of reassuring stability.
Featured photo by Miloslav Hamřík on Pixabay.
This post contains sponsored content. This content is for informational purposes only and is not intended to be investing advice.
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.
©2025 Calamos Investments LLC. All Rights Reserved. Calamos®, Calamos Investments® and Investment strategies for your serious money® are regis- tered trademarks of Calamos Investments LLC.
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 Finan- cial 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.
Cap ranges—Ranges are based on multiple estimated cap rates obtained from 1/2/25 – 1/17/25, based on market conditions during the sample period, and are subject to change. The actual cap rates 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 re- sults 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
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