Calamos adds two more Bitcoin ETFs to Structured Protection suite

Jan 24th, 2025 | By | Category: Latest news

Calamos Investments is set to broaden its ‘Structured Protection’ lineup of defined outcome ETFs by introducing two new funds offering downside protection for Bitcoin.

Calamos adds two more Bitcoin ETFs to Structured Protection suite

Calamos is poised to expand its suite of ETFs offering defined outcome strategies for Bitcoin.

The Calamos Bitcoin 90 Series Structured Alt Protection ETF – January (CBXJ US) and Calamos Bitcoin 80 Series Structured Alt Protection ETF – January (CBTJ US) are slated for listing on Cboe BZX Exchange on 4 February.

Defined outcome investing is a strategy that adjusts the risk and return characteristics of a reference asset or index to deliver specific levels of protection and upside potential, offering investors a more controlled investment experience.

The Structured Protection ETFs from Calamos utilize Flexible Exchange (FLEX) options—customizable, exchange-traded option contracts backed by the Options Clearing Corporation.

These options enable the funds to provide downside protection on their reference indices, which in the case of CBXJ and CBTJ, is the CBOE Bitcoin US ETF Index. CBXJ offers 90% downside protection, while CBTJ provides 80%, both measured from the beginning of a one-year outcome period.

This downside protection comes with a trade-off: the potential upside is capped. The caps are set at the start of the outcome period based on market conditions. According to Calamos, the estimated cap range for CBXJ is 28%-31%, while for CBTJ, it is 50%-55%.

The new funds complement the existing Calamos Bitcoin Structured Alt Protection ETF – January (CBOJ US), which provides 100% downside protection starting from its one-year outcome period. At the start of its outcome period, CBOJ’s cap was set at 10.96% (net of fees).

All three ETFs operate on a perpetual structure, resetting their downside protection and caps annually, allowing investors to continue benefiting from new terms without needing to reinvest. Additional series of these solutions will be listed quarterly, providing investors with the flexibility to select funds that align with their preferred defined outcome profiles.

Each ETF in the suite comes with an expense ratio of 0.69%.

Key Considerations

Investors should keep in mind two important aspects of defined outcome ETFs. First, due to the time value of the options underpinning these funds, they typically exhibit lower betas compared to traditional index-tracking ETFs. This means the funds may underperform their reference index during bullish market trends.

Second, the full downside protection applies only from the start of the outcome period. Investors purchasing shares mid-period may face downside exposure if the underlying index has appreciated since the period’s inception.

To address these complexities, Calamos provides daily disclosures for its Structured Protection ETFs. These updates include the remaining cap, any downside risk before protection takes effect, and the number of days remaining in the outcome period.

Calamos’s Structured Protection Series

The Bitcoin ETFs build upon Calamos’s Structured Protection ETF series, which launched in 2024 and includes 100% downside protection strategies for the S&P 500, Nasdaq 100, and Russell 2000 indices.

Executive Commentary

John Koudounis, President and CEO of Calamos, stated: “This enhancement builds upon the announcement of CBOJ, the world’s first 100% Protected Bitcoin ETF, and continues our tradition of bringing innovative options-based and risk-managed investment solutions to the marketplace.”

Matt Kaufman, Head of ETFs at Calamos, added: “Bitcoin’s acceptance as an investible asset is growing, yet concerns about its volatility remain. Our suite of downside protected Bitcoin ETFs will offer a menu of straightforward solutions designed to provide true risk management for this unique asset where investors can select their preferred level of protection and related upside capture based on their specific circumstances.”

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