Key Takeaways
- • Calamos Investments' protected Bitcoin ETF CBTO (Calamos Bitcoin 80 Series Structured Alt Protection ETF – October) saw its gross one-year upside cap rise from 36.22% at its Oct. 7 launch to above 40% by Oct. 16, as a modest Bitcoin pullback reduced the cost of its options package.
- • CBTO targets 80% downside protection, leaving investors exposed to roughly the first 20% of losses before fees and expenses; sister funds CBXO (90% protection, 20.55% starting cap) and CBOO (100% protection, 8.32% starting cap) trade higher protection for lower upside.
- • Matt Kaufman, global head of ETFs at Calamos, says interest rates, Bitcoin volatility and options pricing all shape cap levels, and that investors buying mid-period must assess remaining upside and downside from their own purchase price.
- • Kaufman distinguishes trimming spot exposure from protecting it: selling 20%-30% of a spot Bitcoin ETF position still leaves the retained portion fully exposed to declines.
Summary
A pullback in Bitcoin prices has lifted the upside cap on Calamos Investments' newly launched protected exchange-traded fund above 40%, according to Matt Kaufman, global head of ETFs at Calamos. The Calamos Bitcoin 80 Series Structured Alt Protection ETF – October (CBTO) entered a one-year outcome period on Oct. 7 with a gross starting upside cap of 36.22%. By Oct. 16, that ceiling had climbed past 40% as Bitcoin slipped modestly. Caps are gross figures before fees and expenses. With a 40% cap, a $10,000 investment could grow to at most $14,000 before fees, regardless of how far Bitcoin rises during the window.
The structured products use options to define both a floor and a ceiling for returns. When Bitcoin falls after an outcome period begins, the cost of building the protective options package declines, leaving room for a higher cap. Kaufman said interest rates, Bitcoin volatility and options pricing all influence cap levels, but declined to name a single dominant driver, instead pointing to the net cost of the options package relative to the financing budget. Higher interest rates can expand that budget.
Calamos offers three tiers. CBTO targets 80% downside protection. CBXO targets 90% protection with a 20.55% starting cap, and CBOO targets 100% protection with an 8.32% starting cap, both for the October series. The relationship is a trade-off: greater protection means a lower ceiling on returns. If the reference Bitcoin index fell 40% over a full outcome period, an investor in a strategy achieving its target would lose approximately 20% with 80% protection, 10% with 90% protection, and nothing with 100% protection, before fees and expenses.
Investors who buy after an outcome period has started face a different calculation. The advertised protection applies relative to the period's starting level, not automatically to a later purchase price, so new investors must assess remaining upside and downside from their own entry point. The products do not guarantee principal against losses at every purchase price, and interim fluctuations are possible.
Kaufman also contrasted protection with reducing exposure. Holding 70%-80% of a portfolio in spot Bitcoin ETFs and the rest in cash would produce a combined loss of 28%-32% if Bitcoin fell 40%, before cash income, fees, taxes and rebalancing. "Reducing the position and protecting the position solve for much different objectives," he said. He added that a capped strategy may be the wrong tool for investors whose overriding objective is capturing full Bitcoin upside and who can bear the full downside, and that the choice should be driven by goals rather than fear of a correction. For investors expecting a strong rally, spot products such as the iShares Bitcoin Trust (IBIT) offer uncapped upside alongside full downside exposure.
The structured products use options to define both a floor and a ceiling for returns. When Bitcoin falls after an outcome period begins, the cost of building the protective options package declines, leaving room for a higher cap. Kaufman said interest rates, Bitcoin volatility and options pricing all influence cap levels, but declined to name a single dominant driver, instead pointing to the net cost of the options package relative to the financing budget. Higher interest rates can expand that budget.
Calamos offers three tiers. CBTO targets 80% downside protection. CBXO targets 90% protection with a 20.55% starting cap, and CBOO targets 100% protection with an 8.32% starting cap, both for the October series. The relationship is a trade-off: greater protection means a lower ceiling on returns. If the reference Bitcoin index fell 40% over a full outcome period, an investor in a strategy achieving its target would lose approximately 20% with 80% protection, 10% with 90% protection, and nothing with 100% protection, before fees and expenses.
Investors who buy after an outcome period has started face a different calculation. The advertised protection applies relative to the period's starting level, not automatically to a later purchase price, so new investors must assess remaining upside and downside from their own entry point. The products do not guarantee principal against losses at every purchase price, and interim fluctuations are possible.
Kaufman also contrasted protection with reducing exposure. Holding 70%-80% of a portfolio in spot Bitcoin ETFs and the rest in cash would produce a combined loss of 28%-32% if Bitcoin fell 40%, before cash income, fees, taxes and rebalancing. "Reducing the position and protecting the position solve for much different objectives," he said. He added that a capped strategy may be the wrong tool for investors whose overriding objective is capturing full Bitcoin upside and who can bear the full downside, and that the choice should be driven by goals rather than fear of a correction. For investors expecting a strong rally, spot products such as the iShares Bitcoin Trust (IBIT) offer uncapped upside alongside full downside exposure.
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