In a groundbreaking move set to redefine risk-managed crypto investing, Calamos Investments is launching the world’s first Bitcoin ETF with full downside protection. The Calamos Bitcoin Structured Alt Protection ETF – January (CBOJ US) marks a pivotal moment in the evolution of digital asset investment products, combining the explosive growth potential of Bitcoin with structured safeguards traditionally seen in conservative financial instruments.
Scheduled for listing on the Cboe BZX Exchange on January 22, 2025, CBOJ US offers investors 100% capital protection over a one-year outcome period while still allowing participation in Bitcoin’s upside—albeit within a capped return framework. With an expense ratio of just 0.69%, this ETF bridges the gap between innovation and accessibility in the rapidly expanding crypto ETF landscape.
A Milestone in Risk-Managed Crypto Exposure
John Koudounis, President and CEO of Calamos Investments, emphasized the significance of this launch:
“I am excited to announce the world’s first 100% downside protected Bitcoin ETF. This is consistent with our history of groundbreaking innovations in risk management.”
This product extends Calamos’ successful Structured Protection suite, which already includes defined outcome ETFs for major U.S. equity indices like the S&P 500, Nasdaq 100, and Russell 2000. By applying the same proven methodology to Bitcoin, Calamos is catering to advisors, institutions, and retail investors who seek exposure to digital assets without enduring their notorious volatility.
How Defined Outcome Investing Works
Defined outcome investing is a strategy designed to modify the risk-return profile of a reference asset—here, Bitcoin—by setting predetermined levels of downside protection and upside potential. For CBOJ US, the target index is the CBOE Bitcoin US ETF Index, which aggregates performance across approved Bitcoin ETFs.
The fund achieves 100% downside protection through the use of FLEX options—customizable, exchange-traded derivatives cleared by the Options Clearing Corporation (OCC). These instruments allow Calamos to lock in protection from the beginning of each annual outcome period, ensuring that investors won’t lose principal if Bitcoin declines during that timeframe.
However, this safety comes at a cost: upside returns are capped. The cap level is determined at the start of each period based on market conditions such as implied volatility and interest rates. Once set, it remains fixed for the duration of the year.
Perpetual Structure Enables Seamless Continuity
One of the most investor-friendly features of CBOJ US is its perpetual structure. At the end of each one-year outcome period, the fund resets automatically—re-establishing a new 100% downside protection level and a fresh return cap—allowing long-term investors to maintain exposure without having to sell and reinvest manually.
This eliminates timing risk and simplifies portfolio management, especially for financial advisors integrating Bitcoin into balanced or conservative allocations.
Key Considerations for Investors
While the promise of full capital protection is compelling, prospective investors should understand two critical nuances:
- Reduced Beta During Bull Markets:
Due to the time decay (theta) inherent in options-based strategies, defined outcome ETFs often underperform their underlying index during strong upward trends. Investors may capture only a portion of Bitcoin’s rally—up to the cap—but will avoid losses if prices fall. - Protection Is Period-Dependent:
Full downside protection applies only from the beginning of an outcome period. Investors purchasing shares mid-period could face losses if Bitcoin has already appreciated since the reset date. In such cases, any decline back to the original level would not be covered.
To enhance transparency and empower informed decisions, Calamos provides daily disclosures for all its Structured Protection ETFs. These include:
- The current remaining upside cap
- The buffer level (how much Bitcoin can drop before protection kicks in)
- Days left until the next reset
This real-time data helps investors assess entry points and manage expectations effectively.
Meeting Demand for Balanced Crypto Access
Matt Kaufman, Head of ETFs at Calamos, addressed growing market demand:
“Many investors have been hesitant to invest in Bitcoin due to its epic volatility. Calamos seeks to meet advisor, institutional, and investor demands for solutions that capture Bitcoin’s growth potential while mitigating the historically high volatility and drawdowns of this fast-growing and high-performing asset.”
Indeed, while Bitcoin has delivered extraordinary returns over the past decade, its price swings—sometimes exceeding 30% in a single month—have deterred risk-averse investors and complicated asset allocation models.
CBOJ US offers a compelling middle ground: participation in digital asset growth with a safety net that aligns with prudent investment principles.
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Frequently Asked Questions (FAQ)
Q: What does '100% downside protection' mean for CBOJ US?
A: It means that if you invest at the beginning of an outcome period and hold through its end, you won’t lose money even if Bitcoin drops significantly. Your maximum loss is zero, though gains are capped.
Q: Can I lose money investing in CBOJ US?
A: Yes—if you buy shares after Bitcoin has already risen during the current outcome period. Protection starts from the reset date, so earlier gains aren’t shielded from subsequent declines.
Q: How is the upside cap determined?
A: The cap is set at the beginning of each annual period based on prevailing market conditions, including volatility, interest rates, and options pricing.
Q: Does this ETF hold actual Bitcoin?
A: No. CBOJ US tracks the CBOE Bitcoin US ETF Index and uses FLEX options for exposure. It does not directly own or store cryptocurrency.
Q: Is there a better time to invest in this ETF?
A: The optimal entry point is typically at or near the start of a new outcome period when downside protection is fully active and upside potential is reset.
Q: How does this differ from other Bitcoin ETFs?
A: Unlike traditional spot or futures-based Bitcoin ETFs that mirror price movements 1:1 (with full risk), CBOJ US limits both losses and gains, offering a controlled exposure mechanism ideal for conservative investors.
Conclusion
The launch of the Calamos Bitcoin Structured Alt Protection ETF – January (CBOJ US) represents a major leap forward in making digital assets accessible to mainstream portfolios. By embedding full capital protection into a regulated, exchange-traded vehicle, Calamos is addressing one of the biggest barriers to crypto adoption: volatility risk.
As investor appetite for structured products grows—especially in uncertain markets—innovations like CBOJ US are likely to inspire a new wave of hybrid financial instruments blending traditional risk management with next-generation assets.