Introduction to the Calamos Bitcoin Structured Protection ETF
The Calamos Bitcoin Structured Protection ETF, trading under the ticker symbol CBOJ, is an innovative exchange-traded fund designed to offer investors exposure to Bitcoin's price movements while incorporating a structured protection mechanism. Launched on January 22, 2025, this ETF aims to match the positive price return of Bitcoin up to a predefined cap while providing 100% protection against losses over its one-year outcome period, before accounting for fees and expenses.
This fund represents a significant evolution in the cryptocurrency investment landscape, bridging the gap between traditional structured products and digital asset exposure. By utilizing the CME CF Bitcoin Reference Rate - New York Variant (BRRNY) as its reference asset, CBOJ provides institutional-grade Bitcoin exposure without the complexities of direct cryptocurrency ownership.
Key Features and Investment Structure
Upside Participation with Defined Cap
The CBOJ ETF is engineered to capture Bitcoin's potential upside to a specific limit known as the cap rate. This cap represents the maximum percentage return an investor can achieve during the outcome period before fees and expenses. As of July 2025, the cap rate stood at approximately 7.38%, though this rate may fluctuate between outcome periods based on market conditions and the fund's positioning.
Built-in Downside Protection
The fund's most distinctive feature is its 100% capital protection mechanism. Over each one-year outcome period, the fund is designed to protect investors from any losses in the reference asset's value. This protection level makes CBOJ particularly attractive for risk-averse investors seeking Bitcoin exposure without bearing the full brunt of market volatility.
Defined Outcome Period Structure
CBOJ operates on consecutive one-year outcome periods, with specific start and end dates. Investors must hold shares throughout the entire outcome period to potentially benefit from the intended protection and capped upside features. The current outcome period began on January 22, 2025, and extends for approximately one year.
Portfolio Construction and Strategy
Underlying Holdings and Allocation
The fund's portfolio combines various financial instruments to achieve its investment objectives:
- United States Treasury Bills: Comprising approximately 47.7% of the portfolio, these provide stability and collateral for the options strategy
- Cboe Mini Bitcoin US ETF Index Options: The fund utilizes both long call options (15.5%) and short call options (-10.8%) to create the structured exposure to Bitcoin's price movements
This combination allows the fund to participate in Bitcoin's price appreciation while defining the risk parameters through sophisticated options strategies.
Reference Asset and Benchmarking
The fund tracks the CME CF Bitcoin Reference Rate - New York Variant (BRRNY), which serves as a robust, regulated benchmark for Bitcoin's price. This reference rate aggregates trading activity from multiple major Bitcoin exchanges during specific calculation windows, providing a fair and transparent valuation mechanism.
Performance Analysis and Metrics
Current Performance Snapshot
As of early July 2025, the CBOJ ETF has demonstrated the following characteristics:
- Net Assets: $43.5 million
- NAV: $25.56
- Market Price: $25.53
- Premium/Discount: -0.12%
- Year-to-Date Return: 2.64% (market price)
The fund's performance relative to its reference asset shows the structured nature of its returns, with less volatility than direct Bitcoin exposure.
Understanding Cap Rates and Protection Levels
The cap rate and protection level are dynamic values that change throughout the outcome period based on market conditions and time remaining. These values are crucial for investors to monitor, as they determine the potential upside and downside protection available at any given time.
Strategic Portfolio Implementation
Risk Management Applications
For investors concerned about cryptocurrency volatility, CBOJ offers a compelling solution for risk-controlled Bitcoin exposure. The built-in protection mechanism allows portfolio managers to allocate to digital assets while maintaining strict risk parameters, particularly valuable during periods of market uncertainty.
Diversification Benefits
Bitcoin has historically exhibited low correlation with traditional asset classes like equities, fixed income, and even gold. By incorporating CBOJ into a diversified portfolio, investors can potentially enhance returns while maintaining risk control. The structured nature of the ETF further enhances its diversification benefits by reducing the extreme volatility associated with direct cryptocurrency investments.
Trading and Liquidity Considerations
Exchange Listing and Trading
CBOJ trades on the Cboe BZX Exchange, providing investors with daily liquidity and transparent pricing. The fund typically trades with a narrow bid-ask spread, with a 30-day median bid/ask spread of 0.16% as of July 2025.
Premium/Discount Analysis
Throughout its trading history, CBOJ has generally traded close to its net asset value, with occasional modest premiums or discounts. This pricing efficiency reflects the robust creation/redemption mechanism employed by authorized participants, ensuring the fund's market price remains closely aligned with its intrinsic value.
Cost Structure and Expense Ratio
The fund charges a management fee and incurs other expenses that impact overall returns. The expense ratio as stated in the prospectus is 0.69%, which covers the costs associated with the options strategy, administration, and other operational expenses. Investors should consider these costs when evaluating the fund's potential net returns.
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Frequently Asked Questions
What is the main advantage of investing in CBOJ compared to direct Bitcoin ownership?
The primary advantage is the structured protection against losses. While direct Bitcoin ownership exposes investors to unlimited downside risk, CBOJ is designed to protect against 100% of losses during each outcome period, before fees and expenses. This makes it particularly suitable for risk-averse investors seeking cryptocurrency exposure.
How does the cap rate work, and can it change?
The cap rate represents the maximum potential return an investor can achieve during an outcome period. This rate is set at the beginning of each period based on market conditions and may vary between periods. If Bitcoin's price appreciation exceeds the cap rate, investors will not participate in gains beyond that level.
What happens if I don't hold shares for the entire outcome period?
The fund's protection and cap features are designed for investors who hold shares throughout the entire outcome period. If you purchase or sell shares during the period, you may experience different returns than those targeted by the fund's objectives, as the protection level and cap exposure are calibrated for full-period holders.
How does the fund maintain its protection against Bitcoin price declines?
The protection is achieved through a combination of options strategies and Treasury bill holdings. The options provide exposure to Bitcoin's upside while defining risk parameters, and the Treasury bills serve as collateral while generating income to help fund the options positions.
Is this ETF suitable for long-term Bitcoin exposure?
CBOJ is structured with one-year outcome periods, making it more suitable for investors with a defined time horizon seeking risk-controlled exposure. For long-term Bitcoin believers willing to accept full volatility, direct ownership or spot Bitcoin ETFs might be more appropriate, though CBOJ can serve as a strategic allocation within a broader digital asset strategy.
How does the fund's performance compare to direct Bitcoin investment?
During periods of moderate Bitcoin appreciation, CBOJ may underperform due to the cap on gains. However, during periods of Bitcoin price declines, the fund is designed to significantly outperform by protecting against losses. This performance characteristic makes it particularly valuable for risk-aware investors seeking to participate in cryptocurrency markets with defined risk parameters.
Conclusion: Strategic Considerations for Investors
The Calamos Bitcoin Structured Protection ETF represents an innovative approach to cryptocurrency investing, combining the potential upside of Bitcoin exposure with structured downside protection. While the cap on gains may limit returns during strong bull markets, the protection feature offers valuable risk mitigation during periods of market stress.
Investors should carefully consider their investment objectives, time horizon, and risk tolerance when evaluating CBOJ. The fund is particularly well-suited for those seeking to diversify into digital assets while maintaining strict risk control parameters. As with any investment, thorough due diligence and understanding of the product's mechanics are essential before committing capital.
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