Calamos Bitcoin Structured Alt Protection ETF - January (CBOJ)

The Calamos Bitcoin Structured Alt Protection ETF - January (CBOJ) is an exchange-traded fund designed to give investors a way to own spot bitcoin exposure while limiting the damage a sharp price decline can inflict. Rather than holding bitcoin directly or betting all gains on upside movement, CBOJ wraps bitcoin in a structured contract that caps how much an investor can gain over a one-year period but shields against losses larger than 10 percent. The fund resets this outcome period every January, creating a series of successive one-year bets.

What the fund holds

CBOJ does not hold bitcoin directly. Instead, it holds a portfolio structured through options contracts that reference the CME CF Bitcoin Reference Rate - New York Variant (BRRNY), which tracks the price of spot bitcoin as reported by leading cryptocurrency exchanges. The fund buys near-zero-strike call options to give investors exposure to bitcoin’s upside and at-the-money put options to create a floor against losses. The outcome is that over each one-year period, an investor in CBOJ gets a capped percentage gain if bitcoin rises, or a loss cushion if bitcoin falls more than 10 percent.

How the protection works

The structure operates through two layers. The first layer is a call option position that provides nearly full participation in bitcoin’s positive price movement, but only up to a predetermined cap that varies by outcome period. For the January 2025 cohort, that cap was roughly 8 to 10 percent annualized return. The second layer is a put option that floors losses at about 10 percent—meaning an investor accepts the first 10 percent of downside but is protected beyond that point. The two layers together mean that CBOJ tracks a narrow band: small gains are captured fully, large gains are capped, and severe losses are prevented, but modest declines still hurt.

This design addresses a real problem for bitcoin investors. Cryptocurrency is volatile—it swings 20 or 30 percent in a month—and most people find that volatility unpleasant. By trading away unlimited upside for peace of mind on the downside, CBOJ appeals to investors who want bitcoin exposure but cannot stomach the full range of price movement.

The annual reset and timing risk

CBOJ resets its protection layer every January, which means the fund effectively dies and is reborn each year with a new cap rate and new protection parameters. The cap rate is set based on prevailing market conditions—particularly interest rates, bitcoin implied volatility, and the time value of options. In a high-volatility environment, the cap shrinks because protection costs more. In a low-volatility, low-rate environment, the cap widens. This means CBOJ investors do not have a fixed, guaranteed cap; instead, they face a new cap every 12 months. An investor who buys CBOJ in mid-2025 will have a different outcome period than one who buys in late 2024. This timing dependency can reward or punish entry points.

Costs and how to think about the expense ratio

The fund charges 0.69 percent annually, which covers Calamos’s management fee and the cost of maintaining the options positions. That expense is modest compared to what an investor would pay buying options directly, but it is not zero. More importantly, the cap itself is a hidden cost. If bitcoin rallies 40 percent in a year and CBOJ’s cap is 8 percent, the investor captures only 8 percent of that gain while still paying the 0.69 percent fee. In range-bound or declining-price years, the protection is the primary benefit and the fee is less material. The real value depends on what bitcoin does over each outcome period.

Concentration and liquidity

CBOJ holds only one underlying asset: spot bitcoin. There is no diversification here. The fund’s liquidity depends on how active the secondary market is, and as a newer structured ETF, trading volumes can be thin compared to larger bitcoin ETF offerings. The fund’s assets were in the tens of millions of dollars as of early 2026, which is small enough that large transactions could move the price.

Who CBOJ is for

CBOJ is intended for investors who want bitcoin exposure but are unwilling to tolerate full drawdowns. A retiree who cannot afford a 50 percent portfolio loss, or a balanced investor who wants a small allocation to crypto but needs some insurance, might find the tradeoff appealing. It is not for bitcoin believers who expect a multi-year rally and do not want to cap gains. It is also not for traders seeking to profit from volatility; the structure is against them.

The fund lives entirely within a structured-product ecosystem. Anyone considering CBOJ should read Calamos’s prospectus and fact sheet to understand the specific cap rate and protection level for the outcome period they are entering, because those terms shift with market conditions. Bitcoin’s price and the fund’s structure are unrelated to a traditional 10-K; instead, the relevant disclosures are in the ETF’s prospectus, which Calamos maintains on its website and the SEC’s EDGAR system.