Calamos Nasdaq-100 Structured Alt Protection ETF – December (CPNQ)

CPNQ is a Nasdaq-100-linked exchange-traded fund that combines upside participation (to a predetermined cap) with full downside protection (against 100% of losses) over rolling 12-month periods — a structured bet that resets each December with fresh terms negotiated via FLEX options.

The structure in brief

Calamos Nasdaq-100 Structured Alt Protection ETF – December (CPNQ) is built on one core idea: deliver meaningful exposure to the tech-heavy Nasdaq-100 Index without the risk of losing money, at least if you hold the fund through a full outcome period. The fund pairs long call and put options on the Invesco QQQ Trust (which tracks the Nasdaq-100) with short calls to create a collar — a three-legged options trade that locks in both a floor and a ceiling.

The mechanics reset annually. On the first day of December each year, Calamos enters into FLEX options (flexible exchange-listed options negotiated specifically for this product) with strike prices and expirations set 12 months ahead. If the Nasdaq-100 rises, investors capture gains up to the cap. If it falls, they absorb none of the loss — the fund’s put options ensure they recover their principal. The cap rate varies year to year; at inception in December 2024, CPNQ set an initial cap of approximately 8.73%, which declined over the outcome period as expiration approached.

This is not a traditional ETF tracking a fixed index. It is a discretionary strategy that lives and dies by execution — the timing of entry, the strike prices negotiated, the options counterparties’ creditworthiness.

Who funds this, and the cost

Calamos Investments, a Chicago-based firm founded in 1989 and known for two decades of work in alternatives and hedging strategies, created the structured protection ETF suite. The firm packages its options expertise into these products and collects a 0.69% annual management fee. That fee is higher than a vanilla Nasdaq-100 index fund (which costs 0.20% or less) but lower than many actively managed strategies, reflecting the cost of the optionality embedded in the collar.

The fund is domiciled in the Calamos ETF Trust and trades on the Cboe under the CPNQ ticker.

Resetting the cap

Each December, the fund faces a decision point: the old options expire, and Calamos must negotiate new ones for the next year. This reset mechanic is both feature and risk. A feature because it means investors get a fresh outcome period with no legacy drag — past performance does not hang over the new year. A risk because market conditions at the time of reset determine the next year’s cap. If volatility spikes or interest rates shift sharply, the cap negotiated could be dramatically tighter than the previous year’s, leaving incoming investors with much smaller upside than outgoing ones realized. This cap compression has no signal and is purely mechanical, a consequence of options pricing on the reset date.

Daily redemption and holding periods

CPNQ trades as an ETF on the Cboe and can be bought or sold any trading day at market prices. But the fund’s stated benefits — the specific cap and floor — only lock in if shares are held from the outcome period’s first day through its last. An investor who buys on December 2 and sells on December 20 owns a portion of a different outcome — one that expires a year later, with a different cap that was set on a different date. The prospectus is explicit: there are no assurances the fund will succeed in providing the protection sought.

Risk and research

Structured protection ETFs appeal to defensive-minded investors who believe the market may decline and want to keep dry powder, or those who simply find traditional downside protection — buying puts outright — too expensive. But the trade-off is real: cap the upside and you will sacrifice returns in strong bull years. Over a full decade, an investor in CPNQ through multiple outcome periods will almost certainly trail the raw Nasdaq-100, because the fund returns the capped return minus 0.69% annually, while the index returns its full gain minus a rounding error in fees.

The fund also carries basis risk — the FLEX options are written on QQQ, the Invesco trust, not the index itself. If the trust and index diverge, that gap flows through to the fund’s returns. And there is counterparty risk: if the options writers default, the fund’s protection dissolves.

An investor considering CPNQ should ask: am I comfortable giving up significant upside in exchange for a floor that only applies if I hold for a full 12 months? If the answer is yes, read the latest prospectus and fact sheet on the Calamos website, check the current cap rate, and understand that resetting annual cap rates mean this is a tactical tool — not a buy-and-hold-forever instrument.

How to track it

The fund’s prospectus and annual fact sheets live at Calamos Investments. The current cap rate updates daily on the fund’s dedicated page. Watch the quarterly outcome period resets and the spread between QQQ and the Nasdaq-100 Index to spot any structural drift. The management fee is fixed at 0.69%, but the real cost is the foregone upside versus holding QQQ outright — a gap that compounds over many years.