Matt Kaufman

Matt Kaufman is the Head of ETFs at Calamos Investments, a 50-year-old firm built on a foundation of convertible bonds and risk management. Calamos was founded in 1977, just a few years after the CBOE opened, and has grown into one of the largest convertible bond and alternative mutual fund managers in the country. Their Market Neutral Income fund is one of the largest alt mutual funds. Over the past two years, they've been bringing that risk management DNA into the ETF space with products that would have been unthinkable a few years ago.

On this episode of Behind the Ticker, recorded live at the Exchange ETF conference in Vegas, Matt walks Brad through Calamos's newest innovation: a suite of structured protection Bitcoin ETFs. CBOJ offers 100% downside protection (zero risk to principal), CBTJ has a 10% risk floor, and CBTX has a 20% risk floor. Each offers progressively more upside as you accept more risk.

Bitcoin With a Safety Net

The concept extends what Calamos already built for the S&P 500, Russell 2000, and Nasdaq 100: one-year structured outcome ETFs with defined downside protection. The difference is the underlying asset. Bitcoin is now the seventh-largest asset in the world at nearly $2 trillion, having just passed silver. The key enabler was working with the CBOE to build a custom index tracking the underlying 11 spot Bitcoin ETPs. This index has about 100% correlation to the price of Bitcoin, and Calamos can trade options on it to construct the protection.

How the 100% Protection Product Works

Matt walked through the construction step by step. Take $100 of portfolio value. Spend about $96 on zero-coupon U.S. Treasury bonds. Interest rates around 4% mean those bonds are priced at a discount that will grow back to par over the year. The remaining $4 buys a call spread on the Bitcoin index: buy an at-the-money call (costs about 25% given Bitcoin's volatility) and sell an out-of-the-money call (collects about 21%). The difference is the 4% funded by the Treasury discount. The package delivers a 100% protected experience over a one-year outcome period with about a 12% upside cap.

For the 10% floor (CBTJ), instead of 96% in bonds, you hold about 86%, freeing up more capital for the call spread. At launch, that was a 52% upside cap. For the 20% floor (CBTX), 76% in bonds, with the highest cap. The product that Brad finds most interesting is CBTJ, the middle option, which had improved to roughly 60-62% upside cap with only a 15% floor for new buyers midway through the period, thanks to Bitcoin pulling back. "It's actually a better deal for you to buy today than it might have been on day one," Matt noted.

Why Bitcoin and Not Other Crypto

Kaufman was explicit: no Ethereum or Solana protection products from Calamos any time soon. "Those assets simply aren't mature enough." When building financial products with people's life savings, you can't iterate and patch like software. Bitcoin's $2 trillion market cap, liquid ETF market with $100 billion in assets, and tradeable options make it the only crypto asset where this construction is viable. Calamos spent months pricing options and running the strategy in the background before bringing anything to market. They've also been live trading these options structures on equity indices for two years, building the operational expertise.

How Advisors Are Using These

Advisors are using these products in different ways. Some are building crypto model portfolios with CBTJ as the core, knowing their maximum downside while capturing up to 60% upside. Others are thinking about CBOJ as an alternative to bonds: if it can capture 12% most years with zero downside, that's a compelling replacement for fixed income in certain sleeves. The math is straightforward: Bitcoin regularly moves more than 12% in a year. If you capture that 12% cap three out of four years, you're dramatically ahead of a 4% CD after tax. The volatility that scares most investors is exactly what creates the attractive cap rates.

Key Takeaways

• Calamos launched three structured Bitcoin ETFs: CBOJ (100% protection, ~12% cap), CBTJ (10% at risk, ~52% cap at launch), and CBTX (20% at risk, highest cap). Each uses zero-coupon Treasuries plus Bitcoin call spreads.
• Bitcoin's $2 trillion market cap and liquid options market make it the only crypto asset mature enough for structured outcome products. No Ethereum or Solana versions planned.
• Cap rates improve for mid-period buyers when Bitcoin declines. CBTJ went from 52% cap at launch to roughly 60-62% cap for new buyers as Bitcoin pulled back 20%.
• Calamos has been building defined-outcome products for two years, starting with S&P 500, Russell 2000, and Nasdaq 100 before extending to Bitcoin using a custom CBOE index.
• The 100% protection product works by spending 96% on zero-coupon Treasuries and 4% on a Bitcoin call spread, funded by the Treasury discount from interest rates.

Listen to the full conversation on Spotify, Apple Podcasts, or YouTube.