Calamos Investments, a US-based investment manager with $40 billion in assets under management, has filed a prospectus for a new “laddered” Bitcoin ETF (proposed ticker: CAPX) aimed at offering investors exposure to Bitcoin markets with a built-in protective mechanism against significant declines.
The filing targets investors wary of Bitcoin’s volatility, comparable to which is typically three to four times higher than major stock indexes. Seeking to build on its January launch of three “protected” Bitcoin ETFs, Calamos proposes this new strategy using options contracts tied to five leading Bitcoin exchange-traded funds. According to the prospectus, the fund seeks to limit downside losses exceeding a 20% threshold.
Design and Mechanism
The proposed ETF will utilize options strategies designed to activate when Bitcoin prices fall beyond a specified loss threshold. Only Bitcoin ETF shares (“Underlying Funds”) sourced from BlackRock (IBIT), Grayscale (GBTC), Bitwise (FBTC), Fidelity (FBTC), and 21 Shares (BTIC) underpin the laddered structure.
Options grant the right, but not the obligation, to transact the underlying asset at a set price before a set date, commonly used for risk mitigation. Capital can also be allocated to cash and U.S. Treasuries based on portfolio management discretion.
The ETN is designed to provide limited downside protection, potentially restricting losses to a floor of negative 20% in the event of Bitcoin realizing an “extreme negative move” of approximately 14%,” the filing states.
Downside Protection Parameters
The fund’s protective feature activates under specific conditions. A decline in Spot Bitcoin prices by less than 20% (e.g., 8%) during the “Target Outcome Period” triggers no protection. Conversely, a 32% decline would theoretically limit an investor’s loss to 20%.
Calamos’ January launches featured varying protection and upside potential structures. This new filing details the specific “Floor at -20%,” though the exact metrics and triggers are within the viewable prospectus.
Video Source: Bloomberg
Floor ETF Performance and Context
Bitcoin spot ETFs, approved in early 2024, have gathered record net assets, exceeding $150 billion as of mid-July—nearly 6.5% of Bitcoin’s market cap. The five most significant Bitcoin ETFs, comprising $124.3 billion suggesting a key focus point, appear to be the benchmark that Calamos’ product references.
Many Bitcoin ETFs hold and fully custody their underlying holdings. By comparison, rivals BlackRock and Grayscale hold significant BTC balances—BlackRock’s holdings are worth approximately $85 billion, nearing the ETFs’ combined value.
Comment from Calamos was solicited but not received prior to publication.
