Gravity Wins: Buy the Dip, Skip the Risk with Protected Bitcoin ETFs

The risk is real with Bitcoin

The day-to-day swings get a lot of attention, but the real risk in bitcoin is the potential for deep capital losses and the amount of time it can take to climb back out of a trough.

As seen in the following chart, Bitcoin’s historical return ranges have shifted widely from year to year, illustrating how extreme the asset’s upside and downside variability can be.

Source: Calamos and Morningstar Direct as of 8/31/25.

The key metric to watch is the drawdown, which measures how far an asset falls from its most recent peak. Bitcoin has posted some of the steepest drawdowns of any mainstream asset class.

The first chart shows how often and how far Bitcoin has dropped from prior highs. These extended periods of severe decline are commonly referred to as “bitcoin winters.”

The second chart shows the return needed to recover after each drawdown. As losses deepen, the required return rises at a much faster rate.

A 50% decline needs a 100% recovery, a 70% decline needs more than a 230% recovery, and the math only gets more punishing from there. For many investors, accessing bitcoin’s upside is less about chasing peaks and more about avoiding these large impairments of capital.

Before structured alt protection ETFs entered the market, managing risk in bitcoin meant relying on tactical rules or derivatives. Investors used moving-average crossovers to sidestep downtrends or implemented futures-based hedges to offset part of their exposure.

Both approaches introduce challenges. Signals can whipsaw during volatile periods. Futures require rolling, margin, and active monitoring. These tools are also unrealistic for newer or less experienced investors to operate effectively.

A better way to hedge Bitcoin risk

Calamos has long used derivatives-based strategies and hedging techniques across its options portfolios, and the firm applies that same expertise here. Each Protected Bitcoin ETF is issued in quarterly “vintages,” which begin every January, April, July, and October.

Timing matters with these ETFs, though not in the market-timing sense. The outcome period that defines each vintage’s gain and loss parameters is based on buying at the start and holding through the full term.

For example, the Calamos Bitcoin 80 Series Structured Alt Protection ETF – January

is designed to be purchased on the first trading day of January. Over the following year, the strategy limits the maximum loss to 20% before fees and expenses.

The Calamos Bitcoin 90 Series Structured Alt Protection ETF – January

follows the same structure with a tighter buffer, limiting losses to 10% before fees and expenses.

The most resilient is the Calamos Bitcoin Structured Alt Protection ETF – January

, which is built to shield against the full downside over the outcome period.

However, this protection come with trade-offs. These ETFs use combinations of call and put options to build a collar that finances the downside buffer by capping the upside.

As a general rule of thumb, more protection means a lower cap. For the most recent January vintage, CBTJ’s starting cap was 50.81%, CBXJ’s was 29.37%, and CBOJ’s was 10.96%.

The structure gives investors clear numbers to match with their risk tolerance. It’s often difficult to articulate what level of risk and reward feels acceptable, but defined loss limits and defined upside caps make the choice more concrete, especially for less experienced investors.

Source: Calamos and Morningstar Direct as of 8/31/25.

Source: Calamos and Morningstar Direct as of 8/31/25.

The cap is mathematically determined by the option structure. It doesn’t depend on unstable correlations with bonds, and it avoids the negative carry common in many tail-risk hedges.

Finally, investors who miss the January window can still access ongoing protection. The “laddered” versions of the strategy use a fund-of-funds structure to provide the same 80%, 90%, and 100% downside buffers with outcome periods that refresh across the calendar.

Learn more about Calamos Bitcoin Protected ETFs.

Please note this article is for information purposes only and does not in any way constitute investment advice. It is essential that you seek advice from a registered financial professional prior to making any investment decision.