Calamos to Launch CAYN Income ETF on October 26
The new ETF will track the MerQube US Equity Least-Of Autocallable Index to provide potential income to investors.
Updated on Oct. 21, 2026 in Investing
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Calamos Investments plans to launch the Calamos Least-Of Autocallable Income ETF, trading under the ticker CAYN, on October 26, 2026. The fund is designed to generate income for investors by utilizing a portfolio of laddered autocallable notes.
Why it matters
The fund seeks to offer income-oriented investors higher potential coupons through targeted equity exposure. By using a least-of strategy based on major indices, the ETF aims to manage payouts based on the performance of the weakest asset.
The fund maintains a laddered portfolio of at least 52 notes with coupon and maturity barrier levels set at -30%. Its strategy relies on the MerQube US Equity Least-Of Autocallable Index, which includes a memory feature for coupon payments.
The players
Calamos Investments
This investment management firm specializes in active strategies including equity, fixed income, and alternative investments.
The details
The ETF manages risk and potential income by tracking the weakest performer among the SPY, QQQ, and IWM indices. This structure allows the fund to maintain a complex portfolio of derivatives intended to balance equity market participation with income generation goals.
Timeline
Calamos launched the CAIE ETF in 2025.
CAIE assets reached $1.4 billion on October 21, 2026.
CAYN is scheduled to launch on October 26, 2026.
Market Dynamics
The launch of CAYN reflects a growing demand for derivative-linked income products within the broader ETF landscape. By utilizing the MerQube US Equity Least-Of Autocallable Index, Calamos is competing to capture market share from investors seeking alternatives to traditional yield-focused funds.
Investors interested in the fund should monitor how the -30% barrier levels impact capital protection during market volatility. As with all index-linked derivative products, potential buyers must weigh the income potential against the risks associated with the performance of the weakest underlying equity asset.
The takeaway
Investors looking for alternative income strategies should carefully evaluate the complexity of autocallable note structures. Understanding how the weakest-performer index mechanism functions is essential before allocating capital to this ETF.
What happens next
The Calamos Least-Of Autocallable Income ETF is scheduled to launch on October 26, 2026.
Further reading
Learn more about current market trends in the Investing section.
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