Experience and Foresight

About Calamos Investments

For over 35 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five closed-end funds. Two are income-oriented total return offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed income offerings, which pursue high current income from income and capital gains. Calamos Convertible Opportunities and Income Fund (CHI) falls into this latter category. Please see page 5 for a more detailed overview of our closed-end offerings.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

We believe an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered strategies that seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

We have a global perspective. We believe globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

JOHN P. CALAMOS, SR.

CEO and Global Co-CIO

Dear Fellow Shareholder:

Welcome to your annual report for the 12-month period ended October 31, 2014. In this report, you will find commentary from the management team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the Fund’s performance and positioning. I invite you to review not only the commentary for this Fund, but also to discuss with your financial advisor if there are other Calamos Funds that could be suitable for your asset allocation.

Calamos Convertible Opportunities and Income Fund (CHI) is an enhanced fixed income fund. We utilize dynamic asset allocation to pursue high current income with a less rate- sensitive approach, while also maintaining a focus on capital gains. We believe the flexibility to invest in high yield corporate bonds and convertible securities is an important differentiator, especially given the reduction in the Federal Reserve’s quantitative easing activities and the impact that would have on the fixed income markets.

Steady and Competitive Distributions

During the period, CHI provided steady monthly distributions. We believe the Fund’s current annualized distribution rate, which was 8.33%* on a market price basis as of October 31, 2014, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environments. We also factor in our assessment of individual securities and asset classes. (For additional

and downs could well have ended up being whipsawed—missing the upside but capturing the downside. For example, during the period, there were several sell-offs in growth sectors, as investors allowed anxiety about economic growth to overshadow fundamentals. Yet during the 12-month period, U.S. growth stocks outperformed their value counterparts, with the Russell 3000 Growth Index gaining 16.39% versus the Russell 3000 Value Index, up 15.76%.

We believe that investors should work with their advisors to prepare for an eventual rise in interest rates. U.S. and global interest rates have stayed low for longer than many have anticipated due to a variety of factors, including accommodative policy and investors’ desire for allocations with a higher degree of perceived safety.

Convertible securities are well suited to this environment. Although we expect markets to advance and the global economy to expand, we believe volatility will likely persist due to a range of factors. Actively managed allocations that include convertibles may prove especially beneficial because convertibles combine attributes of stocks and bonds. As a result, convertible securities can provide participation in stock market upside with potential protection if stocks experience periods of downside volatility. Convertibles also have tended to be more resilient to rising interest rates than traditional fixed income securities—a key consideration for investors who seek to position their asset allocations ahead of a possible rising interest rate environment. We are also encouraged by issuance trends, as economic growth has historically provided a catalyst for convertible issuance.

In closing, we are honored to serve you. We recognize the trust you have in placed in us to help you achieve your financial goals. If you have any questions or would like additional information, please visit us at www.calamos.com or contact us at 800.582.6959.

Sincerely,

John P. Calamos, Sr.

CEO and Global Co-CIO,

Calamos Advisors LLC

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. The BofA Merrill Lynch All U.S. Convertibles Index represents the U.S. convertible securities market. The Barclays Capital U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. The Credit Suisse High Yield Index is an unmanaged index of approximately 1,600 issues with an average maturity range of seven to ten years with a minimum capitalization of $75 million. The index is considered generally representative of the U.S. market for high yield bonds. The Russell 3000 Growth Index measures the performance

of the broad growth segment of the U.S. equity universe. The Russell 3000 Value Index measures the performance of the broad value segment of the U.S. equity universe. Sources: Mellon Analytical Solutions and Lipper.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Fund is actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to the accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, that should be carefully considered prior to investing. This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio.

CONVERTIBLE OPPORTUNITIES AND

INCOME FUND (CHI)

INVESTMENT TEAM DISCUSSION

Please discuss the Fund’s strategy and portfolio allocation.

Calamos Convertible Opportunities and Income Fund (CHI) is an enhanced fixed-income offering, seeking total return through a combination of capital appreciation and current income. It provides an alternative to funds that invest exclusively in investment-grade fixed-income instruments, and seeks to be less sensitive to interest rates. Like all five Calamos closed-end funds, the Fund seeks to provide a steady stream of distributions paid out monthly and invests in multiple asset classes.

Within this Fund, we invest in a diversified portfolio of convertible securities and high-yield securities. The allocation to each asset class is dynamic, and reflects our view of the economic landscape, as well as the potential of individual securities. By combining these asset classes, we believe that the Fund is well positioned to generate capital gains as well as income. We believe the broader range of security types in which the Fund invests also provides increased opportunities for managing the risk and reward characteristics of the portfolio over full market cycles.

How did the Fund perform over the reporting period?

The Fund gained 10.90% on a net asset value (NAV) basis and 13.83% on a market price basis for the 12-month period ended October 31, 2014, versus the 5.54% return of the Credit Suisse High Yield Index and 13.48% for the BofA ML All U.S. Convertibles Index.

As of the end of the reporting period, the Fund’s shares traded at a 1.78% premium to net asset value, improving from a 0.83% discount at the beginning of the period.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/14

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to

the performance of a fund’s holdings, such as general market sentiment or future expectation. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of the Fund’s performance. However, when managing the Fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market value.

Please discuss the Fund’s distributions during the annual period.

We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund provided a steady distribution stream of $0.095 a month during the period. The Fund’s current annualized distribution rate was 8.33% of market price as of October 31, 2014.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2014, the dividend yield of S&P 500 Index stocks averaged 2.0%. Yields also remained low within the U.S. government bond market, with the 10-year U.S. Treasury and the 30-year U.S. Treasury yielding 2.35% and 3.07%, respectively.

What factors influenced performance over the reporting period?

Solid returns in both the high-yield and convertible bond markets contributed to the Fund’s performance over the course of the year. The high-yield market, as measured by the Credit Suisse High Yield Index, enjoyed a total return of 5.54% for the period. In addition, the convertible bond market, as measured by the BofA ML All U.S. Convertibles Index, had a total return of 13.48% during the period.

The Fund benefitted from increasing its exposure to convertible securities throughout the course of the period, as the asset class rallied in concert with the overall equity market.

From an economic sector perspective, the Fund benefitted from its security selection in, and overweight to, health care securities, mainly with respect to biotechnology names. In addition, the Fund was helped by both its selection in, and overweight to, information technology, namely securities in the technology hardware, storage and peripherals industry.

Although our holdings in materials and consumer discretionary generated positive absolute returns, they lagged their sector peers. Namely, our selection in homebuilding (consumer discretionary) and selection in, and underweight to, diversified metals and mining (materials) inhibited our performance relative to the benchmark Credit Suisse High Yield Index.

How is the Fund positioned?

We continue to lighten our position in corporate bonds, while increasing our position in convertible securities, which we believe will provide income and provide benefits in a rising equity market. At the end of the period, about half of the portfolio was invested in convertible and equity securities. We should note that our bullish position in the

Fund asset allocations are based on total investments and may vary over time.

equity and convertible markets was not deterred by market volatility near period end. Minor corrections are not uncommon in a bull market.

We continue to hold our highest allocations in the BB-credit tier as we believe this exposure may offer investors a better risk/return dynamic while continuing to provide regular income. Our credit process tends to guide us away from the most speculative corporate securities in the high-yield market. We currently view the lowest credit tiers of the market as less attractive based on their pricing and our outlook for a slower-growth global economy. Less than 2% of the Fund’s holdings are in the lowest credit tier (CCC credit rating and below). We view the mid-grade credit space as particularly well-priced, offering both attractive levels of income with less exposure to potential inflation and higher interest rates.

From an economic sector perspective, our heaviest exposures are to the consumer discretionary, information technology, health care, energy and industrials sectors. We believe that these sectors have the potential to outperform based on where we are in the economic recovery cycle.

When the risk/reward is compelling, we are investing in global businesses that possess the ability to diversify their revenue streams. Overall, the portfolio’s companies are performing well: earning attractive cash-flow margins, improving their credit profiles, and maintaining reasonable debt levels to fund their operations.

The Fund was leveraged 27% as of the end of the period, which we believe is a moderate amount. We currently borrow through floating rate bank debt and, given recent low borrowing rates, this has been beneficial to the performance of the Fund. In addition, 26% of our floating rate debt is hedged through interest rate swaps. This is a defensive strategy that we believe mitigates the Fund’s overall exposure to a quick rise in short-term interest rates.

Through dynamic asset allocation we are able to optimize the total return of the Fund by adjusting our exposure to take advantage of market opportunities within various sectors and asset classes. For example, our exposure to fixed-income securities allows us to maintain a competitive distribution. However, given the weighting of the asset classes represented in the portfolio and the overall low duration of the Fund, we believe we should be well defended against a rising-interest-rate environment.

What are your closing thoughts for Fund shareholders?

We believe that investing in convertibles enables us to participate in the equity market upside while providing a degree of downside protection. This strategy proved its mettle when the market experienced volatility during the period. We expect markets to remain turbulent, which we see as a positive for convertibles. In this respect, we believe returns are best viewed over a full market cycle. As we maintain an overall cautiously optimistic view of the U.S. economy, we believe a heavier exposure to equity-sensitive convertibles may allow the Fund to optimize total return.

Our dynamic allocation mandate allows us to deploy assets over different asset classes to benefit our shareholders. Accordingly, we believe that active management in convertible and high-yield investments is essential to providing desirable risk-managed results with consistent and meaningful distributions over time.