Edgar Filing: CALAMOS CONVERTIBLE OPPORTUNITIES & INCOME FUND

N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21080

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

Calamos Convertible Opportunities and Income Fund


ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:		2020 Calamos Court, Naperville Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:		John P. Calamos, Sr., Chairman, CEO and Co-CIO Calamos Advisors LLC, 2020 Calamos Court, Naperville, Illinois 60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2015

DATE OF REPORTING PERIOD: July 31, 2015

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

CORPORATE BONDS (54.7%)
		*Consumer Discretionary (11.6%)*
	1,377,000	Altice, SA* 7.750%, 05/15/22	$	1,383,024
	541,000	Argos Merger Sub, Inc.*µ 7.125%, 03/15/23		572,446
	2,410,000	CCO Safari II, LLC* 4.908%, 07/23/25		2,413,013
	1,337,000	Century Communities, Inc.µ 6.875%, 05/15/22		1,299,397
	6,012,000	Cooper Tire & Rubber Companyµ^ 8.000%, 12/15/19		6,808,590
	4,452,000	Dana Holding Corp.µ 6.750%, 02/15/21		4,688,512
		DISH DBS Corp.µ
	6,650,000	5.125%, 05/01/20		6,728,969
	5,371,000	7.875%, 09/01/19		6,012,163
	3,935,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		4,109,616
	1,476,000	GameStop Corp.*µ^ 5.500%, 10/01/19		1,538,730
	2,296,000	Golden Nugget Escrow, Inc.* 8.500%, 12/01/21		2,396,450
	1,303,000	Goodyear Tire & Rubber Companyµ 8.250%, 08/15/20		1,363,264
	2,332,000	Hasbro, Inc.µ^ 6.600%, 07/15/28		2,695,722
		L Brands, Inc.µ
	2,951,000	7.600%, 07/15/37		3,310,653
	1,918,000	5.625%, 02/15/22		2,055,856
	669,000	6.950%, 03/01/33		699,941
	1,386,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		1,464,829
		Meritage Homes Corp.µ
	3,345,000	7.150%, 04/15/20		3,616,781
	1,877,000	7.000%, 04/01/22		2,006,044
	1,840,000	NCL Corp., Ltd. - Class Cµ 5.000%, 02/15/18		1,877,950
	2,779,000	Netflix, Inc.µ^ 5.375%, 02/01/21		2,905,792
	2,755,000	Numericable-SFR SAS* 6.000%, 05/15/22		2,806,656
	2,533,000	Outerwall, Inc.µ 6.000%, 03/15/19		2,563,079
	2,263,000	Penske Automotive Group, Inc.µ 5.375%, 12/01/24		2,278,558
	1,869,000	Reliance Intermediate Holdings, LP* 6.500%, 04/01/23		1,946,096
	3,802,000	Royal Caribbean Cruises, Ltd.^ 7.500%, 10/15/27		4,426,954
		Ryland Group, Inc.µ
	5,411,000	6.625%, 05/01/20^		6,043,411
	1,466,000	5.375%, 10/01/22		1,487,074
	3,443,000	Service Corp. Internationalµ^ 7.500%, 04/01/27		3,950,842
	2,873,000	Six Flags Entertainment Corp.*µ 5.250%, 01/15/21		2,964,577
	2,949,000	Taylor Morrison Communities, Inc.*µ 5.250%, 04/15/21		2,956,373


PRINCIPAL AMOUNT			VALUE

	2,951,000	Time, Inc.*µ 5.750%, 04/15/22	$	2,834,804
		Toll Brothers Finance Corp.µ
	4,180,000	5.625%, 01/15/24		4,436,025
	1,131,000	4.000%, 12/31/18		1,164,223
		ZF North America Capital, Inc.*
	1,771,000	4.750%, 04/29/25		1,730,046
	492,000	4.500%, 04/29/22		484,620

				102,021,080

		*Consumer Staples (2.4%)*
	1,181,000	Alphabet Holding Company, Inc. 7.750%, 11/01/17		1,188,381
	3,591,000	Fidelity & Guaranty Life Holdings, Inc.*µ^ 6.375%, 04/01/21		3,784,016
	4,887,000	JBS USA, LLC*µ 7.250%, 06/01/21		5,149,677
	5,312,000	Land O’Lakes, Inc.*µ^ 6.000%, 11/15/22		5,687,160
	2,461,000	Post Holdings, Inc.µ 7.375%, 02/15/22		2,522,525
	3,099,000	Smithfield Foods, Inc.µ 6.625%, 08/15/22		3,313,993

				21,645,752

		*Energy (9.2%)*
	3,287,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		3,087,726
		Berry Petroleum Company, LLCµ
	2,459,000	6.375%, 09/15/22		1,718,226
	689,000	6.750%, 11/01/20		495,219
	1,181,000	Bill Barrett Corp.µ^ 7.000%, 10/15/22		981,706
	2,017,000	Blue Racer Midstream, LLC / Blue Racer Finance Corp.*µ 6.125%, 11/15/22		2,056,079
	2,459,000	Bonanza Creek Energy, Inc.µ 6.750%, 04/15/21		2,154,699
	2,213,000	Calfrac Holdings, LP*µ^ 7.500%, 12/01/20		1,832,641
		Calumet Specialty Products Partners, LP
	2,263,000	7.625%, 01/15/22µ		2,294,116
	806,000	6.500%, 04/15/21		793,910
		Carrizo Oil & Gas, Inc.
	4,348,000	7.500%, 09/15/20µ		4,367,022
	1,328,000	6.250%, 04/15/23		1,273,220
	5,601,000	Cimarex Energy Companyµ^ 5.875%, 05/01/22		5,948,066
	6,886,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		5,504,496
	782,000	Eclipse Resources Corp.* 8.875%, 07/15/23		736,058
		Energy Transfer Equity, LP
	2,853,000	5.875%, 01/15/24µ		2,915,409
	861,000	5.500%, 06/01/27^		849,161
	4,673,000	Gulfmark Offshore, Inc.µ 6.375%, 03/15/22		3,449,258
	2,194,000	Gulfport Energy Corp.µ 7.750%, 11/01/20		2,235,138
	5,411,000	Laredo Petroleum, Inc.µ 7.375%, 05/01/22		5,505,692
	1,476,000	Linn Energy, LLCµ 8.625%, 04/15/20		916,043

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	984,000	Linn Energy, LLC / Linn Energy Finance Corp.µ 6.500%, 05/15/19	$	605,160
	3,050,000	MarkWest Energy Partners, LPµ 4.875%, 06/01/25		2,958,500
		Oasis Petroleum, Inc.µ
	4,122,000	6.500%, 11/01/21		3,787,088
	1,230,000	6.875%, 01/15/23		1,116,994
	2,233,000	Pacific Drilling, SA*µ 5.375%, 06/01/20		1,688,706
	2,704,000	Petroleum Geo-Services, ASA*µ 7.375%, 12/15/18		2,524,860
	1,271,000	Rice Energy, Inc.*^ 7.250%, 05/01/23		1,247,963
	4,919,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		5,143,429
	1,633,000	Seventy Seven Operating, LLCµ 6.625%, 11/15/19		1,198,214
	1,771,000	SM Energy Companyµ 6.500%, 11/15/21		1,779,855
	3,542,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		3,477,801
	6,345,000	W&T Offshore, Inc. 8.500%, 06/15/19		3,886,313
	2,735,000	Western Refining, Inc.µ 6.250%, 04/01/21		2,757,222

				81,285,990

		*Financials (3.5%)*
	2,362,000	AON Corp.µ^ 8.205%, 01/01/27		3,005,645
	3,670,000	Black Knight InfoServ, LLCµ 5.750%, 04/15/23		3,896,989
	2,024,000	Brookfield Residential Properties, Inc.*^ 6.375%, 05/15/25		1,974,665
		DuPont Fabros Technology, LPµ
	1,279,000	5.875%, 09/15/21		1,310,975
	910,000	5.625%, 06/15/23		902,606
	1,968,000	Equinix, Inc.µ 5.375%, 04/01/23		1,991,370
	138,000	FelCor Lodging, LP* 6.000%, 06/01/25		142,054
	2,354,000	First Cash Financial Services, Inc.µ 6.750%, 04/01/21		2,483,470
	1,948,000	iStar Financial, Inc.µ 4.875%, 07/01/18		1,917,563
	2,804,000	Jefferies Finance, LLC*µ 7.375%, 04/01/20		2,796,990
	2,253,000	Nationstar Mortgage, LLC / Nationstar Capital Corp.µ 6.500%, 07/01/21		2,109,371
	5,411,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		5,772,617
	2,656,000	Quicken Loans, Inc.*µ 5.750%, 05/01/25		2,561,380

				30,865,695

		*Health Care (6.4%)*
	3,935,000	Acadia Healthcare Company, Inc.*µ 5.625%, 02/15/23		4,008,781
	3,173,000	Alere, Inc. 6.500%, 06/15/20		3,301,903


PRINCIPAL AMOUNT			VALUE

	3,694,000	Community Health Systems, Inc.µ 7.125%, 07/15/20	$	3,938,728
	3,050,000	DaVita HealthCare Partners, Inc.µ 5.125%, 07/15/24		3,072,875
		Endo International, PLC*‡
	7,378,000	7.250%, 12/15/20µ		7,756,122
	667,000	7.750%, 01/15/22		710,355
		HCA Holdings, Inc.µ
	7,870,000	5.875%, 05/01/23		8,420,900
	1,908,000	6.250%, 02/15/21		2,086,875
		Hologic, Inc.
	5,662,000	6.250%, 08/01/20		5,838,938
	1,053,000	5.250%, 07/15/22*		1,089,855
	883,000	Surgical Care Affiliates, Inc.* 6.000%, 04/01/23		886,311
	6,050,000	Tenet Healthcare Corp.µ 6.750%, 02/01/20		6,439,469
		Valeant Pharmaceuticals International, Inc.*
	6,099,000	7.000%, 10/01/20µ		6,346,772
	486,000	5.875%, 05/15/23^		503,921
	364,000	5.500%, 03/01/23		371,735
		VPII Escrow Corp.*
	944,000	7.500%, 07/15/21µ		1,024,240
	935,000	6.750%, 08/15/18		983,503

				56,781,283

		*Industrials (8.4%)*
	4,624,000	ACCO Brands Corp.µ 6.750%, 04/30/20		4,892,770
	6,099,000	Deluxe Corp.µ 6.000%, 11/15/20		6,445,881
	2,833,000	DigitalGlobe, Inc.*µ 5.250%, 02/01/21		2,726,762
	5,376,000	Dycom Investments, Inc.µ 7.125%, 01/15/21		5,641,440
	2,686,000	Edgen Murray Corp.*µ 8.750%, 11/01/20		2,914,310
	2,169,000	Garda World Security Corp.* 7.250%, 11/15/21		2,057,839
	2,779,000	GrafTech International, Ltd.µ^ 6.375%, 11/15/20		2,518,469
	4,481,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22		4,511,807
		Icahn Enterprises, LPµ
	3,797,000	5.875%, 02/01/22		3,939,387
	2,322,000	6.000%, 08/01/20^		2,449,710
	536,000	4.875%, 03/15/19		552,750
	3,443,000	Manitowoc Company, Inc.µ 8.500%, 11/01/20		3,625,909
		Meritor, Inc.
	2,020,000	6.250%, 02/15/24		2,023,788
	1,579,000	6.750%, 06/15/21µ		1,630,318
		Michael Baker International, LLC*µ
	2,558,000	8.250%, 10/15/18		2,471,667
	1,456,000	8.875%, 04/15/19		1,235,780
	2,951,000	Navistar International Corp.^ 8.250%, 11/01/21		2,779,473
	1,775,000	Nortek, Inc.µ 8.500%, 04/15/21		1,901,469
	703,000	Summit Materials, LLC / Summit Materials Finance Corp.* 6.125%, 07/15/23		702,121
	4,781,000	Terex Corp.µ 6.000%, 05/15/21		4,816,857

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	1,992,000	Titan International, Inc.µ 6.875%, 10/01/20	$	1,750,470
	2,312,000	TransDigm, Inc. 5.500%, 10/15/20		2,314,890
	2,263,000	United Continental Holdings, Inc.µ 6.375%, 06/01/18		2,383,222
		United Rentals North America, Inc.µ
	5,411,000	7.625%, 04/15/22		5,901,372
	1,377,000	6.125%, 06/15/23		1,419,171

				73,607,632

		*Information Technology (5.0%)*
	3,148,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		3,311,302
		Amkor Technology, Inc.µ
	3,237,000	6.375%, 10/01/22^		3,087,289
	924,000	6.625%, 06/01/21		908,408
	7,870,000	Belden, Inc.* 5.500%, 09/01/22		7,889,675
	2,405,000	Cardtronics, Inc.µ 5.125%, 08/01/22		2,376,441
	1,925,000	CommScope Technologies Finance, LLC* 6.000%, 06/15/25		1,902,141
	6,394,000	Hughes Satellite Systems Corp.µ 7.625%, 06/15/21		7,073,362
	3,935,000	J2 Global, Inc.µ 8.000%, 08/01/20		4,237,503
	2,961,000	Nuance Communications, Inc.*µ^ 5.375%, 08/15/20		3,025,772
	1,968,000	NXP Semiconductors, NV*µ 5.750%, 02/15/21		2,050,410
	4,432,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		4,578,810
	3,345,000	ViaSat, Inc.µ 6.875%, 06/15/20		3,543,609

				43,984,722

		*Materials (3.8%)*
	3,246,000	ArcelorMittal, SA^ 6.125%, 06/01/25		3,101,959
	1,412,000	Chemtura Corp.µ 5.750%, 07/15/21		1,434,945
		First Quantum Minerals, Ltd.*
	1,498,000	7.000%, 02/15/21µ		1,143,161
	1,498,000	6.750%, 02/15/20^		1,170,313
		FMG Resources (August 2006) Pty, Ltd.*^
	1,377,000	8.250%, 11/01/19		1,009,513
	757,000	9.750%, 03/01/22		696,913
	4,338,000	Greif, Inc.µ 7.750%, 08/01/19		4,842,292
		INEOS Group Holdings, SA*^
	2,164,000	6.125%, 08/15/18		2,203,223
	1,181,000	5.875%, 02/15/19		1,192,810
		New Gold, Inc.*µ
	3,935,000	7.000%, 04/15/20		3,858,759
	1,082,000	6.250%, 11/15/22		972,448
	2,312,000	PH Glatfelter Companyµ 5.375%, 10/15/20		2,385,695
		Sealed Air Corp.*µ
	2,022,000	6.500%, 12/01/20		2,258,321
	885,000	5.250%, 04/01/23		903,806


PRINCIPAL AMOUNT			VALUE

	3,935,000	Trinseo Materials Operating, SCA*^ 6.750%, 05/01/22	$	3,971,891
	2,755,000	United States Steel Corp.µ 6.875%, 04/01/21		2,587,978

				33,734,027

		*Telecommunication Services (3.4%)*
	2,003,000	CenturyLink, Inc.µ 6.750%, 12/01/23		2,011,823
		Frontier Communications Corp.µ
	2,737,000	7.625%, 04/15/24		2,485,538
	281,000	6.875%, 01/15/25		239,377
		Intelsat, SA
	5,509,000	7.750%, 06/01/21		4,420,972
	394,000	8.125%, 06/01/23^		315,939
	2,312,000	SBA Communications Corp.µ 5.625%, 10/01/19		2,434,825
		Sprint Corp.µ
	11,038,000	7.875%, 09/15/23		10,603,379
	1,456,000	7.125%, 06/15/24		1,337,700
	1,018,000	7.250%, 09/15/21		976,644
	4,624,000	T-Mobile USA, Inc.µ 6.625%, 04/01/23		4,927,450

				29,753,647

		*Utilities (1.0%)*
	2,951,000	AES Corp.µ 7.375%, 07/01/21		3,249,789
	4,879,000	AmeriGas Finance Corp.µ^ 7.000%, 05/20/22		5,208,332

				8,458,121

		TOTAL CORPORATE BONDS (Cost $484,824,000)		482,137,949

	CONVERTIBLE BONDS (55.3%)
		*Consumer Discretionary (9.6%)*
	2,000,000	Iconix Brand Group, Inc.µ^ 2.500%, 06/01/16		1,979,190
		Jarden Corp.^
	8,015,000	1.125%, 03/15/34		9,925,095
	6,000,000	1.500%, 06/15/19µ		8,843,460
	15,850,000	Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)µ§ 0.750%, 03/30/43		26,381,295
	5,050,000	Liberty Media Corp. 1.375%, 10/15/23		4,902,363
		Priceline Group, Inc.µ^
	11,500,000	0.350%, 06/15/20		13,427,802
	2,800,000	1.000%, 03/15/18		3,920,420
	2,600,000	Standard Pacific Corp.µ 1.250%, 08/01/32		3,194,724
	12,150,000	Tesla Motors, Inc.µ^ 1.250%, 03/01/21		11,884,644

				84,458,993

		*Energy (1.9%)*
	8,500,000	Chesapeake Energy Corp.µ 2.250%, 12/15/38		6,917,215
	11,100,000	Whiting Petroleum Corp.* 1.250%, 04/01/20		9,677,979

				16,595,194

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

			*Financials (3.6%)*
			Ares Capital Corp.µ
	7,300,000		4.750%, 01/15/18^	$	7,499,545
	4,027,000		5.750%, 02/01/16		4,095,399
	1,600,000	EUR	Azimut Holding, S.p.A.µ 2.125%, 11/25/20		2,086,129
	3,500,000		IAS Operating Partnership, LP*µ 5.000%, 03/15/18		3,361,628
	4,400,000		MGIC Investment Corp.µ^ 2.000%, 04/01/20		7,242,422
	4,200,000		Spirit Realty Capital, Inc.µ 2.875%, 05/15/19		4,020,135
	2,900,000		Starwood Property Trust, Inc.µ^ 4.550%, 03/01/18		3,038,446

					31,343,704

			*Health Care (13.7%)*
	5,288,000		Acorda Therapeutics, Inc.µ^ 1.750%, 06/15/21		5,466,814
	5,711,000		BioMarin Pharmaceutical, Inc.µ^ 1.500%, 10/15/20		9,633,543
	5,900,000		Cepheid^ 1.250%, 02/01/21		6,520,208
	4,559,000		Depomed, Inc.µ 2.500%, 09/01/21		7,983,835
	3,050,000		Emergent Biosolutions, Inc.^ 2.875%, 01/15/21		3,774,360
	3,450,000		Gilead Sciences, Inc.µ^ 1.625%, 05/01/16		17,893,408
	2,800,000		Hologic, Inc.^‡ 2.000%, 12/15/37		5,112,702
	5,066,000		Horizon Pharma Investment, Ltd.* 2.500%, 03/15/22		7,312,188
			Illumina, Inc.µ^
	6,700,000		0.000%, 06/15/19		7,818,364
	6,400,000		0.500%, 06/15/21		7,867,232
	3,190,000		Impax Laboratories, Inc.*^ 2.000%, 06/15/22		3,294,313
	1,435,000		Incyte Corp.^ 1.250%, 11/15/20		2,989,370
	5,400,000		Isis Pharmaceuticals, Inc.*µ^ 1.000%, 11/15/21		5,759,208
	3,300,000		Jazz Pharmaceuticals, PLC*^ 1.875%, 08/15/21		4,026,941
	3,489,000		Medidata Solutions, Inc.^ 1.000%, 08/01/18		4,152,381
			Molina Healthcare, Inc.µ
	4,000,000		1.625%, 08/15/44^		5,569,360
	3,242,000		1.625%, 08/15/44*		4,507,498
	825,000		Mylan, Inc.µ 3.750%, 09/15/15		3,591,427
	2,500,000		NuVasive, Inc. 2.750%, 07/01/17		3,509,613
	4,045,000		Wright Medical Group, Inc.*µ 2.000%, 02/15/20		4,271,115

					121,053,880

			*Industrials (0.7%)*
	2,022,000		Air Lease Corp.µ 3.875%, 12/01/18		2,774,700
	3,200,000		Echo Global Logistics, Inc. 2.500%, 05/01/20		3,427,280

					6,201,980


PRINCIPAL AMOUNT			VALUE

		*Information Technology (24.6%)*
	3,000,000	CalAmp Corp.* 1.625%, 05/15/20	$	2,790,345
	3,300,000	Citrix Systems, Inc.µ^ 0.500%, 04/15/19		3,550,091
	5,150,000	Euronet Worldwide, Inc.*µ^ 1.500%, 10/01/44		6,032,041
	2,700,000	Finisar Corp. 0.500%, 12/15/33		2,579,121
		FireEye, Inc.*
	8,077,000	1.000%, 06/01/35		8,400,645
	4,826,000	1.625%, 06/01/35		5,014,479
	3,300,000	HomeAway, Inc.^ 0.125%, 04/01/19		3,137,294
	9,700,000	Intel Corp.µ^ 3.250%, 08/01/39		14,067,667
	6,600,000	LinkedIn Corp.*µ 0.500%, 11/01/19		6,649,269
	4,000,000	Mentor Graphics Corp. 4.000%, 04/01/31		5,330,400
	9,400,000	Microchip Technology, Inc.* 1.625%, 02/15/25		8,857,056
	6,225,000	Micron Technology, Inc. 2.125%, 02/15/33		11,096,685
	2,200,000	Novellus Systems, Inc.µ^ 2.625%, 05/15/41		4,969,503
	8,700,000	NVIDIA Corp. 1.000%, 12/01/18		9,991,036
	3,400,000	NXP Semiconductors, NV* 1.000%, 12/01/19		3,988,914
		ON Semiconductor Corp.
	6,400,000	1.000%, 12/01/20*^		6,178,176
	4,900,000	2.625%, 12/15/26		5,762,155
	1,550,000	Palo Alto Networks, Inc. 0.000%, 07/01/19		2,686,607
	3,100,000	Proofpoint, Inc.* 0.750%, 06/15/20		3,423,067
	2,379,000	Rovi Corp.*^ 0.500%, 03/01/20		1,976,307
	8,800,000	Salesforce.com, Inc.µ^ 0.250%, 04/01/18		11,083,820
	17,500,000	SanDisk Corp.µ^ 0.500%, 10/15/20		17,490,812
	6,075,000	ServiceNow, Inc.µ 0.000%, 11/01/18		7,516,354
		SunEdison, Inc.
	10,578,000	0.250%, 01/15/20*µ		10,944,316
	3,900,000	2.625%, 06/01/23*^		3,534,141
	1,531,000	2.000%, 10/01/18µ^		2,566,982
	5,125,000	SunPower Corp.µ^ 0.750%, 06/01/18		6,367,966
	3,200,000	Synchronoss Technologies, Inc.µ 0.750%, 08/15/19		3,702,608
		Take-Two Interactive Software, Inc.
	2,600,000	1.000%, 07/01/18µ^		3,991,728
	1,825,000	1.750%, 12/01/16		3,053,690
		Twitter, Inc.*µ^
	11,000,000	1.000%, 09/15/21		9,521,160
	3,100,000	0.250%, 09/15/19		2,728,233
	4,000,000	Verint Systems, Inc.^ 1.500%, 06/01/21		4,447,340
	5,125,000	Workday, Inc.µ^ 0.750%, 07/15/18		6,121,454

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	6,700,000	Yahoo!, Inc.µ^ 0.000%, 12/01/18	$	6,854,301

				216,405,763

		*Materials (0.9%)*
	4,865,000	Cemex, SAB de CV^ 3.720%, 03/15/20		5,017,007
	2,800,000	RTI International Metals, Inc.µ^ 1.625%, 10/15/19		2,970,828

				7,987,835

		*Utilities (0.3%)*
	3,200,000	NRG Yield, Inc.* 3.250%, 06/01/20		3,056,064
		TOTAL CONVERTIBLE BONDS (Cost $459,879,834)		487,103,413

	U.S. GOVERNMENT AND AGENCY SECURITY (0.1%)
	689,000	United States Treasury Note~ 0.250%, 12/15/15 (Cost $688,898)		689,336

	SYNTHETIC CONVERTIBLE SECURITIES (1.1%)¤
	*Corporate Bonds (0.9%)*
		*Consumer Discretionary (0.2%)*
	23,000	Altice, SA* 7.750%, 05/15/22		23,101
	9,000	Argos Merger Sub, Inc.*µ 7.125%, 03/15/23		9,523
	40,000	CCO Safari II, LLC* 4.908%, 07/23/25		40,050
	22,000	Century Communities, Inc.µ 6.875%, 05/15/22		21,381
	99,000	Cooper Tire & Rubber Companyµ^ 8.000%, 12/15/19		112,117
	74,000	Dana Holding Corp.µ 6.750%, 02/15/21		77,931
		DISH DBS Corp.µ
	110,000	5.125%, 05/01/20		111,306
	89,000	7.875%, 09/01/19		99,624
	65,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		67,884
	24,000	GameStop Corp.*µ^ 5.500%, 10/01/19		25,020
	38,000	Golden Nugget Escrow, Inc.* 8.500%, 12/01/21		39,663
	22,000	Goodyear Tire & Rubber Companyµ 8.250%, 08/15/20		23,018
	38,000	Hasbro, Inc.µ^ 6.600%, 07/15/28		43,927
		L Brands, Inc.µ
	49,000	7.600%, 07/15/37		54,972
	32,000	5.625%, 02/15/22		34,300
	11,000	6.950%, 03/01/33		11,509
	23,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		24,308
		Meritage Homes Corp.µ
	55,000	7.150%, 04/15/20		59,469
	31,000	7.000%, 04/01/22		33,131
	30,000	NCL Corp., Ltd. - Class Cµ 5.000%, 02/15/18		30,619


PRINCIPAL AMOUNT			VALUE

	46,000	Netflix, Inc.µ^ 5.375%, 02/01/21	$	48,099
	45,000	Numericable-SFR SAS* 6.000%, 05/15/22		45,844
	42,000	Outerwall, Inc.µ 6.000%, 03/15/19		42,499
	37,000	Penske Automotive Group, Inc.µ 5.375%, 12/01/24		37,254
	31,000	Reliance Intermediate Holdings, LP* 6.500%, 04/01/23		32,279
	63,000	Royal Caribbean Cruises, Ltd.^ 7.500%, 10/15/27		73,356
		Ryland Group, Inc.µ
	89,000	6.625%, 05/01/20^		99,402
	24,000	5.375%, 10/01/22		24,345
	57,000	Service Corp. Internationalµ^ 7.500%, 04/01/27		65,407
	47,000	Six Flags Entertainment Corp.*µ 5.250%, 01/15/21		48,498
	49,000	Taylor Morrison Communities, Inc.*µ 5.250%, 04/15/21		49,122
	49,000	Time, Inc.*µ 5.750%, 04/15/22		47,071
		Toll Brothers Finance Corp.µ
	69,000	5.625%, 01/15/24		73,226
	19,000	4.000%, 12/31/18		19,558
		ZF North America Capital, Inc.*
	29,000	4.750%, 04/29/25		28,329
	8,000	4.500%, 04/29/22		7,880

				1,685,022

		*Consumer Staples (0.0%)*
	19,000	Alphabet Holding Company, Inc. 7.750%, 11/01/17		19,119
	59,000	Fidelity & Guaranty Life Holdings, Inc.*µ^ 6.375%, 04/01/21		62,171
	81,000	JBS USA, LLC*µ 7.250%, 06/01/21		85,354
	88,000	Land O’Lakes, Inc.*µ^ 6.000%, 11/15/22		94,215
	41,000	Post Holdings, Inc.µ 7.375%, 02/15/22		42,025
	51,000	Smithfield Foods, Inc.µ 6.625%, 08/15/22		54,538

				357,422

		*Energy (0.1%)*
	54,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		50,726
		Berry Petroleum Company, LLCµ
	41,000	6.375%, 09/15/22		28,649
	11,000	6.750%, 11/01/20		7,906
	19,000	Bill Barrett Corp.µ^ 7.000%, 10/15/22		15,794
	33,000	Blue Racer Midstream, LLC / Blue Racer Finance Corp.*µ 6.125%, 11/15/22		33,639
	41,000	Bonanza Creek Energy, Inc.µ 6.750%, 04/15/21		35,926
	37,000	Calfrac Holdings, LP*µ^ 7.500%, 12/01/20		30,641

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

		Calumet Specialty Products Partners, LP
	37,000	7.625%, 01/15/22µ	$	37,509
	13,000	6.500%, 04/15/21		12,805
		Carrizo Oil & Gas, Inc.
	72,000	7.500%, 09/15/20µ		72,315
	22,000	6.250%, 04/15/23		21,092
	92,000	Cimarex Energy Companyµ^ 5.875%, 05/01/22		97,701
	114,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		91,129
	13,000	Eclipse Resources Corp.* 8.875%, 07/15/23		12,236
		Energy Transfer Equity, LP
	47,000	5.875%, 01/15/24µ		48,028
	14,000	5.500%, 06/01/27^		13,808
	77,000	Gulfmark Offshore, Inc.µ 6.375%, 03/15/22		56,836
	36,000	Gulfport Energy Corp.µ 7.750%, 11/01/20		36,675
	89,000	Laredo Petroleum, Inc.µ 7.375%, 05/01/22		90,557
	24,000	Linn Energy, LLCµ 8.625%, 04/15/20		14,895
	16,000	Linn Energy, LLC / Linn Energy Finance Corp.µ 6.500%, 05/15/19		9,840
	50,000	MarkWest Energy Partners, LPµ
		4.875%, 06/01/25		48,500
		Oasis Petroleum, Inc.µ
	68,000	6.500%, 11/01/21		62,475
	20,000	6.875%, 01/15/23		18,163
	37,000	Pacific Drilling, SA*µ 5.375%, 06/01/20		27,981
	45,000	Petroleum Geo-Services, ASA*µ 7.375%, 12/15/18		42,019
	21,000	Rice Energy, Inc.*^ 7.250%, 05/01/23		20,619
	81,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		84,696
	27,000	Seventy Seven Operating, LLCµ 6.625%, 11/15/19		19,811
	29,000	SM Energy Companyµ 6.500%, 11/15/21		29,145
	58,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		56,949
	105,000	W&T Offshore, Inc. 8.500%, 06/15/19		64,312
	45,000	Western Refining, Inc.µ 6.250%, 04/01/21		45,366

				1,338,743

		*Financials (0.1%)*
	39,000	AON Corp.µ^ 8.205%, 01/01/27		49,627
	61,000	Black Knight InfoServ, LLCµ 5.750%, 04/15/23		64,773
	33,000	Brookfield Residential Properties, Inc.*^ 6.375%, 05/15/25		32,196
		DuPont Fabros Technology, LPµ
	21,000	5.875%, 09/15/21		21,525
	15,000	5.625%, 06/15/23		14,878
	32,000	Equinix, Inc.µ 5.375%, 04/01/23		32,380


PRINCIPAL AMOUNT			VALUE

	2,000	FelCor Lodging, LP* 6.000%, 06/01/25	$	2,059
	39,000	First Cash Financial Services, Inc.µ 6.750%, 04/01/21		41,145
	32,000	iStar Financial, Inc.µ 4.875%, 07/01/18		31,500
	46,000	Jefferies Finance, LLC*µ 7.375%, 04/01/20		45,885
	37,000	Nationstar Mortgage, LLC / Nationstar Capital Corp.µ 6.500%, 07/01/21		34,641
	89,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		94,948
	44,000	Quicken Loans, Inc.*µ 5.750%, 05/01/25		42,432

				507,989

		*Health Care (0.1%)*
	65,000	Acadia Healthcare Company, Inc.*µ 5.625%, 02/15/23		66,219
	52,000	Alere, Inc. 6.500%, 06/15/20		54,113
	61,000	Community Health Systems, Inc.µ 7.125%, 07/15/20		65,041
	50,000	DaVita HealthCare Partners, Inc.µ 5.125%, 07/15/24		50,375
		Endo International, PLC*‡
	122,000	7.250%, 12/15/20µ		128,252
	11,000	7.750%, 01/15/22		11,715
		HCA Holdings, Inc.µ
	130,000	5.875%, 05/01/23		139,100
	32,000	6.250%, 02/15/21		35,000
		Hologic, Inc.
	93,000	6.250%, 08/01/20		95,906
	17,000	5.250%, 07/15/22*		17,595
	15,000	Surgical Care Affiliates, Inc.* 6.000%, 04/01/23		15,056
	100,000	Tenet Healthcare Corp.µ 6.750%, 02/01/20		106,438
		Valeant Pharmaceuticals International, Inc.*
	101,000	7.000%, 10/01/20µ		105,103
	8,000	5.875%, 05/15/23^		8,295
	6,000	5.500%, 03/01/23		6,128
		VPII Escrow Corp.*
	16,000	7.500%, 07/15/21µ		17,360
	15,000	6.750%, 08/15/18		15,778

				937,474

		*Industrials (0.1%)*
	76,000	ACCO Brands Corp.µ 6.750%, 04/30/20		80,417
	101,000	Deluxe Corp.µ 6.000%, 11/15/20		106,744
	47,000	DigitalGlobe, Inc.*µ 5.250%, 02/01/21		45,238
	89,000	Dycom Investments, Inc.µ 7.125%, 01/15/21		93,394
	44,000	Edgen Murray Corp.*µ 8.750%, 11/01/20		47,740
	36,000	Garda World Security Corp.* 7.250%, 11/15/21		34,155
	46,000	GrafTech International, Ltd.µ^ 6.375%, 11/15/20		41,688

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	74,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22	$	74,509
		Icahn Enterprises, LPµ
	63,000	5.875%, 02/01/22		65,362
	38,000	6.000%, 08/01/20^		40,090
	9,000	4.875%, 03/15/19		9,281
	57,000	Manitowoc Company, Inc.µ 8.500%, 11/01/20		60,028
		Meritor, Inc.
	33,000	6.250%, 02/15/24		33,062
	26,000	6.750%, 06/15/21µ		26,845
		Michael Baker International, LLC*µ
	42,000	8.250%, 10/15/18		40,583
	24,000	8.875%, 04/15/19		20,370
	49,000	Navistar International Corp.^ 8.250%, 11/01/21		46,152
	29,000	Nortek, Inc.µ 8.500%, 04/15/21		31,066
	12,000	Summit Materials, LLC / Summit Materials Finance Corp.* 6.125%, 07/15/23		11,985
	79,000	Terex Corp.µ 6.000%, 05/15/21		79,592
	33,000	Titan International, Inc.µ 6.875%, 10/01/20		28,999
	38,000	TransDigm, Inc. 5.500%, 10/15/20		38,048
	37,000	United Continental Holdings, Inc.µ 6.375%, 06/01/18		38,966
		United Rentals North America, Inc.µ
	89,000	7.625%, 04/15/22		97,066
	23,000	6.125%, 06/15/23		23,704

				1,215,084

		*Information Technology (0.1%)*
	52,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		54,697
		Amkor Technology, Inc.µ
	53,000	6.375%, 10/01/22^		50,549
	15,000	6.625%, 06/01/21		14,747
	130,000	Belden, Inc.* 5.500%, 09/01/22		130,325
	40,000	Cardtronics, Inc.µ 5.125%, 08/01/22		39,525
	32,000	CommScope Technologies Finance, LLC* 6.000%, 06/15/25		31,620
	106,000	Hughes Satellite Systems Corp.µ 7.625%, 06/15/21		117,262
	65,000	J2 Global, Inc.µ 8.000%, 08/01/20		69,997
	49,000	Nuance Communications, Inc.*µ^ 5.375%, 08/15/20		50,072
	32,000	NXP Semiconductors, NV*µ 5.750%, 02/15/21		33,340
	73,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		75,418
	55,000	ViaSat, Inc.µ 6.875%, 06/15/20		58,266

				725,818

		*Materials (0.1%)*
	54,000	ArcelorMittal, SA^ 6.125%, 06/01/25		51,604


PRINCIPAL AMOUNT			VALUE

	23,000	Chemtura Corp.µ 5.750%, 07/15/21	$	23,374
		First Quantum Minerals, Ltd.*
	25,000	7.000%, 02/15/21µ		19,078
	25,000	6.750%, 02/15/20^		19,531
		FMG Resources (August 2006) Pty, Ltd.*^
	23,000	8.250%, 11/01/19		16,862
	13,000	9.750%, 03/01/22		11,968
	72,000	Greif, Inc.µ 7.750%, 08/01/19		80,370
		INEOS Group Holdings, SA*^
	36,000	6.125%, 08/15/18		36,652
	19,000	5.875%, 02/15/19		19,190
		New Gold, Inc.*µ
	65,000	7.000%, 04/15/20		63,741
	18,000	6.250%, 11/15/22		16,178
	38,000	PH Glatfelter Companyµ 5.375%, 10/15/20		39,211
		Sealed Air Corp.*µ
	33,000	6.500%, 12/01/20		36,857
	15,000	5.250%, 04/01/23		15,319
	65,000	Trinseo Materials Operating, SCA*^ 6.750%, 05/01/22		65,609
	45,000	United States Steel Corp.µ 6.875%, 04/01/21		42,272

				557,816

		*Telecommunication Services (0.1%)*
	33,000	CenturyLink, Inc.µ 6.750%, 12/01/23		33,145
		Frontier Communications Corp.µ
	45,000	7.625%, 04/15/24		40,866
	5,000	6.875%, 01/15/25		4,259
		Intelsat, SA
	91,000	7.750%, 06/01/21		73,028
	6,000	8.125%, 06/01/23^		4,811
	38,000	SBA Communications Corp.µ 5.625%, 10/01/19		40,019
		Sprint Corp.µ
	182,000	7.875%, 09/15/23		174,834
	24,000	7.125%, 06/15/24		22,050
	17,000	7.250%, 09/15/21		16,309
	76,000	T-Mobile USA, Inc.µ 6.625%, 04/01/23		80,987

				490,308

		*Utilities (0.0%)*
	49,000	AES Corp.µ 7.375%, 07/01/21		53,961
	81,000	AmeriGas Finance Corp.µ^ 7.000%, 05/20/22		86,468

				140,429

		TOTAL CORPORATE BONDS		7,956,105

	*U.S. Government and Agency Security (0.0%)*
	11,000	United States Treasury Note~ 0.250%, 12/15/15		11,005

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)


NUMBER OF CONTRACTS			VALUE

	*Purchased Options (0.2%)#*
		*Consumer Discretionary (0.1%)*
	1,585	Lennar Corp. Call, 01/15/16, Strike $48.00	$	1,105,538

		*Information Technology (0.1%)*
	2,400	Xilinx, Inc. Call, 01/15/16, Strike $45.00		301,200

		TOTAL PURCHASED OPTIONS		1,406,738

		TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $9,467,645)		9,373,848

NUMBER OF SHARES			VALUE
	CONVERTIBLE PREFERRED STOCKS (23.1%)
		*Consumer Discretionary (0.7%)*
	46,550	Fiat Chrysler Automobiles, NV 7.875%		6,345,091

		*Consumer Staples (1.8%)*
	54,000	Bunge, Ltd.µ 4.875%		5,589,000
	30,800	Post Holdings, Inc. 5.250%		3,264,800
	130,000	Tyson Foods, Inc. 4.750%		7,013,500

				15,867,300

		*Energy (1.5%)*
	19,133	Chesapeake Energy Corp. 5.750%		9,745,585
	69,300	Southwestern Energy Company 6.250%		2,979,900

				12,725,485

		*Financials (4.8%)*
	207,200	Affiliated Managers Group, Inc.µ^ 5.150%		12,432,000
	64,000	American Tower Corp. 5.250%		6,627,200
	93,000	Crown Castle International Corp.^ 4.500%		9,617,130
	130,225	Health Care REIT, Inc.µ 6.500%		8,113,017
	103,333	Weyerhaeuser Company 6.375%		5,309,250

				42,098,597

		*Health Care (6.3%)*
	21,750	Allergan PLC 5.500%		24,188,827
	49,750	Amsurg Corp.^ 5.250%		6,853,560
	475,295	Anthem, Inc.^ 5.250%		24,363,622

				55,406,009


NUMBER OF SHARES			VALUE

		*Industrials (2.4%)*
	31,500	Genesee & Wyoming, Inc. 5.000%	$	3,135,037
		Stanley Black & Decker, Inc.µ
	91,966	4.750%		13,276,212
	16,750	6.250%^		1,999,615
	60,000	United Technologies Corp. 7.500%		3,087,600

				21,498,464

		*Materials (0.3%)*
	70,000	Alcoa, Inc.^ 5.375%		2,525,600

		*Telecommunication Services (2.1%)*
	58,870	Frontier Communications Corp. 11.125%		5,754,543
	128,000	Intelsat, SA^ 5.750%		3,470,080
	125,650	T-Mobile USA, Inc. 5.500%		8,946,280

				18,170,903

		*Utilities (3.2%)*
	170,000	Dominion Resources, Inc.µ 6.375%		8,581,600
	130,000	Exelon Corp. 6.500%		6,076,200
	239,000	NextEra Energy, Inc.^ 5.799%		13,857,220

				28,515,020

		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $207,336,593)		203,152,469

	COMMON STOCKS (0.3%)
		*Financials (0.3%)*
	13,850	American International Group, Inc.µ^		888,062
	190,000	Och-Ziff Capital Management Group, LLC - Class Aµ^		2,202,100

		TOTAL COMMON STOCKS (Cost $3,205,297)		3,090,162

	SHORT TERM INVESTMENT (5.1%)
	44,906,573	Fidelity Prime Money Market Fund - Institutional Class (Cost $44,906,573)		44,906,573

	TOTAL INVESTMENTS (139.7%) (Cost $1,210,308,840)			1,230,453,750

	LIABILITIES, LESS OTHER ASSETS (-39.7%)			(349,973,693	)

	NET ASSETS (100.0%)		$	880,480,057

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2015 (UNAUDITED)

NOTES TO SCHEDULE OF INVESTMENTS


*		Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
µ		Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $666,748,551. $166,740,380 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).
^		Security, or portion of security, is on loan.
‡		Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2015.
§		Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.


~		Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps. The aggregate value of such securities is $700,341.
¤		The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
#		Non-income producing security.

FOREIGN CURRENCY ABBREVIATION


EUR		European Monetary Unit

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

See accompanying Notes to Schedule of Investments

Calamos Convertible Opportunities and Income Fund

INTEREST RATE SWAPS


COUNTERPARTY	FIXED RATE (FUND PAYS)	FLOATING RATE (FUND RECEIVES)	TERMINATION DATE	NOTIONAL AMOUNT		UNREALIZED APPRECIATION/ (DEPRECIATION)
BNP Paribas, SA	1.160% quarterly	3 month LIBOR	04/19/17	$	55,000,000	$	(378,081	)
BNP Paribas, SA	1.140% quarterly	3 month LIBOR	03/14/17		40,000,000		(301,126	)

						$	(679,207	)

See accompanying Notes to Schedule of Investments

Note 1 — Organization and Significant Accounting Policies

Organization. Calamos Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002. The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities and under normal circumstances, the Fund will invest at least 35% of its managed assets in convertible securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2015.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

Note 2 — Investments

The following information is presented on a federal income tax basis as of July 31, 2015. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at July 31, 2015 was as follows:


Cost basis of investments	$	1,221,886,744

Gross unrealized appreciation		85,582,038
Gross unrealized depreciation		(77,015,032	)

Net unrealized appreciation (depreciation)	$	8,567,006

Note 3 — Borrowings

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $215.0 million and a lending agreement, (“Lending Agreement”) as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $215.0 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2015, the average borrowings under the Agreements were $360.0 million. For the period ended July 31, 2015, the average interest rate was 0.69%. As of July 31, 2015, the amount of total outstanding borrowings was $360.0 million ($180.0 million under the BNP Agreement and $180.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on July 31, 2015 was 0.81%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of

such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of July 31, 2015, the Fund used approximately $109.8 million of its cash collateral to offset the SSB Agreement representing 8.9% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.46%, which can fluctuate depending on interest rates. As of July 31, 2015, approximately $107.9 million of securities were on loan ($94.0 million of fixed income securities and $13.9 million of equity securities).

On May 22, 2015, the Fund’s board of trustees amended the Fund’s non- fundamental policy with respect to borrowings to be measured based on managed assets rather than total assets. The policy, as amended, is as follows:

As a non-fundamental policy, the Fund may not issue debt securities, borrow money or issue preferred shares in an aggregate amount exceeding 38% of the Fund’s managed assets measured at the time of issuance of the new securities.

For purposes of this non-fundamental policy, “managed assets” shall mean the total assets of the Fund (including any assets attributable to any leverage that may be outstanding) minus the sum of liabilities (other than debt representing financial leverage). The policy is measured at each incurrence of the debt and is not a maintenance test.

Note 4 — Interest Rate Swaps

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

Note 5 — Fair Value Measurement

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

•

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

•

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

•

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:


	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Assets:
Corporate Bonds	$	—	$	482,137,949	$	—	$	482,137,949
Convertible Bonds		—		487,103,413		—		487,103,413
U.S. Government and Agency Security		—		689,336		—		689,336
Synthetic Convertible Securities (Corporate Bonds)		—		7,956,105		—		7,956,105
Synthetic Convertible Securities (U.S. Government and Agency Security)		—		11,005		—		11,005
Synthetic Convertible Securities (Purchased Options)		1,406,738		—		—		1,406,738
Convertible Preferred Stocks		165,775,993		37,376,476		—		203,152,469
Common Stocks U.S.		3,090,162		—		—		3,090,162
Short Term Investment		44,906,573		—		—		44,906,573

Total	$	215,179,466	$	1,015,274,284	$	—	$	1,230,453,750


Liabilities:
Interest Rate Swaps		—		679,207		—		679,207

Total	$	—	$	679,207	$	—	$	679,207

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Calamos Convertible Opportunities and Income Fund

By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		September 21, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Calamos Convertible Opportunities and Income Fund

By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		September 21, 2015

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		September 21, 2015