Calamos Convertible Opportunities and Income Fund (CHI) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT 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., President,
	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, 2010

DATE OF REPORTING PERIOD: November 1, 2009 through April 30, 2010

ITEM 1.   REPORTS TO SHAREHOLDERS

Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270. 30e-1).

Calamos Investments: Expertise and Foresight

Since our founding in 1977, Calamos Investments has been committed to addressing the investment needs of individual and institutional investors. For more than 30 years, clients have admired our adherence to a single investment approach: to seek a proper balance between risks and opportunities. Much of our success is due to our consistent application of our core belief when it comes to investment management: one-team, one-process. A single team of investment professionals analyzes the entire capital structure of a company prior to selecting individual securities for the portfolios. The versatility of our approach, our disciplined focus on risk management, and our goal of consistently achieving superior returns for our clients are three pillars that support our ongoing prosperity. Leveraging founder John P. Calamos, Sr.’s expertise in the complex convertible market, the company has evolved from a small boutique manager into a global, growth-focused investment firm that offers multiple investment vehicles across equity, fixed-income and alternative strategies.

We invite you to review our semiannual report.

  TABLE OF CONTENTS

Letter to Shareholders	1
Investment Team Commentary	4
Schedule of Investments	6
Statement of Assets and Liabilities	15
Statement of Operations	16
Statements of Changes In Net Assets	17
Statement of Cash Flows	18
Notes to Financial Statements	19
Financial Highlights	28
Report of Independent Registered Public Accounting Firm	29
About Closed-End Funds	33
Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan	34
The Calamos Investments Advantage	35
Calamos Closed-End Funds	36

Letter to Shareholders

About the Fund

•  The Fund’s dynamic asset allocation approach and broad investment universe provides enhanced opportunities to pursue income and total returns.

•  Invests primarily in securities of U.S. issuers.

Dear current and prospective shareholders:

Since 1977, our experience and the evolution of our one-team, one-process approach to investing have continued to meet the investment needs of our individual and institutional investors through many uncertain times and volatile markets. Our goal is to find the optimal balance between opportunity and risk, allowing our investors to take advantage of market gains while minimizing the impact of downward markets. At Calamos Investments, a single team of experts manages all of our strategies including equity, fixed-income and alternative strategies. Our unique process allows us to dynamically invest in a combination of asset classes where we see opportunity.

In 1985, we created our first mutual Fund and one of the first convertible securities mutual Funds by utilizing our experience managing institutional portfolios. Over the years, we have built upon that experience to create many investment strategies in open-end and closed-end Fund formats. Beginning in 1996, we began offering global investment strategies to capitalize on investment opportunities around the world.

In 2002, we launched our first closed-end Fund to great success. Closed-end Funds are long-term investments, the majority of which focus on providing monthly distributions, but there are important differences among individual closed-end Funds.

Today, we manage a total of five closed-end Funds. While each closed-end Fund has a different risk profile, the overall objectives are consistent. Calamos’ closed-end Funds can be grouped into two broad categories: enhanced fixed-income Funds and total return Funds. Each of our closed-end Funds invests in a combination of asset classes, maintaining the potential for capital appreciation and providing sources of income.

Enhanced Fixed-Income Funds

Portfolios positioned to pursue high current income from investment income and capital gains.

–  Convertible Opportunities and Income Fund (CHI)—invests in high yield and convertible securities, primarily in U.S. markets.

–  Convertible and High Income Fund (CHY)—invests in high yield and convertible securities, primarily in U.S. markets.

–  Global Dynamic Income Fund (CHW)—invests in equities and higher yielding convertible securities and corporate bonds in both U.S. and non-U.S. markets.

Convertible Opportunities and Income Fund
Letter to Shareholders SEMIANNUAL REPORT 1

Letter to Shareholders

Total Return Funds

Portfolios positioned to seek current income with increased emphasis on capital gains potential.

–  Global Total Return Fund (CGO)—invests in equities and higher yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets.

–  Strategic Total Return Fund (CSQ)—invests in equities and higher yielding convertible securities and corporate bonds, primarily in U.S. markets.

Broadly speaking, we continue to favor companies and issuers with stronger balance sheets and the ability to grow without over-relying on the capital markets. We continue to emphasize companies with global leadership positions, well-recognized brands and capable management teams. Our investment process also reflects long-term thematic influences, such as productivity improvements, globalization and infrastructure building.

We believe that the volatility in the markets will continue to be unpredictable; accordingly, our aim is to think globally and be flexible. We have positioned the portfolios in higher quality names relative to the investment universe in which each respective Fund may participate. In regards to equities, while focusing on income and total return objectives, we have favored larger companies that have stronger balance sheets and global revenue streams, which we believe are better positioned to take advantage of opportunities that globalization offers and have the strength to withstand potential market turbulence.

While there are many positive signs in the economic picture, we continue to favor more conservative positioning in convertibles and high yield bonds. Notably, we have maintained an underweight position in the lowest quality credit tier. Over the years, we have relied heavily on our credit process to serve shareholders. We continue to believe that avoiding these speculative credits is prudent risk management, and historically has served our shareholders well. We have conviction that this positioning provides the portfolio with an attractive risk/reward profile in the current market environment.

In this semiannual report you will find a variety of information about the six months ended April 30, 2010 for your review. Enclosed are commentaries from our investment team, a list of portfolio holdings, financial data and highlights, as well as details about the performance and asset allocation.

During the reporting period, the Fund continued to operate in a very low interest rate environment. The environment has been conducive to the prudent use of leverage in the Fund, as we were able to borrow at inexpensive rates and achieve a return greater than the cost of leverage on the invested proceeds. The use of leverage has also been supportive of the Fund’s distribution rate. We plan to continue the judicious use of leverage so long as we believe it will create value for shareholders. Further, we believe that the Fund’s current distribution rate remains very attractive, especially when viewed against other income producing strategies. We and the Fund’s Board of Trustees remain committed to providing a distribution that we believe is generally sustainable over the long-term and we will continue to keep a watchful eye on the investment climate to determine an appropriate rate for our shareholders.

  2
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Letter to Shareholders

Letter to Shareholders

We encourage you to call your financial advisor or Calamos Investments at 800.582.6959 to talk further about your individual investments. You may also visit our website at www.calamos/ce.com for more information about our Funds, their objectives and performances, as well as up-to-date market commentary.

Thank you for your confidence and for letting us serve your investment needs both now and in years to come.

Sincerely,

John P. Calamos, Sr.

Chairman, CEO and Co-CIO

Calamos Advisors LLC

This report is for informational purposes only and should not be considered investment advice.

Convertible Opportunities and Income Fund
Letter to Shareholders SEMIANNUAL REPORT 3

Investment Team Commentary

The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, CFA, discusses the Fund’s performance, strategy and positioning during the six-month period ended April 30, 2010.

 TOTAL RETURN*

Common Shares – Inception 6/26/02

	6				Since
	Months		1 Year		Inception**
On Market Price		18.99%		57.89%		10.15%
On NAV		12.01%		49.44%		10.47%

*Total return measures net investment income and net realized gain or loss from portfolio investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.

**Annualized since inception.

The objective of the Calamos Convertible Opportunities and Income Fund (CHI) is to seek total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below-investment-grade (high yield) fixed-income securities. The Fund’s enhanced fixed-income strategy spans the credit quality range and uses a variety of debt instruments to achieve its objective. The strategy provides an alternative to investment-grade fixed-income instruments.

About the Fund

•  The Fund’s dynamic asset allocation approach and broad investment universe provide enhanced opportunities to pursue income and total returns.

•  The Fund utilizes a blend of high yield and convertible securities in seeking to achieve high income.

•  Invests primarily in securities of U.S. issuers.

 SINCE INCEPTION MARKET PRICE AND NAV HISTORY

 SECTOR WEIGHTINGS

Energy	17.3	%
Information Technology	14.9
Materials	14.3
Consumer Discretionary	12.7
Industrials	9.0
Financials	8.4
Health Care	7.5
Consumer Staples	5.1
Telecommunication Services	3.9
Utilities	0.4

Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the portfolio may hold.

How did the Fund perform over the reporting period on a NAV Basis basis?

CHI’s net asset value (NAV) total return was a gain of 12.01% for the reporting period, outperforming the Credit Suisse High Yield Bond Index performance of 11.53% but lagging the BofA ML Convertible Excluding Mandatories Index performance of 15.88%.

How did the Fund perform over the reporting period on a market price basis?

The return on market price was 18.99% for the six-month period ended April 30, 2010. This significantly outperformed both the high yield and convertible indexes mentioned above. The Fund realized a significant improvement to the discount to NAV (percentage that the Fund’s publicly traded price is relative to the NAV) moving

  4
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Investment Team Commentary

Investment Team Commentary

from a 3.63% discount at the beginning of the period to a premium of 2.37% at the end of the period.

What affected the Fund’s performance over the reporting period?

The Fund’s NAV benefited as high yield bonds and convertible securities, the Fund’s principle investment areas, performed well as investors sought income-producing securities during the reporting period. High yield credit spreads narrowed, indicating a preference for high yield bonds, and ended the period with the average spread trading at 588 basis points according to JP Morgan market data (at the beginning of the period, the spread was 749 basis points). In the convertible market, the reporting period was characterized by significant outperformance of the CCC credit tier of the convertible market. In this uncertain market environment, we have been significantly underweight the CCC rated issuers and this hampered the Fund’s performance.

From a sector perspective, value was added versus the Credit Suisse High Yield Index from an underweight position and issue selection within the health care sector. Value was also added through issue selection in the financials sector. The Fund was held back by an underweight allocation and lagging selection within consumer discretionary as it was the best performing sector in the index for the period. Security selection within the energy and consumer staples sectors also hampered performance.

The Fund is focused on investing in securities that offer a yield or distribution, and that will also potentially offer total return over the long term. To help manage risks in this area, and certainly in light of current economic and market conditions, the Fund tends to have a higher quality bias than the broad high yield or convertible markets. While this did somewhat reduce returns as the lowest quality tiers of these markets showed the strongest performance, we continue to protect against volatility and default potential of the lowest grade securities.

What are your current thoughts regarding the Fund’s distribution rate?

The Fund has been operating in a very low interest rate environment as witnessed by the lower relative yields found in the marketplace. The S&P 500 Dividend Yield has been roughly 2%, 10 Year Treasury Bonds were yielding 3.3% and 30 Year Treasuries were yielding 4.2%. As such, we have been pleased with the market price yield of 8.80% at the end of the reporting period. The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.

Convertible Opportunities and Income Fund
Investment Team Commentary SEMIANNUAL REPORT 5

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
CORPORATE BONDS (68.8%)
			Consumer Discretionary (12.6%)
	3,426,000		Asbury Automotive Group, Inc. 7.625%, 03/15/17	$	3,306,090
	2,937,000		Cooper Tire & Rubber Company 8.000%, 12/15/19		3,010,425
	5,163,000		DISH Network Corp.µ 7.125%, 02/01/16		5,266,260
	1,958,000		GameStop Corp.µ 8.000%, 10/01/12		2,041,215
			General Motors Corp.
	8,810,000		7.200%, 01/15/11		3,325,775
	1,468,000		7.125%, 07/15/13		550,500
	2,227,000		Goodyear Tire & Rubber Companyµ 7.000%, 03/15/28		1,993,165
	5,628,000		Hanesbrands, Inc.µ‡ 3.831%, 12/15/14		5,459,160
	3,915,000		Hasbro, Inc.µ 6.600%, 07/15/28		4,125,682
	1,106,000		Interpublic Group of Companies, Inc.µ 10.000%, 07/15/17		1,270,517
	5,736,000		Jarden Corp. 7.500%, 05/01/17		5,893,740
	2,713,000		Kellwood Company 7.625%, 10/15/17		1,275,110
	2,937,000		Liberty Media Corp.µ 8.250%, 02/01/30		2,757,109
	754,000		Limited Brands, Inc.† 7.000%, 05/01/20		772,850
	117,000		Live Nation Entertainment, Inc.*† 8.125%, 05/15/18		120,803
	4,405,000		MGM Mirage 8.375%, 02/01/11		4,482,087
	4,180,000		NetFlix, Inc.µ 8.500%, 11/15/17		4,472,600
			Phillips-Van Heusen Corp.
	4,894,000		8.125%, 05/01/13		4,991,880
	225,000		7.375%, 05/15/20†		231,750
			Royal Caribbean Cruises, Ltd.µ
	4,894,000		7.500%, 10/15/27		4,551,420
	979,000		7.250%, 06/15/16		996,133
	979,000		7.000%, 06/15/13		1,020,608
			Service Corp. Internationalµ
	6,852,000		7.500%, 04/01/27		6,492,270
	1,958,000		7.625%, 10/01/18		2,011,845
	2,937,000		Sotheby’s Holdings, Inc.µ 7.750%, 06/15/15		3,003,082
	1,468,000		Speedway Motorsports, Inc. 8.750%, 06/01/16		1,578,100
	12,431,000		Vail Resorts, Inc.µ 6.750%, 02/15/14		12,648,542
	3,373,000		Warnaco Group, Inc. 8.875%, 06/15/13		3,448,892
	979,000	GBP	Warner Music Group Corp. 8.125%, 04/15/14		1,423,024
					92,520,634
			Consumer Staples (3.8%)
	3,426,000		Chiquita Brands International, Inc. 8.875%, 12/01/15		3,528,780
			Constellation Brands, Inc.
	1,958,000		7.250%, 09/01/16µ		2,019,187
	1,958,000		7.250%, 05/15/17		2,006,950
	1,116,000		Del Monte Foods Company* 7.500%, 10/15/19		1,184,355
	2,447,000		NBTY, Inc.µ 7.125%, 10/01/15		2,474,529
			Reynolds American, Inc.µ
	2,937,000		7.625%, 06/01/16		3,306,613
	2,937,000		7.250%, 06/15/37		3,060,134
	9,789,000		Smithfield Foods, Inc.µ 7.750%, 05/15/13		9,984,780
	225,000		TreeHouse Foods, Inc. 7.750%, 03/01/18		235,125
					27,800,453
			Energy (16.5%)
	734,000		Arch Coal, Inc.* 8.750%, 08/01/16		785,380
	6,803,000		Arch Western Finance, LLCµ 6.750%, 07/01/13		6,888,037
	2,105,000		ATP Oil & Gas Corp.* 11.875%, 05/01/15		2,073,425
			Berry Petroleum Company
	1,958,000		10.250%, 06/01/14		2,178,275
	998,000		8.250%, 11/01/16		1,020,455
	5,472,000		Bristow Group, Inc.µ 7.500%, 09/15/17		5,560,920
			Chesapeake Energy Corp.µ
	8,810,000		7.500%, 06/15/14		9,008,225
	2,711,000		6.875%, 11/15/20		2,656,780
	3,915,000		Complete Production Services, Inc.µ 8.000%, 12/15/16		4,022,663
	6,167,000		Comstock Resources, Inc. 8.375%, 10/15/17		6,398,262
	4,248,000		Concho Resources, Inc. 8.625%, 10/01/17		4,555,980
	538,000		Continental Resources, Inc.* 7.375%, 10/01/20		559,520
	2,937,000		Forest Oil Corp.µ 8.000%, 12/15/11		3,120,563
	4,101,000		Frontier Oil Corp.µ 8.500%, 09/15/16		4,254,788
	3,034,000		GulfMark Offshore, Inc.µ 7.750%, 07/15/14		3,034,000
	7,439,000		Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		7,773,755

  6
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT			VALUE
	2,868,000	Hornbeck Offshore Services, Inc. 8.000%, 09/01/17	$	2,925,360
		Mariner Energy, Inc.µ
	4,894,000	11.750%, 06/30/16		6,288,790
	1,958,000	8.000%, 05/15/17		2,168,485
	5,482,000	Petrohawk Energy Corp.µ 7.125%, 04/01/12		5,509,410
		Petroplus Holdings, AGµ*
	4,894,000	9.375%, 09/15/19		4,698,240
	1,958,000	6.750%, 05/01/14		1,869,890
	489,000	7.000%, 05/01/17		447,435
	3,915,000	Pride International, Inc.µ 8.500%, 06/15/19		4,516,931
		Range Resources Corp.µ
	1,826,000	7.375%, 07/15/13		1,864,803
	1,782,000	8.000%, 05/15/19		1,933,470
	3,915,000	SEACOR Holdings, Inc. 7.375%, 10/01/19		4,137,908
	6,363,000	Superior Energy Services, Inc.µ 6.875%, 06/01/14		6,363,000
	4,307,000	Swift Energy Company 8.875%, 01/15/20		4,527,734
		Williams Companies, Inc.
	7,248,000	7.750%, 06/15/31		8,368,033
	1,450,000	7.500%, 01/15/31		1,639,650
				121,150,167
		Financials (4.5%)
	4,894,000	Ford Motor Credit Company, LLC 9.875%, 08/10/11		5,180,563
	5,482,000	Janus Capital Group, Inc.µ 6.950%, 06/15/17		5,592,572
		Leucadia National Corp.µ
	7,586,000	8.125%, 09/15/15		7,984,265
	1,165,000	7.000%, 08/15/13		1,226,163
	5,384,000	Nuveen Investments, Inc. 10.500%, 11/15/15		5,410,920
		OMEGA Healthcare Investors, Inc.
	3,083,000	7.500%, 02/15/20*		3,183,197
	1,664,000	7.000%, 04/01/14µ		1,682,720
	2,460,000	Senior Housing Properties Trustµ 7.875%, 04/15/15		2,509,200
				32,769,600
		Health Care (1.6%)
		Bio-Rad Laboratories, Inc.
	1,958,000	8.000%, 09/15/16		2,099,955
	1,664,000	7.500%, 08/15/13µ		1,697,280
	4,405,000	Talecris Biotherapeutics Holdings Corp.* 7.750%, 11/15/16		4,471,075
	3,720,000	Valeant Pharmaceuticals International* 7.625%, 03/15/20		3,803,700
				12,072,010
		Industrials (7.2%)
	2,937,000	BE Aerospace, Inc.µ 8.500%, 07/01/18		3,149,932
		Belden, Inc.µ
	3,671,000	7.000%, 03/15/17		3,634,290
	979,000	9.250%, 06/15/19*		1,057,320
	1,958,000	Clean Harbors, Inc. 7.625%, 08/15/16		2,048,558
	979,000	Cummins, Inc.µ 7.125%, 03/01/28		1,014,017
	4,547,000	Deluxe Corp.µ 7.375%, 06/01/15		4,643,624
	2,937,000	Gardner Denver, Inc.µ 8.000%, 05/01/13		2,970,041
	734,000	GEO Group, Inc.* 7.750%, 10/15/17		754,185
	1,566,000	H&E Equipment Service, Inc.µ 8.375%, 07/15/16		1,566,000
	2,447,000	Interline Brands, Inc.µ 8.125%, 06/15/14		2,468,411
	1,958,000	Kansas City Southernµ 13.000%, 12/15/13		2,349,600
		Oshkosh Corp.*
	1,468,000	8.500%, 03/01/20		1,552,410
	979,000	8.250%, 03/01/17		1,035,293
	6,363,000	Spirit AeroSystems Holdings, Inc.* 7.500%, 10/01/17		6,537,982
	2,388,000	SPX Corp.µ 7.625%, 12/15/14		2,537,250
	6,852,000	Terex Corp.µ 7.375%, 01/15/14		6,971,910
	2,937,000	Trinity Industries, Inc.µ 6.500%, 03/15/14		3,014,096
	2,007,000	Triumph Group, Inc. 8.000%, 11/15/17		2,017,035
	3,402,000	Wesco Distribution, Inc. 7.500%, 10/15/17		3,384,990
				52,706,944
		Information Technology (7.2%)
		Amkor Technology, Inc.
	7,341,000	9.250%, 06/01/16~		7,854,870
	2,937,000	7.375%, 05/01/18*		2,944,343
	2,800,000	7.750%, 05/15/13µ		2,838,500
	1,370,000	Anixter International, Inc.µ 5.950%, 03/01/15		1,342,600
	881,000	Equinix, Inc. 8.125%, 03/01/18		921,746
	4,454,000	Freescale Semiconductor, Inc. 8.875%, 12/15/14		4,409,460
		Jabil Circuit, Inc.
	5,384,000	8.250%, 03/15/18µ		5,855,100
	979,000	7.750%, 07/15/16		1,042,635

Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 7

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
	294,000		JDA Software Group, Inc.* 8.000%, 12/15/14	$	309,435
	3,553,000		Lender Processing Services, Inc.µ 8.125%, 07/01/16		3,806,151
	2,447,000		Lexmark International, Inc.µ 6.650%, 06/01/18		2,619,274
	3,426,000		Seagate Technologyµ 6.800%, 10/01/16		3,494,520
	1,468,000		SunGard Data Systems, Inc. 9.125%, 08/15/13		1,513,875
			Xerox Corp.
	9,299,000		8.000%, 02/01/27µ		9,380,152
	4,571,000		7.625%, 06/15/13~		4,687,108
					53,019,769
			Materials (10.0%)
	2,692,000		Allegheny Ludlum Corp. 6.950%, 12/15/25		2,663,363
	852,000		Ashland, Inc.µ* 9.125%, 06/01/17		973,410
	1,468,000		Ball Corp. 7.375%, 09/01/19		1,552,410
	1,754,000		Boise Cascade Holdings, LLC 7.125%, 10/15/14		1,740,845
	5,736,000		Greif, Inc. 7.750%, 08/01/19		6,065,820
			Ineos Group Holdings, PLC*
	4,698,000	EUR	7.875%, 02/15/16		5,269,965
	979,000		8.500%, 02/15/16		876,205
	4,894,000		Mosaic Companyµ* 7.625%, 12/01/16		5,375,442
			Nalco Holding Company
	2,711,000		8.250%, 05/15/17µ*		2,921,103
	1,958,000	EUR	9.000%, 11/15/13		2,685,188
	3,915,000		Neenah Paper, Inc.µ 7.375%, 11/15/14		3,934,575
	7,831,000		Sealed Air Corp.µ* 6.875%, 07/15/33		7,583,431
	3,583,000		Silgan Holdings, Inc. 7.250%, 08/15/16		3,753,192
	1,958,000		Southern Copper Corp.µ 7.500%, 07/27/35		2,099,888
			Steel Dynamics, Inc.
	7,028,000		7.750%, 04/15/16		7,370,615
	979,000		7.625%, 03/15/20*		1,018,160
	4,405,000		Terra Industries, Inc. 7.750%, 11/01/19		5,423,656
	1,958,000		Texas Industries, Inc.µ 7.250%, 07/15/13		1,960,448
			Union Carbide Corp.µ
	3,915,000		7.500%, 06/01/25		3,827,151
	3,034,000		7.875%, 04/01/23		3,030,975
	3,132,000		Westlake Chemical Corp.µ 6.625%, 01/15/16		3,147,660
					73,273,502
			Telecommunication Services (4.8%)
	4,610,000		CenturyTel, Inc.µ 6.875%, 01/15/28		4,526,674
	5,971,000		Frontier Communications Corp.µ 9.000%, 08/15/31		6,060,565
	2,937,000		Leap Wireless International, Inc. 9.375%, 11/01/14		3,050,809
	2,447,000		New Communications Holdings, Inc.* 8.250%, 04/15/17		2,532,645
	5,873,000		Qwest Communications International, Inc.µ 7.750%, 02/15/31		5,784,905
	9,789,000		Sprint Nextel Corp.µ 7.375%, 08/01/15		9,580,984
	3,915,000		Syniverse Technologies, Inc.µ 7.750%, 08/15/13		3,993,300
					35,529,882
			Utilities (0.6%)
	5,384,000		Energy Future Holdings Corp. 10.250%, 11/01/15		4,064,920
			TOTAL CORPORATE BONDS (Cost $496,418,628)		504,907,881
CONVERTIBLE BONDS (22.9%)
			Consumer Discretionary (2.4%)
			Interpublic Group of Companies, Inc.
	4,000,000		4.750%, 03/15/23		4,435,000
	1,000,000		4.250%, 03/15/23µ		1,076,250
	10,000,000		Liberty Media Corp. (Time Warner, Inc.)µ§ 3.125%, 03/30/23		11,075,000
	1,870,000		Liberty Media Corp. (Viacom, CBS Corp. - Class B)µ§ 3.250%, 03/15/31		1,217,838
					17,804,088
			Energy (1.2%)
	8,500,000		Chesapeake Energy Corp.µ 2.250%, 12/15/38		6,321,875
	2,000,000		St. Mary Land & Exploration Companyµ 3.500%, 04/01/27		2,102,500
					8,424,375
			Financials (0.4%)
	2,850,000		Health Care REIT, Inc. 3.000%, 12/01/29		3,003,188

  8
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
			Health Care (3.8%)
	8,500,000		Cubist Pharmaceuticals, Inc.µ 2.250%, 06/15/13	$	8,372,500
	16,000,000		Life Technologies Corp.µ 3.250%, 06/15/25		19,400,000
					27,772,500
			Industrials (2.9%)
	10,500,000		L-3 Communications Holdings, Inc.µ 3.000%, 08/01/35		11,064,375
	1,445,000		Quanta Services, Inc. 3.750%, 04/30/26		1,475,706
	10,500,000		Trinity Industries, Inc.µ 3.875%, 06/01/36		9,030,000
					21,570,081
			Information Technology (9.8%)
	1,160,000		ADC Telecommunications, Inc. 3.500%, 07/15/15		974,400
	1,300,000	GBP	Autonomy Corp., PLC 3.250%, 03/04/15		2,259,579
	3,000,000		Blackboard, Inc.µ 3.250%, 07/01/27		3,060,000
	5,500,000		Euronet Worldwide, Inc.µ 3.500%, 10/15/25		5,280,000
			Intel Corp.
	23,250,000		2.950%, 12/15/35µ		23,656,875
	2,000,000		3.250%, 08/01/39*		2,457,500
	16,500,000		Linear Technology Corp.µ 3.000%, 05/01/27		16,541,250
	4,000,000		ON Semiconductor Corp.µ 2.625%, 12/15/26		4,135,000
	3,500,000		Rovi Corp.* 2.625%, 02/15/40		3,653,125
	10,000,000		VeriSign, Inc. 3.250%, 08/15/37		9,475,000
					71,492,729
			Materials (2.4%)
	1,500,000		Anglo American, PLC 4.000%, 05/07/14		2,523,000
	3,700,000		AngloGold Ashanti, Ltd. 3.500%, 05/22/14		4,351,877
	8,010,000		Newmont Mining Corp.µ 3.000%, 02/15/12		10,713,375
					17,588,252
			TOTAL CONVERTIBLE BONDS (Cost $164,979,686)		167,655,213
U.S. GOVERNMENT AND AGENCY SECURITY (0.4%)
	2,643,000		United States Treasury Note~ 1.500%, 10/31/10 (Cost $2,659,620)		2,659,313
SOVEREIGN BOND (1.1%)
	1,400,000	BRL	Federal Republic of Brazil 10.000%, 01/01/12 (Cost $8,138,658)		8,055,704
SYNTHETIC CONVERTIBLE SECURITIES (1.8%)
Corporate Bonds (1.5%)
			Consumer Discretionary (0.3%)
	74,000		Asbury Automotive Group, Inc. 7.625%, 03/15/17		71,410
	63,000		Cooper Tire & Rubber Company 8.000%, 12/15/19		64,575
	112,000		DISH Network Corp.µ 7.125%, 02/01/16		114,240
	42,000		GameStop Corp.µ 8.000%, 10/01/12		43,785
			General Motors Corp.
	190,000		7.200%, 01/15/11		71,725
	32,000		7.125%, 07/15/13		12,000
	48,000		Goodyear Tire & Rubber Companyµ 7.000%, 03/15/28		42,960
	122,000		Hanesbrands, Inc.µ‡ 3.831%, 12/15/14		118,340
	85,000		Hasbro, Inc.µ 6.600%, 07/15/28		89,574
	24,000		Interpublic Group of Companies, Inc.µ 10.000%, 07/15/17		27,570
	124,000		Jarden Corp. 7.500%, 05/01/17		127,410
	59,000		Kellwood Company 7.625%, 10/15/17		27,730
	63,000		Liberty Media Corp.µ 8.250%, 02/01/30		59,141
	16,000		Limited Brands, Inc.† 7.000%, 05/01/20		16,400
	3,000		Live Nation Entertainment, Inc.*† 8.125%, 05/15/18		3,098
	95,000		MGM Mirage 8.375%, 02/01/11		96,662
	90,000		NetFlix, Inc.µ 8.500%, 11/15/17		96,300
			Phillips-Van Heusen Corp.
	106,000		8.125%, 05/01/13		108,120
	5,000		7.375%, 05/15/20†		5,150
			Royal Caribbean Cruises, Ltd.µ
	106,000		7.500%, 10/15/27		98,580
	21,000		7.250%, 06/15/16		21,368
	21,000		7.000%, 06/15/13		21,893
			Service Corp. Internationalµ
	148,000		7.500%, 04/01/27		140,230
	42,000		7.625%, 10/01/18		43,155
	63,000		Sotheby’s Holdings, Inc.µ 7.750%, 06/15/15		64,417

Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 9

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
	32,000		Speedway Motorsports, Inc. 8.750%, 06/01/16	$	34,400
	269,000		Vail Resorts, Inc.µ 6.750%, 02/15/14		273,707
	73,000		Warnaco Group, Inc. 8.875%, 06/15/13		74,642
	21,000	GBP	Warner Music Group Corp. 8.125%, 04/15/14		30,525
					1,999,107
			Consumer Staples (0.1%)
	74,000		Chiquita Brands International, Inc. 8.875%, 12/01/15		76,220
			Constellation Brands, Inc.
	42,000		7.250%, 09/01/16µ		43,313
	42,000		7.250%, 05/15/17		43,050
	24,000		Del Monte Foods Company* 7.500%, 10/15/19		25,470
	53,000		NBTY, Inc.µ 7.125%, 10/01/15		53,596
			Reynolds American, Inc.µ
	63,000		7.625%, 06/01/16		70,928
	63,000		7.250%, 06/15/37		65,641
	211,000		Smithfield Foods, Inc.µ 7.750%, 05/15/13		215,220
	5,000		TreeHouse Foods, Inc. 7.750%, 03/01/18		5,225
					598,663
			Energy (0.4%)
	16,000		Arch Coal, Inc.* 8.750%, 08/01/16		17,120
	147,000		Arch Western Finance, LLCµ 6.750%, 07/01/13		148,837
	45,000		ATP Oil & Gas Corp.* 11.875%, 05/01/15		44,325
			Berry Petroleum Company
	42,000		10.250%, 06/01/14		46,725
	22,000		8.250%, 11/01/16		22,495
	118,000		Bristow Group, Inc.µ 7.500%, 09/15/17		119,917
			Chesapeake Energy Corp.µ
	190,000		7.500%, 06/15/14		194,275
	59,000		6.875%, 11/15/20		57,820
	85,000		Complete Production Services, Inc.µ 8.000%, 12/15/16		87,338
	133,000		Comstock Resources, Inc. 8.375%, 10/15/17		137,987
	92,000		Concho Resources, Inc. 8.625%, 10/01/17		98,670
	12,000		Continental Resources, Inc.* 7.375%, 10/01/20		12,480
	63,000		Forest Oil Corp.µ 8.000%, 12/15/11		66,938
	89,000		Frontier Oil Corp.µ 8.500%, 09/15/16		92,337
	66,000		GulfMark Offshore, Inc.µ 7.750%, 07/15/14		66,000
	161,000		Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		168,245
	62,000		Hornbeck Offshore Services, Inc. 8.000%, 09/01/17		63,240
			Mariner Energy, Inc.µ
	106,000		11.750%, 06/30/16		136,210
	42,000		8.000%, 05/15/17		46,515
	118,000		Petrohawk Energy Corp.µ 7.125%, 04/01/12		118,590
			Petroplus Holdings, AGµ*
	106,000		9.375%, 09/15/19		101,760
	42,000		6.750%, 05/01/14		40,110
	11,000		7.000%, 05/01/17		10,065
	85,000		Pride International, Inc.µ 8.500%, 06/15/19		98,069
			Range Resources Corp.µ
	39,000		7.375%, 07/15/13		39,829
	38,000		8.000%, 05/15/19		41,230
	85,000		SEACOR Holdings, Inc. 7.375%, 10/01/19		89,840
	137,000		Superior Energy Services, Inc.µ 6.875%, 06/01/14		137,000
	93,000		Swift Energy Company 8.875%, 01/15/20		97,766
			Williams Companies, Inc.
	157,000		7.750%, 06/15/31		181,261
	31,000		7.500%, 01/15/31		35,055
					2,618,049
			Financials (0.1%)
	106,000		Ford Motor Credit Company, LLC 9.875%, 08/10/11		112,207
	118,000		Janus Capital Group, Inc.µ 6.950%, 06/15/17		120,380
			Leucadia National Corp.µ
	164,000		8.125%, 09/15/15		172,610
	25,000		7.000%, 08/15/13		26,313
	116,000		Nuveen Investments, Inc. 10.500%, 11/15/15		116,580
			OMEGA Healthcare Investors, Inc.
	67,000		7.500%, 02/15/20*		69,177
	36,000		7.000%, 04/01/14µ		36,405
	53,000		Senior Housing Properties Trustµ 7.875%, 04/15/15		54,060
					707,732
			Health Care (0.0%)
			Bio-Rad Laboratories, Inc.
	42,000		8.000%, 09/15/16		45,045
	36,000		7.500%, 08/15/13µ		36,720

  10
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
	95,000		Talecris Biotherapeutics Holdings Corp.* 7.750%, 11/15/16	$	96,425
	80,000		Valeant Pharmaceuticals International* 7.625%, 03/15/20		81,800
					259,990
			Industrials (0.1%)
	63,000		BE Aerospace, Inc.µ 8.500%, 07/01/18		67,567
			Belden, Inc.µ
	79,000		7.000%, 03/15/17		78,210
	21,000		9.250%, 06/15/19*		22,680
	42,000		Clean Harbors, Inc. 7.625%, 08/15/16		43,943
	21,000		Cummins, Inc.µ 7.125%, 03/01/28		21,751
	98,000		Deluxe Corp.µ 7.375%, 06/01/15		100,082
	63,000		Gardner Denver, Inc.µ 8.000%, 05/01/13		63,709
	16,000		GEO Group, Inc.* 7.750%, 10/15/17		16,440
	34,000		H&E Equipment Service, Inc.µ 8.375%, 07/15/16		34,000
	53,000		Interline Brands, Inc.µ 8.125%, 06/15/14		53,464
	42,000		Kansas City Southernµ 13.000%, 12/15/13		50,400
			Oshkosh Corp.*
	32,000		8.500%, 03/01/20		33,840
	21,000		8.250%, 03/01/17		22,208
	137,000		Spirit AeroSystems Holdings, Inc.* 7.500%, 10/01/17		140,767
	52,000		SPX Corp.µ 7.625%, 12/15/14		55,250
	148,000		Terex Corp.µ 7.375%, 01/15/14		150,590
	63,000		Trinity Industries, Inc.µ 6.500%, 03/15/14		64,654
	43,000		Triumph Group, Inc. 8.000%, 11/15/17		43,215
	73,000		Wesco Distribution, Inc. 7.500%, 10/15/17		72,635
					1,135,405
			Information Technology (0.2%)
			Amkor Technology, Inc.
	159,000		9.250%, 06/01/16~		170,130
	63,000		7.375%, 05/01/18*		63,158
	60,000		7.750%, 05/15/13µ		60,825
	30,000		Anixter International, Inc.µ 5.950%, 03/01/15		29,400
	19,000		Equinix, Inc. 8.125%, 03/01/18		19,879
	96,000		Freescale Semiconductor, Inc. 8.875%, 12/15/14		95,040
			Jabil Circuit, Inc.
	116,000		8.250%, 03/15/18µ		126,150
	21,000		7.750%, 07/15/16		22,365
	6,000		JDA Software Group, Inc.* 8.000%, 12/15/14		6,315
	77,000		Lender Processing Services, Inc.µ 8.125%, 07/01/16		82,486
	53,000		Lexmark International, Inc.µ 6.650%, 06/01/18		56,731
	74,000		Seagate Technologyµ 6.800%, 10/01/16		75,480
	32,000		SunGard Data Systems, Inc. 9.125%, 08/15/13		33,000
			Xerox Corp.
	201,000		8.000%, 02/01/27µ		202,754
	99,000		7.625%, 06/15/13~		101,515
					1,145,228
			Materials (0.2%)
	58,000		Allegheny Ludlum Corp. 6.950%, 12/15/25		57,383
	18,000		Ashland, Inc.µ* 9.125%, 06/01/17		20,565
	32,000		Ball Corp. 7.375%, 09/01/19		33,840
	38,000		Boise Cascade Holdings, LLC 7.125%, 10/15/14		37,715
	124,000		Greif, Inc. 7.750%, 08/01/19		131,130
			Ineos Group Holdings, PLC*
	102,000	EUR	7.875%, 02/15/16		114,418
	21,000		8.500%, 02/15/16		18,795
	106,000		Mosaic Companyµ* 7.625%, 12/01/16		116,428
			Nalco Holding Company
	59,000		8.250%, 05/15/17µ*		63,572
	42,000	EUR	9.000%, 11/15/13		57,599
	85,000		Neenah Paper, Inc.µ 7.375%, 11/15/14		85,425
	169,000		Sealed Air Corp.µ* 6.875%, 07/15/33		163,657
	77,000		Silgan Holdings, Inc. 7.250%, 08/15/16		80,657
	42,000		Southern Copper Corp.µ 7.500%, 07/27/35		45,044
			Steel Dynamics, Inc.
	152,000		7.750%, 04/15/16		159,410
	21,000		7.625%, 03/15/20*		21,840
	95,000		Terra Industries, Inc. 7.750%, 11/01/19		116,969

Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 11

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

PRINCIPAL
AMOUNT				VALUE
	42,000		Texas Industries, Inc.µ 7.250%, 07/15/13	$	42,052
			Union Carbide Corp.µ
	85,000		7.500%, 06/01/25		83,093
	66,000		7.875%, 04/01/23		65,934
	68,000		Westlake Chemical Corp.µ 6.625%, 01/15/16		68,340
					1,583,866
			Telecommunication Services (0.1%)
	100,000		CenturyTel, Inc.µ 6.875%, 01/15/28		98,193
	129,000		Frontier Communications Corp.µ 9.000%, 08/15/31		130,935
	63,000		Leap Wireless International, Inc. 9.375%, 11/01/14		65,441
	53,000		New Communications Holdings, Inc.* 8.250%, 04/15/17		54,855
	127,000		Qwest Communications International, Inc.µ 7.750%, 02/15/31		125,095
	211,000		Sprint Nextel Corp.µ 7.375%, 08/01/15		206,516
	85,000		Syniverse Technologies, Inc.µ 7.750%, 08/15/13		86,700
					767,735	��
			Utilities (0.0%)
	116,000		Energy Future Holdings Corp. 10.250%, 11/01/15		87,580
			TOTAL CORPORATE BONDS		10,903,355
U.S. Government and Agency Security (0.0%)
	57,000		United States Treasury Note~ 1.500%, 10/31/10		57,352
Sovereign Bond (0.0%)
	30,000	BRL	Federal Republic of Brazil 10.000%, 01/01/12		172,622
NUMBER OF
CONTRACTS				VALUE
Purchased Options (0.3%)#
			Consumer Discretionary (0.1%)
	140		Amazon.com, Inc. Call, 01/21/12, Strike $130.00		468,300
			Information Technology (0.2%)
	140		Apple, Inc. Call, 01/21/12, Strike $210.00		1,135,750
	85		Mastercard, Inc. Call, 01/21/12, Strike $250.00		361,675
					1,497,425
			TOTAL PURCHASED OPTIONS		1,965,725
			TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $12,583,366)		13,099,054
NUMBER OF
SHARES				VALUE
CONVERTIBLE PREFERRED STOCKS (13.4%)
			Consumer Staples (2.5%)
	350,000		Archer-Daniels-Midland Companyµ 6.250%		13,860,000
			Bunge, Ltd.
	22,000		4.875%		1,853,500
	5,500		5.125%		3,004,375
					18,717,875
			Financials (5.0%)
	200,000		Affiliated Managers Group, Inc. 5.150%		7,400,000
	140,000		American International Group, Inc. 8.500%		1,379,000
	15,500		Bank of America Corp.µ 7.250%		15,220,845
	55,000		Reinsurance Group of America, Inc.µ 5.750%		3,630,000
	9,100		Wells Fargo & Companyµ 7.500%		8,972,600
					36,602,445
			Health Care (1.7%)
	9,800		Mylan, Inc. 6.500%		12,856,875
			Industrials (0.2%)
	1,350		Stanley Works‡ 5.125%		1,416,150
			Materials (4.0%)
	145,000		Freeport-McMoRan Copper & Gold, Inc. 6.750%		15,011,415
	160,000		Vale, SA 6.750%		14,076,950
					29,088,365
			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $112,786,488)		98,681,710

  12
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

NUMBER OF
UNITS			VALUE
STRUCTURED EQUITY-LINKED SECURITIES (7.9%) +*
		Consumer Discretionary (0.6%)
	18,000	Credit Suisse Group (Priceline.com, Inc.) 11.000%, 10/19/10	$	4,453,200
		Energy (3.8%)
	56,500	BNP Paribas, SA (Devon Energy Corp.) 12.000%, 06/17/10		3,826,745
	113,000	BNP Paribas, SA (ENSCO, PLC) 11.000%, 11/22/10		5,288,400
	55,000	Credit Suisse Group (Noble Energy, Inc.) 12.000%, 06/18/10		4,061,750
	45,000	Deutsche Bank, AG (Apache Corp.) 8.000%, 06/10/10		4,523,400
	123,000	Goldman Sachs Group, Inc. (Noble Corp.) 12.000%, 06/30/10		4,907,700
	184,000	JPMorgan Chase & Company (Pride International, Inc.) 12.000%, 08/06/10		5,461,120
				28,069,115
		Health Care (0.5%)
	100,000	Deutsche Bank, AG (Medtronic, Inc.) 11.000%, 05/27/10		3,798,000
		Information Technology (1.5%)
	250,000	Barclays Capital, Inc. (EMC Corp.) 8.000%, 09/08/10		4,550,000
	65,000	Barclays Capital, Inc. (Lexmark International, Inc.) 11.000%, 11/12/10		2,365,350
	211,250	Deutsche Bank, AG (Seagate Technology) 11.000%, 08/31/10		3,971,500
				10,886,850
		Materials (1.5%)
	110,000	Credit Suisse Group (Barrick Gold Corp.) 11.000%, 11/16/10		4,618,900
	79,600	JPMorgan Chase & Company (Freeport-McMoRan Copper & Gold, Inc.) 12.000%, 05/19/10		6,045,620
				10,664,520
		TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $57,563,425)		57,871,685
NUMBER OF
SHARES			VALUE
COMMON STOCKS (3.3%)
		Financials (0.7%)
	107,700	MetLife, Inc.µ		4,908,966
		Health Care (1.7%)
	354,765	Merck & Company, Inc.µ		12,430,965
		Industrials (0.9%)
	175,608	Avery Dennison Corp.µ		6,853,980
		TOTAL COMMON STOCKS (Cost $25,742,641)		24,193,911
SHORT TERM INVESTMENT (5.1%)
	37,516,144	Fidelity Prime Money Market Fund - Institutional Class (Cost $37,516,144)		37,516,144
TOTAL INVESTMENTS (124.7%) (Cost $918,388,656)				914,640,615
LIABILITIES, LESS OTHER ASSETS (-24.7%)				(180,931,227	)
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)			$	733,709,388

NOTES TO SCHEDULE OF INVESTMENTS

µ	Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $485,096,148. $60,605,741 of the collateral has been re-registered by the counterparty.
‡	Variable rate or step bond security. The rate shown is the rate in effect at April 30, 2010.
*	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. At April 30, 2010, the value of 144A securities that could not be exchanged to the registered form is $85,300,182 or 11.6% of net assets applicable to common shareholders.
†	Security or a portion of the security purchased on a delayed delivery or when-issued basis.
~	Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such securities aggregate a total value of $14,463,745.
§	Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
#	Non-income producing security.
+	Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.

FOREIGN CURRENCY ABBREVIATIONS

BRL	Brazilian Real
EUR	European Monetary Unit
GBP	British Pound Sterling

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.

Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 13

See accompanying Notes to Financial Statements

Schedule of Investments

 APRIL 30, 2010 (UNAUDITED)

INTEREST RATE SWAPS
									Unrealized
	Fixed Rate		Floating Rate		Termination		Notional		Appreciation/
Counterparty	(Fund Pays)		(Fund Receives)		Date		Amount		(Depreciation)
BNP Paribas, SA		2.4300% quarterly		3 month Libor		04/14/14	$	80,000,000	$	(980,382	)
BNP Paribas, SA		1.8650% quarterly		3 month Libor		04/14/12		55,000,000		(831,153	)
BNP Paribas, SA		1.8525% quarterly		3 month Libor		09/14/12		38,700,000		(531,817	)
									$	(2,343,352	)

  14
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Schedule of Investments

See accompanying Notes to Financial Statements

Statement of Assets and Liabilities

April 30, 2010 (unaudited)
ASSETS
Investments in securities, at value (cost $918,388,656)	$	914,640,615
Receivables:
Accrued interest and dividends		13,281,141
Investments sold		3,824,338
Fund shares sold		2,357,857
Prepaid expenses		79,339
Other assets		124,927
Total assets		934,308,217
LIABILITIES
Unrealized depreciation on interest rate swaps		2,343,352
Payables:
Note payable		193,000,000
Investments purchased		4,381,063
Affiliates:
Investment advisory fees		569,750
Deferred compensation to trustees		124,927
Financial accounting fees		8,597
Trustees’ fees and officer compensation		961
Other accounts payable and accrued liabilities		170,179
Total liabilities		200,598,829
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	733,709,388
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 57,996,981 shares issued and outstanding	$	801,330,413
Undistributed net investment income (loss)		(17,934,618	)
Accumulated net realized gain (loss) on investments, foreign currency transactions, written options and interest rate swaps		(43,586,788	)
Unrealized appreciation (depreciation) of investments, foreign currency translations and interest rate swaps		(6,099,619	)
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	733,709,388
Net asset value per common shares based upon 57,996,981 shares issued and outstanding	$	12.65

Convertible Opportunities and Income Fund
Statement of Assets and Liabilities SEMIANNUAL REPORT 15

See accompanying Notes to Financial Statements

Statement of Operations

Six Months Ended April 30, 2010 (unaudited)
INVESTMENT INCOME
Interest	$	25,386,115
Dividends		7,314,441
Securities lending income		861
Total investment income		32,701,417
EXPENSES
Investment advisory fees		3,485,949
Interest expense and related fees		1,637,241
Deferred debt structuring fee		369,862
Printing and mailing fees		86,461
Financial accounting fees		49,824
Accounting fees		35,128
Registration fees		27,950
Trustees’ fees and officer compensation		20,458
Legal fees		20,295
Transfer agent fees		20,123
Audit fees		19,687
Custodian fees		17,781
Other		14,989
Total expenses		5,805,748
Less expense reductions		(174,297	)
Net expenses		5,631,451
NET INVESTMENT INCOME (LOSS)		27,069,966
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments, excluding purchased options		8,513,280
Purchased options		(2,659,306	)
Foreign currency transactions		(1,794	)
Written options		(1,911,861	)
Interest rate swaps		(1,626,718	)
Change in net unrealized appreciation/(depreciation) on:
Investments, excluding purchased options		46,824,541
Purchased options		3,199,169
Foreign currency translations		(39,197	)
Written options		(47,063	)
Interest rate swaps		(1,556,951	)
NET GAIN (LOSS)		50,694,100
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS	$	77,764,066

  16
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Statement of Operations

See accompanying Notes to Financial Statements

Statements of Changes in Net Assets

	Six Months Ended			Year Ended
	April 30, 2010			October 31,
	(unaudited)			2009
OPERATIONS
Net investment income (loss)	$	27,069,966		$	44,142,606
Net realized gain (loss)		2,313,601			(46,828,301	)
Change in unrealized appreciation/(depreciation)		48,380,499			252,810,542
Distributions to preferred shareholders from:
Net investment income		—			(494,540	)
Net increase (decrease) in net assets applicable to common shareholders resulting from operations		77,764,066			249,630,307
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income		(31,945,309	)		(49,657,681	)
Net realized gains		—			(917,159	)
Return of capital		—			(9,470,798	)
Net decrease in net assets from distributions to common shareholders		(31,945,309	)		(60,045,638	)
CAPITAL STOCK TRANSACTIONS
Proceeds from common shares sold		31,620,645			45,759,544
Offering costs on common shares		—			(62,909	)
Reinvestment of distributions resulting in the issuance of common stock		4,562,894			7,390,948
Net increase (decrease) in net assets from capital stock transactions		36,183,539			53,087,583
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS		82,002,296			242,672,252
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period	$	651,707,092		$	409,034,840
End of period		733,709,388			651,707,092
Undistributed net investment income (loss)	$	(17,934,618	)	$	(13,059,275	)

Convertible Opportunities and Income Fund
Statements of Changes in Net Assets SEMIANNUAL REPORT 17

See accompanying Notes to Financial Statements

Statement of Cash Flows

Six Months Ended April 30, 2010 (unaudited)
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase/(decrease) in net assets from operations	$	77,764,066
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash used for operating activities
Change in unrealized appreciation or depreciation on interest rate swaps		1,556,951
Change in written options		(2,192,060	)
Purchase of investment securities		(240,614,785	)
Proceeds from disposition of investment securities		235,715,069
Amortization and accretion of fixed-income securities		(1,077,318	)
Purchase of short term investments, net		(18,146,515	)
Net realized gains/losses from investments, excluding purchased options		(8,513,280	)
Net realized gains/losses from purchased options		2,659,306
Change in unrealized appreciation or depreciation on investments, excluding purchased options		(46,824,541	)
Change in unrealized appreciation or depreciation on purchased options		(3,199,169	)
Net change in assets and liabilities:
(Increase)/decrease in assets:
Accrued interest and dividends receivable		952,043
Prepaid expenses		(64,838	)
Other assets		(19,301	)
Increase/(decrease) in liabilities:
Payables to affiliates		46,971
Other accounts payable and accrued liabilities		(231,004	)
Net cash provided by/(used in) operating activities	$	(2,188,405	)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from common shares sold		29,262,788
Distributions to common shareholders		(27,382,415	)
Net cash provided by/(used in) financing activities	$	1,880,373
Net increase/(decrease) in cash	$	(308,032	)
Cash at beginning of period	$	308,032
Cash at end of period	$	—
Supplemental disclosure
Cash paid for interest and related fees	$	1,646,116
Non-cash financing activities not included herein consists of reinvestment of dividends and distributions of:	$	4,562,894

  18
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Statement of Cash Flows

See accompanying Notes to Financial Statements

Notes to Financial Statements

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 objective 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. “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 securities 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 last current reported sales price at the time a 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 the 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 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 and certain convertible preferred securities are generally traded in the over-the-counter market and are valued by independent pricing services or by dealers who make markets in such securities. Valuations of such fixed income securities and certain convertible preferred securities 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 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

Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 19

Notes to Financial Statements

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. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.

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.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are allocated proportionately among each fund to which the expenses relate in relation to the net assets of each fund or on another reasonable basis.

Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

Income Taxes. No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of its taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting on fixed income securities. The financial statements are not adjusted for temporary differences.

  20
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2005-2008 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications. Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

NOTE 2 – INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 0.80% based on the average weekly managed assets. “Managed assets” means a fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage). Calamos Advisors has contractually agreed to waive a portion of its management fee at the annual rate of 0.11% of the average weekly managed assets of the Fund through June 30, 2010 and to waive a declining amount for an additional year. Beginning July 1, 2010, for a period of twelve months, such fee waived will be 0.04% of the average weekly managed assets. For the period ended April 30, 2010, the total advisory fee waived pursuant to such agreement was $174,297 and is included in the Statement of Operations under the caption “Less expense reductions”.

Pursuant to a financial accounting services agreement, during the period the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust, and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of “Trustees’’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the Fund.

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $124,927 is included in “Other assets” on the Statement of Assets and Liabilities at April 30, 2010. The Fund’s obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at April 30, 2010.

Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 21

Notes to Financial Statements

NOTE 3 – INVESTMENTS

The cost of purchases and proceeds from sale of long-term investments, for the period ended April 30, 2010 were as follows:

Cost of purchases	$	142,832,239
Proceeds from sales		157,238,222

The following information is presented on a federal income tax basis as of April 30, 2010. 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 April 30, 2010 was as follows:

Cost basis of Investments	$	934,184,621
Gross unrealized appreciation		39,739,329
Gross unrealized depreciation		(59,283,335)
Net unrealized appreciation (depreciation)	$	(19,544,006)

NOTE 4 – INCOME TAXES

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component. The tax character of distributions for the period ended April 30, 2010 will be determined at the end of each Fund’s current fiscal year.

Distributions for the fiscal year ended October 31, 2009, were characterized for federal income tax purposes as follows:

Distributions paid from:
Ordinary income	$	50,253,702
Long-term capital gains		917,159
Return of Capital		9,470,798

As of October 31, 2009, the components of accumulated earnings/(loss) on a tax basis were as follows:

Undistributed ordinary income	$	—
Undistributed capital gains		—
Total undistributed earnings		—
Accumulated capital and other losses		(45,276,397	)
Net unrealized gains/(losses)		(68,060,859	)
Total accumulated earnings/(losses)		(113,337,256	)
Other		(102,526	)
Paid-in capital		765,146,874
Net assets applicable to common shareholders	$	651,707,092

As of October 31, 2009, the Fund had capital loss carryforward of $45,276,397 which, if not used, will expire in 2017.

  22
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

NOTE 5 – COMMON SHARES

There are unlimited common shares of beneficial interest authorized and 57,996,981 shares outstanding at April 30, 2010. Calamos Advisors owned 14,882 of the outstanding shares at April 30, 2010. Transactions in common shares were as follows:

	Period Ended		Year Ended
	April 30, 2010		October 31, 2009
Beginning shares		55,104,427		49,513,661
Shares sold		2,520,937		4,823,462
Shares issued through reinvestment of distributions		371,617		767,304
Ending shares		57,996,981		55,104,427

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that the Fund may from time to time purchase its shares of common stock in the open market.

The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of the Fund’s common shares at the time such common shares are initially sold. Transactions for the first six months of the fiscal year had net proceeds received in excess of net asset value of $338,276.

NOTE 6 – DERIVATIVE INSTRUMENTS

Foreign Currency Risk. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates and an unrealized gain or loss is recorded. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward currency contracts at April 30, 2010.

Equity Risk. The Fund may engage in option transactions and in doing so achieve the similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 23

Notes to Financial Statements

As of April 30, 2010, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments. For the period ended April 30, 2010, the Fund had the following transactions in options written:

	Number of Contracts			Premiums Received
Options outstanding at October 31, 2009		6,510		$	2,239,123
Options written		—			—
Options closed		(6,510	)		(2,239,123	)
Options exercised		—			—
Options expired		—			—
Options outstanding at April 30, 2010		—		$	—

Interest Rate Risk. The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the fund’s borrowings (see Note 8 – Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. Three main types of interest rate swaps are coupon swaps (fixed rate to floating rate in the same currency); basis swaps (one floating rate index to another floating rate index in the same currency); and cross-currency interest rate swaps (fixed rate in one currency to floating rate in another). In the case of a coupon swap, a Fund may agree with a counterparty that the Fund will pay a fixed rate (multiplied by a notional amount) while the counterparty will pay a floating rate multiplied by the same notional amount. 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. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. 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.

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of April 30, 2010, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.

Below are the types of derivatives in the Fund by gross value as of April 30, 2010:

	Assets			Liabilities
	Statement of Assets &			Statement of Assets &
	Liabilities Location	Value		Liabilities Location	Value
Derivative Type:
Purchased options	Investments in securities	$	1,965,725
Interest Rate contracts	Unrealized appreciation on swaps		—	Unrealized depreciation on swaps	$	2,343,352

  24
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

VOLUME OF DERIVATIVE ACTIVITY FOR THE SIX MONTHS ENDED APRIL 30, 2010*

Equity:
Purchased options	365
Written options	—
Foreign currency contracts	—
Interest rate swaps	—
Credit swaps	—

* Activity during the period is measured by opened number of contracts for options and opened notional amount for swap contracts.

NOTE 7 – PREFERRED SHARES

On March 18, 2009, the Fund’s Board approved the final redemption of all preferred shares outstanding. The shares were redeemed at a price of $25,000 per share plus any accrued and unpaid dividends (an aggregate price of $104,014,687).

NOTE 8 – 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 Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $300,000,000 and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .85% on the undrawn balance. For the period ended April 30, 2010, the average borrowings and the average interest rate were $193,000,000 and 1.22%, respectively. As of April 30, 2010, the amount of such outstanding borrowings is $193,000,000. The interest rate applicable to the borrowings on April 30, 2010 was 1.29%.

The Lending Agreement 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 Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the 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, 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.

Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 25

Notes to Financial Statements

NOTE 9 – SECURITIES LENDING

The Fund may loan one or more of their securities to broker-dealers and banks. Any such loan must be secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the value of the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receive an additional return that may be in the form of a fixed fee or a percentage of the collateral. Upon receipt of cash or cash equivalent collateral, the Fund’s securities lending agent invests the collateral into short term investments following investment guidelines approved by Calamos Advisors. The Fund records the investment of collateral as an asset and the value of the collateral as a liability on the Statement of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Fund will record unrealized depreciation equal to the decline in value of the invested collateral. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the right to call a loan and obtain the securities loaned at any time. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing its rights. In an effort to reduce these risks, the Fund’s security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which a Fund lends securities. At April 30, 2010, the Fund had no securities on loan.

NOTE 10 – SYNTHETIC CONVERTIBLE SECURITIES

The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”), which may be a convertible or non-convertible security and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or purchased options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or purchased options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.

The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.

NOTE 11 – WHEN-ISSUED AND DELAYED DELIVERY SECURITIES

A Fund may purchase securities on a when-issued or delayed-delivery basis. Although the payment and interest terms of these securities are established at the time the Fund enters into the commitment, the securities may be delivered and paid for a month or more after the date of purchase, when their value may have changed. A Fund makes such commitments only with the intention of actually acquiring the securities, but may sell the securities before the settlement date if Calamos Advisors deems it advisable for investment reasons. A Fund may utilize spot and forward foreign currency exchange transactions to reduce the risk inherent in fluctuations in the exchange rate between one currency and another when securities are purchased or sold on a when-issued or delayed-delivery basis.

  26
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

At the time when the Fund enters into a binding obligation to purchase securities on a when-issued basis, liquid assets (cash, U.S. Government securities or other “high-grade” debt obligations) of the Fund having a value at least as great as the purchase price of the securities to be purchased will be segregated on the books of the Fund and held by the custodian throughout the period of the obligation. The use of this investment strategy may increase net asset value fluctuation.

NOTE 12 – STRUCTURED EQUITY-LINKED SECURITIES

The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract. Income received from these securities is recorded as dividends on the Statement of Operations.

NOTE 13 – VALUATIONS

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 assets and liabilities use inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange).

•  Level 2 assets and liabilities reflect inputs other than quoted prices, but use observable market data (including quoted prices of similar securities, interest rates, credit risk, etc.).

•  Level 3 assets and liabilities are valued using unobservable inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value).

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

	Value of Investment		Other Financial
Valuation Inputs	Securities		Instruments
Level 1 – Quoted Prices
Common Stocks	$	24,193,911	$	—
Convertible Preferred Stocks		85,007,685		—
Synthetic Convertible Securities (Purchased Options)		1,965,725		—
Short Term Investments		37,516,144		—
Level 2 – Other significant observable inputs
Convertible Bonds		167,655,213		—
Corporate Bonds		504,907,881		—
U.S. Government and Agency Security		2,659,313		—
Sovereign Bond		8,055,704		—
Convertible Preferred Stocks		13,674,025		—
Synthetic Convertible Securities (Corporate Bonds, U.S. Government and Agency Security, Sovereign Bond)		11,133,329		—
Structured Equity-Linked Securities		57,871,685		—
Interest Rate Swaps		—		(2,343,352	)
Total	$	914,640,615	$	(2,343,352	)

Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 27

Financial Highlights

Selected data for a share outstanding throughout each period were as follows:

	Six Months Ended
	April 30,
	(unaudited)			Year Ended October 31,
	2010			2009			2008			2007			2006			2005
Net asset value, beginning of period		$11.83			$8.26			$16.38			$16.42			$16.59			$18.03
Income from investment operations:
Net investment income (loss)		0.48	**		0.84	**		1.16	**		1.44	**		1.50			1.65
Net realized and unrealized gain (loss)		0.91			3.88			(7.31	)		0.97			0.81			0.03
Distributions to preferred shareholders from:
Net investment income (common share equivalent basis)		—			(0.01	)		(0.13	)		(0.41	)		(0.36	)		(0.19	)
Net realized gains (common share equivalent basis)		—			—			(0.12	)		(0.02	)		(0.03	)		(0.06	)
Total from investment operations		1.39			4.71			(6.40	)		1.98			1.92			1.43
Less distributions to common shareholders from:
Net investment income		(0.57	)		(0.94	)		(1.41	)		(1.55	)		(1.61	)		(1.65	)
Net realized gains		—			(0.02	)		(0.31	)		(0.47	)		(0.48	)		(1.22	)
Return of capital		—			(0.18	)		—			—			—			—
Capital charge resulting from issuance of common and preferred shares and related offering costs		—			—	(a)		—	(a)		—			—			—
Premiums from shares sold in at the market offerings		.01			—			—			—			—			—
Net asset value, end of period		$12.65			$11.83			$8.26			$16.38			$16.42			$16.59
Market value, end of period		$12.95			$11.40			$9.10			$16.90			$19.73			$19.52
Total investment return based on(b):
Net asset value		12.01	%		62.00	%		(42.58	)%		11.51	%		10.47	%		6.69	%
Market value		18.99	%		41.70	%		(38.69	)%		(4.25	)%		12.81	%		10.40	%
Net assets, end of period (000)		$733,709			$651,707			$409,035			$784,997			$771,994			$764,502
Preferred shares, at redemption value ($25,000 per share liquidation preference) (000’s omitted)		$—			$—			$104,000			$384,000			$384,000			$384,000
Ratios to average net assets applicable to common shareholders:
Net expenses(c)		1.66	%(d)		2.87	%		1.92	%		1.08	%		1.04	%		1.06	%
Gross expenses prior to expense reductions and earnings credits(c)		1.71	%(d)		2.98	%		2.16	%		1.43	%		1.42	%		1.43	%
Net expenses, excluding interest expense		1.17	%(d)		2.36	%		1.53	%		1.08	%		1.04	%		1.06	%
Net investment income (loss)(c)		7.96	%(d)		8.79	%		8.38	%		8.83	%		9.17	%		9.59	%
Preferred share distributions		—	%(d)		0.10	%		0.92	%		2.51	%		2.18	%		1.11	%
Net investment income (loss), net of preferred share distributions from net investment income		7.96	%(d)		8.69	%		7.46	%		6.32	%		6.99	%		8.48	%
Portfolio turnover rate		18	%		30	%		53	%		52	%		48	%		76	%
Asset coverage per preferred share, at end of period (e)		$—			$—			$123,350			$76,142			$75,291			$74,795
Asset coverage per $1,000 of loan outstanding(f)		$4,802			$4,377			$3,745			$—			$—			$—

**	Net investment income allocated based on average shares method.
(a)	Amount equated to less than $0.005 per common share.
(b)	Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.
(c)	Does not reflect the effect of dividend payments to Preferred Shareholders.
(d)	Annualized.
(e)	Calculated by subtracting the Fund’s total liabilities (not including Preferred Shares) from the Fund’s total assets and dividing this by the number of Preferred Shares outstanding.
(f)	Calculated by subtracting the Fund’s total liabilities (not including Note payable) and preferred shares from the Fund’s total assets and dividing this by the amount of note payable outstanding, and by multiplying the result by 1,000.

  28
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Financial Highlights

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Calamos Convertible Opportunities and Income Fund

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, for Calamos Convertible Opportunities and Income Fund (the “Fund”) as of April 30, 2010, and the related statements of operations, changes in net assets, and cash flows and the financial highlights for the semi-annual period then ended. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

We conducted our review in accordance with standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements and financial highlights taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to such interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets of the Fund for the year ended October 31, 2009 and the financial highlights for each of the five years then ended; and in our report dated December 17, 2009, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

Chicago, Illinois

June 22, 2010

Convertible Opportunities and Income Fund
Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT 29

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About Closed-End Funds

What is a Closed-End Fund?

A closed-end fund is a publicly traded investment company that raises its initial investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the fund’s Board of Directors.

Potential Advantages of Closed-End Fund Investing

• Defined Asset Pool Allows Efficient Portfolio Management—Although closed- end fund shares trade actively on a securities exchange, this doesn’t affect the closed-end fund manager because there are no new investors buying into or selling out of the fund’s portfolio.

• More Flexibility in the Timing and Price of Trades—Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities.

• Lower Expense Ratios—The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could enhance investment performance.

• Closed-End Structure Makes Sense for Less-Liquid Asset Classes—A closed-end structure makes sense for investors considering less-liquid asset classes, such as high-yield bonds or micro-cap stocks.

• Ability to Put Leverage to Work—Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to “leverage” their investment positions.

• No Minimum Investment Requirements

 OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS

Open-End Fund	Closed-End Fund
Issues new shares on an ongoing basis	Issues a fixed number of shares
Issues equity shares	Can issue senior securities such as preferred shares and bonds
Sold at NAV plus any sales charge	Price determined by the marketplace
Sold through the fund’s distributor	Traded in the secondary market
Fund redeems shares at NAV calculated at the close of business day	Fund does not redeem shares

Convertible Opportunities and Income Fund
About Closed-End Funds SEMIANNUAL REPORT 33

Level Rate Distribution Policy

Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return

The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.

We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.

Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.

Automatic Dividend Reinvestment Plan

Maximizing Investment with an Automatic Dividend Reinvestment Plan

The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund.

Potential Benefits

• Compounded Growth: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.

• Potential for Lower Commission Costs: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan.

• Convenience: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time.

For additional information about the Plan, please contact the Plan Agent, The Bank of New York, at 800.432.8224. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name.

We’re pleased to provide our shareholders with the additional benefit of the Fund’s Dividend Reinvestment Plan and hope that it may serve your financial plan.

  34
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan

The Calamos Investments Advantage

Calamos’ history is one of performing well for our clients through 30 years of advances and declines in the market. We use proprietary risk-management strategies designed to control volatility, and maintain a balance between risk and reward throughout a market cycle.

Disciplined Investment Philosophy and Process

Calamos Investments has developed a proprietary research and monitoring process that goes far beyond traditional security analysis. This process applies to each of our investment strategies, with emphasis varying by strategy. When combined with the company-specific research and industry insights of our investment team, the goal is nimble, dynamic management of a portfolio that allows us to anticipate and adapt to changing market conditions. In each of our investment strategies, from the most conservative to the most aggressive, our goals include maximizing return while controlling risk, protecting principal during volatile markets, avoiding short-term market timing, and maintaining a vigilant long-term outlook.

Comprehensive Risk Management

Our approach to risk management includes continual monitoring, adherence to our discipline, and a focus on assuring a consistent risk profile during all phases of the market cycle. Incorporating qualitative and quantitative factors as well as a strong sell discipline, this risk-control policy seeks to help preserve investors’ capital over the long term.

Proven Investment Management Team

The Calamos Family of Funds benefits from our team’s decades of experience in the investment industry. We follow a one-team, one-process approach that leverages the expertise of more than 50 investment professionals, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, whose investment industry experience dates back to 1970 and 1983, respectively. Through the collective industry experience and educational achievements of our research and portfolio staff, we can respond to the challenges of the market with innovative and timely ideas.

Sound Proprietary Research

Over the years, we have invested significant time and resources in developing and refining sophisticated analytical models that are the foundation of the firm’s research capabilities, which we apply in conjunction with our assessment of broad themes. We believe evolving domestic policies, the growing global economy, and new technologies present long-term investment opportunities for those who can detect them.

Convertible Opportunities and Income Fund
The Calamos Investments Advantage SEMIANNUAL REPORT 35

Calamos Closed-End Funds

Intelligent Asset Allocation in Five Distinct Closed-End Funds

Depending on which Calamos closed-end fund you currently own, you may want to consider one or more of our other closed-end strategies to further diversify your investment portfolio.

Seek the advice of your financial advisor, who can help you determine your financial goals, risk tolerance, time horizon and income needs. To learn more, you can also visit our website at www.calamos.com.

Fund Asset Allocation as of 4/30/10	Fund Profile
Calamos Convertible Opportunities and Income Fund (CHI)
	Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities.
Calamos Convertible and High Income Fund (CHY)
	Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities.
Calamos Global Dynamic Income Fund (CHW)
	Providing Global Enhanced Fixed Income Potential Objective: The Fund seeks to generate a high level of current income with a secondary objective of capital appreciation. The Fund has maximum flexibility to dynamically allocate among equities, fixed-income securities and alternative investments around the world.
Calamos Strategic Total Return Fund (CSQ)
	Providing Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equity, convertible and below investment-grade (high-yield) fixed-income securities.
Calamos Global Total Return Fund (CGO)
	Providing Global Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of global equity, global convertible and below investment-grade (high-yield) fixed-income securities.

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

  36
Convertible Opportunities and Income Fund
SEMIANNUAL REPORT Calamos Closed-End Funds

Managing Your Calamos Funds Investments

Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.

PERSONAL ASSISTANCE
800.582.6959	Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues concerning your Calamos Fund
YOUR FINANCIAL ADVISOR
	We encourage you to talk to your financial advisor to determine how Calamos Investments can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs

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ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS

Included in the Report to Shareholders in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

ITEM 11. 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-CSR 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of Ethics — Not applicable.

(a)(2)(i) Certification of Principal Executive Officer.

(a)(2)(ii) 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:	June 24, 2010
By:	/s/ Nimish S. Bhatt
Name:	Nimish S. Bhatt
Title:	Principal Financial Officer
Date:	June 24, 2010

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.

By:	/s/ John P. Calamos, Sr.
Name:	John P. Calamos, Sr.
Title:	Principal Executive Officer
Date:	June 24, 2010
By:	/s/ Nimish S. Bhatt
Name:	Nimish S. Bhatt
Title:	Principal Financial Officer
Date:	June 24, 2010