In the bowl of a stand mixer, combine the water and yeast and let stand for 5 minutes, until foamy.
Add the sugar, salt, flour and butter. Using the dough hook, mix on low speed until a shaggy dough forms and the mixture pulls away from the side of the bowl.
Grease a bowl and set aside. Turn out the dough onto a lightly floured surface and knead for 2-3 minutes, then place in the prepared bowl and cover. Place in a warm place and allow to rise until doubled in size, about 1 hour.
Line two large baking sheets with parchment paper and set aside.
Turn out the risen dough onto a lightly floured surface and punch down. Divide into 8 equal pieces.
Loosely roll each piece into a ball and place seam side down on the prepared baking sheet. Cover and let rise for 30 minutes.
Roll out each piece of dough into a 8-10 inch circle. Divide the ham and cheese down the center of each and then fold the dough over to create a half circle. Crimp the edges with a fork to make sure they’re sealed.
Preheat the oven to 425. Bring a large pot of water to a low boil, then add in the baking soda.
Carefully lower calzone dough into the boiling water and cook for 15 seconds, then flip over and cook for an additional 15 seconds. Transfer to the prepared baking sheet, shaking off excess water.
Repeat with remaining pieces of dough. Lightly beat an egg and brush on top of each calzone. Sprinkle kosher salt on top.
Bake for 10-15 minutes or until golden brown. Allow to cool 2-3 minutes before serving.