How to form Copper from Calcium in a supernova explosion? What are the reasonable chain of reactions to form copper (63, 29) from ca(40, 20) during supernova explosion? And how it will happen? I do not understand the theory behind it. I thought that the reaction will end at Iron and now it does not make sense to me.
Copper is not thought to be primarily made in a supernova. It is thought to be mainly produced by the s-process of slow neutron capture onto iron-peak nuclei that already exist inside a star. These reactions are endothermic.

The source of the neutrons is still somewhat debated, it could either be from the decay of $^{13}$C in relatively low-mass asymptotic giant branch stars or is more likely from the decay of $^{22}$Ne in more massive evolved stars (e.g. Pignatari et al. 2010).

Below you can see a typical route for producing copper from $^{56}$Fe. The axes of the plot are neutron number on the x-axis and proton (atomic) number on the y-axis. Three neutron captures are followed by a beta decay, a neutron capture, a beta decay, then 3 more neutron captures followed by another beta decay to form $^{63}$Cu.

The net process is
$$ ^{56}{\rm Fe} + 7n \rightarrow \  ^{63}{\rm Cu} + 3e + 3\bar{\nu}_e$$  

The copper is then distributed into the interstellar medium by a later supernova explosion in the same star.

If there are no "seed" iron-peak nuclei (e.g. in the first/second generation of stars), then copper can be inefficiently produced by explosive r-process neutron capture during supernovae explosions. However, this would not contribute very much to the copper we see on the Earth.