DOUBLE HELIX is a fully mechanical, computerized option selling system. It consists
of two independent but intertwined programs. Only S & P 500 futures and options on futures
contracts both full size and mini, may be traded. The first program produces trade
recommendations every four to six days. The second programs monitors a variety of inputs such
as implied volatility, options skew, moving averages, and trade performance. Based on these
inputs, the current market will receive a "market score" at the end of each day. If the "market
score" is below a specific threshold on the day of a new trade suggestion, the trade is not taken.
This may allow the system to sidestep large market declines.