Double Helix Capital Management

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.