Conservative Concepts, Inc.

Index Options System (IOS)

The strategy is an options trading system, which employs complex option strategies with the goal to generate a positive absolute return in any given market environment. The strategy was developed out of a proprietary trading program of CCPM (the strategy advisor), that was first implemented in 1995. Ever since then the strategy was subject to a constant process of research and development, which lead from a classical options writing strategy to a complex options strategy, that is based on a fixed set of possible strategies and follows a systematic trading approach. CCPM trades the strategy with the final set of rules that it involves today since August 2002. The strategy uses a combination of bought and sold options in the front month of the S&P 500 index. If the front month has only a maturity of 2-3 weeks to the expiry date of the front month, the program trades the next option month. In regular trading conditions, these strategies will be held until close to the expiry of the options contracts. Changes to the positions will only be made if either the risk management model or the position management rules would require such a change.