Great question! A perfect solution is Hunter Douglas's Duette honeycomb shade. The patented cell-within-a-cell design of Duette Architella honeycomb shades traps more air, reducing the amount of heat that flows out of your home in the cold weather and into it in the warm weather by up to 50%.
They're the only window shades without add-on insulation systems to qualify for a federal tax credit opportunity under the American Recovery and Reinvestment Act of 2009.
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To learn more about green window coverings, read Maggie Wood's Ask A Pro answer, "Can you recommend solar window blinds that are not made of PVC?"