When you try to hedge one asset class exposure with another, you are definitely running a risk of correlations breaking down and volatility profiles changing.
I prefer to focus on large-scale moves rather than on daily volatility and make sure that if my trade has several legs, I like each of them individually.
Having said that, there is no recipe against incurring a loss if the assets classes do not interact with each other the way you expected.
One Market Street
Steuart Tower, Suite 2600
San Francisco, CA 94105