 1 month) straddle and delta-hedging it until it is alive.The strategy makes money if at expiry, the sum of the premium received (and accrued at money market), the (negative) final value of the straddle and the (positive/negative) value of the forwards (entered into to delta-hedge the straddle) is greater than zero.A variation of this, and more common solution in equity, is to sell either a one-month or three-month variance swap – usually on the Eurostoxx 50E or S&P500 index – that pays a positive performance if the implied volatility (strike of the swap) is above the realised volatility at expiry; in this case there is no need to delta-hedging the underlying movements.