still an analysis of which market is strongest must be determined and you must be correct for it to work, much the same as trading just one market. you are just adding to the complication yet the only benefit of such a trade is to reduce how much you can lose. it's basically trading with training wheels on.
Thank you all for your comments. It would appear that the cleanest way would be via var swaps on realised variance. OTC only and the short term aspect will probably impact this. Alternatively via short term L/S straddles.