CAD and AUD remain positively correlated

Both AUD and CAD strengthening could be a risky scenario if the AUD appreciates much more than the CAD. But the convexity analysis rather suggests that CAD deviations should be larger even if the AUD is more volatile. 

Societe Generale points the following on Friday:

• To protect investors against an adverse move, we set a more distant strike on the short AUD/USD calls than the long USD/CAD puts so that the CAD gains should exceed the AUD losses.
  
  
• A further joint fall in CAD and AUD is a relatively likely scenario in a bullish USD environment. In that event, the trade would be flat because none of the options would be exercised.