Hi,There are a number of algorithmic trading strategies offered by banks e.g. IncomeFx from JPM http://www.jpmorgan.com/pages/jpmorgan/ ... StrategyIt is quite common for banks to write vanilla options on indices that track the performance of these strategies (mostly calls or puts). Since the underlying strategies are quite complicated e.g. with the JPM example above, there is periodic rebalancing of the strategy, which involves going long/short different 4 currency pairs from the basket of 14 currencies based on critera like carry, carry adjusted by the volatility of the currency pairs, etc. It seems unlikely that the behaviour of the strategy can be modeled in a tractable framework to enable option pricing and hedging. Does anyone have any idea on how these options are risk managed in practice?Thanks!