In this work, a Fabry-Perot cavity based on a new silica tube design is proposed. The tube presents a cladding with a thickness of ~14 μm and a hollow core. The presence of four small rods, of ~20 μm diameter each, placed in diametrically opposite positions ensure the mechanical stability of the tube. The cavity, formed by splicing a section of the silica tube between two sections of single mode fiber, is characterized in strain and temperature (from room temperature to 900 °C). When the sensor is exposed to high temperatures, there is a change in the response to strain. The influence of the thermal annealing is investigated in order to improve the sensing head performance.