• FX options thrive on volatility and gauge it with implied volatility

• EUR/USD implied volatility remains heavy by recent and year-long lows

• 1-week sub 6.0 and benchmark 1-month expiry just above Fri's 6.65 base

• 1-month risk reversals hold a small 0.25 EUR put/USD call vol premium

• Risk reversal premium low, but suggests implied vol gains if EUR/USD drops

• Those worried about sudden EUR/USD drop might therefore consider options

• Recent trades were consistent with U.S. debt default hedges

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