The implied volatility of ATM contracts for next 3M - 1Y expiries of this the pair is flashing at around 10.5%, that is when vital economic and geopolitical announcements are scheduled such as UK referendum (on June 23rd), ECB's and Fed's easing cycles taking place in 2016.

Delta risk reversals with positive ticks creeping up gradually for next 1W - 1M tenors to signify the hedging positions are well equipped for upside risks and negative numbers signals hedging arrangements for downside risks over the longer period of time.

Greece’s economy, which will be dealing with its near-miss bankruptcy and close-to-insolvent banks for years to come, will likely see its GDP continue to shrink by more than 1% in 2016 (as it did in 2015).

From almost last one year we've been seeing the pair oscillating within stiff sideway trend (see technical charts for EURUSD ranging from 1.1480 to 1.05 levels).

If you consider long term euro's valuations then you would come across the convergence between spot curve and risk reversals (see spot/risk reversal relation in the diagram).

With spot FX flashes of EURUSD at 1.1414 we see delta risk reversal for 1w and 1m contracts have shown slight recovery signals but long term (3M-1Y) put contracts are on higher demand.  

Contemplating these OTC factors and synthesizing them with technical trend we understood the following fact.  

The current spot prices are expected to show strength and travel upwards in next 1 months times but we are not jumping the guns to conclude this as bullish reversal, In foreign exchange (FX) market prices move to extremes more frequently and these extreme levels is referred to as “Fat Tails”.

If more price actions occur at the fat tails, the option trader will mark volatility higher for out-of-money (OTM) and in-the-money (ITM) options then at-the-money (ATM) options and so does happen with EURUSD pair currently.

FX option strategies:

So, on speculative grounds the strategy goes this way short 1W OTM striking puts, while going long in 1M (2%) ITM strikes of 50% deltas.

Whereas, on hedging grounds, go long in 2 lots of 1m ATM +0.51 delta calls and ATM -0.49 delta put option of the same expiry.

Since, OTC market anticipates upswings in next 1 month's time, this EURUSD option straps strategy should take care of both upswings and downswings if it goes wrong, and yields handsome returns on the upside in intermediate term.

Delta of far OTM options is very small which is why we’ve chosen ATM instrument on call. A 1 point movement in underling pair will not have much effect on the option premium.