With limited room for Euro appreciation and the near certainty of a vol slump in the event of a Macron victory, long delta/short vega strategies such as EUR call flies appeal, and are well-priced in EURUSD and EURCAD.

Higher leverage expressions of Euro strength are [EUR/CCY higher, USD/CCY lower] and [EUR/USD higher, EuroStoxx higher] dual digitals.

EUR-crosses have historically displayed widely varying sensitivities to crash risk in the Euro, with EURHUF, EURPLN, EURAUD and EURNZD all tending to rally during Euro-stress, and EURJPY, EURGBP and EUR/Asia selling off sharply.

Consider buying zero-cost combinations of low delta EUR puts in the latter camp funded with EUR puts in the former as conditional expressions of EUR crash risk.

Deep value is beginning to emerge in long-end (5Y) USD/CHF vol. A steeply inverted forward curve and cheap risk-reversals make OTM USD calls especially appealing. Long/short pairs of USD calls/CHF puts funded with EUR calls/CHF puts are priced at multiyear lows and offer franc view-neutral positive carry.