Naturally, I could consider a debit spread here, but I am not particularly keen on the idea. I generally like to put those on when is basically nil (<10 IVR ) in the underlying since, when IV is extremely low, the price of the option begins to approach the intrinsic value of the underlying. In other words, I don't want to pay premium when I'm making a play that does not involve time/theta decay, but rather the sheer movement of the underlying, and here IVR is 25. It isn't huge, but it isn't trifling either. Moreover, there is the little issue as to the timing of the Fed rate hike .... .
So I'm waiting a while for a bit of in FXE before diving in. Naturally, this might mean FXE will pull off the sweet spot, but at least it's got my attention .... .
Note: I would note that you could naturally go ahead and put on a short call vertical here in the absence of higher . The problem is that you won't get much juice out of the setup if you do so. For example, a 116/119 short call vertical set up at the 1 standard deviation line, Nov 27th expiry, would only get you a .25 credit and tie up 2.75 in buying power for the duration of the trade (i.e., $25 and $275). You could go more aggressive on the notion that FXE is unlikely to break 115, but a 115/118 short call vertical (same expiry) only would get you .41.