Here are straddles for the potential moves in FXE. The situation in Greece is dire, whether it is bailed out or kicked out, the Euro could move significantly.
The news today from the media is that European shares are rallying because of a potential rescue of Greece. The media does not report on the consequences of such action on the Euro.
These were computed with the online StraddlesCalc tool. The moves required may be smaller than indicated in those cases where there is lots of time to expiration.
While moves of 1.7% or 3% are quite small, in the world of currencies such moves can be quite large. Still, these may pay off quite well, provided FXE moves.