EURUSD triggered stops through 1.2700 at the end of an illiquid NY session, on the back of more Greek worries (this time sparked by ex-prime minister Papadimos). The market remains very nervous regarding further USD strength as highlighted by FX Options volatilities that reacted strongly to the news: after being under pressure for most of the day, buyer re-emerged quickly with 1 year getting paid at 13.1 for instance.

Risk-reversals are also getting bid up... and are still showing a very strong bias for downside strikes.