A break-up of the Eurozone is regarded as inevitable by some. This will be a costly and irreversible decision in conditions of continuing uncertainty, therefore amenable to analysis in the real options framework. We do so by solving as an optimal stopping n−dimensional problem with: (1) country-speciﬁc shocks, (2) the “convergence” of member economies, and (3) a complete break-up versus individual country departures. In calibrated solutions for a symmetric case we ﬁnd a non-negligible but small option value. Furthermore, we ﬁnd a new theoretical result on the non-monotonicity of abandonment threshold with respect to volatility.