i think we've put Madrid in a conundrum. We drew at theirs last season, they came to us to play and got battered. They really went for the win at theirs the other night....we led twice and again came away with a draw. They're scarred from the 4-0 mess (their perspective) of last season but, personally, i doubt they want to invite pressure on themselves by sitting deep, i'm not sure they're solid enough to handle it.
I think Madrid's best option is to play a midfield game, cautious but higher up the pitch than most Prem teams play at ours. One caveat is they will have seen that teams are actively sitting deep at ours to spring a trap (seems to be working a bit more than previous seasons), so that might be very tempting for them. Should be a great tie.