I recommend that any Office 365 tenant sold these days also include Office 365 Advanced Threat Protection (ATP), which costs around AU$2.50 per license.
ATP does many things but of the things that I really like is that it takes a very deep look into attachments you receive, sandboxing them to see exactly what they do when opened. You can see an example above that I received.
In this case, I have set ATP to use dynamic delivery which means I get notified of the ATP scanning process with a place marker as shown above.
When I open that place marker I see the above which informs me that the attachment is being checked by ATP.
In a short period I see the attachment as normal once ATP has completed checking it for me.
ATP is included in E5 but is an add on for other plans but as I said, I consider it a mandatory add on if you are serious about security and minimising the risk of a dodgy attachment being delivered to your business.