The Philadelphia Stock Exchange dataset contains data on currency options and implied volatility. The data is accessible through WRDS at:

http://wrds.wharton.upenn.edu/ds/phlx/index.shtml

In addition, it is available in SAS format on the local network at K:\PHLX . The data is available in the form of 2 SAS files:

coph.sas7bdat - Data on currency options

iv.sas7bdat - Data on implied volatility