We compare the return–volatility relation for the euro currency to the equivalent relation for the equity market, examining the sign, symmetry, and strength of the relation. We employ the euro‐currency exchange‐traded fund (FXE) and its associated option implied volatility index (the EVZ), whereas previous studies only employ equities and/or realized volatility. The equity studies find a negative asymmetric return–volatility relation for implied volatility, with a strong relation when large market movements occur. We find that the euro return–volatility relation can possess either a positive or negative sign, is asymmetric, and has a weaker relation. Thus, the sign and strength of the euro relation differs from the equivalent equity relation. Our quantile regressions show that both the positive and negative contemporaneous returns of the euro result in increased volatility in the extreme quantiles of the conditional distribution, with the contemporaneous effect showing a stronger relation when the euro depreciates. We also find that the volume of the euro‐currency ETF options affects the return–volatility relation for the euro ETF. Overall, the results here expand the concept originally restricted to equities, with the surprising results that the return‐implied volatility relation is weaker and the asymmetric return sometimes is positive for the euro currency. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark