Saxobank is decent for retail FX traders, but they royally rip you off on the spread (Eur/usd should not be 18-20 pips.It's 5 pips for CME. I know CME futures should have better liquidity, but prime brokerages trading interbank fx options are still not this expensive!
I cannot vouch for any off exchange retail brokers, but I've heard of PFG forex, and CORE options. If you can get spreads under 10 pips then I would recommend going for them. Otherwise, if you have the cash, go for currency futures options on CME/globex or a prime brokerage such as UBS.
Maybe there are some people here who have used currency indices and their options (i.e. PHLX, ISE) and they can comment on those for the poster?
