There are futures and options on futures on the U.S. Dollar Index (DX) on the FINEX, which is part of the NYBOT (www.nybot.com) It's a pretty interesting product to price, as the index is geometrically weighted.
toby - sorry, just noticed I wrote CME when I meant to write CEC. Here's a link to a doc on the DX contract http://nybot.com/finex/USDX4.pdf which includes formulas and weights