We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive capability of currency volatility risk premia for currency returns. The volatility risk premium — the difference between expected realized and model-free implied volatility — reflects the costs of insuring against currency volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The returns to the strategy are mainly generated by movements in spot exchange rates rather than interest rate differentials, and the strategy carries a greater weight in the minimum-variance currency strategy portfolio than both carry and momentum. Canonical risk factors cannot price the returns from this strategy, which appear more consistent with time-varying limits to arbitrage. (Joint with Tarun Ramadorai, Lucio Sarno.)