The aim of the paper is to display and compare two options strategies which may be applied in hedging currency risk. It considers Polish agri-food companies which export their products to Eurozone countries. Their functioning and profitability is affected by PLN/EUR exchange rate fluctuation. In the paper the applications of financial vanilla and exotic options in hedging currency risk are presented. It is shown that the risk reversal strategy with barrier option reflects better hedging results than the synthetic short forward strategy which involves only the standard vanilla options.