EM FX looks like it has appreciated more than EUR recently which may give some headwind to the extent of EM moves, if the EUR does not recover further.
A passive play on a cautiously EM supportive sentiment is to own short-dated USD/EM call no-touches (NTs). These take advantage of elevated levels of spot, forward/NDF points, vols and skews and can be viewed as defined downside alternatives to selling naked vanilla EM puts. 1st chart ranks 2M high beta structures with barriers set to 1-sigma away from spot (arbitrary condition but sets pricing of different pairs on same footing). Vol selling is a poor leverage.
Likewise, 2nd chart shortlisted 2M structures offer 1:1.5 risk/reward ratio, with sensible barrier selection at 1-sigma away from current spot (here, 1-sigma = std.dev. of 2m spot returns over the past 12-months).
To avoid the year-end holiday effect on pricing consider in 3M expiry: 3M USDMXN call no-touch with barrier at 19.90, the level last seen 2m ago, costs 50.0/52.75%, indic, (spot reference: 19.19).
3M USDRUB call no-touch with barrier at 66.0, costs 51/56%, indic, spot reference: 63.80 levels. Courtesy: JPM