The newly-unveiled period drama will be helmed by Brazilian director Andrucha Waddington (House of Sand), reports Thompson on Hollywood.
Emma Thompson's directorial debut on Effie - which covers the same subject as Untouchable - began shooting last month.
Euphemia 'Effie' Gray was the wife of 19th century art critic John Ruskin.
She fell in love with his protégé John Everett Millais after finding herself caught in the loveless marriage, which was never consumated and later annulled.
Effie will star Dakota Fanning in the lead role.
A Dangerous Method's Knightley is also rumoured to have been approached to feature in the live-action Akira remake.
Watch the trailer for A Dangerous Method below: