How sensitive are vertical spreads to changes in volatility / implied volatility in the money, at the money, and out of the money?
I'm thinking for 1 point spreads this would be very small / neutral for ITM, ATM, and OTM, but I'm not sure. If you have thoughts on this, perhaps please confirm in a comment or answer.
For larger spreads, it would become larger / less neutral, but does it follow any specific "formula"? Is it just a subtraction of vegas, with a large implied volatility skew causing a great difference?