It's written in a book by Giles Hewitt : " The bid-offer spread quoted on a Strangle in volatility terms will usually be wider than the ATM spread to the same maturity because strikes away from the ATM have less Vega". link

Vega is sensitivity of option price to volatility. Why should Vega affect the vol spread?

  • $\begingroup$ @alex C Thank you for adding the link. $\endgroup$ – Ussu Oct 13 '19 at 16:44
  • $\begingroup$ I think the paper is implying that if the bid offer of the strangle in premium terms is similar to the ATM, then it will be a wider bid offer in volatility terms. $\endgroup$ – dm63 Oct 13 '19 at 23:22
  • $\begingroup$ Yes, it's a fair deduction. Thanks. $\endgroup$ – Ussu Oct 14 '19 at 4:45

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