Vertical spreads
What is the impact of skew (the difference in IV across strikes) on the pricing of vertical spreads?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Volatility skew, where OTM puts often carry higher implied volatility than equidistant OTM calls, affects vertical spread pricing by making put spreads collect relatively more premium for similar distance from the current price compared to call spreads on the same underlying.
How it works
This skew reflects persistent demand for downside protection in equity markets, which tends to make put options relatively more expensive than calls at comparable deltas.
An example
A 10-delta put credit spread may offer a higher credit relative to its width than a 10-delta call credit spread on the same stock, due to this structural skew.
Risk & limitations
OIC notes skew patterns can vary by underlying and market regime, and historical skew behavior does not guarantee similar relationships in the future.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.