From Theory to Practice

What Determines the Price of ATM Vertical Spread

| Jul 9, 2021
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    From Theory to Practice

    What Determines the Price of ATM Vertical Spread

    Jul 9, 2021
    In low volatility environments, at-the-money Vertical Spreads are one of our go-to strategies. They allow us to play a directional bias in a given stock without having to pay too much extrinsic value for the position. With ATM Verticals that are usually 50-50 shots, however, the price doesn’t usually line up with 50% of the width of the spread. Here’s what is causing the price to deviate from that 50% marker.

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