为什么波动率斜率越陡，垂直看涨价差组合就越便宜？The volatility slope in both the beans and meal are very high, which makes the vertical call spreads the cheapest and easiest way to play for a weather problem.
if you have the higher volatility slope, the volatility of the two options with different strikes will have a large difference compare to the low slope. So the call option with high strike is comparatively more expensive then the low strike option. We know a call bull spread involves short a higher strike call and long a lower strike call. (Cl-Ch), if Ch is more expensive comparative to Cl, the bull stread's price is lower. So it is cheaper.
I give an example, consider IBM calls with strike 100 125 150, if the volatility slope is higher for 125-150, than 100-125, to establish the 125-150 spread is cheaper than 100-125 spread. Because the volatility may compensate some of your establishing cost, since the price difference of C125-C150 is smaller than C125-C100. It is cheaper.
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