On average, the cost of insuring a strangle against outlier losses (buying wings) is between 20% and 50% of the price of the long option.
In higher IVR situations, around half of the premium of the long option is used as the “vig” to pay for the outlier protection. In lower IVR, where the size of price moves is lower, the same “vig” will cost around 20% of the long option premium.
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