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Hi, has anyone heard about the concept of Vega Spread in options world or just for FX options? Basicly, this spread will be added on top of the fair value to create the client price. Does anyone know where this concept is coming from and how to calculate it for different trade types, i.e. Vanilla/ Barrier/One touch/etc.Thanks

don't know much, but i guess it might be related loosely to the notion that spread in price is vega times spread in vol

I think trader uses this concept to try to cover the cost of Vega Hedge of exotic trades