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What is a good way to assess how risky a certain put or call spread is? For sake of simplicity, let's assume european options.A reasonable way is to look at spread delta. In fact, that measure would correctly indicate that -a wider spread (e.g. 100-130 ps) is riskier than a tighter one (e.g. 100-105)-an at-the-money spread of given width is more dangerous close to expiry than long before it-an at-the-money spread is risker than an out-of-the-money spread of the same width and maturity.But the delta measure ranks all sorts of quite different far out of the money spreads almost equal - if we are trading at 100 with 3 months to expiry and vol 20, the 65-50 spread (delta almost zero) would be ranked similarly as the 65-30 spread (delta almost zero as well)How to avoid the latter pitfall?

Maybe you can start by defining what "risk" is, otherwise it's hard to say anything sensible.

I would refer to risk of a spread as the extent to which the long and short leg it is made of represent a good hedge for each other. I am not talking of delta risk. But of gamma and implied vol risk. Consider this: the best protection for a short position in a given strike is to buy it back. Often that is not possible. So you can do other stuff - buy back neighboring strike, buy 2 strikes away, buy same strike in another expiry. None of it is as good as closing out the position but some hedges are better than others. I believe that when looking within one expiry the delta difference is a good indication. But I have observed that this indication breaks down when you consider far out of the money spreads because regardless of their width their delta is pretty much zero and that does not reflect how good of a hedge each pair of legs represents within itself.e.g.: - if we are trading 100 days from expiry at 100 and I am short the 90 strike against the 100 strike I am particularly exposed to skew getting bid up or offered down. If I have the 80-60 spread in that expiry, much less can go wrong in terms of skew smile changing. Even if I went all the way down to 70, relatively unlikely, I would be largely fine. If I have the 80-75 spread I would pretty much be bullet proof. All these things are said are VERY WELL reflected in the delta of the put spread. - if I have the 90-110 position 10 days from expiry gamma becomes more of an issue and I have a lot more of a directional exposure. But hey this 90-110 spread has a much bigger delta than in the above example. So it reflects the fact that the two legs don't hedge each other as well as they did 90 days ago.