For a given dollar notiional investment, you are buying more vega with deeper OTM puts (or just more contracts).
Basically the same as why getting things correct on 10 20-to-1 bets pays more than getting a 1-to-1 (even odds) bet.
For a given dollar notiional investment, you are buying more vega with deeper OTM puts (or just more contracts).
Basically the same as why getting things correct on 10 20-to-1 bets pays more than getting a 1-to-1 (even odds) bet.