In my post �Volatility Smile and Volatility Skew � Part 1�, it is mentioned as follows:For Put options, the Implied Volatility is typically the highest for deep OTM options and then is decreasing as it moves towards ITM options.In other words, generally the �most expensive� options are deep ITM Calls and deep OTM Puts.For Put options, the possible reason why people are willing to buy an �expensive� deep OTM Puts are that they are viewed as a form of �insurance� against market crash. The lower cost in terms of dollar might also offer another reason for deep OTM Puts to serve as an insurance / protection tool of one�s portfolio.As discussed earlier in this link, an option is deemed cheap or expensive not based on the absolute dollar value of the option, but instead based on its IV.When the IV...