Kushilevitz [1989] initiated the study of information-theoretic privacy within the context of communication complexity. Unfortunately, it has been shown that most interesting functions are not privately computable [Kushilevitz 1989, Brandt and Sandholm 2008]. The unattainability of perfect privacy for many functions motivated the study of approximate privacy . Feigenbaum et al. [2010a, 2010b] define notions of worst-case as well as average-case approximate privacy and present several interesting upper bounds as well as some open problems for further study. In this article, we obtain asymptotically tight bounds on the trade-offs between both the worst-case and average-case approximate privacy of protocols and their communication cost for Vickrey auctions. Further, we relate the notion of average-case approximate privacy to other measures based on information cost of protocols. This enables us to prove exponential lower bounds on the subjective approximate privacy of protocols for computing the Intersection function, independent of its communication cost. This proves a conjecture of Feigenbaum et al. [2010a].