Yeah. Taking the average of the before vega and the after vega will give a better approximation. Remember these terms individually are generally smaller than bid offer - so the noise number can be quite large relatively speaking.
Alright thanks for all the help guys, things make lot more sense to me now Also, this speak about vega convexity has me thinking. The formula 0.5*gamma*movement^2 predicts P/L wrt Delta changes in position, with starting point at 0 delta. Would it then be possible to apply the formula 0.5*vomma*movement^2 to calculate P/L wrt Vega changes in a position with starting point at 0 vega?
Not following you....the only way you'd end up without a scalp is if IV doesn't move after you put on the vomma position...in which case theta would eat you up. Plus the negative gamma is a risk as well.
Dude, you have to remember that in the real mkt out there, there's nasty things like transaction costs, slippage, gaps, etc. All these things will drown whatever juice you expect to extract through vomma/vanna/vera/zomma/ultima/zumba/etc scalping.
Well, those things will always be a factor regardless of strategy used. How much problems they cause in vomma scalping depends on size traded, target per scalp etc. Just like with any strategy.
These things are always a factor, indeed... However, you need to realize that the effect of these adverse factors on your PNL will vary. For example, riddle me this. We all know what happens when you do the whole gamma scalping malarkey. What instruments do you intend to use for you "vomma scalping" strategy?
It's not something I am planning on doing anytime soon, I'm just looking into it along with a ton of other potential strategies. Wheter or not it works is another story, but it's an interesting concept at least worth looking into.