Vomma is higher for OTM then ATM (where it's close to zero). Therefore going long OTM strangles and neutralizing vega by selling ATM straddles has positive vomma and zero vega and therefore profits on any move in IV so long as the underlying stays close to the ATM strike.
Vol Rising:
Vol falling:
Really it is locally convex in the combined total standard deviation, sigma * sqrt(T). So you want to see changes in this while the underlying stays fixed.
Vol Rising:
Vol falling:
Really it is locally convex in the combined total standard deviation, sigma * sqrt(T). So you want to see changes in this while the underlying stays fixed.
