For example, consider S&P options.
My reasoning is rooted in the fact that VIX returns and S&P returns have a negative relationship, since VIX is a measure of S&P options' implied vol. Doesn't that imply that when the S&P goes down, the implied vol of S&P options is going up? So if you were to answer "what happens to the price of this option when the underlying increases 1%"... instead of just using the delta of the option, would it be intuitively more correct to then make an expected vega adjustment? If I a mistaken about something, please let me know.