In response to my earlier post about the relation between options and futures markets.
I started testing whether outside market context changes how an imbalance setup performs.
This was not a final system, just a rough first pass. I used ES, NQ, and GC 5m imbalance signals and tagged them with prior-day VIX context.
VIX is a blunt proxy, especially for GC, but it is free and gives a simple way to tag volatility regimes.
The rough results were not profitable overall:
ES: 9,921 trades, -0.176R avg, 28.3% win rate
NQ: 11,402 trades, -0.097R avg, 37.0% win rate
GC: 11,973 trades, -0.080R avg, 31.9% win rate
But the useful part was that regime did matter.
ES low VIX: -0.154R avg
ES high VIX: -0.237R avg
NQ low VIX: -0.077R avg
NQ high VIX: -0.123R avg
GC mid VIX percentile was the least bad bucket at around -0.047R avg.
So VIX did not fix the setup, but it did change how the setup behaved.
That makes it worth pushing further. Not because VIX is the answer, but because context seems to matter.
Eventually I want to test cleaner derivatives context like IV rank, skew, open interest, put/call ratios, term structure, futures OI, expiration effects, and maybe gamma/dealer-flow proxies.
I do not have the budget for all the good data yet lol, so for now I’m starting with blunt/free context and seeing what is actually worth chasing.
First pass takeaway: context matters, but I need better context.