I Backtested My Own GEX Product Across 8 Years of SPY. Most of It Is Just VIX.

A backtest on a dealer-exposure API found that most of its predictive power comes from VIX, not the individual Greeks. This challenges the common practice of presenting Greeks as independent signals. The results suggest that controlling for VIX and ATM IV significantly reduces the predictive value of the Greeks. Engineers should be cautious when relying on these signals for predictive purposes and consider using VIX as a proxy instead.