Does the opening-range breakout work when markets are volatile?

Tests the opening-range breakout separately on calm, normal and volatile days (sorted by the Nasdaq-100 volatility index) on Nasdaq-100 and S&P 500 futures from 2010 to 2026. It failed in every group. A second rule, based on options dealers' positioning, had too few days to judge and is still collecting data.

Refuted: Failed its test once trading costs were included. How to read a study.

Verdict, as the study states it: pn-001 ORB by VXN tercile — REFUTED as a system. pn-070/071 GEX regime — H1 PROMISING, accruing; H2 unreadable.

Study number

FPR-26-02

Versions tested

32

Pre-registration written

Aug 22, 2026, 11:53 ET

First result

Aug 22, 2026, 11:57 ET

Markets

NQ, ES (.c.0 continuous)

Backs

Level breakouts; Opening-range breaks

Sample

pn-001: NQ+ES 1m 2010-2026, quad-witching Fridays excluded, about 10,500 trades; VXN tercile cuts frozen on 2010-2015. pn-070: 2026-07-26 onward, about 20 days per symbol (11-15 classified)

Costs

NQ 0.5 pt / ES 0.25 pt per side (secondary net line)

Notes and defects

Both preregs were created 22-31 s before the scripts and about 4 minutes before RESULTS; no in-text times. Arms: pn-001 24 cells (2 symbols x 2 OR windows x 3 VXN terciles x 2 exits); pn-070 8 cells (2 symbols x 2 regimes x 2 tests). pn-070 H1 (breakouts on negative-GEX days) is a gamma-regime rule that was left 'PROMISING, accruing' at n=3/8 with a rerun due at about 60 classified days (late Oct 2026); it was never closed.

Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (NQ, ES 2010-2026); FRED VXNCLS.csv (public); QQQ/SPY GEX snapshots <data-root>/fp-data/gex/2026/ from Unusual Whales API data (requires your own subscription; the pull scripts here read the key from an env file named by UW_KEY_FILE) (pn-070 only)

Original working title: pn-001 opening-range breakout by VXN tercile (NQ, ES 2010-2026) and pn-070/071 GEX-regime fade vs breakout (2026 forward archive)

Files

Hashes for every file are in SHA256SUMS. Market data is not included.

Cite this study

Futures Playbook Research (2026). Does the opening-range breakout work when markets are volatile?. Study FPR-26-02. https://www.futuresplaybook.com/research/orb-vxn-and-gex-regime

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.