Forgot to consider whether it might've been a backwards derailleur... since it's not, my comments stand.

If it indexes properly at room temperature, it can only be caused by the contraction of the cable, I bet.

The cold couldn't possibly affect anything else as much, and pretty much any other cause I can think of would create a different effect.

Those offering alternate explanations should think a bit harder about the real effects of the possible problems they're nominating. For example, a bent hanger would only be so affected by the cold if it was constructed like a thermostat, out of two metals.

...Now there's a thought - is it a replaceable aluminium hanger on a steel frame? If so, is there a little gap at the stepped section to allow for differing expansion/contraction?

It must be something contracting, cause gunky lube simply couldn't cause this problem. What else could cold do besides making things contract and increasing the viscosity of stuff?