Set 4 — Session Structure, ORB, and VWAP

What is RTH?

Regular Trading Hours, the main cash session for the market.

What is the overnight session?

The trading session outside main regular hours, often called Globex for index futures.

Why does the overnight high matter?

It is a key reference level where price may react, reject, or break during the regular session.

Why does the overnight low matter?

It is a key reference level where price may react, reject, or break during the regular session.

Why does the prior day high matter?

It is a widely watched reference level for liquidity, breakouts, and reversals.

Why does the prior day low matter?

It is a widely watched reference level for liquidity, breakouts, and reversals.

What is the opening range?

The high and low of a defined opening time window used as an intraday reference.

Why do traders watch the first 5, 15, or 30 minutes?

Because volatility, liquidity, and directional intent are often strongest near the open.

Why is 9:30 ET different from midday?

The regular cash open often brings much higher volume and volatility.

What is lunch chop?

A low-energy, sideways midday environment where setups often become less clean.

What is a session high?

The highest price reached during a chosen session.

What is a session low?

The lowest price reached during a chosen session.

What is ORB?

Opening Range Breakout.

What is ORB continuation?

Price breaks the opening range, holds beyond it, retests, and continues.

What is failed ORB?

Price breaks the opening range but fails to hold and returns back inside or through the range.

What is OR midpoint?

The halfway price between the opening range high and low.

Why might the OR midpoint matter?

It can act as a reference for balance, retests, and invalidation.

What is VWAP?

Volume Weighted Average Price, the session's average price weighted by traded volume.

Why is VWAP important intraday?

It acts as a fair-value reference and helps frame trend versus chop.

What does price above VWAP generally suggest?

Bullish intraday context, though not an automatic buy signal.

What does price below VWAP generally suggest?

Bearish intraday context, though not an automatic sell signal.

What is a VWAP reclaim?

Price moves back above VWAP after being below it and holds there.

What is a VWAP rejection?

Price tests VWAP and fails to move through or hold beyond it.

Why is VWAP dangerous in chop?

Because price may keep crossing back and forth without clear direction.

How can VWAP help ORB trading?

It can act as a trend filter and keep traders from taking breakouts in weak context.

Why should a strategy have a time cutoff?

Because edge often weakens after the best trading window has passed.