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Trading ORB at the Walls

There will be days when trading the Opening Range Break (ORB) is unfavorable given our positioning relative to major gamma levels, such as the Call Wall and the Put Wall.


The Call Wall is considered our upper bound and is the most significant resistance level, it represents the highest concentration of call gamma (supply/selling). 


The Put Wall is considered our lower bound and is the most significant support, it represents the highest concentration of put gamma (demand/buying).



Statistically, there is a strong edge for the Walls to be respected, with the market often closing below the Call Wall and above the Put Wall. Consequently, we typically consider selling credits at or above/below these levels to be high probability trades. With this edge in mind, it is best to adjust the ORB strategy accordingly.



Trading ORB at the Call Wall

When trading near the Call Wall, I avoid trading the ORB High (the high of the first 15-minute candle) due to the statistical edge favoring a close below the Call Wall. Instead, opting to play a credit spread in line with the Call Wall yields better results - entering a Call Credit Spread at a 5-minute cycle high or on the ORB Low and writing at or above the Call Wall. However, if necessary, I may use the ORB High as a signal to potentially adjust my position by legging into an Iron Condor.


Trading ORB at the Put Wall 

When trading near the Put Wall, I avoid trading the ORB Low (the low of the first 15-minute candle) due to the statistical edge favoring a close above the Put Wall. Instead, opting to play a credit spread in line with the Call Wall yields better results - entering a Put Credit Spread at a 5-minute cycle low or on the ORB High and writing at or below the Put Wall. However, if necessary, I may use the ORB Low as a signal to potentially adjust my position by legging into an Iron Condor.


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