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Start point for daily VWAP?

  #10 (permalink)

Market Wizard
Missoula, MT
Trading Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader
Favorite Futures: CL, ES
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jstnbrg View Post
Interesting. So, at least in the markets you trade, Globex tends to mean revert towards the settlement after the RTH close. Well, in oil there's certainly not much volume after RTH until Europe opens. Which means as the day progresses the trade between 2:30 PM ET and about 3 AM ET won't affect the daily VWAP that much anyway.

On a side note, I used to work with a bunch of guys in a prop group (they were in the group, I was a friend of the heads of the group and traded my own money, but in their facility) who made most of their living fading after hours moves in the US Treasury yield curve. These guys traded with DOMs only, no charts. The proprietors of the group were former CBOT pit traders like myself; one of them had clerked for me on the floor back in the day. I've kind of been away from the market since 2006 and things have changed a lot since then. VWAP was not yet a thing back then. LOL!

I use both the RTH and ETH vwaps. As the RTH develops, I give it more weight, but ETH rules the first hour or so of the RTH, at least for me. I'm looking for fades around vwap, and both RTH and ETH offer opportunity. Days when they get very close to together make for easy fades for scalpers like me. ES is quite attentive to vwaps, as is CL. NQ and YM tend to stray much further from their vwaps, but are still somewhat allegiant to them.


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