Institutional Trader Desk Reference Sheet | Designed for standard 8.5" x 11" Color or B&W Print
Tactical Field Guide ES • NQ • CL • GC FUTURES

THE THREE VWAP EXECUTION PLAYBOOKS

Execution bridge connecting your 6:00 AM Institutional Morning Plan to Real-Time Intraday Orders

RTH Session Anchor: 09:30 ET
Min Target: ≥ 2:1 R:R / 10+ ES pts
Execution Engine: Stop-Limit / Limit Only
Plan Regime
Initiative Trend
➡ Playbook 1: VWAP Pullback
Plan Regime
Inventory Correction
➡ Playbook 2: ±2.0σ Band Fade
Plan Regime
Rejection-Reverse
➡ Playbook 3: VWAP Flip & Retest
Macro Filter
Weekly VWAP Anchor
Above = Longs | Below = Shorts
PLAYBOOK 1

The VWAP Value Pullback (Trend Continuation)

When Plan States: INITIATIVE TREND DISCOVERY
SESSION RTH VWAP +1.0σ Band -1.0σ Band 1. Opening Drive 2. Low-Vol Pullback ENTRY (Reclaim VWAP) TP1 (Prior VAH) TP2 (Plan R2) STOP (-0.5σ / Low)
1. Context & Setup Conditions: Price initiates directional movement outside the Prior Day Value Area or ONH/ONL during the first 30 minutes with positive volume delta. Never buy the highs of the initial impulse leg.
Exact Trigger Price retests Session VWAP. Enter on first 5-min candle that wicks VWAP and closes back in trend direction.
Hard Invalidation 1-2 ticks below the $-0.5\sigma$ band or 1 tick below swing low of pullback bar (4–6 ES pts max).
Profit Targets TP1: Prior Day VAH or ONH (50% off, stop to B/E).
TP2: Plan R2 Macro Node (Runner).
PLAYBOOK 2

The ±2.0σ Statistical Band Fade (Exhaustion & Mean Reversion)

When Plan States: INVENTORY CORRECTION (60%+ Prob)
+2.0σ BAND (Overstretched >95%) SESSION RTH VWAP (Mean Target) -2.0σ BAND (Oversold >95%) PLAN R1 / VIRGIN SUPPLY Trapped Long Drive SELL (Closes back in +2σ) STOP (1 tick above wick) TP1: VWAP REVERSION
1. Quant Edge (Profit Factor 1.66 | Max DD 9.27%): Overnight inventory is heavily imbalanced (>70% net long/short). Price surges into a major Plan Inflection Level (R1/S1 or 1h Order Flow Zone) simultaneously piercing the $\pm 2.0\sigma$ VWAP band.
Exact Trigger Wait for price to reject the level and print a 5-min candle that closes back inside the $\pm 2.0\sigma$ band. Enter immediately.
Hard Invalidation 1 tick above the swing wick that probed outside the $+2\sigma$ band (strict mechanical stop).
Profit Targets TP1 (Primary): Reversion to Session RTH VWAP (Take 60–75% off).
TP2: Plan 3M VPOC or VAL.
PLAYBOOK 3

The VWAP Flip & Retest (Failed Auction Reversal)

When Plan States: OPEN REJECTION-REVERSE / LIQUIDITY SWEEP
SESSION RTH VWAP PLAN ONL (Overnight Low) 1. Trap Sweep 2. Impulsive Reclaim 3. Retest of VWAP BUY: VWAP HOLDS AS SUPPORT TP1 (Prior VPOC) TP2 (Plan VAH) STOP (Below retest wick)
1. The Golden Rule of VWAP Crosses: NEVER buy the initial cross of VWAP. Over 60% of first-crosses fail. You ONLY buy when price crosses above, pulls back, and retests VWAP as structural support.
Exact Trigger Price touches VWAP from above. Enter on the 5-min candle that rejects VWAP with positive Delta and closes green.
Hard Invalidation 1 tick below the low of the retest bar or $-0.5\sigma$ band. If price builds 5-min value back below VWAP, exit immediately.
Profit Targets TP1: Plan Pivot (3M VPOC / Prior Day Settle).
TP2: Prior Day VAH or ONH (Full squeeze).
INSTITUTIONAL EXECUTION & RISK DISCIPLINE (KEEP ON DESK)
1. Order Types Only use Stop-Limit on breakouts and Limit on VWAP pullbacks. Never use Market Orders in the first 15 mins.
2. The 10-Point Rule Only take setups where the distance from your entry to Target 1 offers at least 10 ES points ($500/ctr) or 40 NQ points.
3. VWAP Slope Check Never take a Long when VWAP slope is pointing down. Never take a Short when VWAP slope is pointing up.
4. Sizing by ATR Standard size = Account Risk ÷ (20d ATR × 0.10). Reduce position sizing by 50% on FOMC / CPI morning releases.