S11 · Return to value on the Expected Move

In a long gamma regime, a price that reaches the edge of the Expected Move or the second VWAP band is statistically far from its value, and the dealers' hedging is already working against it. You do not enter at the edge, you enter on the refusal, and you aim for the VWAP. It is the typical trade of a quiet ES day, two to three times a week, and it does not exist below Zero Gamma.

The idea

The Expected Move is the range the options market prices in for the session. In a long gamma regime, its edges are zones where hedging sells the rise or buys the dip harder and harder. The second VWAP band says the same thing with realized volume: price is two standard deviations away from its average price. When the two coincide, the CVD diverges and Deep V-Tracker marks an absorption zone, the return toward the VWAP is the most natural trade on ES. In short gamma, the same picture is a trap: you never fade a trend that is accelerating.