Prior day high and low, floor pivots, VWAP, the opening range and fair value gaps, and how each one is worked out.
Why levels work at all
A level has no power of its own. It matters because traders put stops just beyond it, take profits at it, and wait to enter near it. All those orders sitting at one price are what make price pause, bounce or break through quickly. The more widely a level is watched, the stronger that effect tends to be, and the more obvious it is to everyone else too.
Prior day high, low and close
Yesterday's extremes are the simplest levels and among the most watched. Two choices change where they land:
Regular hours (9:30 to 16:00 ET) give the levels stock traders see.
The full futures day (18:00 to 17:00 ET) includes the overnight session.
Use one and stick with it. When the two versions sit close together, that price tends to matter even more.
Three things often happen at these levels: a rejection (price tests and turns back), a sweep (price pokes through, runs the stops, then closes back inside) and a breakout (price closes beyond and keeps going).
Floor pivots
Floor pivots turn the prior day's high (H), low (L) and close (C) into a set of levels for today:
P = (H + L + C) / 3 R1 = 2P − L S1 = 2P − H R2 = P + (H − L) S2 = P − (H − L)
Example: a day with high 20,150, low 19,950 and close 20,100. Today's pivot P is 20,066.67, with R1 just above the prior day high and S1 just above the prior day low.
Above P, many traders lean long; below P, short. R1 and S1 are common first targets. Some variants (Camarilla and others) use the same three inputs with different multipliers to build zones closer to the close.
VWAP: the volume-weighted average price
VWAP is the average price of everything traded since the session started, weighted by how many contracts traded at each price:
VWAP = sum of (price × volume) / sum of volume, reset each session
Large traders often measure their fills against VWAP, which is why it gets so much attention. Price above VWAP means today's buyers are, on average, in profit; below means sellers are. Standard deviation bands around VWAP show how stretched price is from that average. VWAP depends on when the session starts, so 18:00 ET and 9:30 ET give two different lines.
The opening range
The opening range is the high and low of the first minutes after the open, for example 9:30 to 9:45 ET. It captures the first fight between buyers and sellers. A break of the range high or low is a classic setup; a quick return back inside after a break is a failed breakout, often just as useful. Compare the range's size with ATR: a very wide range already contains much of a normal day's move.
Fair value gaps (FVG)
A fair value gap is a three-bar pattern left by a fast move. On a strong up move, the third bar's low stays above the first bar's high, leaving a price zone where the market barely traded. Many traders expect price to come back and "fill" part of that gap, and treat the first return as an entry area. Tiny gaps are noise; most traders set a minimum size.
Putting them together
Draw too many and every price is "near a level". A practical approach:
Pick two or three types you understand, such as prior day high and low plus VWAP.
Mark where two levels sit close together. Those areas deserve the most attention.
Decide in advance what reaction you want to see there (a rejection candle, a close beyond, a sweep and reclaim) and what would prove you wrong.
Try it in NinjaTrader
Add the built-in Prior Day OHLC and Pivots indicators to a 5-minute chart, or use our free Prior Day Levels and Pivot Levels.
Load at least 5 days (Data Series > Days to load).
Scroll back through a week and mark each day the prior high or low was touched. Note what happened next: rejection, sweep or breakout.
Educational content only, not trading advice. Indicators describe what price has already done; none of them predicts what it will do next. Practice in Sim or Playback before trading live.