Opening Range Breakout Indicator for ThinkorSwim

[merryDay]

How do you use Gamma volume data?

High Gamma Volume (positive gamma environment)

Dealers hedge against price movement.​

This creates mean reversion and suppressed breakouts.​

What you see on your chart:

VWAP magnet​

Tight ranges​

Sizzle Index low​

Volume Profile balanced​

Low Gamma Volume (negative gamma environment)

Dealers hedge with price movement.​

This creates expansion, volatility, and breakout acceleration.​

What you see on your chart:

VWAP deviations hold​

Trend days​

Sizzle Index elevated​

Volume Profile thin above/below​

 

[Zlotko]

How would you structure/ combine your indicators to see all that at once? Do we have one here that would help?

 

[merryDay]

How would you structure/ combine your indicators to see all that at once? Do we have one here that would help?

Your question is essentially:
“Can I combine VWAP, trend, sizzle, and volume‑profile into one signal?”

Unfortunately, no.
There isn’t a single indicator that can compress all four of those into one clean output, because each one describes a different dimension of market behavior:

VWAP magnet → institutional fair value​

Tight ranges → volatility + compression​

Sizzle Index low → options activity + expected movement​

Balanced volume profile → auction structure + acceptance​

These aren’t ingredients for a buy/sell light.
They’re environmental conditions, and the only way to understand them is to see how they interact together on your ORB chart.

When you view them visually, you’re answering a much bigger question:
“Is the environment supportive of a clean move, or are we stuck in balance?”

That’s the core of microstructure analysis.
It applies to any intraday strategy, with any set of indicators. You’re not looking for a single tool—you’re looking for a read on how these forces line up in real time.

 

[antwerks]

Options volume shows where trades occurred.
Open interest shows where risk remains and where hedging pressure may emerge as price approaches those levels.
For your platform and GEX logic, Volume answers the question, "Did positioning change today?"
OI answers, "Where will positioning matter tomorrow?"
Options volume explains where positioning changed and why a move likely occurred.
Open interest is conditional — it becomes important only when price approaches those strikes, because that is when hedging pressure can be activated.

I tend to use both the volume and open interest, to some degree I think of them as the volume being the "past" and the Open Interest being the "future".

More times than not, Open Interest will fall in a support and resistance zones. In my opinion, you should always mark your GEX levels on your chart, especially the positive and negative transition zones!!!

 

[Zlotko]

Cool thanks. What best indicators do we have here for Sizzle Index low → options activity + expected movement?