SPX Option Wedge Breakout v1.5a (Dual + Micro)

# SPX Option Wedge Breakout (Dual + Micro) — by Miguel Licero


What it does
This indicator is designed to catch fast, 3–5-bar momentum bursts in **SPX options (OPRA)** or the underlying (SPX/ES). It combines two detection engines:


1. Wedge Breakout Engine

• Locates *falling-wedge* compression using recent swing pivots and verifies statistical tightness (channel width vs. ATR).
  
• Confirms breakout when price closes above the wedge’s upper guide **and** above **EMA-21**, with optional **VWAP** confluence and volume expansion.
  

2. Micro-Breakout Engine (sub-VWAP thrusts)

• Triggers when **EMA-9 crosses above EMA-21** and price **breaks the prior N-bar high (BOS)** with volume expansion.
  
• Specifically handles rallies that start **below VWAP**, requiring sufficient “room to VWAP” measured as a fraction of ATR.
  

This indicador provides a state machine overlay and a dashboard. Consider the following states:

IDLE – no setup
WATCH – valid compression + preconditions (OBV positive, RSI build zone, tightness)
TRIGGER-A – breakout *above VWAP* (Strict mode)
TRIGGER-B/Micro – Under VWAP thrust with room to VWAP or Micro-Breakout (Flexible mode - this is the most common case for SPX options)

Why I believe it works
In my observation i've found short, violent option moves often occur when:
(1) liquidity compresses then releases (wedge), or
(2) micro momentum flips under VWAP and snaps to VWAP/EMA-50 (delta + IV expansion).
The indicator surfaces these two structures with clear, tradeable signals.

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Inputs (key parameters)

• EMAs: 9 / 21 / 50 / 200 (trend/micro-momentum and magnets/targets)
  
• VWAP: optional intraday confluence and distance metric
  
• Wedge: pivot widths (`left/right`), `tightK` (channel width vs ATR), `atrLen`
  
• Volume/OBV/RSI: `volLen`, `volBoost` (volume expansion factor), `obvLen` (slope via linreg), `rsiLen`
  
• VWAP Mode:
• Strict – breakout must be above VWAP (TRIGGER-A)
  
• Flexible – allows under VWAP breakouts if there’s room to VWAP (`minVWAPDistATR`) or a Micro-Breakout
  
• Micro-Breakout: `useMicro`, `bosLen` (BOS lookback), `minRSIMicro`
  
• Impulse Bars Target: time-based exit helper (e.g., like 3 or 5 candles)
  

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Plots & UI

• Overlay: EMA-9/21/50/200, VWAP, wedge guides, **TRIGGER** marker
  
• Background color: state shading (IDLE / WATCH / TRIGGER)
  
• Dashboard (table, top-right): State, VWAP mode, distances to VWAP/EMA-50/EMA-200, EMA-stack (9 vs 21), OBV slope sign, RSI zone, Tightness flag, Impulse counter, Micro status (9>21 / +BOS)
  

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Alerts
Consider these status when you see them:

• WATCH (there is wedge ready) – compression + preconditions met (prepare the order)
  
• TRIGGER-A (price going above VWAP) – Strict breakout confirmation
  
• TRIGGER-B/Micro – Flexible breakout (price under VWAP with room to go up to VWAP, EMA 200, -OB, resistance line, etc) or Micro-Breakout
  

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Recommended Use

Timeframes: 1-minute for execution, 5-minute for context.
Symbols: OPRA SPX options (0-DTE/1-DTE) or SPX/ES for confirmation.
Sessions: Intraday with visible session (VWAP requires intraday data).

Suggested presets (for options):

• `VWAP Mode = Flexible`
  
• `minVWAPDistATR = 0.7` (room to VWAP)
  
• `tightK = 1.0–1.2` (compression sensitivity)
  
• `volBoost = 1.2` (raise to 1.3–1.4 if noisy)
  
• `obvLen = 14–20` (14 = more reactive)
  
• `Impulse Bars = 5`
  

High-probability windows (ET): 11:45–12:45, 13:45–15:15, 15:00–15:45.

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Notes & Limitations

• Designed to surface setups, not to replace discretion. Combine with your risk plan.
  
• VWAP “room” is statistical; on news/latency spikes, distances may be crossed in one bar.
  
• Works on underlyings too, but option % moves are what this study targets.
  
• It's not guaranteed to work 100% of the times. Trade responsibly.
  

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