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This interview features veteran floor trader Lewis Borsellino on the Words of Wisdom podcast—a 40+ year market pro who once accounted for roughly 10% of S&P pit volume and famously racked up multi-million dollar days during peak volatility. He walks through the high-pressure mechanics of pit trading, how he evolved from runner to broker to top local, and why discipline and risk control mattered more than opinions when price was moving by the second.
In this piece, you’ll learn the exact trader mindset Borsellino used to survive and scale—how to set stops and actually honor them, size within your true risk tolerance, avoid overtrading, and run a simple “ready-aim-fire” process every day. We’ll also break down his practical rules (learn faster from losers than winners, protect the next day’s capital), why institutional order flow shapes the intraday edges retail traders chase, and how to keep your head when volatility spikes so your strategy—not your emotions—does the trading.
Lewis Borsellino Playbook & Strategy: How He Actually Trades
Daily Prep: Build a Plan Before You Touch the Dome
Before the bell, the work is mostly thinking—what’s the likely day type and where are the traps? You’re mapping key levels, volatility bands, and the “if-this-then-that” branches so you don’t improvise later. The goal is to step in with a blueprint and only deviate when price action proves you wrong fast.
- Mark the prior day’s high/low, overnight high/low, settlement, weekly VWAP, and the nearest composite POC.
- Pre-label two scenarios: trend day and range day; write entry/exit rules for each.
- Compute an opening risk unit (ORU): ORU = max(0.35×ATR(14, 5-min), 1.2×overnight stddev).
- Size around ORU: Contracts = Risk per trade ÷ (ORU + slippage buffer).
- Decide news filters: No new risk inside ±2 minutes of tier-1 releases; flatten if spread widens beyond your buffer.
- Write a one-line bias: “Above ONH = only longs on pullbacks; below ONL = only shorts on pops.”
The Open: Win the First 30 Minutes or Stand Down
The open sets the tone. You’re reading whether inventory is too long/short and whether initiative buying/selling is absorbing or getting slammed. If the story isn’t clear by the first rotation, you don’t force it—Borsellino’s edge was patience until the pit (now the open) told him who’s in charge.
- If opening print > prior close and first 5-min holds above VWAP → classify potential open-drive up; buy first pullback to VWAP/ORU with stop one tick beyond failed reclaim.
- If opening print < prior close and first 5-min rejects VWAP → classify open-drive down; short first pop to VWAP/ORU with mirrored stop.
- If first 15-min range < 0.8×ORU and price whips VWAP both ways → opening balance chop; trade half size, targets = edges of opening balance only.
- First loss rule: if your first two trades are losers, pause 30 minutes; the read is off.
- If the initial impulse fails and breaks the other side of the opening balance, flip bias; treat it as a failed drive → reversal day.
Trade Types: Two Simple Day Models
Most days resolve into either an expanding trend or a balanced chop. Having pre-written rules prevents overthinking. You trade the model that price is confirming—no model confirmation, no trade.
Trend Day (Expansion)
When the market is auctioning efficiently in one direction, you stop fading and ride rotations with tight risk.
- Confirmation: Higher highs + higher lows (or inverse) and price hugging VWAP bands without acceptance back through VWAP.
- Entry: Second pullback after confirmation, not the first spike.
- Stop: Beyond last swing + 0.5×ORU; move to breakeven after 1×ORU in favor.
- Add-on: Only at fresh structure breaks; never add at the same level.
- Exit: Scale 1/3 at 1×ORU, 1/3 at 2×ORU, trail remainder behind a 5-min swing.
Range Day (Balance)
When price keeps rejecting extremes, your job is to sell high, buy low, and avoid the mid.
- Confirmation: Two rejections from each edge of the opening balance or prior day’s value area.
- Entry: Fade the second test of an edge with a limit; avoid market orders in chop.
- Stop: Outside the range by 0.3×ORU; no averaging losers.
- Targets: Mid of range for first scale, opposite edge for second; flatten if VWAP reclaims and holds against your position.
Levels that Matter: Where Pros Actually Do Business
Not all lines are equal. You want prices where large players must decide—prior extremes, value edges, and obvious liquidity pools. These are the spots where slippage is worth paying because the decision is binary.
- Always plot: Prior day H/L, overnight H/L, prior week H/L, value area H/L, composite POC.
- Liquidity traps: Session highs/lows formed in the first 30 minutes often get run—plan for stop-runs → snapbacks.
- If three or more key levels cluster within 0.5×ORU, treat it as a decision zone → trade smaller size but allow larger payoff.
- Never chase into a level; enter on a pullback or a stop-run reversal with confirmation (failed auction candle or quick reclaim of VWAP/level).
Risk & Sizing: Protect Tomorrow’s Ammo
Big days happen because you’re still in the game. Risk is fixed, opportunity varies. The discipline is in taking the same small hit every time you’re wrong and pressing when the tape finally cooperates.
- Daily loss limit (DLL): 1.5–2.0× your average green day; hit DLL → stop trading.
- Per-trade risk: 0.25–0.35× DLL; never exceed it by adding.
- First, add only after +1×ORU unrealized; never add to a loser.
- If the spread widens beyond normal by >50%, halve the size or stand down until it normalizes.
- Max concurrent risk: Only one full-risk position at a time; secondary ideas must be half-risk or better.
Execution: Tape, Pace, and Fill Quality
Great entries feel slightly uncomfortable but mechanically clean. You’re judging the pace of the move, the willingness of the price to accept beyond levels, and whether fills are getting sloppy—sloppy fills often warn of exhaustion.
- If a breakout takes >3 candles (on your execution timeframe) to clear the level, treat it as suspect; wait for a retest-and-go.
- Rejections that close back inside the level within 2 candles are actionable; enter with a stop one tick outside the failed level.
- If your first scale takes >15 minutes to hit on a trend day, reduce target expectations; momentum may be fading.
- Slippage rule: if average slippage exceeds 0.3×ORU over 3 trades, pause; liquidity is shifting.
Psychology & Pace: Act Like a Local, Not a Tourist
You don’t need to be right—just aligned with the flow when it’s obvious. The edge is staying emotionally even while everyone else gets loud. Slow down, let price prove it, then step on it.
- Two-strike rule: two impulsive clicks or revenge trades → log off 20 minutes and hand-write what triggered you.
- Breath check: if heart rate or mouse speed spikes, skip the next signal; you’re not reading, you’re reacting.
- Talk test: if you can’t explain the trade in one sentence (“trend up, pullback to VWAP, higher low”), you don’t take it.
- Green lock: once at +DLL/2, cut size by half; stay green and practice execution.
Journal & Review: Turn Reps into Edge
The fastest improvements come from closing the loop. You’re not collecting screenshots for Instagram—you’re tagging patterns, tracking risk drift, and pruning the plays that don’t pay you.
- Tag every trade with day type, setup name, risk used, outcome, and error (Y/N).
- Weekly cull: drop the bottom 20% of setups by expectancy; double down on the top 20%.
- Build a 10-chart playbook of your best winners and a 10-chart anti-playbook of your worst losers.
- If the expectancy of a setup drops two weeks in a row, bench it until tested on SIM for 20 reps.
Play Calls: Exact Rules You Can Run Tomorrow
Here are three simple plays distilled to rules. They’re designed to keep you structured and fast in live conditions.
A) Open-Drive Pullback (Trend Candidate)
This is the cleanest momentum entry of the day—if it’s real, it shouldn’t give you much heat.
- Trigger: First 5-minute candle closes above/below VWAP and holds on a 1-minute retest.
- Entry: Limit at VWAP ± 0.25×ORU on the pullback.
- Stop: VWAP −/+ 0.25×ORU (opposite side) or last micro swing, whichever is tighter.
- Targets: +1×ORU, +2×ORU, trail remainder behind 5-min higher lows/lower highs.
- Invalidation: Full acceptance back through VWAP with a close; flatten.
B) Failed Range Break (Reversal)
Edges fail when there isn’t fresh participation. You’re feeling the exhaustion with defined risk.
- Trigger: Break beyond the prior day’s high/low that fails back inside within 2 candles on the 5-minute chart.
- Entry: On the reclaim candle close; optionally add on the first weak retest.
- Stop: 0.3×ORU outside the failed extreme.
- Targets: Back to range mid, then opposite edge if VWAP flips in your favor.
- Invalidation: Acceptance back outside the broken extreme.
C) VWAP Reversion (Balance)
When the market is balanced, VWAP is the magnet. You use it as a target, not as a place to open fresh risk into chop.
- Trigger: Two clean rejections off a range edge and price pointed back toward VWAP.
- Entry: Fade the edge on the second test; do not enter at VWAP.
- Stop: 0.3×ORU outside the range.
- Targets: VWAP first, opposite edge second; reduce size near VWAP if pace slows.
- Invalidation: Single-print drive through VWAP with continuation (no stall).
Risk Reset & Recovery Protocol
Bad sessions happen. The pro move is cutting the damage fast and earning back rhythm before dollars.
- After DLL hit: stop trading live; run two SIM reps of your A-setup successfully before re-arming the next session.
- Next day rule: Half size until +1R is booked; only then return to normal size.
- If you post three red days in a row, take a full day off, review the top 20 playbook charts, and trade the following day with one setup only.
Size Risk First: Volatility Sets Position, Not Your Opinions
Lewis Borsellino hammers this point: the market’s volatility decides your size, not your hunch. Start by fixing a dollar risk per trade you can emotionally tolerate, then translate it into contracts using a recent volatility measure like ATR or average rotation. If today’s range is expanding, your size should shrink; if it’s compressing, you can scale modestly. This keeps every bet “same pain,” so one wild candle doesn’t nuke your day.
Turn it into a habit: define a standard risk unit from volatility, then size positions as Risk ÷ Unit—no rounding up because you “feel good.” Set a hard daily loss limit and stop trading the moment it’s hit; edge comes from survival, not heroics. When volatility jumps mid-session, recalculate your unit and cut size on the next trade automatically. And if two trades hit full stop fast, your read is off—downshift size or step aside until the tape settles.
Diversify Smart: Underlying, Strategy, and Timeframe to Smooth P&L
Lewis Borsellino pushes diversification as a practical buffer against bad reads and regime shifts. Spread risk across uncorrelated underlyings—index futures, top liquid stocks, and a currency or two—so one theme doesn’t dictate your day. Pair directional plays with mean-reversion or breakout systems, because different market states pay different edges. Stagger holding periods as well: intraday scalps for frequent reps, swing holds for bigger paydays, and a small core position to ride trends.
He also stresses that “different” must mean truly different in behavior, not just different tickers. If two names move off the same catalyst or sector beta, treat them as one exposure and size down. Track correlation and overlap in a simple grid, and prune redundant trades before they hit your blotter. Borsellino’s bottom line: build a basket where something is usually working, something is setting up, and nothing can blow you up alone.
Trade Mechanics Over Predictions: Rules for Entries, Exits, Adjustments
Lewis Borsellino makes it simple: stop trying to be a fortune-teller and start being a mechanic. Define your trigger (e.g., second pullback to VWAP after a higher high), pre-place the stop (beyond the last swing plus a tiny buffer), and script the first scale-out before you click buy. If the trigger doesn’t print exactly, there is no trade—no “close enough.” Your edge isn’t the idea; it’s the repeatable sequence you can execute the same way on a quiet Tuesday or a wild CPI day.
Mechanics also mean knowing what to do after entry. If price moves one risk unit in your favor, reduce risk—move stop to break-even or take a third off; if pace stalls, tighten; if momentum accelerates, allow the runner to work behind structure, not feelings. Adjust only on new information (failed retest, shift in VWAP control, widening spread), never because P&L went red or green. When a level breaks but fails to accept, flip the idea or flatten fast; the first loss is the cheapest. Borsellino’s rule of thumb: clear trigger, fixed stop, two targets, strict trail—predict less, execute more.
Choose Defined or Undefined Risk Deliberately, Enforce Hard Max Loss
Lewis Borsellino is blunt: risk type is a choice, not an accident. If you run defined risk, you pre-locate the exit and accept the cost of being wrong; if you run undefined risk, you must have an automatic hedge or hard stop that fires without negotiation. He favors keeping loss mechanics simple—price-based invalidation just beyond structure, plus a session-wide kill switch that ends the day before emotions take over. The key is never mixing styles mid-trade; pick the framework at entry and live with it.
He also stresses sizing and sequencing around the max loss. Your per-trade stop should be a small fraction of the daily cap, and you don’t earn the right to add unless the trade has moved in your favor by at least one risk unit. If spread widens or volatility spikes, you cut size first and ask questions later; undefined risk in widening markets is how accounts disappear. When Lewis Borsellino says “hard max loss,” he means an unbreakable rule—hit it, flatten, and protect tomorrow’s capital.
Build the Daily Process: Prep, Execute, Review, Improve Relentlessly
Lewis Borsellino treats routine like a trading edge. Before the open, he writes a one-line bias, marks key levels, defines risk units, and scripts if-then branches for trend or range, so he isn’t improvising when the tape speeds up. During the session, he executes only pre-defined triggers and logs every fill, noting day type, reason for entry, and whether he followed rules.
After the close, Borsellino’s edge becomes the microscope: he tags winners and losers by setup, calculates expectancy, and culls anything that underperforms for two weeks straight. He keeps a small “A-play” roster, drills it on replay, and returns tomorrow with fewer decisions and tighter execution. The loop is simple but relentless—plan, trade the plan, study the trades, shrink the playbook, and size only what proves itself.
Lewis Borsellino’s core lesson is brutally pragmatic: survive first, scale second. From the pit to the screen, he treats volatility—not conviction—as the sizing engine, fixes risk in dollars before entry, and enforces hard, price-based invalidation just beyond structure. He reads who’s in control by how price accepts or rejects key areas, lets the open reveal intent, and refuses to “wish” a trade into working; when the story changes, he’s flat. The emphasis is on mechanics over opinions: clear triggers, predefined stops, and staged exits that convert chaos into a repeatable process.
Equally important is the professional routine wrapped around those mechanics. Borsellino maps levels before the bell, trades only the setups he’s earned the size right, and journals with ruthless clarity—tagging day type, setup, risk, and mistake so weak plays get culled and strong ones get more capital. He diversifies by underlying, strategy, and duration, so no single theme can sink the day, and he keeps a non-negotiable kill switch to protect tomorrow’s ammo. In short, the edge isn’t a secret indicator; it’s disciplined execution of simple rules, relentlessly reviewed and tightened, so you’re aligned with order flow when it finally pays.
