By far the best U.S. Session market open strategy is Set Divergence/Convergence.
More times than not (nothing is 100%) if price overnight and early morning diverges away from Settlement, the price will pop and converge back towards SET.

Now, the goal is to never hold all the way to Settlement. The goal is to get green and bank the green.
This is by FAR the best low risk, out of the money strategy that we personally know of.
Watch it play out live here on /YM Futures.