Created from a pact of a demon whose power allows them to defy gravity, this technique is considered indispensable though it's high applications and requirement of the full moon made it a technique that killed countless witches during training.
In gameplay, this technique used only at certain verses in both Bayonetta and Bayonetta 2 games due to a full moon or one of Lord Aesir's device in the sequel. In Bayonetta 2, this technique (and it's unnamed variants) are also used in certain stages in Tag Climax.
Notes On The Topic Of Magic - II
"In the rigorous pursuit that are the magical arts, one method is said to have caused countless deaths during training – Witch Walk.
The Umbra Witches it seems Witch Walk was truly indispensable. Taking their power from the Moon, this band of witches was able to draw on the power-enriching qualities of moonlight to execute high-level techniques. However, records state that Witch Walk was powered by a pact with a particularly powerful demon who would grant the power to break gravity’s bonds, and not by the more common moonlit source.
As no further records remain as to the nature of the technique, any more hard facts remain unknown; however, by looking at the traces left on the buildings around Vigrid, one can make some further assumptions. The traces are, in fact, footprints left on the surfaces of the wall. They blend into the city so well that you almost never catch a glimpse of them at first glance. In fact, those without knowledge of Witch Walk would probably never notice the footprints’ presence. Amongst the dirt and scars on the surface, there are many buildings in Vigrid where footprints sporadically continue along their sides. This must be none other than proof that these magic practitioners were able to literally walk on walls.
Many of these buildings where the witches have left their mark are truly strange. There are doors in unbelievably high locations, or the building may lack a path to its entrance entirely. Rejecting all intruders and living a life of solitude... Witch Walk was not just a training technique for the Umbra Witches, it was a shield that protected their way of life."