VWAP (Volume Weighted Average Price)

VWAP = sum(price * volume) / sum(volume), calculated from session start.

Why it matters

Large institutional orders are benchmarked against VWAP. A buy-side trader executing a large order typically aims to buy below VWAP and sell above. So VWAP is:

• An intraday magnet zone
• A heavily watched dynamic support/resistance
• A daily buy/sell balance indicator

Reading

• Price above VWAP = buyers dominate since open
• Price below = sellers dominate
• VWAP test from below in an intraday uptrend = classic buyer pullback
• Clean VWAP break = intraday regime change

Useful variants

• Anchored VWAP: calculated from a specific point (macro announcement, etc.) rather than session open. Heavily used by pros.
• Weekly / Monthly VWAP: for longer positions
• VWAP standard deviation bands: ±1σ and ±2σ envelope, similar to Bollinger

Limitation

Useless for very long-term swing: it becomes a regular moving average. Power comes from intraday + institutional benchmark.