Oyticker
LIVE
Indicators · Volume

VWAP

The VWAP (volume-weighted average price) is the average price of everything traded since the start of a period, each trade weighted by its volume. Intraday it restarts every session and is the benchmark many institutions use to judge their execution: above the VWAP, the average buyer of the day is in profit.

What it's for
  • Know the average price paid since the start of the session (or week, month…), weighted by volume.
  • Judge who controls the session: buyers above a rising VWAP, sellers below a falling one.
  • Use it as an execution benchmark and as intraday support or resistance.
Every planTry it in Analyze
Pane
On the price chart
Plan
Every plan
Settings
Anchor period, bands (none, ±1σ, ±1σ and ±2σ)
Auto anchor
1D: session · 1M: week · 3M: month · 1Y: quarter · 5Y: year

Calculation

tp    = (high + low + close) / 3
VWAP  = Σ(tp × volume) / Σ(volume)          since the start of the period
σ     = √( Σ(tp² × volume) / Σ(volume) − VWAP² )

Sums restart at each new period of the anchor (session, week, month, quarter, year) in the market's time zone. The bands are VWAP ± 1σ and ± 2σ.

Reading it intraday

Intraday trend day where every pullback holds above the VWAP and the close is near the high
A trend day: after the first half hour, every pullback holds just above the VWAP and the session closes near its high. Buyers defend the day's average cost.
  • Above a rising VWAP, buyers are in control; pullbacks to it are the classic intraday entries for longs. Below a falling VWAP, the reverse.
  • Reclaiming the VWAP after trading below it shows a change of control within the session.
  • Institutional benchmark: large orders are often worked to beat the VWAP, which creates real buying below it and selling above it on balanced days.

Case study: a balanced day and the σ bands

Balanced intraday session oscillating around the VWAP with ±1σ and ±2σ bands
A balanced session: price crosses the VWAP many times and excursions toward the outer bands come back to it. On such days the bands frame mean-reversion trades.

The same indicator supports opposite tactics depending on the day: trend days respect the VWAP as support or resistance, balanced days revert to it. The first hour's behavior and the volume usually tell which kind of day is unfolding.

Limits

  • The VWAP is only as good as the volume data. On the 1D view of US stocks, the latest minutes may come from a real-time feed that covers one venue; Oyticker flags it under the chart when volume-based indicators are shown.
  • Late in the session the VWAP barely moves: thousands of minutes of volume weigh against each new one.
  • To start the average at a chosen event instead of a calendar period, use the anchored VWAP.

Charts in this guide use simulated prices generated for illustration; levels and outcomes shown are examples, not observations of a real market. Educational content only, not investment advice.

Related guides

Anchored VWAPPlusHow the anchored VWAP is calculated from a chosen bar, why it shows the average cost of everyone who traded since an event, and how to read it as support or resistance.VolumeHow to read traded volume with its moving average: breakouts on expanding volume, pullbacks on light volume, selling climaxes and what volume cannot tell you.TPO (Market Profile)PlusHow the TPO Market Profile builds a session's time-at-price distribution with 30-minute letters, and how to read its POC, value area, initial balance and single prints.