Glossary
Volume-weighted average price (VWAP)
The average price a security traded at over a period, weighted by the volume at each price; the standard intraday benchmark for execution quality.
On this page
VWAP, the volume-weighted average price, is the average price at which a security has traded since a starting point, with each price weighted by how many shares changed hands there. A session VWAP starts at the open and resets each day, so by the close it tells you the average price paid by everyone who traded that day. Institutions use it to judge whether their orders were filled well, and traders use it as an intraday line of fair value.
How it works
How it is used
A fund that bought 500,000 shares at an average of $10.08 while the day's VWAP was $10.13 beat the benchmark by 5 cents a share. Day traders often read price above VWAP as buyers in control and below it as sellers in control, and watch for pullbacks to the line.
Anchored VWAP starts the calculation at a chosen event, such as an earnings report or a major low, instead of the open, and shows the average cost of everyone who has traded since then. That choice of anchor changes the line completely, so always know where it starts. On Finabase's 1-day chart, the VWAP is the classic session version; on daily charts it is anchored at the start of the app's two-year daily history. VWAP lags, like any average, and means little in a thinly traded stock.