The institutional execution benchmark: above it = buyers are paying more than average.
The short answer
- What is the Volume Weighted Average Price indicator (VWAP)?
- Volume Weighted Average Price: Σ(price × volume) ÷ Σvolume since the open.
- When does VWAP get it wrong?
- Resets daily · meaningless across days. See it on live market data in the “Chart terminal.” Open the chart terminal →
Indicator limit
Resets daily · meaningless across days.
Read it with
On-Balance Volume: price is above VWAP and On-Balance Volume is rising: real participation, not a thin rally.
It answers: does the market have a direction? · Does volume support it?
What it actually does
VWAP divides the sum of (price × volume) by the sum of volume since the start of the session. So it is the average price at which money actually traded, not the average of quoted prices: one price that summarizes where the day's weight fell.
Why institutions watch it
Large order executors are measured against it: whoever bought below it executed better than the market average, and whoever bought above it did worse. That makes it a self-fulfilling execution target. Many algorithms buy on a drop to it and sell as price moves away from it, so it acts as a real magnet, not a theoretical one.
How it is read in practice
Price above it all session means buyers are in control, below it means sellers are, and price hovering around it means balance. Deviation bands around it serve as bounce or extension zones. It resets every session, so it is a one-day tool, not a weekly one.
Hypothetical example
An index opens lower, rebounds, and settles above its VWAP by midday without going back below: control shifted during the session. Day traders build on that, and anyone trading over days reads it as context, not a signal.
Where it errs and why
It means nothing across sessions (it resets daily), and it loses meaning on thinly traded symbols, where a single trade can move it. In sessions with a large opening gap it stays far from price for hours and is not useful.
Read it with
Read it with relative volume, because its meaning weakens in a thin session; with daily Gamma levels, where two magnets meet, one for execution and one for hedging, and their overlap at one price makes the strongest zone of the day; and with the Expected Move (Expected Move), which says how far price can reasonably move from it in a session.
Where to see it on the platform
The Gamma dashboard plots single-day levels, and the scanner terminal shows where price sits within the session range.
