VWAP (Volume-Weighted Average Price)
Updated 2026-07-06
VWAP, the volume-weighted average price, is the average price of an asset over a window with each trade weighted by its size. It answers a question a plain moving average can't: not just where price has been, but where the volume actually changed hands. Traders read it as a fair-value benchmark and a trend gauge, and when it is anchored to a chosen event, as a support or resistance line that the whole market's cost basis is measured against.
What VWAP is, and the formula
VWAP takes the value that traded at every print over a window, price multiplied by the volume at that price, sums it, and divides by the total volume. The formula is one line: VWAP = Σ(price × volume) / Σ(volume). A level where a million dollars changed hands pulls the average far harder than a level where a thousand did.
That weighting is the whole point. A simple moving average counts every candle equally, a quiet 3 a.m. bar and a frenzied breakout bar move it the same amount. VWAP does not: it follows where the money actually traded, so it tracks the market's real centre of gravity rather than the midpoint of price.
Read as a single number, VWAP is the consensus cost basis over its window: the average price everyone who traded in that period actually paid. That is why desks benchmark fills against it (did I buy below the day's VWAP?) and why traders treat it as fair value that price tends to gravitate back toward.
Session VWAP vs anchored VWAP
The classic version is session VWAP: it starts at the session open and accumulates through the day, resetting when the next session begins. On a stock it resets at the exchange open every morning, which makes it a clean intraday fair-value line.
Anchored VWAP (AVWAP) drops the calendar and lets you choose the start bar. Anchor it to a swing high, a swing low, a breakout candle, or a news event, and the line runs from that exact bar to the live price. It measures the volume-weighted average price everyone has paid since the thing you care about happened, not since an arbitrary clock boundary.
That is what makes anchored VWAP a level, not just an average. The AVWAP from a major low is the cost basis of every buyer since the bottom: while price holds above it, those buyers are in profit and it tends to act as support; a decisive break below flips that cohort underwater and the line often becomes resistance.
VWAP bands (standard deviation)
VWAP is usually drawn with bands above and below it, set at multiples of the volume-weighted standard deviation of price around the line: VWAP ± 1σ, ± 2σ, sometimes ± 3σ. The bands describe how far price has strayed from fair value in the units of that window's own volatility.
Traders use them two ways. In a range, a tag of the +2σ or −2σ band flags a stretched move that often reverts toward VWAP, a mean-reversion cue. In a strong trend the read inverts: price riding the +1σ band and refusing to fall back to VWAP is a sign of persistent one-sided demand, not an automatic short.
How to read VWAP on 24/7 crypto perps
The core read is position relative to the line. Price above VWAP is a bullish bias and buyers are in control of the window; price below is bearish. Pullbacks toward VWAP in an uptrend are where trend traders look to re-enter, because that is fair value being retested rather than chased.
Crypto changes one thing that matters here. Perpetual futures trade 24/7 with no exchange open or close, so there is no natural daily reset and "session VWAP" is only as meaningful as the arbitrary boundary you pick (most tools use 00:00 UTC). That is exactly why anchored VWAP earns its keep on perps: instead of a clock, you anchor to a real event, a liquidation cascade, a range breakout, a funding flip, and measure the market's cost basis from there.
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Frequently asked questions
What is VWAP?
VWAP (volume-weighted average price) is the average price of an asset over a window with each trade weighted by its volume: Σ(price × volume) / Σ(volume). Unlike a simple moving average, it counts where volume actually traded, so it reads as the market's consensus fair value over that window.
What is anchored VWAP?
Anchored VWAP (AVWAP) is a VWAP that starts from a specific bar you choose, the anchor, rather than a calendar session. Anchor it to a swing high, a swing low, a breakout or a news candle and the line shows the volume-weighted average price everyone has paid since that event, which often acts as support or resistance.
VWAP vs TWAP: what's the difference?
TWAP (time-weighted average price) averages price evenly across time, every interval counts the same. VWAP (volume-weighted) weights each interval by how much traded, so heavy-volume prices pull it harder. TWAP is common for scheduling execution evenly over time; VWAP is the benchmark for where real business actually happened.
How do you use VWAP in trading?
As a fair-value benchmark: price above VWAP is a bullish bias, below it is bearish, and traders watch for reversion back to the line. Bands at VWAP ± standard deviation flag stretched moves. An anchored VWAP from a key high or low acts as a support or resistance level that the market's cost basis defends.