# VWAP (volume-weighted average price)

> The average price a security traded at during a period, weighted by the volume at each price, usually reset each trading day.

Source: https://www.quantisnow.com/glossary/vwap
Topic: Glossary / Market structure
Also known as: VWAP, volume-weighted average price, volume weighted average price, anchored VWAP
Last updated: 2026-10-27

VWAP (volume-weighted average price) is the average price at which a security traded over a period, weighted by how many shares traded at each price. The standard intraday VWAP starts fresh at the open each day and updates with every trade.

## How it works

VWAP equals the total dollar value traded divided by the total shares traded:

VWAP = sum of (price x shares) / sum of shares

Charting platforms usually calculate it from each bar's typical price (high, low and close averaged) multiplied by that bar's volume. Because it weights by volume, prices where heavy trading occurred count far more than prices that printed on a few hundred shares.

An "anchored VWAP" starts the calculation from a chosen event instead of the open, such as an earnings release, an IPO date or a gap day, to show the average cost of everyone who traded since then.

## Why it matters for traders

VWAP serves two audiences:

- **Institutions** use it as an execution benchmark. A fund buying 2 million shares over a day wants an average price at or below VWAP, and many algorithms are designed to track it.
- **Day traders** use it as a dynamic support or resistance line. A stock holding above VWAP after a gap up suggests buyers remain in control; losing VWAP often signals the morning move is fading.

On news days, VWAP is a quick read of where the average participant is positioned. If a stock gapped up on earnings and is trading below VWAP by midday, most of the day's buyers are underwater.

## Example

Hypothetical Copperline Energy (ticker CPLE) has three trades in a quiet stretch: 300 shares at $10.00, 100 at $10.40 and 100 at $11.00. Dollar value is $3,000 + $1,040 + $1,100 = $5,140 across 500 shares, so VWAP is $5,140 / 500 = $10.28. The simple average of the three prices is about $10.47, higher because it ignores that most shares changed hands at $10.00.

## FAQ

### Why does VWAP reset every day?

Standard VWAP measures a single session's average cost, which is what execution benchmarks require. Anchored VWAP is used when a multi-day view is wanted.

## Related terms

- [Relative volume](https://www.quantisnow.com/glossary/relative-volume.md): A ratio comparing a stock's current trading volume to its typical volume for the same period, used to spot unusual activity.
- [Market order](https://www.quantisnow.com/glossary/market-order.md): An order to buy or sell immediately at the best available price, which guarantees execution but not the price.
- [Gap up and gap down](https://www.quantisnow.com/glossary/gap.md): A price jump between sessions, when a stock opens above the prior high (gap up) or below the prior low (gap down), usually on news.
- [Dark pool](https://www.quantisnow.com/glossary/dark-pool.md): A private trading venue that matches buy and sell orders without displaying quotes publicly, reporting trades only after they execute.
- [Market maker](https://www.quantisnow.com/glossary/market-maker.md): A firm that continuously quotes both a buy and a sell price in a security, earning the spread in exchange for supplying liquidity.

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