Definition
The average price something has traded at so far in the session, giving more weight to prices where more trading happened.
The story
Say 100 contracts trade at $10 and 900 trade at $11. A plain average of the two prices is $10.50, but VWAP is $10.90, because most of the trading happened at $11. It starts fresh each session and updates all day. Big institutions often use it as a yardstick to judge whether they bought or sold at a good average price.
Why you'll see it
Traders and coverage use it as a reference for whether price is trading above or below the day's average.
Connects to
We explain why it moves markets. What you do with it is your call. Commentary and education only. Not financial advice. All terms