VWAP
Volume-weighted average price: the average price paid today, each trade weighted by its size.
Formula
VWAP = Σ (Typical price × Volume) ÷ Σ Volume, Typical price = (High + Low + Close) ÷ 3
How to read it
Trading above VWAP means buyers today have, on average, paid less than the price now.
How to use it
The day's fair-value line for intraday traders: institutions often benchmark their fills to it, and it acts as support or resistance.
Limitations
Resets each session, so it means little early in the day; undefined without volume.
In Kereon
Market. Each desk stock's session VWAP; % above VWAP counts the desk stocks trading above theirs.
Charts · Superchart. Per session on intraday charts (a new session starts after a gap of more than four median bar spacings, or on a new day); on daily charts a rolling 20-bar window, or a week, month, quarter or year. Optional bands at 1–3 volume-weighted standard deviations. A window with no volume draws nothing.
Also called: vwap, % above vwap, above vwap.