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Session VWAP

Volume weighted average price calculated from the start of the current trading session, resetting each day.

Session VWAP is the default version of vwap on most platforms. It answers one question: what is the average price everyone has paid today, weighted by size. Institutions are measured against it, which gives it a real mechanical role rather than a purely chartist one.

Intraday traders use it as the day's dividing line. Price above it means buyers who bought today are on average in profit; repeated rejection from below is read as a market in control of sellers.

It is heavily weighted toward early-session activity as the day progresses, so late in the day it moves very little and stops being a useful dynamic level. For context that spans multiple days, use anchored-vwap anchored to a meaningful event instead.

Related: vwap, anchored-vwap, volume-weighted-moving-average, session-breaks, initial-balance

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Intraday price swinging around VWAPA price line for one trading day weaving above and below a smoother VWAP line, with a band drawn one standard deviation either side of it.INTRADAY PRICE AND VWAPprice9:3012:4516:00+1 SD bandVWAP−1 SD bandIllustrative session. VWAP starts fresh at the open and firms up as the day fills in.
VWAP and its standard-deviation bands. VWAP is the day's average price weighted by how much volume traded at each price, so it shows where the bulk of the day's business was done. The bands sit one standard deviation either side, and price here swings between them all session.

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