VWAP

VWAP accumulates price times volume through the session, producing the benchmark institutions measure executions against. Unlike a simple moving average, which gives every bar equal weight, VWAP counts prices where more contracts traded more heavily, so it shows where the real money changed hands.

The formula: VWAP = cumulative (typical price × volume) ÷ cumulative volume, where the typical price of each bar is (high + low + close) ÷ 3. It starts fresh at the open of every session. Your platform does the math, but knowing it explains the behavior: early in the session VWAP moves quickly, and late in the session so much volume is already counted that it barely moves.

Reading it: price above VWAP means buyers are paying a premium and favors longs; price below means sellers are in control and favors shorts; price chopping around VWAP means balance, which often comes before a bigger move.

Intraday traders use it three ways: as a trend filter, as an entry zone on pullbacks in a trend (the VWAP bounce), and as a mean-reversion magnet for stretched moves. Breakouts through VWAP on strong volume are a fourth setup. Its standard-deviation bands, usually set at 1 and 2, extend the same logic to overbought and oversold zones.

Anchored VWAP runs the same math from a point you choose, such as a swing low or a news release, instead of the session open. The common mistakes are trusting VWAP in thin, low-volume trade, fighting the bigger trend because price crossed the line, and using it alone. Because every platform draws it identically, VWAP is a shared reference across the futures prop world.