VWAP¶

Volume Weighted Average Price — intraday execution benchmark and dynamic support/resistance reference built into the Tapeboard terminal.

OVERVIEW¶

VWAP is the ratio of cumulative dollar volume traded to cumulative share volume for a security across a single trading session. Each transaction is weighted by its size, so large prints influence the average more than small ones. The value resets to zero at market open every day.

Core formula:

VWAP = Σ(Typical Price × Volume) / Σ(Volume)

Where Typical Price (TP) = (High + Low + Close) / 3 per time bar.

The running cumulative form:

VWAP_t = Σᵢ₌₁ᵗ (TPᵢ × Vᵢ) / Σᵢ₌₁ᵗ Vᵢ

Note

Some implementations substitute the closing price for the typical price. Values differ slightly but the behavioral signal is identical. Tapeboard uses the standard typical price method by default.

CALCULATION REFERENCE¶

Worked Example¶

The following table shows the first three one-minute bars for a representative TSLA session:

Bar	Typical Price	Volume	TP × Volume
9:30	$175.40	850,000	$149,090,000
9:31	$176.20	620,000	$109,244,000
9:32	$175.80	480,000	$84,384,000
Total	—	1,950,000	$342,718,000

VWAP at 9:32 = $342,718,000 / 1,950,000 = $175.75

Current price of $175.80 sits $0.05 above VWAP. The average buyer over the first two minutes of the session is slightly underwater.

Standard Deviation Bands¶

Tapeboard plots ±1 SD and ±2 SD envelopes around VWAP by default.

Band	Interpretation
Within ±1 SD	~68% of normal intraday price action
Beyond ±2 SD	Extended condition; mean-reversion risk elevated

Tip

SD bands are anchored to the session's volume-weighted mean — not a simple moving average. They behave similarly to Bollinger Bands but reset with VWAP at each market open.

USE CASES¶

Institutional Execution Benchmark¶

Buy-side desks evaluate algorithm quality against VWAP:

Fill Result	Interpretation
Buy filled below VWAP	Alpha-positive execution
Buy filled above VWAP	Execution drag
Sell filled above VWAP	Alpha-positive execution
Sell filled below VWAP	Execution drag

VWAP algorithms slice large orders throughout the session, concentrating volume during high-activity windows — typically the open and the final hour — to minimize market impact.

Day Trading Trend Reference¶

Price Behavior	Signal
Price holds above VWAP; pullbacks bounce at the level	Buy-side control
Price holds below VWAP; bounces fail at the level	Sell-side control
Gap-and-go: price opens above, holds VWAP on first test	Continuation trade
Gap-fill: price recaptures VWAP and pushes toward prior close	Reversal trade

Tip

The first test of VWAP after a gap open is one of the highest-probability intraday setups. Use Tapeboard's VWAP alert layer to flag this event automatically.

Anchored VWAP (AVWAP)¶

AVWAP anchors the calculation to a user-defined price event rather than resetting daily. Common anchor points:

Anchor Event	Typical Use
Earnings release date	Gauge institutional cost basis post-catalyst
52-week high or low	Identify trapped buyers or sellers
IPO date	Track long-term institutional positioning
Gap day open	Intraday swing reference after large gap

Swing traders use AVWAP to determine whether participants who entered at a major event are in profit or underwater, which governs whether that level acts as support or resistance going forward.

LIMITATIONS¶