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Glossary term

VWAP (Volume Weighted Average Price)

Also called: VWAP, Volume Weighted Average Price, Volume-Weighted Average Price, volume weighted average price, V-WAP, intraday VWAP.

VWAP is the average price a stock, index or contract has traded at over a chosen period, weighted by the volume at each price. On NSE cash and F&O charts it is almost always intraday. It resets each session, so the line shows the volume-weighted average for that one day. Large trades pull the line more than thin ones. So VWAP is often described as the "average price the bulk of the day's turnover changed hands at."

Formula

VWAP = Σ(Typical Price × Volume) ÷ Σ(Volume), where Typical Price for each interval is usually (High + Low + Close) ÷ 3 and the sums run cumulatively from the session open.

How it is read

Traders commonly read VWAP as an intraday reference for "where the average participant is positioned" on the day. Price above the VWAP line for much of the session is generally described as buyers having paid more than the day's volume-weighted average. Price below VWAP is described the other way round. So the line is often used as a neutral benchmark for intraday strength or weakness. It also frames whether the current quote sits above or below the day's average. Institutions and execution desks use VWAP as an execution benchmark too. They compare the average fill price of an order against the day's VWAP to judge execution quality.

What it does not tell you

VWAP is a backward-looking running average of what has already traded. It does not forecast where price will go. It is not a level price "must" return to or respect. It resets each session and weights by volume, so early-session values are noisy, with few data points behind them. As the day's volume builds, the line responds less and less to new trades. It also varies by data source and by interval: tick, 1-minute or 5-minute, and whether pre-open or auction prints are included. So two charts can show slightly different VWAP lines for the same instrument. A standard intraday VWAP carries no information across days, and on thinly traded contracts a few large prints can skew it.

Traded Volume

Definition →

Impact Cost (Slippage)

Definition →Track

The first hour

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Reference. NSE — Trading on the NSE (market data and turnover concepts).
The lesson that uses this term

Opening Range Breakout Failure: Back Inside the Range

The opening range is the high-low band of the first part of the session (ORH/ORL). An opening range breakout fails when price pushes above the opening range high, or below the low, but then cannot follow through. Price returns inside the range instead. It is a structure, not a signal.

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