The way it was explained to me: VWAP EXPLAINED
Post# of 36728
Posted On: 03/05/2014 7:25:57 AM
The way it was explained to me:
VWAP EXPLAINED
VWAP is calculated by multiplying the volume at each price level
by the respective price and dividing by the total volume. The more
volume traded at a certain price level, the more impact that price
has on VWAP.
VWAP= ?(Pn*Vn) / ?(Vn)
where P = price traded;
V = volume traded;
n = number of trades
As an example, consider the following series of trades:
500 shares @ $10.00
300 shares @ $10.05
200 shares @ $10.10
The average price for these three trades is $10.05, however
the VWAP is $10.035 because more volume was executed at
the $10.00 level than at the $10.10 price. One of the keys to
a successful VWAP trade is anticipating market volume and
participating accordingly.
VWAP EXPLAINED
VWAP is calculated by multiplying the volume at each price level
by the respective price and dividing by the total volume. The more
volume traded at a certain price level, the more impact that price
has on VWAP.
VWAP= ?(Pn*Vn) / ?(Vn)
where P = price traded;
V = volume traded;
n = number of trades
As an example, consider the following series of trades:
500 shares @ $10.00
300 shares @ $10.05
200 shares @ $10.10
The average price for these three trades is $10.05, however
the VWAP is $10.035 because more volume was executed at
the $10.00 level than at the $10.10 price. One of the keys to
a successful VWAP trade is anticipating market volume and
participating accordingly.
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