Vyreon LabsMarket Measurements

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VWAP (Volume-Weighted Average Price): Formula and Close vs VWAP

What VWAP is, how it's calculated, what close vs VWAP means, and why Vyreon shows the venue share of its Cboe One intraday bars.

Reviewed · Sources at the end · How Vyreon measures
Vyreon's per-security reports are not live yet; this page describes what they will measure. Examples are illustrative.

VWAP, the volume-weighted average price, is the average price paid per share during a trading session, with each price weighted by how many shares traded at it. Comparing the close with VWAP shows whether the session finished above or below the average traded price.

VWAP Formula

VWAP = Σ (price × volume) ÷ Σ volume

Prices where heavy volume traded pull VWAP toward them; thinly traded prices barely move it. Unlike a moving average, session VWAP resets every day and covers only that day's trading.

Illustrative example: in three intervals, 100 shares trade at an average of 10.00, 300 at 10.20 and 100 at 10.10. VWAP = (1,000 + 3,060 + 1,010) ÷ 500 = 10.14. A close of 10.30 is about 1.6% above VWAP.

Close Vs VWAP

Close vs VWAP = close ÷ VWAP − 1

A positive value means the session ended above the volume-weighted average price; a negative value means below. Institutions use VWAP as a benchmark for judging execution quality (see Sources).

How Vyreon Calculates It

Vyreon builds session VWAP from 15-minute bars covering regular hours, 09:30 to 16:00 ET. Each bar's own average price is weighted by that bar's volume.

Until consolidated intraday data is in use, the bars come from Intrinio's Cboe One feed, which covers trades on Cboe's exchanges, not the consolidated tape that includes every exchange and off-exchange venue. Vyreon therefore also shows the venue share: the bars' total volume divided by the day's consolidated volume. A low share means the VWAP is drawn from a smaller slice of the day's trading, though US venues are linked by an order protection rule that, with exceptions, bars trades at prices worse than the best quotes displayed on other exchanges.

Prices are not adjusted for splits or dividends, because VWAP describes a single session. If the intraday bars for a session were not captured, VWAP is shown as unavailable rather than estimated.

What VWAP Does Not Tell You

  • It does not say who was buying or selling, or why.
  • A close above or below VWAP is a description of the session, not a signal about the next one.
  • Because it comes from one venue group, it can differ slightly from a VWAP computed on every trade.

Related: relative volume · on-balance volume · money flow index · moving averages

Sources

  • Stephen A. Berkowitz, Dennis E. Logue and Eugene A. Noser, "The Total Cost of Transactions on the NYSE", Journal of Finance (1988): VWAP as a benchmark for institutional execution.
  • U.S. Securities and Exchange Commission, Regulation NMS (2005), Rule 611: the order protection rule.