VWAP (volume-weighted average price)
The average price paid for an asset over a period, weighted by the size of each trade.
VWAP is calculated by multiplying each trade's price by its volume, summing those products and dividing by total volume for the period. It is the average price at which the asset actually changed hands, so large trades count for more than small ones. It is usually reset at the start of each session.
On our site, VWAP is drawn as a line over intraday price. Price above VWAP suggests the session's buyers are in profit on average; price below suggests the reverse.
Traders care because institutions often benchmark their execution against VWAP, and a buy below VWAP is generally treated as a good fill.
Worked example (illustrative numbers, not real data): three trades of 1,000 shares at 50.00, 3,000 at 50.40 and 2,000 at 50.10. The total is 301,400 dollars over 6,000 shares, so VWAP is about 50.23. The simple average of the three prices is 50.17.