Updated 2026-07-25
VWAP is the volume-weighted average price over a period: every trade counts in proportion to its size, so it reflects the average price actually paid rather than the midpoint of a range. Anchored VWAP is the same calculation started from a specific event, such as an earnings date, a listing, a swing low or a cascade.
Two reasons desks watch it. First, it is an execution benchmark: large orders are often measured against VWAP, which gives institutions a mechanical reason to transact around it. Second, an anchored VWAP is a rough read on whether participants who entered since that event are collectively in profit or loss, which is positioning information rather than a pattern. Neither version predicts direction. They tell you where the average participant's cost basis sits, which is a useful frame next to where their liquidation levels sit.