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Session vs Anchored VWAP
VWAP is the average price everyone paid since a starting point. Change the starting point and you change the question it answers. Drag the anchor and watch.
The idea in one minute
VWAP stands for volume weighted average price. It is the average price paid for every contract traded since a starting point, where busy prices count for more than quiet ones.
The session VWAP starts at the open and resets every day. It answers: who is winning today, the buyers or the sellers?
An anchored VWAP starts wherever you put it: the low a rally started from, the high a selloff started from, the start of the week. It answers the same question for a different group of people: everyone who got involved since that moment.
Price above the line: the average buyer since the anchor is in profit and the average seller is underwater. Price below it: the other way round. When price comes back to the line, both are back at breakeven, and people tend to act at breakeven.
Volume pulls it
Eight candles. The gold line is VWAP, the grey dashed line is a plain average of price. Tap any candle to give it four times the volume, and watch which line moves.
Move the anchor
Two sessions. The teal line is session VWAP: it starts fresh at each open. The gold line is anchored VWAP: it starts wherever the anchor is. Drag the anchor, or use the shortcuts, and compare them live.
Go deeper: which open does the session VWAP use?
ES and NQ trade nearly around the clock, so "the session" depends on your settings. Some traders reset VWAP at the start of the overnight session, some at the New York open. This page uses the New York open. Neither is wrong. Pick one, keep it the same every day, and know which one you are looking at.
Anchored VWAP has no such question. It starts exactly where you put it, which is why the choice of anchor is the whole skill.
Where would you anchor?
Four charts. Each has one move that matters. Tap the candle you would anchor from to track the people who started that move.
How I use it
Session VWAP is on my chart every day. It tells me, at a glance, whether today's buyers or today's sellers are winning, and which side has to defend it when price comes back.
Anchored VWAPs I place by hand, only from points where the auction clearly changed: the low a rally started from, the high a selloff started from, the start of the week. When price comes back to one of those lines, the people who got in since that point are back at breakeven. I do not trade the line itself. I watch the footprint there (the chart that shows how many contracts traded at each price inside each candle) to see whether they defend it.
Checkpoint
Checkpoint4 quick questions on VWAP
What does VWAP tell you?
What is the difference between session VWAP and anchored VWAP?
One candle trades four times its normal volume. What does that do to VWAP?
Price is above the VWAP anchored at the low the rally started from. What does that tell you?
Recap
- VWAP is the average price paid since a start point, weighted by volume.
- Session VWAP starts at the open. Anchored VWAP starts where you put it.
- Heavy volume pulls VWAP toward it.
- Anchor from points where the auction changed, and read the line as "is that group winning or losing?"
VWAP works best next to the volume profile and the value area, not instead of them. The Mentorship puts them together into one plan.
The Mentorship
You just learned to read session and anchored VWAP. Now learn to trade it.
Knowing it is one thing. Trading it live is where most traders fall apart: they hesitate, enter late, get stopped out, and watch the move go without them.
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