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Vad är VWAP? – En förklaring och definition av VWAP

Vad är VWAP?

Matt, one of our remote traders, asked me to write a short article on VWAP. Well, technically I’m on vacation, but I’ve been on hold with Continental Airlines for the past two hours trying to reschedule my flight back to the city… and I just beat my airport video game for the second time (kind of ironic, no?)… so I really have nothing else to do. 🙂 Here it goes.

First of all, what is VWAP? Most of you probably already know this but VWAP (which I have heard more often pronounced to rhyme with “pop” rather than “tap” btw) is the Volume Weighted Average Price. Assume the following data points are prices and volumes (assume in the hundreds to be realistic) taken for a stock every one minute:

Price Volume
50.00 53
50.10 65
50.25 14
49.80 169
49.25 240

The average price for this period is 49.88, which would be the value we would get from a 5 period moving average. To calculate VWAP, each price is multiplied (read: “weighted”) by the volume done at that price, these products are added and then divided by the sum of the volumes for the period under consideration. Pretty standard stuff as far as a weighted average goes, but just to check yourself, see if you get my answer of 49.62 for the example above. Take a minute also to make sure you understand why the VWAP is lower than the simple average… in this case, more volume was done at the lower prices, pulling VWAP lower than the simple average.

Traders ask: Day Trading Blog.

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