Volume-weighted average price
What does it mean when an average price gives more weight to levels where more money actually traded?
In plain words
The volume-weighted average price, or VWAP, is the average price over a period calculated by weighting each price by how much traded there. Levels with heavy trading pull the figure towards them; levels with little trading barely move it.
Why it matters
An average price shows the middle of the range; the VWAP shows where the volume sat. An execution is measured against it as a benchmark for whether a trade was filled near the market's centre of gravity, which separates price skill from a market that simply moved.
In a real week: ETH, week of 4 November 2024
In the week of 4 November 2024, ETH traded across a range of 37.79%, from a low of 2357.59 on Monday at 21:00 UTC to a high of 3248.52 on Sunday at 18:00 UTC, on 12.26bn of dollar volume, 2.51 times its prior 12-week average. The close of 3183.21 sat 92.7% through the range, in the upper third, and the week's dollar volume was above its prior 12-week average.
A common mistake
Treating the VWAP as a support or resistance line. It summarises where trading concentrated in a past window; it does not by itself predict where price goes next.