A Volume Weighted Average Price (VWAP) indicator shows price moving average throughout the regular session. Reference to VWAP itself is to the moving average or mean.
Ranging outward from the VWAP 7o5 indicator are 6 standard deviation (σ) bands: 3 above VWAP and 3 below. VWAP 7o5 also includes half-deviation bands, which are signified by dots, rather than dashes of the standard deviation bands. Algo sometimes settles on or reacts to half-deviation bands.
VWAP weighs average price by volume. Trades with higher volume have more influence on the average. The weighing means that VWAP reflects where the most money has changed hands.
Importance
The member version of this page explains how to interpret VWAP, which plays a important role in minuting.
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