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Key Takeaways
- Anchored VWAP uses the same volume-weighted average price math as session VWAP, but the accumulation starts at a bar the trader chooses.
- Choose the anchor and specify the price input, volume coverage and included session hours.
- Common anchors are event bars such as an earnings gap, a swing high, a swing low, an index low, or a large-volume reversal day.
- The line measures a volume-weighted trading average from the selected anchor.
- Each update moves toward the new price input by the new volume’s share of cumulative volume.
What is anchored VWAP (AVWAP)?
Anchored VWAP (AVWAP) is a volume-weighted average price that starts at an observation the trader selects, such as an earnings session or a major swing, rather than resetting at each session boundary. It sums price times volume from that anchor forward and divides by the volume traded since, so the line tracks the volume-weighted trading average from the chosen event.
Session VWAP resets at the session boundary. Anchored VWAP keeps the chosen start and accumulates subsequent observations. Brian Shannon popularized its use as an event-based chart reference.
How is anchored VWAP calculated?
For each included observation, multiply the selected price by its volume. Sum those products and divide by positive cumulative volume. Include the anchor observation itself.
A trade-level calculation uses execution price. The chart here uses typical price, (high + low + close) / 3, for each bar and weights it by that bar’s volume.
The update is AVWAP new = AVWAP previous + [new volume / updated total volume] × (new price input − AVWAP previous).
This weight explains responsiveness. For the same incoming volume, a larger accumulated total reduces its effect. A sufficiently large new volume changes that weight sharply. The line rises when the new price input exceeds the prior average and falls when it is below.
Formula
AVWAP(t) = sum from anchor to t of (price_i × volume_i) / sum from anchor to t of volume_i- anchor is the user-selected starting bar or trade, and t is the current bar.
- price_i is the price assigned to interval i, often the typical price (high + low + close) / 3 on bar data or the execution price on tick data.
- volume_i is the executed volume for that interval.
- Include the anchor observation and divide by positive cumulative volume. The new observation’s weight is its volume divided by the updated total.
Anchored VWAP example: three sessions from an earnings anchor
A trader anchors to an earnings session that gapped down and reversed. The calculation includes three sessions, beginning with that anchor session.
- Session 1: typical price $50.00 × 4,000,000 shares = $200,000,000
- Session 2: typical price $52.00 × 2,000,000 shares = $104,000,000
- Session 3: typical price $53.00 × 1,000,000 shares = $53,000,000
- Cumulative: $357,000,000 / 7,000,000 shares = $51.00 anchored VWAP
The three sessions produce AVWAP $51.00. At a current price of $54.00, price is $3.00, or 5.88%, above that volume-weighted reference. Define the price action that activates a retest or reclaim setup around the line.
The anchor session contributes $50 × 4M shares = $200M. The next two sessions contribute $52 × 2M = $104M and $53 × 1M = $53M.
AVWAP = $357M / 7M shares = $51. At $54, price is $3, or 5.88%, above that reference.
AVWAP averages every reported trade: a share that trades at $100 and again at $110 counts in both prints, for a $105 average, while its current owner paid $110. Read the line as the market’s trading average from the anchor.
Two anchors on the same data
Add a fourth session at $49 with 3M shares to the worked example. Keeping the original anchor gives ($357M + $147M) / 10M = $50.40. Starting at the second session instead gives ($104M + $53M + $147M) / 6M = $50.67.
Both calculations use the same later sessions; the difference comes from whether the first $200M/4M observation is included. Choose an anchor rule before judging the later price path. Moving an anchor after seeing the outcome changes the question being tested.
Move the anchor. Compare VWAP.
VWAP Calculator with an Inclusive Anchor
Row 1 is the first trade. The anchored VWAP includes this row.
- Full-Session Traded Value / Quantity
- $70,200 / 1,400
- Session VWAP
- $50.14
- Anchored Value / Quantity
- $65,200 / 1,300
- Anchored VWAP
- $50.15
| Execution | Price | Shares | Traded Value | In Anchor? |
|---|---|---|---|---|
| Execution 1 | $50.00 | 100 | $5,000 | No |
| Execution 2 | $50.20 | 300 | $15,060 | Yes |
| Execution 3 | $49.90 | 600 | $29,940 | Yes |
| Execution 4 | $50.50 | 400 | $20,200 | Yes |
Model: Volume-weighted averageHypothetical inputs. The selected anchor row is included. Add fees when grading a fill. Full Convention
How to read an anchored VWAP retest
The chart anchors at bar 7 and calculates all 18 AVWAP observations from the anchor bar onward from the supplied prices and volumes. At bar 15, the low reaches $89.90 while AVWAP is $90.14; the bar closes at $91.20.
That completed bar trades through the average and closes above it. Use it to set the plan: the close above the $90.14 AVWAP is the trigger, and a trade back below the $89.90 low ends the idea.
How traders use anchored VWAP with other levels
Multiple anchors compare weighted trading averages from different starting events. Mark where those lines converge, then inspect nearby Support and Resistance and Volume Profile levels.
Use a consistent price input, session definition and adjustment basis. A fixed anchor retains every subsequent included observation; a rolling moving average drops observations as its window advances.
Where the anchored lines converge, Gamma Exposure shows whether a call wall, put wall or gamma flip sits at the same price, and the Options Profit Calculator prices the move from that level to your target.
Limitations of anchored VWAP
- Fix the anchor rule before reading the chart. Moving the anchor one session moves the line from $50.40 to $50.67 on the same data, and an anchor chosen after the outcome fits the line to the result.
- Expect an old anchor to move slowly. Each new bar’s weight is its share of cumulative volume, so a line anchored far back responds less to recent trading; add a second anchor at the latest event to track the current move.
- Match the price input, bar interval, session hours and price adjustments before comparing two AVWAP lines; each one changes the value.
- A share that trades twice counts twice, so read the line as the market’s average price since the anchor, the level where the volume since the event changed hands.
- Price can trade through the line and keep going, so a retest or reclaim needs a defined trigger and invalidation, as at bar 15.
Bottom line
Anchored VWAP measures the volume-weighted trading average from an event you choose, such as an earnings gap or a major swing. Fix the anchor rule before studying the chart, keep the price input and session hours consistent, and trade reclaims or retests of the line only with a defined trigger and invalidation.
Clear answers
Frequently Asked Questions
Sources and Further Reading
- CMT Association, Brian Shannon interview on anchored VWAP, recorded February 4, 2026
- thinkorswim Learning Center: AnchoredVWAP Study
How entries are sourced, calculated and updated: editorial methodology.