Page Index

Return to the top of this page

Sharemarket: VWAP - Volume Weighted Average Price

As already defined in the heading, the VWAP is the "Volume Weighted Average Price" of a share. But what actually is it? A simple description from correspondence received from the ASX (Australian Stock Exchange) is as follows:
VWAP
The total value of all trades for that share on that day divided by the total volume of all trades of that share on that day
The following extract was compiled from several CMC Markets pages for various shares as at Tue, 22 Mar 2011:

ASX/CMC Markets VWAP Table Example

ASX Share Code Last ($) Change ($) % Change Bid ($) Offer ($) Open ($) High ($) Low ($) Close ($) Volume Value ($) Trades VWAP ($)
AMP 5.380 0.070 1.32% 5.380 5.390 5.330 5.400 5.300 5.310 32,207,215 172,626,559.000 5,504 5.360
ANZ 23.040 0.000 0.00% 23.040 23.050 23.300 23.380 23.010 23.040 8,902,548 206,535,717.000 12,951 23.200
IAG 3.380 -0.030 -0.88% 3.380 3.390 3.440 3.460 3.360 3.410 21,814,718 73,961,191.000 2,415 3.390
IPL 4.250 0.070 1.67% 4.240 4.250 4.200 4.310 4.200 4.180 10,034,688 42,553,192.000 3,687 4.241
NHF 1.435 0.005 0.35% 1.435 1.460 1.420 1.470 1.420 1.430 81,583 118,594.000 167 1.454
PSA 0.200 0.005 2.56% 0.190 0.195 0.195 0.200 0.190 0.195 112,380 21,652.000 4 0.193
QAN 2.090 -0.010 -0.48% 2.090 2.100 2.130 2.150 2.090 2.100 10,278,898 21,682,342.000 2,446 2.109
TLS 2.660 0.020 0.76% 2.650 2.660 2.660 2.670 2.650 2.640 34,382,154 91,486,148.000 3,413 2.661
WBC 22.920 0.140 0.61% 22.920 22.930 23.160 23.200 22.790 22.780 6,865,437 157,457,549.000 9,064 22.935

The relevant columns are those for "Volume", "Value" and "VWAP". The formula is as follows:

                                Total Value
	 		 VWAP = ------------
                                Total Volume
It does not take into account the number of trades that comprised this volume or value.

Return to the top of this page



Modifications to this page 2011, Paul Myers
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 Australia License.
Permissions beyond the scope of this license may be available at http://pmyers.pcug.org.au/Copyright_Licence.htm