A Glossary of Terms

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Sharemarket: VWAP - Volume Weighted Average Price

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.

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