Structure
VWAP
Volume-Weighted Average Price: the average price of an instrument weighted by the volume traded at each price level, used by institutions as the benchmark for evaluating execution quality throughout the session.
How Draconic reads it
VWAP is the price the largest participants benchmark their execution against, which is precisely why it behaves as a magnet rather than a line drawn on a chart. Institutional algorithms are instructed to fill at or better than VWAP, so their order flow naturally gravitates toward it; the level reacts because real money is actively working around it, not because of chart geometry. Price trading above the session VWAP means buyers are in control of the day; price below it means sellers are. The standard-deviation bands around VWAP frame how stretched a move is: a push to the upper band in a balanced session is a mean-reversion candidate back toward VWAP, while a trending session rides one band and treats VWAP as support on every pullback. Session VWAP resets each day; anchored VWAP measured from a significant high, low, or event tracks control from that specific origin. When VWAP coincides with a volume-profile point of control or an order block, the benchmark and the structure reinforce each other.
See % above VWAP in today's market breadth — free, updated each session.
Worked example
Suppose NIFTY opens at 22,000 and, through the morning, most volume trades between 22,050 and 22,120, while a brief spike to 22,180 prints on thin volume. The session VWAP settles near the heavily-traded 22,050–22,120 zone — not the midpoint of the day's range — because it is weighted by volume, not time. A pullback into VWAP on the next leg up that holds above it is the "benchmark-as-support" behaviour institutional algorithms create; a drop back below VWAP after trading above it all morning signals control shifting to sellers. The thin-volume 22,180 print barely moves VWAP — which is exactly why it filters out noise that a simple average would treat as significant. (Illustrative example, not a recommendation.)
Related terms
Frequently asked
How is VWAP calculated?
VWAP sums the value traded (price × volume) across every transaction in the session and divides by the total volume. Because each price is weighted by the volume that traded there, heavily-traded levels dominate the average and thin, one-off spikes barely move it. Session VWAP resets at the start of each trading day.
What does it mean when price is above or below VWAP?
Price above the session VWAP means the average buyer of the day is in profit and buyers control the session; price below it means sellers do. Because institutions benchmark execution against VWAP, it tends to behave as a magnet and as dynamic support or resistance rather than a static line on the chart.
What is anchored VWAP, and how is it different from session VWAP?
Session VWAP resets each day. Anchored VWAP is measured from a specific origin you choose — a swing high, a swing low, or an event such as a results announcement or the budget — and tracks the volume-weighted average price from that point forward, showing who has controlled price since that specific event.
Is VWAP useful for intraday NIFTY and Bank Nifty trading?
Yes — VWAP is most useful intraday, where institutional algorithms actively work orders around it. In a balanced session, stretches to the standard-deviation bands are mean-reversion candidates back toward VWAP; in a trending session, price rides one band and treats VWAP as support or resistance on pullbacks. Bank Nifty's higher volatility tends to produce wider VWAP bands than NIFTY.
Educational only. Not financial advice. Trading involves risk.