Session VWAP
Volume-weighted average price from RTH open. Where price sits relative to it at 10:30 and 12:00 ET is the strongest pre-Silver-Bullet directional filter we've measured.
updated 2026-04-23What VWAP is
Volume-Weighted Average Price. Running average of price weighted by the volume that traded at each price, anchored to a starting time. Math:
VWAP = Σ (price × volume) / Σ volume
It answers the question: what’s the average price everyone in this session paid? That makes it the single most-watched mean-reversion reference on the chart — institutions benchmark executions against it, algorithms reference it, and it often acts as the day’s “gravity center.”
Our session VWAP anchors to the RTH open (09:30 ET).
Why its position at specific times matters
We audited close-direction rates vs where price sat relative to VWAP at fixed times of day. The gradient is the cleanest directional filter we’ve measured:
| Snapshot | Threshold | ABOVE → BULL close | BELOW → BEAR close |
|---|---|---|---|
| 10:30 | ±10pt | 74.9% | 69.8% |
| 12:00 | ±10pt | 80.1% | 79.1% |
| 14:00 | ±20pt | 89.6% | 86.5% |
| 10:30 & 12:00 same side | 84.1% | 82.9% |
Baseline is BULL 53.5% / BEAR 46.5%. So standing above VWAP at 12:00 ET carries a +27pt close-direction edge — bigger than anything else on the board until Silver Bullet aligns with W1.
Why the timing matters so much
VWAP early in the session is noisy — it’s a handful of trades averaged together. By 10:30 ET, an hour of RTH volume has weighted it. By 12:00 two and a half hours are in. The snapshots we use aren’t arbitrary; they’re the points at which VWAP becomes a statistically stable reference.
14:00 rates are even higher (89/86%) but too late to be actionable — the move is mostly already in.
The mean-reversion counterintuitive finding
From the LON MOMENTUM BULL research arc we found that during the London session, entries at or below session VWAP for long sweeps were profitable while entries 15+ points past VWAP in the trade direction lost money — even though those later entries were “going with the momentum.”
The rule there wasn’t “London breaks Asia high, chase it.” It was “London reclaims Asia high cheaply, ride it.” VWAP acts as a cheapness gauge, and paying up past it caps your expected value.
Where you’ll see VWAP on this site
- VWAP REGIME (Model 20) — the 10:30 and 12:00 snapshots as a direction-setting model.
- LON MOMENTUM BULL — VWAP-cheap filter inside the London composite.
- Any time a model page says “VWAP MAGNET” on the chart HUD, it means a line drawn at live VWAP as a touch target.
Anchors and variants
VWAP can be anchored to different start times; each gives you a different reference:
- Session VWAP (09:30 anchor) — our default, used by Model 20.
- Overnight VWAP (18:00 anchor) — not currently in the stack; potential future model.
- Weekly VWAP (Sunday open anchor) — too slow to move intraday; useful as a regime overlay, not an entry gate.
When a model says just “VWAP” without qualification on this site, assume session VWAP from the 09:30 RTH open.