The average price of a security weighted by total trading volume over a specific period.
Definition
VWAP is calculated by taking the total dollar value of all trading transactions (price multiplied by volume) and dividing it by the total trading volume for that period.It provides traders with insight into the average price at which a security has traded throughout the day, helping to identify trends and potential support or resistance levels.
Why it matters for Whale Tracking
Institutional investors often use VWAP as a benchmark for executing large orders without significantly impacting the market price.When insiders execute trades at prices significantly above or below VWAP, it can signal strong conviction or a lack of confidence in the stock's current valuation.
Technical Nuance
VWAP is particularly useful for analyzing block trades and insider transactions, as it helps to contextualize whether these trades are occurring at favorable prices relative to the overall market activity.
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Real-World Example
"A block trade of 500,000 shares is executed at $150, while the VWAP for the day is $145. This suggests that the buyer is willing to pay a premium, indicating strong bullish sentiment."
Fundamental Quant Thesis
Go beyond the raw data. Read institutional-grade analysis on why block-trade insiders are moving capital and the long-term structural impact.