LessonsIndicator atlasPrice and value
Daily VWAP and σ bands
The day's volume-weighted average price: what everyone who traded today paid on average.
How we compute it
From 00:00 UTC, the typical price (H+L+C)/3 of each 1-minute candle weighted by volume, so the value is the same on every timeframe; the bands are ±1σ and ±2σ, the volume-weighted standard deviation of price from VWAP. Session VWAP computes the same from the Asia, London or New York open.
How to read it
- The slope tells you the type of day: a flat VWAP means balance, a sloping one a trend.
- Price above VWAP: the day's buyers are on average in profit; below VWAP: at a loss.
- In balance the band edges are often the extremes of the range; in a trend price can ride the +1σ…+2σ band.
Traps
- The ±2σ band is not a reversal signal: on a trend day “expensive” keeps getting more expensive.
- In the morning, with few candles, the bands are narrow and easy to break.
Combine with
- With the profile: VWAP near the POC means agreement on the day's value.
- With flow: VWAP holding against aggressive selling says more than a mere touch.
In Charts
Indicators → Daily VWAP, VWAP bands ±1σ and ±2σ, Session VWAP
The figure from a real market slice, the exercises and the Charts workstation button are in the Lessons tab.