Question 1

What is VWAP, and how is it different from TWAP?

Accepted Answer

VWAP is the volume-weighted average price: the average of past prices, with each one weighted by how much traded at it. A TWAP counts every day equally.

Question 2

How is VWAP calculated?

Accepted Answer

Multiply each price by the volume traded, add those up, and divide by the total volume. Days of heavy trading count for more than quiet ones. It is often read as an approximation of the average price paid by everyone who traded over the window.

Question 3

How does CryptoWeeklies use VWAP?

Accepted Answer

Differently for stocks and for crypto. On a stock's TWAP page the VWAP is anchored at the same first day as the TWAP baseline and weights the typical price (the average of the day's high, low and close) by shares traded; the card names its start, as in "VWAP since Jan 2020". On a coin's page it is a rolling one-year VWAP weighted by coins traded rather than dollars, because exchange volume in 2019 to 2021 was inflated by wash trading and a lifetime VWAP would anchor to that era. A coin with less than a year of history has no VWAP line. On both, Gravity Risk is computed from the TWAP alone; the VWAP is context.

Question 4

Why do VWAP and TWAP differ?

Accepted Answer

If heavy trading happened at high prices, as it often does near a top, the VWAP sits above the TWAP; if trading clustered at low prices, below it. The gap describes where activity was concentrated. It is not a signal in itself.

What is VWAP, and how is it different from TWAP?

How is VWAP calculated?

How does CryptoWeeklies use VWAP?

Why do VWAP and TWAP differ?

Other models explained