What VWAP is
VWAP (volume-weighted average price) adds up price × volume for every bar since a starting point and divides by total volume. It is the average price paid, where large trades count more than small ones.
That makes VWAP a fair-value line. Above it, the average participant since the anchor is in profit; below it, they are underwater. Big traders often benchmark their fills against VWAP, which is one reason price reacts to it.
Standard-deviation bands
Bands at ±1σ, ±2σ and ±3σ around VWAP show how far price has stretched from fair value, measured in standard deviations of volume-weighted price:
- Inside ±1σ — normal rotation.
- Tagging ±2σ — stretched. Mean-reversion traders look for rejection; trend traders look for acceptance.
- Beyond ±3σ — rare. Usually capitulation or a news move.
Anchored VWAP
A session VWAP restarts at a calendar boundary. An anchored VWAP starts from a bar you choose — a swing low, a breakout or a news candle — so it shows the average price of everyone who has traded since that event.
Auto-anchored VWAP picks the anchor for you. With the “highest volume” rule and a length of 200, it starts from the highest-volume bar of the last 200 and re-anchors when a bigger one appears. That bar is usually where the most important positions were opened.
Session VWAP vs anchored VWAP
Both use the same formula. The only difference is where the calculation starts, and that changes what the line tells you:
- Session VWAP resets at a fixed time (the UTC day, week or month). It answers “where is fair value for today?” and suits intraday trading, because every trader watching the same session sees the same line.
- Anchored VWAP starts at an event you pick, such as a swing low, a breakout bar or a news candle. It answers “who is in profit since that event?” and suits swing trading, because it can run for days or weeks without resetting.
- When they agree, for example price holding above both today’s session VWAP and the VWAP anchored to last week’s low, the level is stronger than either line alone.
The opening range and the ORB + VWAP strategy
The opening range is the high and low of the first 15, 30 or 60 minutes of a session. In crypto the session is usually the UTC day. A clean break of the opening range, especially with price on the right side of VWAP, is a classic intraday momentum setup.
A simple way to trade the opening range breakout (ORB) with VWAP:
- Mark the opening range high and low once the first 15, 30 or 60 minutes close.
- Only take a long break of the range high while price is above session VWAP, and only a short break of the range low while price is below it.
- Ask for confirmation, such as relative volume above 2 or rising open interest, so you skip quiet, low-participation breaks.
- Use VWAP or the opposite side of the range as the invalidation level, depending on how wide the range is.
VWAP setups
Trend day
Above fair value and above the opening range, on volume.
Washout reclaim
Price reclaims the −2σ band of the auto-anchored VWAP on a green bar with rising volume. The central VWAP is the natural first target.
See the VWAP & ORB scanner for all VWAP conditions.
Frequently asked questions
Is VWAP good for crypto?
Yes. VWAP needs only price and volume, which every crypto exchange publishes. Because crypto trades 24/7, choose a fixed anchor (UTC day, week or month) or use an anchored VWAP.
What is the difference between VWAP and a moving average?
A moving average weights every bar equally over a fixed window. VWAP weights by volume from a starting point, so heavy-volume bars pull it harder.
What is auto-anchored VWAP?
A VWAP that chooses its own starting bar — for example the highest-volume bar of the last 200 — and restarts when a new one appears.
What is the difference between session VWAP and anchored VWAP?
Session VWAP resets at a fixed time, such as the start of the UTC day, so it shows today’s fair value. Anchored VWAP starts from a bar you choose, such as a swing low or breakout, and keeps running until you move the anchor.
How do you trade ORB with VWAP?
Mark the high and low of the first 15–60 minutes, then take breaks of that range only in the direction VWAP agrees with: longs above VWAP, shorts below it, ideally with above-average volume.
Crypto futures are leveraged and carry a high risk of loss. This guide is educational and is not investment advice.