VWAP (volume-weighted average price) is the ratio of the value of securities traded to the total volume traded over a given period of time (usually one day). In other words, it is the dollar amount traded for every transaction (price times shares traded) related to the total shares traded for a specific period of time. It is used to gauge the average price of a security traded at over the period of choice.

The advantages of VWAP are:

• It is easy to calculate and understand.
• It is useful to evaluate small trades.