Anchored VWAP and Session Anchors

Standard VWAP resets every trading day, starting its volume-weighted average from the opening bell. Anchored VWAP instead lets the trader pick the starting point — an earnings announcement, a major gap up, the day of a swing low — and computes the volume-weighted average price from that moment forward, running across as many sessions as needed. The result is an estimate of the average price paid by everyone who has traded the stock since that specific event, which is a more meaningful reference line than "average price since midnight" if the event itself is what changed the stock's regime.

The calculation is identical to ordinary VWAP, just with a different starting index: sum price times volume for every bar since the anchor, divide by total volume since the anchor. Traders watch where price sits relative to an anchored VWAP from a big catalyst — if the stock is trading well above the VWAP anchored to an earnings beat, that suggests most post-earnings buyers are still sitting on gains and may be less eager to sell, whereas trading below it suggests the average post-earnings buyer is underwater and could add selling pressure on any bounce.

A common use is anchoring to the most recent significant swing high or low, treating the resulting line as a dynamic support or resistance level that updates with volume rather than with time alone, unlike a simple moving average.