Interpreting the Session and Anchored VWAP

by | Jul 20, 2025 | The Doctor's Dose

Interpreting the Relationship Between Session VWAP and Anchored VWAP

Gain an Edge by Understanding the Volume-Weighted Context of Price Action

Volume-Weighted Average Price (VWAP) is a cornerstone tool for professional traders who want to understand where the “fair value” of a stock lies during a given period. But not all VWAPs are created equal. Two of the most powerful variations—Session VWAP and Anchored VWAP—each offer distinct insights into market dynamics. When used together, they can offer a deeper view of buyer and seller conviction and institutional participation.

In this post, we’ll break down what each VWAP tells you, how they relate, and how to use their interplay to refine your trade entries, exits, and bias.

What Is the Session VWAP?

The Session VWAP resets at the start of each trading day and calculates the average price weighted by volume from the market open. It acts as an intraday equilibrium level and is widely followed by institutional traders, market makers, and high-frequency trading algorithms.

Interpretation:
When price is trading above the session VWAP, it signals bullish intraday sentiment; when it’s below, it suggests bearish pressure. Many traders use the session VWAP as a dynamic support or resistance line.

What Is the Anchored VWAP?

The Anchored VWAP is similar in calculation but allows the trader to choose a specific start point—such as a news event, earnings release, breakout bar, or previous day’s high/low. Anchoring the VWAP to a known inflection point lets you measure how the market has digested key events.

Interpretation:
Anchored VWAP represents the average price paid by market participants since the moment of the anchor. It shows whether the crowd is in profit or underwater relative to a key event.

The Power of Comparing the Two

Understanding the relationship between the Session VWAP and the Anchored VWAP can provide powerful context for trade planning.

1. Confluence = Confirmation

When both the Session VWAP and an Anchored VWAP align, that price level becomes a major battleground. If price breaks above this confluence, it often confirms strong upside momentum with institutional backing.

✅ Trading Insight:
Use this confluence as a confirmation trigger. If you’re long-biased, a reclaim of this level on strong volume suggests bulls are in control.

2. Divergence = Caution or Opportunity

When price is above the Session VWAP but below an Anchored VWAP (especially one anchored to a major gap or earnings move), it suggests the current buyers are optimistic but prior participants may still be trapped in losses. The rally could stall near the Anchored VWAP as those participants try to exit at breakeven.

✅ Trading Insight:
Consider partial profit-taking near Anchored VWAP if you’re already long. It can also act as a short entry on a failed breakout or rejection tail.

3. Anchored VWAP as a Bias Filter

Use Anchored VWAP to define a larger time-frame context. For example, if you’re trading intraday but the Anchored VWAP from a large gap down is still overhead and capping price action, your bias should lean bearish—even if the Session VWAP is briefly reclaimed.

✅ Trading Insight:
This is especially useful when trading reversals. Wait for price to break and hold above both VWAPs for a true trend reversal.

Practical Trade Example

Imagine you’re trading AAPL after earnings:

  • You anchor VWAP to the earnings bar at 9:35 AM.

  • You notice that price breaks below both the Anchored VWAP and the Session VWAP by 10:15 AM.

  • Later, price rallies to reclaim the Session VWAP—but gets rejected hard at the Anchored VWAP.

This signals a likely mean-reversion setup—where shorting near the anchored level offers a low-risk, high-reward opportunity as trapped longs exit into strength.

Final Thoughts

By interpreting the relationship between Session VWAP and Anchored VWAP, you tap into a professional framework that filters noise and emphasizes where real commitment from buyers and sellers lies. It’s not about trading every touch—it’s about understanding the narrative of price through the lens of volume.

If you’re serious about taking your intraday trading to the next level, start layering these tools into your charting. You’ll see the market with more clarity—and make decisions with more confidence.

Want to see these strategies in action?
Join us in the War Room for real-time trade setups based on VWAP interactions and institutional footprints. Plus, access our companion VWAP Guide in the Trader Dashboard.