I think the speed of change of the VWAP is in direct proportion to the time of day. In the morning, yes very fast changes. In the afternoon, it's got to get some real size at prices to overcome all the stock that was printed early in the day.
yes the first 30 minutes is crucial because average traders jump and establish the vwap for the rest of the day .. VWAP then will only change very slowly.. Keep your eyes on VWAP to day then you know what i mean
Okay.... for example, right now I have the VWAP for BRCM as 22.079, and the price is 22.24. What trading opportunity or information is this telling me other than the current price is above the Volume Weighted Average Price?
I have to agree with the fact that the individual stockk really matters. We teach our people to be aware of the VWAP, and we explain what VWAP really means, and how it is used on the exchange floor. Thinking that it is just a "Volume Weighted Moving Average" without knowing how it's used can be dangerouos. Don
http://cgi.interquote.com/cgi-bin/stats It includes some VWAP scans in addition to others. (don't use the checkboxes.. just click the links for the various scans) Jay Froscheiser DTN Market Access, LLC.
Again.... GE and MSFT are trading at their respective VWAP's. What edge does this provide intraday? I understand the idea of reversion to the mean, that is what I count on for my trading. Actually I count on diversion from the mean.
OK, I hope I'm repeating what you already know (or else I will be worrying about my "children"). Major institutions used to give broker "not held" orders to "work"...so that they would get a "fair" price on their 250,000 share order (sort of). This has changed recently where the institutions tell the broker that I will buy (sell) 250,000 at the VWAP (as determined at end of day). This can cause some grief for brokers who are too slow to recognize a straight up market, since they will have to pay more than the VWAP to provide the stock to the customer. We teach our traders to simply watch for "size" trades at or near the current VWAP, and perhap ride the market up for a while, until the broker may actually sell a small portion of the stock to keep the VWAP in line with their average price. If this is new information, then please think about it....if it's not, try to put yourself in the shoes of the broker on the floor. This has been extremely valuable to those who understand it, and extremely costly for those who try to "chart it" as a significant number. Just trying to help.... Don