Anchored VWAP vs VWAP: The Difference, Measured on SPY

Michael Whitman · Trading since 2017, full-time since 2020 · YouTube creator, 137K subscribers · Published 2026-09-08 · Updated 2026-11-02 · Reviewed 2026-11-01

Anchored VWAP and session VWAP are the same volume-weighted average of price; session VWAP restarts at every 9:30 open, while anchored VWAP starts at a bar you choose and never restarts. That one choice decides how often price crosses the line: after the Fed’s 28 October 2026 decision, SPY crossed the session line 23 times in the next two sessions and a line anchored at the statement twice.

What each one is

Session VWAP starts at the open and restarts each day. Anyone with the same data sees the same line, because the start is fixed by the exchange clock rather than by anybody’s judgment. The VWAP page covers the calculation in full.

The anchored version starts wherever you put it and keeps adding every bar after that. The anchored VWAP page covers the variant and how traders place an anchor.

Both are running averages weighted by shares traded. Each bar contributes its typical price, (high + low + close) ÷ 3, times its volume, and the running total is divided by the running volume. Neither smooths over a fixed window, which is what separates both from a volume-weighted moving average.

Where they differ

Where the sum begins. One restarts on a schedule; the other begins at an event and never restarts. Everything else follows from that.

How fast each line moves. A line moves fast when little volume stands behind it and slowly when a lot does. That is why a session line is twitchy at 9:35 a.m. and steady by the afternoon, and why an anchor set weeks ago barely moves at all. It is also why a fresh anchor, set mid-afternoon, can briefly be the faster of the two, as the example below shows.

How often price crosses each. The session line restarts near the open price and tracks the day, so closes cross it many times. An anchored line inherits every bar since its start; once price trends away from it, closes can stay on one side for days.

What it means to be above each. Above session VWAP says the average buyer today is ahead. Above the anchored line says the average buyer since the event is ahead. On a strong day after a bad week, both can be true of different people at the same moment, so price can sit above one line and below the other.

A worked example: the Fed’s 28 October decision

The anchor is named before the result is known. The Federal Reserve released its statement at 2:00 p.m. Eastern on 28 October 2026, holding the federal funds target range at 3.75% to 4% (read on the Fed’s site, 1 November 2026). The anchored line starts on SPY’s 2:00 p.m. five-minute bar, the first bar that includes the release. No later price decided where it went.

Bar one. The 2:00 bar had a high of $772.72, a low of $770.69 and a close of $770.86, so its typical price was $771.4233, on 411,374 shares. After one bar the anchored line is simply $771.4233. Session VWAP had been building since 9:30 on 10.81 million shares; with this bar added it stood at $770.9856.

Bar two. The 2:05 bar’s typical price was $770.5567 on 222,022 shares. The anchored line becomes (771.4233 × 411,374 + 770.5567 × 222,022) ÷ 633,396 = $771.1195, a move of 30 cents. The session line, with over ten million shares already behind it, moved less than a cent, to $770.9773. Here the anchored line was the fast one, because it was new.

Two sessions later the roles had swapped. At each day’s last five-minute close:

On 30 October the two lines told different stories. SPY fell 1.77% that day. The last close sat 12 cents under session VWAP, so relative to what that day’s traders paid, price finished about level. It sat $5.95, or 0.78%, under the line anchored at the Fed statement, which by then rested on 108.09 million shares: on average, everyone who bought after the decision was behind. Across the 156 five-minute bars of 29 and 30 October, the close was above the anchored line on 1 bar and above the session line on 45, and it sat between the two lines on 44. Every bar and both lines are in the Fed-anchored VWAP file.

Two days around one event is an example, not evidence. It shows how the lines behave; the larger tests below are what the general claims rest on.

Which one to use: Anchored VWAP or VWAP?

Use the session version when your question is about today. It answers whether price is above or below what the day’s participants paid on average, and it restarts before one day can be confused with the next. It is the better choice when you trade within one session.

Use the anchored version when a specific event is what matters: a results release, a policy decision, the low a move began from. The session boundary is arbitrary in those cases; the event is not. It is also the only one of the two that can describe a position held for days or weeks.

Use both when you want to know whose average price you are standing on. The 30 October example is the case for it: one line said the day was level, the other said post-Fed buyers were under water.

And when you cannot name why the anchor is where it is, use the session version. An anchor with no stated event is a line placed where the chart looked right.

The original data

A longer test with an anchor nobody picked. On Yahoo Finance’s 60-minute SPY bars from 27 November 2023 to 23 October 2026, the anchored line restarted at the first bar of every calendar month, December 2023 to October 2026, 35 months. Only sessions with all seven hourly bars carrying volume were measured, 709 of 728, and the first session of each month, where both lines are the same, was left out. A crossing is an hourly close on the other side of a line from the previous close in the same session.

The anchored line got stickier as it aged, and the session line did not. Across the 673 sessions, closes crossed session VWAP 1.36 times a session and the month-anchored line 0.27 times. The session line stayed between 1.28 and 1.45 all month; the anchored line fell from 0.42 to 0.18 while its median distance from the close grew from 0.53% to 1.37%. The close sat between the two lines on 37.76% of hourly bars. Sessions are in the hourly session file and the table in the anchor-age summary. Seven hourly bars a session make every crossing count lower than on five-minute bars, so compare the two lines with each other rather than with the other tables.

The five-minute version, with hindsight anchors. On 60 sessions of five-minute bars from 10 July to 2 October 2026, two lines were anchored at the period’s highest high (10:30 a.m., 13 August, $779.37) and lowest low (3:55 p.m., 29 July, $729.10), each measured from the next session.

Both anchors were only knowable after the fact, which is why the Fed example and the monthly test above matter more. Every bar is in the SPY five-minute VWAP file.

Checked against Nasdaq, and one limit of bar data. On the hourly sample, Yahoo’s seven bars summed to a median 86.16% of Nasdaq’s daily SPY volume, and five-minute bars came to a median 84.47% of Yahoo’s own daily total over 77 sessions. The closing auction and trading outside regular hours are missing from regular-session bars, so both lines here weigh about five-sixths of the day’s shares; see the volume check file.

When it fails

The anchor gets moved until the line works. You try a swing low and the line runs slightly wrong. You try the gap two weeks earlier and now it catches three reactions cleanly, so that one stays. What has happened is a search over start dates, scored on how well the line matches history. It keeps fitting the bars it was chosen on and not the ones after, and a reader shown the finished chart sees a tidy level that nobody could have drawn on the day.

The session line gets used for a multi-day position. It restarts each morning, so it cannot say anything about where a holder from last week stands. On 30 October it showed a level close while everyone who bought after the Fed was behind.

A cross of the session line gets treated as an event. On SPY’s five-minute bars it happened about seven times a session, and 13 times on 29 October alone.

A stop gets taken from either line. Neither contains one, and price closed through the session line several times a day.

The volume feed goes unchecked. Neither line shows how much volume it was built on, so a feed missing the closing auction, or one with broken bars, looks just as precise. A free five-minute download used for this page had 27 empty bars in 60 sessions, each followed by a bar holding the session’s running total of shares so far.

Questions people ask

What does an anchored VWAP tell you?

The average price paid, weighted by shares, by everyone who traded since the anchor bar. If price is below it, the average buyer since that event is behind; on 30 October 2026 SPY sat $5.95 below the line anchored at the Fed statement.

Where should you anchor VWAP?

At an event you can name before you see what follows: a results release, a central-bank decision, the first bar of a month or year. A bar chosen because price later turned there gives a line that only fits the past.

Which VWAP setting is best?

Neither has a length setting. Session VWAP has nothing to set at all, and the anchored version has one choice, the anchor bar. Most platforms also offer bands around the line; those are additions, not part of VWAP itself.

Which one does price cross more often?

Session VWAP, by a wide margin. Hourly SPY closes crossed it 1.36 times a session against 0.27 for a line anchored at the month’s first bar, and after the 28 October Fed statement the five-minute count over the next two sessions was 23 against 2.

Related

Anchored VWAP covers the variant and how to choose an anchor. VWAP covers the session calculation and its bands. And volume-weighted moving average is the neighboring idea, with a fixed lookback instead of a start point.

This page is educational, not financial advice. Test every idea on your own charts before risking money.