I’m trying to compute the VWAP for a company, but something doesnt seem right. If I were to compute the VWAP for a 5day period using the following data: 5/12/2008 28.42 1,013,452 5/13/2008 27.2 1,326,707 5/14/2008 28.41 2,057,016 5/15/2008 29.25 1,366,004 5/16/2008 28.95 2,104,204 Shouldn’t it be (28.95*2,104,204)/7,867,383??? The result: 7.742944… doesn’t make sense. I haven’t been able to find an example online, just the formula. Thx.
multiply each price by its volume, sum them, divide by total volume. as phrase indicated, this is price weighted by volume.
Ahhhh there we go. That makes so much more sense. Thanks man. Much appreciated.
You sure about that black belt there?
Here it is the formula: Pvwap= sum(Pi x Qi)/ sum (Qi) where: Pi= price of trade i Qi = quantity of trade i I hope this help