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VWAP marks the average price every share actually traded at since the anchor started — each bar’s price weighted by the volume that went through it. It is the level institutional desks measure their own fills against, which is what makes it a reference rather than a signal: price above it means buyers have paid up relative to the session’s own average, price below it means they haven’t. This is the classic price VWAP, and it is not the GEX VWAP that sits beside it in the Add menu. That one weights the option board by exposure. This one weights price by traded volume. Same word, different instrument.

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Adding the indicator

Open the chart settings panel and use the Add button in the Indicators section. Each instance gets its own settings cog and can be removed the same way, and you can run more than one at different anchors.

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Settings

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Reading notes

  • Sessions stay connected across an anchor reset. At the boundary the line jumps rather than breaking — the same way TradingView draws it. A vertical step is the reset, not a gap in the data.
  • The forming bar’s value is provisional. It folds whatever volume has printed so far in that bar, so it firms up as the bar closes. It never invents a value it cannot compute.
  • SPXW has no traded volume of its own — the index itself doesn’t trade. Its VWAP pairs SPXW’s prices with ES futures volume, the instrument that actually trades the index, rather than an ETF stand-in. On 4h and daily anchors that weighting deliberately uses the full futures session rather than regular hours only, since a bar that wide already spans well past the cash close.
  • Replay is fully supported. Scrub back to any day and the VWAP builds bar by bar with the tape, including its bands.