Current Month VWAP

The Current Month VWAP

The Current Month VWAP is the volume-weighted average price (VWAP) of a security for the current trading month. The VWAP gives a fair reflection of the market conditions throughout the trading month and is probably the most popular benchmark used by large traders. The Library VWAP version can be compared to the Premium VWAP version here.

Indicator Description

The Current Month VWAP is the volume-weighted average price that reflects how the asset’s market price has developed during the current month. This price benchmark takes into account trading volume. Therefore, large trades will have more impact than small ones.

Many institutional traders have their trade execution measured by volume weighted average price. Because execution is measured by how it was from the average price, they try to buy/sell as close as possible to the VWAP. Accordingly, there are two ways of using the indicator, namely as trend filter or as support and resistance indicator.

The Current Month VWAP can be set to calculate using the full session. Alternatively,  it can be set to calculate for custom hours such as the regular session. When a custom session is selected, the monthly calculation will pause outside the selected custom hours.

The indicator further comes with volume-weighted standard deviation bands. Although the indicator relies on volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.

The indicator available here will calculate an accurate volume-weighted average price and accurate accompanying standard deviation bands when applied to high resolution charts. When used with higher timeframe charts, the plots may be a few ticks off the correct value.

Other Library Indicators

On our blog we have posted additional information on higher timeframe VWAPs and VWAP trading setups. Our Indicator Library also features the Current Day Median, Current Day VWAP, Current Week VWAP, Current N-Month VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP, Current N-Month TWAP, in addition to our Premium VWAP Package.