VWAP & Bands indicator
The volume-weighted average price for the session, with bands that measure how stretched price is from it — the same yardstick large participants use to judge their fills.
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What it draws
- Anchor at the regular-session open (09:30 ET) or the full-session open (18:00 ET on futures)
- Two volume-weighted standard-deviation bands, multipliers adjustable
- Optional shaded zones between bands
- Updates on every tick of the forming bar; completed values never change
How it works
VWAP = Σ(volume × price) ÷ Σ(volume) since the anchor.
Bands use the volume-weighted variance, not a simple close-to-close standard deviation, so they widen with real participation.
Good to know
- The bands measure how stretched price is from fair value. They're built as context for your own entries, not as automatic fade signals.
Questions
09:30 or full-session anchor?
09:30 matches what most day traders and institutional desks reference. The full-session anchor includes the overnight hours, useful if you trade futures, forex or crypto around the clock.