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What Is a “Volume-Weighted Average Price” (VWAP) and How Is It Used in Index Calculation?

It is an average price weighted by trade volume, ensuring the index reflects true economic value and high-liquidity prices.
Greeks.Live24.11.25

What Is a “Volume-Weighted Average Price” (VWAP) and How Is It Used in Index Calculation?

VWAP is a trading benchmark that represents the average price of an asset over a specified time period, weighted by the volume traded at each price level. In index calculation, using a VWAP from multiple exchanges helps ensure that the final settlement price reflects the true economic value and not just the last traded price on a low-volume venue.

It gives greater importance to prices from exchanges with higher trading activity.

What Is the Difference between a Volume-Weighted Average Price (VWAP) and a TWAP?
How Is ‘Volume-Weighted Average Price’ (VWAP) Used as a Benchmark for Trade Execution?
What Is the Significance of the Volume-Weighted Average Price (VWAP) in Measuring Execution Quality?
What Is the Difference between a Spot Price Oracle and a Volume-Weighted Average Price (VWAP) Oracle?

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