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What Is a “Volume-Weighted Time-Weighted Average Price” (VWTWAP) and Its Advantage?

It combines time-weighting (for manipulation resistance) and volume-weighting (for market accuracy) into one robust settlement price.
Greeks.Live24.11.25

What Is a “Volume-Weighted Time-Weighted Average Price” (VWTWAP) and Its Advantage?

A VWTWAP is an advanced average price calculation that combines the time-weighting of a TWAP with the volume-weighting of a VWAP. Its advantage is that it provides a benchmark that is both highly resistant to momentary price manipulation (due to time-weighting) and accurately reflective of the true market transaction value (due to volume-weighting).

This makes it an extremely robust price for high-value derivative settlements.

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