What Is the Risk of a VWAP Calculation If a Major Exchange Suffers an Outage?

If a major, highly-weighted exchange suffers an outage, the VWAP calculation is at risk of becoming inaccurate or non-representative. The remaining exchanges might not have sufficient liquidity to reflect the true global price, or the sudden shift in weighting could cause a temporary jump in the calculated VWAP.

Index providers have protocols to automatically exclude non-reporting exchanges and re-weight the remaining ones to maintain continuity.