VWAP
The average price over a period weighted by size: every trade enters the calculation with the weight of its own volume.
Formula
VWAP = \frac{\sum P_i V_i}{\sum V_i}P is the trade price and V its size; the sums run over every trade in the chosen period.
How to read the number
It shows where the instrument genuinely changed hands, rather than where the midpoint of the day's range happened to sit.
When the metric lies
The value depends on where the count starts: measured from the open and from the start of the week it gives different reference points, and near the end of a period it barely moves at all.
Also known as: vwap