Anchored VWAP
Anchored VWAP is a technical indicator that calculates the Volume-Weighted Average Price from a specific user-defined anchor point — such as an IPO listing date, a major earnings announcement, or a significant price extreme — rather than from the standard start-of-day anchor.
Standard VWAP resets at the start of each trading session, making it useful only for intraday analysis. Anchored VWAP addresses this limitation by allowing the analyst to set the starting point of the calculation at any historically significant event or price extreme, enabling the identification of the average price paid by all participants since that anchor event.
The most common anchor points used in practice are IPO listing dates, major earnings announcement dates, significant market bottoms or tops (such as the March 2020 COVID-19 lows on Nifty 50), date of a major corporate event, or the start of a fiscal year. Each anchor creates a unique VWAP line that reflects the cumulative average cost of all shares traded since that reference point.
In Indian equity markets, the IPO listing date is one of the most practically significant anchor points. For recently listed stocks, the Anchored VWAP from the listing date represents the weighted average cost basis of all investors since the IPO. Stocks trading above this level historically reflect that the average post-IPO investor is in profit, while stocks trading below historically suggest that most post-IPO investors are underwater on their position — which can create overhead supply as holders wait for a chance to exit at breakeven.
For major Nifty 50 index moves, analysts have historically anchored VWAP to important swing lows — such as the October 2023 or the June 2022 lows — to identify the average cost basis of the institutional buying wave that drove the subsequent rally. Price returning to this anchored VWAP level has historically attracted fresh buying, as it represents a zone where the average institution that bought during the recovery is at their breakeven.
Anchored VWAP can also be calculated from significant quarterly result dates for individual stocks. A strong earnings report that triggered a gap up creates a relevant anchor point, and the resulting Anchored VWAP serves as a dynamic support level that technicians monitor during subsequent pullbacks.
Multiple Anchored VWAPs at different timeframes, when they converge at a particular price level, create zones of historically heightened significance. This confluence — sometimes called a VWAP cluster — has historically been associated with strong support or resistance in Indian institutional trading activity.