The average price of the session weighted by volume at each price; the benchmark institutions use to judge their fills.
VWAP and its standard-deviation bands. VWAP is the day's average price weighted by how much volume traded at each price, so it shows where the bulk of the day's business was done. The bands sit one standard deviation either side, and price here swings between them all session.
VWAP resets each session and accumulates (price x volume) divided by total volume. Because large funds try to execute near VWAP, it acts as a magnet and as intraday support or resistance.
Price above VWAP means the average participant today is in profit; below means the opposite. It is only meaningful intraday, since it restarts daily. See anchored-vwap for longer horizons.
Example: 10,000 shares trade at $50, then 30,000 at $51. VWAP is (500,000 + 1,530,000) / 40,000 = $50.75.