VWAP Glossary: Every Term, in Plain English

VWAP meaning and definition

All VWAP trading terms, A to Z

VWAP (Volume Weighted Average Price)

The average price of the session weighted by volume — the price where the most business actually got done. It resets every session and is the benchmark institutions measure their own fills against, which is why price keeps returning to it.

VWAP formula

VWAP = Σ(typical price × volume) ÷ Σ(volume), computed cumulatively from the session open. Typical price is (high + low + close) ÷ 3 for each bar. High-volume bars pull the line toward them; low-volume bars barely move it.

Session VWAP

The standard VWAP, anchored to the start of the regular trading session and reset daily. This is the line JJ trades from.

Anchored VWAP

A VWAP started from a point you choose — an earnings gap, a swing high, a news event — instead of the session open. It answers 'where has the average participant been filled since that event?'

Rolling VWAP

A VWAP computed over a moving lookback window instead of from an anchor. Rarely used in JJ's framework — it loses the institutional-benchmark meaning that makes the level matter.

VWAP bands (standard deviation bands)

Lines plotted 1, 2 and 3 standard deviations above and below VWAP. Price at the second or third band is stretched; sellers often appear there. Bands are context, not signals.

Reclaim

Price has been below VWAP and trades back up through it, then holds the line as support. A reclaim says sellers stopped defending the line — the market's reference level has flipped.

Rejection

Price rallies into VWAP from below and stalls: heavy volume prints with no new high. Supply is being added at the line, not consumed. The rejection is the short side of the framework.

Second test

The second time price returns to VWAP after an initial test. JJ skips the first test — a coin flip between trapped traders and breakout algos — and trades the second, where the volume tell reveals whether supply thinned or refreshed.

Volume tell

Comparing volume on the second test against the first. Lighter volume = supply exhausted, trade in the direction of the hold. Heavier volume = fresh supply, stand down. The tell is the trigger's evidence.

Supply

Sellers offering size at a level. Supply above price caps rallies; supply being consumed (lifted offers with no pull-back) is what a real breakout looks like.

Absorption

Heavy selling into a level that price refuses to fall through — someone is taking everything offered without price moving. Absorption at a level often precedes the reversal that shows on the chart only later.

The offer / lifting offers

The price at which sellers are willing to sell. 'Lifting the offer' means buyers transacting at the ask; 'refreshing offers' means sellers keep restocking the same price — a sign supply is not done.

Balance zone

The band of prices where the market has accepted value — typically framed by the overnight high/low and prior session extremes. VWAP trades target the far edge of the balance zone; chop inside it is not a trade.

Prior day high / low

The previous session's extremes. Alongside VWAP they are the most referenced levels on institutional desks, which is why price reacts there so reliably.

9 EMA

A 9-period exponential moving average on the 2-minute chart. In JJ's framework it is a trend-continuation filter: entries are taken on a close back through the 9 EMA in the trade direction, never from the EMA alone.

LBF / LAF

Look Below and Fail / Look Above and Fail. Price pokes through a prior low (or high), sellers (or buyers) cannot press it further, and the failure snaps back through the level. JJ trades the failure, not the breakout.

Disaster stop

A single hard stop placed at order entry, sized so a hit costs no more than planned risk. It exists purely for account protection. Real exits are read off the flow — JJ does not use trailing, breakeven, or mechanical stop management.

R (R-multiple)

Profit or loss expressed as a multiple of the amount risked. Risking $250 to make $500 is a 2R trade. JJ targets 2-3R on VWAP setups and scales the first piece at 1R.

Tick

The minimum price increment of a contract. On ES one tick is 0.25 points, worth $12.50 per contract per point ($3.125 per tick). Stops and targets on futures are measured in ticks.

ES / NQ

The E-mini S&P 500 and E-mini Nasdaq-100 futures — the most liquid index futures and JJ's primary instruments. The VWAP framework transfers to any liquid market with reliable volume.

Invalidation

The pre-decided condition that proves the trade idea wrong — for a reclaim, sellers taking VWAP back and holding it. When invalidation triggers, you exit at market without negotiation.

Where to go next

Definitions are the vocabulary — the setups are the sentences. See the terms in action in What Is VWAP?, VWAP Trading Strategy, and How to Trade VWAP.