Definition
#Price vs Session VWAP (%) gives the raw gap. This metric asks whether that gap is normal for this session. The live reading uses the current price. The baseline uses completed 1-minute VWAP-distance readings from the same UTC day, so a fast tape burst cannot immediately teach the baseline that the new extreme is normal.
Formula & calculation
#price_vs_session_vwap = (current_price − session_vwap) / session_vwap × 100price_vs_session_vwap_z = (live_price_vs_session_vwap - mean(completed_1m_distances)) / stddev(completed_1m_distances)Units & range
Z-score. 0 means the live VWAP gap is close to the session baseline. +2.0 means price is stretched roughly two session standard deviations above VWAP. -2.0 means the same stretch below VWAP.
Interpretation
#Above +2.0: price is not just above VWAP. It is extended versus this session's own VWAP-distance history.
Below -2.0: price is extended below VWAP on the same basis.
Do not fade the number. Fade the exhaustion. The reading matters most when tape speed stops accelerating and Current Return starts losing force.
Below -2.0: price is extended below VWAP on the same basis.
Do not fade the number. Fade the exhaustion. The reading matters most when tape speed stops accelerating and Current Return starts losing force.
Practical usage
#Use it to find VWAP stretch, then make the tape prove the move is slowing. A clean short-side rule is:
Mirror it for longs with Price vs Session VWAP Z-Score < -2.0 and sell pressure slowing. The target is VWAP. If you are aiming for a full reversal, you are using the metric for a different trade.
Early in the UTC session, add a Today Volume Notional floor. The z-score stays at 0 until the completed-minute baseline warms up, and a half-built baseline on thin volume is not worth trading.
Price vs Session VWAP Z-Score > 2.0 AND Total Trades Ratio falling AND Current Return weakeningMirror it for longs with Price vs Session VWAP Z-Score < -2.0 and sell pressure slowing. The target is VWAP. If you are aiming for a full reversal, you are using the metric for a different trade.
Early in the UTC session, add a Today Volume Notional floor. The z-score stays at 0 until the completed-minute baseline warms up, and a half-built baseline on thin volume is not worth trading.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Shorting +2.0 while the tape is still speeding up. That is how you short strength.
- Treating this like a rolling volume z-score. Different baseline, different question.
- Forgetting the warm-up. Early UTC readings need notional confirmation or they are just math on too few minutes.