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Session VWAP + σ bands — VWAP & bands, on the price chart.
What Session VWAP + σ bands measures
The central line is the running sum of typical price times volume divided by the running volume, restarted at every session open — the boundary used here is the 17:00 CT open of CME futures, not midnight. The dispersion term is maintained with a weighted Welford accumulator and then recentred on the VWAP line itself, so the bands are measured around the line that is drawn rather than around a separate mean. Bars with no traded volume feed neither the average nor the dispersion. Before the first traded volume of a session, the indicator plots nothing rather than a placeholder.
The formula, as implemented
This is not how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
VWAP de session + bandes ±k₁σ / ±k₂σ. VWAP = Σ(tp·vol)/Σvol σ = √(Σ vol·(tp − VWAP)² / Σvol) cumulés depuis l'ouverture de session (reset à CHAQUE 17:00 CT). σ via Welford pondéré (`pushWeighted`), recentré sur la ligne VWAP par `sigmaAround` (théorème de Huygens — en mode typical le terme correctif est ~0, mais on garde la forme exacte du repo). Défauts k₁=1, k₂=2 : les bandes standard de l'industrie. Barres sans volume → n'alimentent ni le VWAP ni σ ; avant le premier volume de la session → null.
How to read it
- Read the distance between price and the line in units of σ rather than in ticks: it tells you how far the market has moved from its session average relative to that session's own dispersion.
- Narrow bands describe a session whose trade has clustered around one price; widening bands describe trade spreading across a range. The width is a description of what has already happened, not a forecast.
- Price returning to the central line after an excursion is simply a return to the session's volume-weighted average price. Whether it stops there is a separate question, answered by what the order book and the footprint show at that level.
- A touch of the outer band is not a signal by itself. In a trending session price can ride an outer band while the band itself keeps moving.
- Early in a session both the line and the bands move fast, because each new trade carries a large share of a small cumulative volume. Give the session time before treating the level as stable.
Parameters and defaults
The two multipliers default to k₁ = 1 and k₂ = 2, the conventional pair, and each accepts 0.1 to 10 in steps of 0.1. Raising a multiplier widens its band without changing the central line or the underlying dispersion. A single Color setting applies to the line and both bands.
| Parameter | Type | Default | Range |
|---|---|---|---|
| σ multiplier 1 | number | 1 | 0.1 – 10 |
| σ multiplier 2 | number | 2 | 0.1 – 10 |
What it does not show
The indicator describes where volume traded, never who initiated it: the aggressor split lives in the footprint, not here. A session that reopens with very thin volume produces an unstable σ and bands that can jump between bars, and the level says little in the first minutes after a reset. The reset itself is fixed to the 17:00 CT session boundary, so an instrument that does not trade that schedule is still cut at that hour rather than at its own open. Finally, any gap in the volume series shifts both the average and the dispersion, so a partial history produces a line that looks correct and is not.
Related indicators
- Woodie Pivots — VWAP & bands
- DeMark Pivots — VWAP & bands
- Fib Retracement — VWAP & bands
- Fib Extension — VWAP & bands
- Opening Range Bands — VWAP & bands
- Anchored VWAP (swing high) — VWAP & bands
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Frequently asked questions
- What do the standard deviation bands around session VWAP represent?
- They mark a distance from the session VWAP measured in volume-weighted standard deviations of traded price, at one and two σ by default. They describe how dispersed the session's trade has been around its average price. They are not probability bounds and do not imply that price should reverse there.
- When does session VWAP reset on futures?
- It restarts at the 17:00 CT session open used for CME futures, not at midnight. Every cumulative term — price times volume, volume, and the dispersion accumulator — starts from zero at that boundary. This is why the line and the bands are most volatile in the minutes just after the open.
- Why is there no VWAP value at the very beginning of the session?
- The calculation needs at least one bar with traded volume before it can produce a price. Until then, dividing by zero volume would yield no meaningful value, so the indicator plots nothing. The line appears with the first bar that actually traded.