12/2/2025 VWAP Whiplash · Risk Management

12/2/2025 VWAP Whiplash

Across stocks and the market itself, there was a lot of whiplash coming from the market.

The market would sit above the VWAP as if the possibility of really continuing was there, and then would eventually flush lower rapidly.

Just to come back a couple of minutes later and do that again.

A common theme from today was the further and the longer the price spent away from the VWAP, the better the eventual trade was, and this makes sense. The further the price is from the VWAP, the further the reversion/extension can be, as the range is just bigger. However, once the price begins to meander around the VWAP without great price structure, position, or response, is when the market seems to get a little boring.

This has been tricky because how to use the VWAP has been so multifaceted, and how spontaneously these trades can develop makes it for longer sessions at the moment. Then without great HTF structure or position, it requires a lot of patience to just see what develops.

Some things that I think are noteworthy:

SOFI EOD chart - very nice move off the VWAP. Wonder if this is something to apply in the right context (news, data, etc.)
If no stock-specific news = Focus on indexes for better liquidity
If there is legitimate stock-specific news = Focus on stock

All within VWAP framework.

0 comments