Anchored VWAP is exactly what it sounds like. It is the average price, weighted by volume, and anchored to a particular time. Volume weighted average price or VWAP is traditionally used on an intraday basis as a benchmark. Some traders like to know where price is relative to the average of all shares traded so far in a session. Some are even judged against it and therefore prefer to buy below the VWAP and sell above it.