VWAP Deviation in SigmaMean reversion

Timeframe M1 · unit sigma

What it measures

The distance between the last close and the volume-weighted average price (VWAP) of the session, expressed in standard deviations of the volume-weighted price distribution. It captures how far price has drifted from the session's volume-weighted gravity center.

How Janira reads it (bullish vs bearish)

A value near 0 means the close is at or very close to the VWAP. Values above +1 sigma indicate price is elevated relative to where most trading volume transacted today; below -1 sigma, it is depressed relative to that gravity center. VWAP is widely used by institutional desks as an intraday benchmark, so large deviations tend to attract reversion flows.

In plain language

The VWAP is where most of today's volume traded on average. This indicator measures how far the current price has drifted away from that 'fair value' point, in units of the session's normal wiggle. Far above it means buyers paid a premium; far below means sellers accepted a discount.

Scenarios

Near 0 (±0.5 sigma): Price is hugging the VWAP. The market is trading at or near the session's volume-weighted fair value. Neither side has a notable premium or discount.
Above +1 sigma: Price has drifted notably above the VWAP. Participants who traded at VWAP earlier in the session are now sitting on unrealized gains - reversion flows often emerge as they take profits.
Below -1 sigma: Price is notably below VWAP. Buyers who chased lower prices may attract mean-reversion buying as the day progresses.
Beyond ±2 sigma: Extreme intraday divergence from the VWAP. These readings are uncommon and typically coincide with a news catalyst or a large institutional order dominating one side of the book.

More mean reversion indicators

Z-score Close vs SMA-20 Distance to SMA-20 in Std Deviations Percent Below 20-Bar Rolling High Percent Above 20-Bar Rolling Low RSI Extremity Score (14)Bollinger Band Stretch (20, 2σ)Mean Reversion Composite Score 50-Bar Range Position (Centered)

Janira computes VWAP Deviation in Sigma deterministically from live price action, the same way for every reading - no discretion, no hidden weighting. This page explains the method; it is not a live reading and not advice.