ASX does not leave VWAP to interpretation. Chapter 19 of the Listing Rules defines it, under a name almost nobody says out loud, and the definition does most of its work through what it strips out rather than through the arithmetic it describes. This guide reads the text clause by clause and marks the points where the words run out.
What is VWAP? covers the concept and how VWAP is calculated covers the arithmetic. This one is about the rule.
The definition, quoted
Chapter 19 contains no defined expression spelled "VWAP". The expression it does define, and the one other rules point back to, is "volume weighted average market price" (ASX Listing Rule 19.12). The placement pricing floor in LR 7.1A.3 is written off "+volume weighted average market price", not off anything called VWAP (ASX Listing Rule 7.1A.3). VWAP is the shorthand. Here is the entry in full.
volume weighted average market price — in relation to particular securities for a particular period, the volume weighted average price of trading in those securities on the +ASX market and the +Chi-X market over that period, excluding block trades, large portfolio trades, permitted trades during the pre-trading hours period, permitted trades during the post-trading hours period, out of hours trades and exchange traded option exercises.
Introduced 01/07/14
Trading on the ASX market and Chi-X market includes trades executed on those markets and trades reported to those markets (other than block trades, large portfolio trades, permitted trades during the pre-trading hours period, permitted trades during the post-trading hours period, out of hours trade and exchange traded option exercises). The terms "block trades", "large portfolio trades", "permitted trades during the pre-trading hours period", "permitted trades during the post-trading hours period" and "out of hours trades" have the same meaning as in the ASIC Market Integrity Rules (Competition in Exchange Markets) 2011. These types of trades are excluded as they are not necessarily representative of market trading.
The plus signs are the rulebook's cross-reference marks. They flag an expression the rules define elsewhere, and they are how other chapters reach this definition (ASX Listing Rule 19.12).
Reading it clause by clause
"in relation to particular securities for a particular period". The definition fixes a method and leaves the window to whoever invokes it. It prices "a particular period" without saying which one (ASX Listing Rule 19.12). A VWAP quoted without its window is therefore not yet the defined figure, and how VWAP is calculated covers why the window carries as much weight as the arithmetic.
"the volume weighted average price of trading in those securities". This is the ordinary calculation, value traded divided by volume traded. The rule assumes it rather than spelling it out (ASX Listing Rule 19.12).
"on the +ASX market and the +Chi-X market". The trade set spans two markets. A figure built from one market's trading alone is not the defined figure (ASX Listing Rule 19.12).
"includes trades executed on those markets and trades reported to those markets". The second paragraph of the entry pushes the trade set past the order book. A transaction negotiated away from a market and then reported to it counts as trading on that market for this purpose (ASX Listing Rule 19.12). That limb catches real volume, because reporting is compulsory: a reporting participant must report post-trade information for a transaction entered into otherwise than by matching of orders on an order book, to an operator (ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.3.1). The same sentence then names the excluded types a second time, so a trade of an excluded kind does not re-enter through the reporting limb (ASX Listing Rule 19.12).
The excluded trade types
Six categories come out, and the definition defines none of them. The entry says that "block trades", "large portfolio trades", "permitted trades during the pre-trading hours period", "permitted trades during the post-trading hours period" and "out of hours trades" have the same meaning as in the ASIC Market Integrity Rules (Competition in Exchange Markets) 2011 (ASX Listing Rule 19.12). The sixth category, exchange traded option exercises, is left out of that borrowing sentence, so the entry points to no source for its meaning at all (ASX Listing Rule 19.12).
That 2011 instrument no longer exists. It was repealed with effect from 7 May 2018 by rule 1.1.3A(d) of the ASIC Market Integrity Rules (Securities Markets) 2017 (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.1.3A), and the Listing Rules entry still names it. Both texts are relied on by this guide series, the 2011 rules at their final compilation (ASIC Market Integrity Rules (Competition in Exchange Markets) 2011, repealed) and the 2017 rules at their current one. On the five borrowed terms they say the same thing, so the glosses below hold whichever text is read as governing. Which trades count and which are excluded sets out the two readings and tests each category against them.
- Block trades. Large transactions done away from the order book and reported afterwards, with one participant on both sides. Consideration must be not less than $1,000,000 for Tier 1 equity market products, stepping down to $200,000 at Tier 3. The thresholds are identical in both instruments; the 2017 version widened who may stand on the other side, adding multiple clients and a mixed client and principal case (ASIC Market Integrity Rules (Competition in Exchange Markets) 2011, rule 4.2.1; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.1).
- Large portfolio trades. A basket bought or sold under a single agreement, requiring total consideration of at least $5,000,000 across at least 10 different classes, with at least $200,000 in each of those classes. Unchanged in substance between the two instruments (ASIC Market Integrity Rules (Competition in Exchange Markets) 2011, rule 4.2.2; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.2).
- Permitted trades during the pre-trading hours period, permitted trades during the post-trading hours period and out of hours trades. Three categories whose content is borrowed in full: the Listing Rules name them and say nothing about where the periods begin or end (ASX Listing Rule 19.12). The ASIC rules draw those boundaries off the start and end of trading hours, and each category also carries its own test of what kind of trade qualifies (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3; rules 6.2.4 to 6.2.6).
- Exchange traded option exercises. Stock delivered on the exercise of an exchange traded option moves at the option's strike, a price fixed when the option was written rather than by trading in the period, and the definition takes those transfers out (ASX Listing Rule 19.12).
The entry gives one reason for the whole list: these trade types are excluded "as they are not necessarily representative of market trading" (ASX Listing Rule 19.12). Read that as a rationale, not as an operative test. A trade is excluded because it falls inside a named category, not because anyone judged it unrepresentative, and a trade that looks thoroughly unrepresentative stays in unless it is named.
"Trading day"
Rules that invoke the definition usually measure the period in trading days. LR 7.1A.3 sets its pricing floor over 15 of them (ASX Listing Rule 7.1A.3). Chapter 19 defines that term as well: a trading day is "a day determined by ASX to be a trading day and notified to +market participants" (ASX Listing Rule 19.12). That is determinative rather than descriptive. The calendar is published, not worked out from first principles.
Two limbs follow. The first excludes Saturdays, Sundays, New Year's Day, Good Friday, Easter Monday, Christmas Day and Boxing Day, along with any other day ASX declares and publishes is not a trading day (ASX Listing Rule 19.12). The second runs the other way and preserves as a trading day "a day which for the purposes of settlement, ASX declares is a trading day notwithstanding that dealings between +market participants are suspended on that day" (ASX Listing Rule 19.12). A day can therefore count even though participants were not dealing on it.
Nothing in the definition asks whether the particular security traded, so a trading day on which a stock did not trade is still a trading day (ASX Listing Rule 19.12). It contributes nothing to either total. Individual rules handle that by counting differently where they want to: LR 7.1A.3 measures over "the 15 +trading days on which trades in that +class were recorded", which is a narrower count than 15 trading days (ASX Listing Rule 7.1A.3). How VWAP is calculated works through what a non-trading day does to a window.
What the definition does not settle
Which venues. The text names two markets and no others. It gives the volume weighted average price of trading "on the +ASX market and the +Chi-X market", not of trading on licensed markets generally, and it says nothing about a venue that is neither (ASX Listing Rule 19.12). Note also the expression it does not use. "On-market" appears nowhere in the definition, and Chapter 19 carries no current definition of it: the old "on-market buy-back" entry was deleted in 1999, and rule 10.16 takes the meaning of "on-market" in that rule from section 9 of the Corporations Act instead (ASX Listing Rule 19.12). Venue scope under this definition is a question about two named markets, not about a general on-market test.
The name of the second market has since moved. Its operator records that the market formerly called the Chi-X market became the Cboe market and is now the TMX market, that the entity holding the licence did not change through either rename, and that instruments still referring to "Chi-X" should be read interchangeably with TMX (TMX Australia Exchange Operating Rules). The Listing Rules entry still reads "+Chi-X market" in the version this guide series cites (ASX Listing Rule 19.12). Multi-venue trading covers what pulling the two markets' trading into one calculation actually involves.
Where the session's edges fall. Several excluded categories are drawn by reference to a period rather than to a kind of transaction, and the Listing Rules draw none of those boundaries: the meanings sit in the 2011 ASIC instrument (ASX Listing Rule 19.12). No exclusion names an auction (ASX Listing Rule 19.12), so whether the opening and closing auctions fall inside the sum cannot be answered from this definition at all. How VWAP is calculated sets out what that does to a short window, and which trades count and which are excluded answers it from the borrowed definitions.
What the data has to do. The definition assumes each excluded category can be picked out trade by trade, and says nothing about how. It names no source of data, describes no flag or code by which an excluded trade is recognised, and sets no rounding or decimal convention for the result (ASX Listing Rule 19.12). It also does not say what a period containing no qualifying trades produces, though the formula has nothing to divide by in that case (ASX Listing Rule 19.12). Whoever runs the calculation fills those gaps, which is how two careful people reach two different numbers from the same rule.
The rule is silent on sourcing; ASX guidance is not. For an issue under LR 7.1A, the Appendix 3B prompts the entity to send its ASX Listings Compliance adviser a work sheet stating the pricing date, the pricing period and the VWAP for securities in the relevant class over that period, and the work sheet also asks the entity to identify the source of its VWAP calculation (ASX Guidance Note 21). So for LR 7.1A work, recording the window and the source is closer to a requirement than to good practice. Recording the choices made to fill the definition's gaps, the venue basis and the exclusion policy, is asked for by nothing in the rules or guidance covered above, and it is the part that makes the figure reproducible.