ASX VWAP reports, prepared to the Listing Rule 19.12 definition
A VWAP report is a written calculation of the volume weighted average market price for an ASX-listed security over the window you nominate, prepared from trade-level data to the definition in ASX Listing Rule 19.12. It states the window, the markets counted, the trade types removed and the source of the data, so anyone who disagrees with the figure can redo the arithmetic and see where they land. A standard report is $99 and delivered within 24 hours; an express report is $149 and delivered within 3 hours.
How the rule defines the figure
Chapter 19 of the Listing Rules 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: 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 (ASX Listing Rule 19.12).
The definition fixes a method and leaves the window to whoever invokes it, pricing a particular period without saying which one (ASX Listing Rule 19.12). It also 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). Whoever runs the calculation fills those gaps, which is how two careful people reach two different numbers from the same rule.
That is what a report is for: the figure, and the four choices behind it written down beside it.
Read the definition clause by clause or work through the six excluded trade types.
What the report includes
- The figure and the window
The volume weighted average market price for the security, with the first and last dates of the period it covers and the number of days in it.
- Methodology stated against the rule
The calculation is prepared to the ASX Listing Rule 19.12 definition of volume weighted average market price, from trade-level data rather than a daily price table.
- What the report sets out
A daily breakdown of volume, value and VWAP with the period low, high, opening and closing price, the complete trade-level data set behind the calculation, and a record of any excluded trades.
- The excluded trade types removed
Block trades, large portfolio trades, permitted trades during the pre-trading and post-trading hours periods, out of hours trades and exchange traded option exercises are taken out before the sum is run (ASX Listing Rule 19.12).
- Workings anyone can redo
Every row of the trade-level list carries its timestamp, price, volume and the running turnover, so anyone who disagrees with the figure can redo the arithmetic from the same data.
- PDF report and Excel spreadsheet
A written report plus a spreadsheet carrying the input data and the calculation steps.
Every regulatory statement on this page names the rule or guidance note it comes from, and every report states the window, the markets counted, the trade types removed and the source of the data. Reports are prepared by Riverstone Corporate Pty Ltd T/AS VWAP.com.au, ABN 42 883 208 403, West Leederville, Western Australia.
See a sample
The sample uses a fictional company over a July period and shows the full structure: the VWAP figure and the totals behind it, the trading period overview, the methodology and data parameters, the six exclusion categories applied, and the rules the calculation was prepared against.
Price and delivery
Report delivered within 24 hours. Price includes GST.
Report delivered within 3 hours. Price includes GST.
Order multiple reports in a single transaction and each additional report uses the same pricing.
What the figure is being used for
Placements under the extra 10% capacity
The 15 trading day window and the 75% floor under ASX Listing Rule 7.1A.3.
Share purchase plans
The 5 day window and the 80% floor in Exception 4 to ASX Listing Rule 10.11.
Performance rights and price hurdles
The 20 trading day example ASX gives for a share price hurdle in Guidance Note 19.
Calculating one yourself
Why a spreadsheet built from daily prices produces a different number.
Common questions
What is in a VWAP report?
The volume weighted average market price for the security with the exact dates of the window it covers, the methodology stated against the ASX Listing Rule 19.12 definition, a daily breakdown of volume, value and VWAP, the complete trade-level data set behind the calculation, and a record of any excluded trades. It is delivered as a PDF report with an Excel spreadsheet of the input data and calculation steps.
How long does a report take?
A standard report is $99 and delivered within 24 hours. An express report is $149 and delivered within 3 hours. Both prices include GST.
Which trades are excluded from the calculation?
Six categories come out under ASX Listing Rule 19.12: 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. The Listing Rules define none of them. Five borrow their meaning from an ASIC instrument and the sixth borrows nothing at all.
Does the calculation cover both markets?
Yes. The definition gives the volume weighted average price of trading in the securities on the ASX market and the Chi-X market over the period, so a figure built from one market's trading alone is not the defined figure (ASX Listing Rule 19.12). The operator of the second market records that the market formerly called the Chi-X market became the Cboe market and is now the TMX market, and that instruments still referring to Chi-X should be read interchangeably with TMX (TMX Australia Exchange Operating Rules).
Why does the report state the window, venue basis and exclusion policy?
A VWAP is a property of a security plus four choices: the window, the venue set, the exclusion policy and the source of the data. Change any one and the figure changes, and none of the four is visible on the face of the result. A figure quoted without its basis cannot be confirmed or contradicted, which is a poor position to be in when a placement price is built on it.