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wpicotte

Use of Pre-market VWAP

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wpicotte

In today's recap, Andrew noted how a couple stocks sold off in pre-market and consequently opened below VWAP. I swear that in past discussions about VWAP, the consensus I gathered from others is to not include pre / post market activity in VWAP (which is a configurable option in DAS). Obviously, Andrew is doing so (a la today's recap).

I am curious what others do. I have not been including pre / post activity in the VWAP calc and doing so really changes the value. What do you do?

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Jmos

this question came up in today's trading with $baba.  I don't know if there was a clear consensus.  

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