VWAP or Volume-Weighted Average Price is a popular measure which minimizes market impact for large transactions with multi-day horizon. VWAP could represent a trading objective, or it could serve as a benchmark for VWAP-based swaps, also known as guaranteed (gVWAP). In such a swap the buyer of the contract receives ordered positions at the (initially unknown) VWAP price for a fixed fee per share.

Adjustable VWAP offered by QI could be used for in-house trading, and could also be used for constructing gVWAP business. We also offer portfolio versions.

Adjustable VWAP continuously attempts to predict inter-period volume dynamics.