Asymmetric Pressure in the U.S. Dollar: AVWAP Shows Who’s Losing
Imagine you could see the average cost basis of all the buyers since a big event (like a high, a low, or a breakout day).
That’s what AVWAP (Anchored Volume Weighted Average Price) shows us.
Here is the Anchored VWAP of the U.S. Dollar Index.
(Actually, it's a U.S. dollar futures contract, which we need to quantitatively analyze real trade data. This is for educational purposes only. Futures involve risk and are not suitable for all investors.)
Most traders who bought the U.S. dollar since the January and April anchor points (white lines) are underwater, signaling selling pressure and reinforcing the downtrend.
AVWAP is a quantitative technical analysis method we use in tactical position trading to help identify potential support and resistance levels. Anchored VWAP calculates the average price of a security, weighted by its volume, from our defined starting point, providing a dynamic perspective on price action.
AVWAP helps us see who’s winning or losing based on volume and time.
When price is below AVWAP, most traders who bought since that anchor date are likely losing — and may sell if prices rise.
When price is above AVWAP, most are winning — and may hold or even add more.
In the case of the U.S. dollar:
Both AVWAPs are above the current price = the majority of buyers are losing = more pressure to sell = may signal continued selling pressure unless the price can reclaim key levels.
It's not a prediction or recommendation to buy or sell the USD but an observation of current market structure using AVWAP as a tool to assess where buying pressure or selling pressure may exist based on volume-weighted positioning.
It highlights how price action relative to key levels may influence behavior, not predict future outcomes.
It tells us buyers are underwater:
Most traders who bought since those anchored dates paid more than the current price.
That’s a psychological and behavioral cue — underwater (losing) positions tend to get sold into rallies.
Overhead supply exists:
Every time price trends up to one of those AVWAPs, traders stuck at higher prices may sell to break even — creating potential resistance to higher prices because of their selling pressure.
Momentum favors sellers:
Price being below both AVWAPs suggests sellers have had control since both anchor points. The trend hasn’t reversed.
Trend above the AVWAP = possible regime shift:
If price can rise and hold above one or both AVWAPs, it would mean buyers are taking control again — a potential shift in market behavior.
In other words:
This isn’t predicting where price will go — it’s revealing where pressure currently exists based on buyer positioning and helping you assess whether risk/reward favors continuation or reversal.
Mike Shell is the founder and chief investment officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Managed Portfolios, a separately managed account program with trade execution and custody at Goldman Sachs Custody Solutions. Mike Shell and Shell Capital Management, LLC, a registered investment advisor focused on asymmetric risk-reward and absolute return strategies, provide investment advice and portfolio management only to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as investment advice to buy or sell any security. This information does not suggest in any way that any graph, chart, or formula offered can solely guide an investor as to which securities to buy or sell, or when to buy or sell them. Securities reflected are not intended to represent any client holdings or recommendations made by the firm. In the event any past specific recommendations are referred to inadvertently, a list of all recommendations made by the company within at least the prior one-year period may be furnished upon request. It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities on the list. Any opinions expressed may change as subsequent conditions change. Please do not make any investment decisions based on such information, as it is not advice and is subject to change without notice. Investing involves risk, including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data are deemed reliable but are not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. The views and opinions expressed in ASYMMETRY® Observations and Asymmetric Investment Returns are those of the authors and do not necessarily reflect the position of Shell Capital Management, LLC. The use of this website is subject to its terms and conditions.