Does using VWAP for futures make sense? I’ve seen a lot of people use VWAP for futures which doesn’t make sense to me. The reason is because VWAP considers the price and volume together and the volume in futures doesn’t affect the futures price. So even if someone has a strategy based on VWAP, that strategy won’t affect the price altogether because futures price is ultimately being derived from the underlying asset (stock or index’s) price.
In theory? I believe its a fact. Can you elaborate?