TWAP/VWAP Smoothing

Reliable price feeds and smoothing algorithms ensure valuation accuracy across volatile markets.

Why Smoothing Matters

In crypto markets, short-term price spikes or dumps can distort NAV calculations. To protect users and maintain fair valuations, OLTA applies smoothing techniques. The exact methodology (raw price vs. TWAP/VWAP) is under review and will be disclosed transparently in each Index Factsheet and prospectus.

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TWAP Time-Weighted Average Price

• Averages prices over a defined time interval

• Reduces the influence of brief anomalies or market manipulation

• Used primarily during NAV updates and redemptions

$${TWAP} = \frac{P_1 + P_2 + \dots + P_n}{n}$$

Where:

• Pᵢ = price at time interval i

• n = number of intervals

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VWAP Volume-Weighted Average Price

• Weighs prices by trading volume, better reflecting market consensus

• Helps capture more realistic execution levels

• Used during portfolio construction and asset swaps

$${VWAP} = \frac{\sum_{i=1}^n P_i \cdot V_i}{\sum_{i=1}^n V_i}$$

Where:

• Pᵢ = price at time interval i

• Vᵢ = traded volume during interval i

• n = number of observations

Methodology Under Review: Raw Price vs. TWAP/VWAP

To ensure index transparency and resilience, OLTA evaluates whether to rely on Raw (Brut) Price or on TWAP/VWAP smoothing. The methodology chosen for each index will be explicitly stated in its Index Factsheet and prospectus.

Approach	Advantages	Limitations
Raw Price (Brut)	- Simple and fully transparent - Direct snapshot of the market - Easy to replicate by third parties	- Sensitive to short-term volatility - Vulnerable to manipulation or anomalies - May not reflect true execution levels
TWAP (Time-Weighted Average Price)	- Smooths short-term fluctuations - Reduces impact of brief anomalies - Fair for NAV updates and redemptions	- Ignores traded volumes - May understate actual execution risk
VWAP (Volume-Weighted Average Price)	- Reflects market consensus through liquidity - Closer to real execution costs - Robust for portfolio construction and asset swaps	- Requires accurate volume data - Can overweight illiquid trades in thin markets
Combined TWAP + VWAP	- Balances time smoothing with liquidity awareness - Stronger resistance to manipulation - Institutional-grade methodology	- More complex to calculate - Methodology may vary across markets

See more details at Settlement Risk

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Combining TWAP and VWAP provides robust, manipulation-resistant pricing, balancing temporal smoothing with liquidity awareness. OLTA continues to assess the optimal methodology, and the chosen approach for each index will be published in its Index Factsheet and prospectus for full transparency.