Rules to Determine the Indicative Opening Price

The Indicative Opening Price (IOP) is the probable price where most volume will occur at Market Open.

During the Pre-Open state, the following sequence determines the IOP:

Rule 1: Determine the matching quantity at each price level; the IOP will be the price that has the maximum matching quantity.

Rule 2: If there are multiple price levels with the same maximum matching quantity, determine the non-matching quantity. If this is zero on all price points, then IOP is the price closest to the prior settlement price.

Rule 3: If there are multiple price levels with the same maximum matching quantity, determine the non-matching quantity. If this is greater than zero on all the price points, then:

If non-matching quantity is on the Bid and Ask side, then IOP is the price with minimum non matching quantity.
If all the non-matching quantity prices are on the Bid side only, then IOP is the highest Bid price.
If all the non-matching quantity prices are on the Ask side only, then IOP is the lowest Ask price.

The Indicative Opening Price is determined by whichever rule best applies to the order book at that moment.

After a Indicative Opening Price price is calculated, CME Globex assesses the Stop Order book to determine if the Indicative Opening Price elects any Stop Orders. If so, CME Globex recalculates the Indicative Opening Price to include the quantities at the limit price of the Stop Orders that would be elected (this process continues until no other Stop Orders are elected) by a Indicative Opening Price.