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# Application of the Indicative Opening Price Rules

Rule 1: Determine the maximum matching quantity at a price level.

Cumulative Sum of Bids Bid Quantity Price Ask Quantity Cumulative Sum of Offers Maximum Matching Quantity 10 10 51 30 357 30 20 50 100 327 60 30 49 1 227 100 40 48 25 226 150 50 47 1 201 220 70 46 100 200 320 100 45 90 100 321 1 44 4 10 351 30 43 6 6

Executed Quantity = 200

The largest cumulative quantity of bids and offers that can be executed is at the price level of 46. The 200 offer instruments can be matched with the 220 Bid instruments available providing the greatest number of instruments matched of 200. So, the Indicative Opening Price is 46.

If Rule 1 does not produce an Indicative Opening Price then include Rule 2.

Rule 2: Determine the minimum non-matching quantity.

Cumulative Sum of Bids Bid Quantity Price Ask Quantity Cumulative Sum of Offers Minimum Non-Matching Quantity 10 10 51 30 306 30 20 50 100 276 60 30 49 1 176 100 40 48 25 175 150 50 47 0 150 180 30 46 50 150 280 100 45 90 100 281 1 44 4 10 311 30 43 6 6

Executed Quantity = 150
At price levels of 46 and 47 there is a tie for the number of instruments that can match, 150 at each price level. At price level 47, the non-matching quantity is 0 (150 Bid - 150 offer = 0).

At price level 46, the non-matching quantity is 30 (180 Bid - 150 offer = 30). So, the Indicative Opening Price is 47, where there is the least number of unmatched instruments.

If Rules 1 and 2 do not produce a Indicative Opening Price, then include Rule 3.

Rule 3: Determine the highest price if the non-matching quantity is on the buy side for all prices.

CumulativeSum of Bids Bid Quantity Price Ask Quantity Cumulative Sum of Offers Highest Price 10 10 51 30 306 30 20 50 100 276 60 30 49 1 176 100 40 48 25 175 180 80 47 0 150 180 0 46 50 150 200 20 45 90 100 230 30 44 4 10 260 30 43 6 6

Executed Quantity = 150
At price level 47, the largest cumulative quantity of Bids is 180. The largest cumulative quantity of offers is 150. The number of instruments that can match at price 47 is 150 instruments. The remaining non-matching Bid instruments = 30 (180 Bid - 150 offer = 30).

At price level 46, the largest cumulative quantity value of Bids is 180. The largest cumulative quantity of offers is 150. The number of instruments that can match at price 46 is 150 instruments. The remaining non-matching Bid instruments = 30 (180 Bid - 150 offer = 30).

The Indicative Opening Price is 47, which is the highest price where the unmatched instruments are Bid instruments.

Rule 4: Determine the lowest price if the non-matching quantity is on the sell side for all prices.

Cumulative Sum of Bids Bid Quantity Price Ask Quantity Cumulative Sum of Offers Lowest Price 10 10 51 30 306 30 20 50 100 276 60 30 49 1 176 100 40 48 25 175 110 10 47 0 150 110 0 46 50 150 130 20 45 90 100 160 30 44 4 10 190 30 43 6 6

Executed Quantity = 110

At price level 47, the largest cumulative quantity of Bids is 110. The largest cumulative quantity value of offers is 150. The number of instruments that can match at price 47 is 110 instruments. The remaining non-matching quantity is 40 (150 offer - 110 Bid = 40).

At price level 46, the largest cumulative quantity value of Bids is 110. The largest cumulative quantity value of offers is 150. The number of instruments that can match at price 47 is 110 instruments. The remaining non-matching quantity is 40 (150 offer - 110 Bid = 40).

The Indicative Opening Price is 46, which is the lowest price where the unmatched instruments are Offer instruments.

If Rule 3 and 4 have a tie then include Rule 5.

Rule 5: Determine the closest price to the settlement price (reference price).

Cumulative Sum of Bids Bid Quantity Price Ask Quantity Cumulative Sum of Offers Closest Price to the Settlement Price (Reference Price) 50 50 51 30 280 70 20 50 100 250 150 80 49 0 150 150 0 48 0 150 150 0 47 0 150 150 0 46 0 150 150 0 45 70 150 150 0 44 60 80 150 0 43 20 20

Executed Quantity = 150
Settlement Price (Reference Price) = 46
At price levels 45 through 49, matches can occur at the calculated maximum number of 150 instruments. Each price level shows accumulated totals of 150 Bids and 150 Offers which when matched results in zero remaining instruments. Indicative Opening Price is the price closest to settlement.

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