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CME Globex follows a specific set of rules to determine the Theoretical Indicative Opening Price:

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


Rules are applied in a hierarchy from Rule 1 through Rule 5. The Theoretical 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.