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The Theoretical Opening Price is established by determining which price will match the most instruments based on the current mix of bids and offers available in the order book. CME Globex examines all prices where Bids and Offers overlap. The Bid and Offer quantity available at each price in the overlapped price level is listed and the cumulative quantity total of all bids and offers is determined at each price.

Bid cumulative quantity is determined by summing the bid quantity at each price, starting from the highest price and cumulating down to the lowest price level. Offer cumulative quantity is determined by summing the offer quantity at each price, starting from the lowest price and cumulating up to the highest price level.

Cumulative Total of Bids and Offers

 

 

 

 

Cumulative Sum of Bids

Bid Quantity

Price

Ask Quantity

Cumulative
Sum of Offers

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


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