CME Globex follows a specific set of rules to determine the Theoretical Opening Price:
Rule 1: Determine the maximum matching quantity at a price level.
Rule 2: Determine the minimum non-matching quantity.
Rule 3: Determine the highest price if non-matching quantity is on the buy side for all prices.
Rule 4: Determine the lowest price if non-matching quantity is on the sell side for all prices.
Rule 5: Determine the closest price to the settlement price (reference price).
Rules are applied in a hierarchy from Rule 1 through Rule 5. The Theoretical Opening Price is determined by whichever rule best applies to the order book at that moment.