Pre-open and indicative opening price (IOP)

The pre-open is the period before a CME Globex market opens in which orders can be entered, modified and cancelled but nothing matches. From the resting orders the engine computes and publishes an indicative opening price (IOP) and quantity, and the market opens with a single match at the price that maximises the volume traded.

Senzoukria · Glossary · Updated September 2026

What happens in the pre-open

CME states that the indicative opening price and quantity are calculated by the trading engine during the pre-open and reserved states from the orders in the book, and that during these states orders can be entered or modified but no matching occurs. The book can therefore be locked or crossed, and the IOP shows where it would clear. Updates are published in the market data incremental feed as the book changes.

How the IOP is chosen

  • Rule 1: the price with the maximum matching quantity.
  • Rule 2: if several prices tie and no quantity is left unmatched, the price closest to the prior settlement price.
  • Rule 3: if several prices tie with quantity left unmatched, the price that minimises the imbalance; if all the imbalance is on the bid side, the highest bid price; if all on the ask side, the lowest ask price.
  • The engine then checks whether the IOP would trigger stop orders and recalculates until no further stops are elected.

Worked example

Buy orders: 10 at 5,001.00, 20 at 5,000.50, 30 at 5,000.00. Sell orders: 15 at 4,999.50, 25 at 5,000.00, 20 at 5,000.50. Matchable quantity at each price is the smaller of buys at or above it and sells at or below it: at 4,999.50, min(60, 15) = 15; at 5,000.00, min(60, 40) = 40; at 5,000.50, min(30, 60) = 30; at 5,001.00, min(10, 60) = 10. The IOP is 5,000.00 with 40 contracts, leaving 20 contracts of buying unfilled.

What it means on a footprint

The opening match prints one price and a large quantity in the first instant. It is an auction result, not one participant lifting offers, so reading it as aggressive buying or selling can be misleading. How a feed marks the side of such trades varies.

In Senzoukria

The application does not display the IOP. On a Databento feed, trades published without an aggressor side are set aside and counted rather than assigned to a side, which keeps them out of delta; on Rithmic, a trade without the aggressor field has its side inferred by a tick test, so an opening print is worth checking before it is read as initiative.

Common mistakes

  • Reading the opening match as a single aggressive order.
  • Assuming orders entered in the pre-open are filled in time priority at their own price; they are filled at the IOP.

In the same section

Sources

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Frequently asked questions

Can I cancel an order during the pre-open?
Yes, during the pre-open orders can be entered, modified and cancelled. CME also defines a no-cancel phase just before the open for some markets, during which the rules on cancellation are stricter.
Why does my first bar of the session have one huge print?
Because the market opened through a single match at the indicative opening price, where all crossing orders from the pre-open trade at once. That is an auction outcome rather than a sudden burst of market orders.

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