The Indicative Opening Price (IOP) provides market participants with a probable price at which the market will open during the Pre-open state based on the current order book. During the Pre-open, all priced orders are allowed, but no order matching takes place. The Exchange’s trading system will evaluate all orders received from participants and calculate the IOP based on a given set of rules.
Coinbase Derivatives Exchange rules for determining the IOP:
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.