Volume Maximizing Imbalance Minimizing (VMIM) Algorithm

The opening price for a series, as well as prices disseminated in Options Auction Update messages during the Queuing Period, are computed using the Volume Maximizing Imbalance Minimizing (VMIM) algorithm for both uncollared and collared openings. The VMIM algorithm is summarized as follows:

1. Select the price that maximizes the number of contracts matched on the open.
2. If there are multiple prices at which the same maximum contracts will be matched, select the price that minimizes the absolute imbalance, which is defined as the cumulative contracts at or above the price to buy minus the cumulative contracts at or below the price to sell.
3. If there are multiple prices at which the same maximum contracts will be matched and with the equivalent minimized absolute imbalance, and the imbalance is not zero, use the sign of the imbalance to select either the highest of the prices (positive imbalance) or the lowest of the prices (negative imbalance)
4. If there are multiple prices at which the same maximum contracts will be matched and zero imbalance, select the price closest to the Volume-Based Tie Breaker (VBTB), which is set to the midpoint of the opening collar.

Numerical examples illustrating the VMIM algorithm in several scenarios are presented in Appendix 1 - VMIM Algorithm Examples.