It's based on what people are willing to buy or sell it at. Like anything else...
What I'm arguing, though, is that the market making "algorithm" is highly intransparent.
But we probably have to agree to disagree here.
Your confusion seems to be that the exchanges are coming up with the prices, which is not at all how it works. Again, the price is set exactly the same way as it is on the NYSE, by matching bids and asks.