MARKET REGULATION ADVISORY NOTICE______________________________________________________________________
ExchangeCME

SubjectAll-or-None Transactions

Rule References

Rule 523

Advisory Date

April 18, 2022

Advisory Number

CME RA2201-2

Effective Date

May 2, 2022

Effective on trade date May 2, 2022, and pending all relevant CFTC regulatory review periods, thisMarket Regulation Advisory Notice will supersede CME Market Regulation Advisory Notice RA2104-2
from August 30, 2021. It is being issued enable All-or-None (“AON”) transactions for open outcry tradingof Options on Three-Month SOFR Futures, Options on One-Month SOFR Futures and all Options onThree-Month Eurodollar Futures.
Market participants are reminded of the following:
1) AON trades may not, under any circumstances, be prearranged or otherwise involve
prohibited pre-execution communications.
Pursuant to Rule 539 (“Prearranged, Pre-negotiated and Noncompetitive Trades Prohibited”), theprearrangement of AON trades and pre-execution communications with respect to AON trades are strictlyprohibited. As such, the only information that may be disclosed by any party with respect to an AON
order is information that has been publicly exposed in the trading pit. Parties may not solicit potential
counterparties to an AON order until the order has been openly bid or offered in the pit.
2) AON orders must be competitively and transparently executed in the open market by openoutcry.
All AON trades must be executed openly and competitively, without prearrangement. Bidding andoffering practices must at all times be conducive to the competitive execution of trades, and members
must ensure that the request for an AON market or the bid or offer for an AON order is clearly andtransparently announced to the pit. Additionally, all AON bids and offers must include both quantity andprice.
Additionally, in circumstances where a broker has both buy and sell AON orders for accounts withdifferent beneficial ownership, the broker may only cross the orders pursuant to the cross procedures set
forth in Rule 533 (“Simultaneous Buy and Sell Orders for Different Beneficial Owners”). Rule 533
requires the broker in these circumstances to bid and offer by open outcry the price and quantity of theAON orders three times. If neither the bid nor offer is accepted, the orders may be matched in thepresence, and with the approval, of a designated Exchange official. It is incumbent upon a member
handling simultaneous AON buy and sell orders to ensure that his bids and offers for the orders areannounced clearly to the pit, and, if executed opposite each other, that the approval of the Exchange
official is obtained contemporaneous with the execution of the orders.
Failure to comply with the aforementioned requirements will result in disciplinary action.
Market participants are strongly encouraged to review the FAQ to ensure an accurate understanding ofthe requirements for executing AON orders. The text of Rule 523 appears below, followed by the FAQ.

CME RA2201-2
April 18, 2022
Page 2 of 4
Rule 523
ALL-OR-NONE TRANSACTIONSThe Exchange shall determine the minimum thresholds for and the commodities in which All-or-Nonetransactions shall be permitted. The following shall govern All-or-None trading:
1. A member may request an All-or-None bid and/or offer for a specified quantity at or in excess of theapplicable minimum threshold. Such request shall be made in the pit designated for the trading of theparticular transaction.
2. A member may respond by quoting an All-or-None bid or offer price. A bid or offer in response to anAll-or-None request shall be made only when it is the best bid or offer in response to such request,
but such price need not be in line with the bids and offers currently being quoted in the regularmarket.
3. A member shall not execute any order by means of an All-or-None transaction unless the order
includes specific instructions to execute an All-or-None transaction or the All-or-None bid or offer isthe best price available to satisfy the terms of the order.
4. An All-or-None bid or offer may be accepted by one or more members provided that the entire
quantity of the All-or-None order is executed at a single price and that each counterparty to the orderaccepts a quantity at or in excess of the designated minimum counterparty threshold. Each order
executed opposite an All-or-None order must be for a quantity that meets or exceeds theminimum counterparty threshold. Separate orders may not be bunched to meet the minimumcounterparty threshold.
5. All-or-None transactions shall not set off conditional orders (e.g., Stop Orders and MIT Orders) orotherwise affect orders in the regular market.
6. All-or-None transactions must be reported to a designated Exchange official who shall record andpublish the quantity and prices separately from reports of transactions in the regular market. The
brokers executing All-or-None transactions must maintain a record of said transaction in accordancewith Rule 536.
FAQ Related to CME Rule 523
All-or-None Transactions
Q1:

What is an All-or-None (“AON”) Order?

A1:An AON order is an order that meets or exceeds an exchange-specified minimum quantity thatcan be executed only for its entire quantity and only at a single price. AON orders are permitted
solely in Options on Three-Month SOFR Futures and Options on One-Month SOFR Futures
executed in the open outcry market during Regular Trading Hours.

Q2:

What are the significant differences between AON transactions and other trades executed
via open outcry?

A2:

1. AON bids, offers and requests for a market must be for a quantity equal to or in excess of 1,000
contracts for options on Three-Month SOFR futures and 250 contracts for options on One-MonthSOFR futures. The contract minimum threshold applies to each leg of any spread orcombination trade executed as an AON.
2. Partial fills for an AON order are not permitted.
3. The execution price of an AON order may be outside of the best bid/offer in the regular market.
4. The price at which an AON order is executed does not elect conditional orders (e.g., stop orders,limit orders, MIT orders, etc.) in the regular market or otherwise affect such orders.
5. AON transactions are reported separately from transactions in the regular market in the Timeand Sales record.

Q3:

May an AON order be executed opposite more than one counterparty?

CME RA2201-2
April 18, 2022
Page 3 of 4
A3:

Yes. An AON order may be executed opposite multiple counterparties provided that the order isfilled in its entirety at a single price and each opposing party to the order receives 10% or more of theAON order’s full quantity.

Q4:

May a broker bunch separate orders to meet the counterparty minimum?

A4:

No. Each order executed opposite an AON order must be for a quantity that meets or exceeds theminimum counterparty threshold.

Q5:

What is the proper procedure for initiating an AON transaction in the pit?

A5:

The initiator of the AON order may request an AON market for a specific quantity or make an AON
bid/offer for a specific quantity and price. Any requests for an AON market and all AON bids andoffers must be made openly and clearly announced in the pit.
A member may respond by quoting an AON bid and/or offer price and the quantity, at or above
the designated counterparty minimum, that he is willing to trade. Brokers who have orders thatindependently meet the minimum counterparty quantity threshold may also bid/offer in response
to a request for an AON market.
The individual representing the AON order must determine if the total quantity bid/offered issufficient to satisfy the entire quantity of the AON order at a single price. If so, he willconsummate the AON trade with the opposing market participants. Just as in the regular market,
it is the broker’s responsibility to allocate quantities if there is more than one opposing party.

Q6:May two AON orders be crossed?

A6:

AON orders to buy and sell that are for different beneficial owners and are initiated without
prearrangement may be competitively executed opposite each other in the open market. A single
broker may directly cross two AON orders provided that the cross trade procedures set forth in Rule533 (“Simultaneous Buy and Sell Orders for Different Beneficial Owners”) are followed.
Additionally, a broker executing an AON order may not take the opposite side of the order, or any
portion of the order, into his own account (or an account in which he has a direct or indirect financial
interest or an account over which he has discretionary trading authority) unless the customer has
provided prior written consent to waive the application of Rule 531.A. (“General Prohibition”) and thebroker complies with the cross trade procedures set forth in Rule 533.

Q7:

May intra-commodity options spreads or options combinations be executed pursuant toRule 523?

A7:

Yes, provided that each leg of the spread meets the contract’s minimum quantity requirement.

Q8:

Are spreads involving SOFR options versus SOFR futures permitted to be executed as anAON?

A8:Yes, provided that at least one option leg of the spread order meets the specified contract AON
minimum order quantity and the quantity of the futures leg is the appropriate delta equivalent.

Questions regarding this Advisory Notice may be directed to one of the following individuals in Market
Regulation:
Erin Middleton, Director, Rules & Regulatory Outreach, 312.341.3286

CME RA2201-2
April 18, 2022
Page 4 of 4Paige Gawrys, Senior Specialist, Rules & Regulatory Outreach, 312.872.5078
Barry Schauer, Trading Floor Investigations Specialist, 312.341.7640
Daniel Schneider, Director, Investigations, 312.341.7251
For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or
news@cmegroup.com.