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All-or-None

 
 

Orders That Must Be Filled in Their Entirety at a Single Price

All-or-None (AON) orders are orders executed in the open outcry venue that must be filled in their entirety at a single price. AON transactions are permitted only in certain products and must be for a quantity that meets or exceeds the exchange-specified AON minimum quantity for that product. An AON order may be executed opposite multiple counterparties provided that each opposing party to the AON order meets the exchange-specified minimum counterparty threshold.

For additional information on AON transactions, please see CME & CBOT Market Regulation Advisory Notice RA1007-3.

The following table lists AON-eligible CME and CBOT products and includes the associated AON minimum order quantity thresholds and allowable counterparty minimum thresholds for each product.

Benefits of AON Transactions

  • Efficient and complete execution of large orders – no partial fills
  • All contracts on the order executed at a single price
  • Allows participants to take maximum advantage of pit liquidity
  • Facilitates the execution of sizeable spread and combination trades
  • Designed to meet institutional trading needs

 


CME and CBOT AON Eligible Products 

CME

Contract AON Minimum Counterparty Minimum
Quarterly Eurodollar futures and Serial Eurodollar futures
(years 1-5)

2,000 contracts – Per leg for calendar, butterfly and condor spreads

10% of order
Quarterly Eurodollar futures
(years 6-10)

1,000 contracts – Per leg for calendar, butterfly and condor spreads

10% of order
Eurodollar and Eurodollar MidCurve options*

4,000 contracts – Per leg for spreads and combinations

10% of order
Regular and rolling Eurodollar packs (years 1-5)

2,000 contracts per pack

10% of order
Regular and rolling Eurodollar packs (years 6-10)

1,000 contracts per pack

10% of order
Regular and rolling Eurodollar bundles

2,000 contracts per bundle

10% of order
Regular and rolling Eurodollar bundles (all legs fall in years 6-10, i.e., contracts 21-40)

1,000 contracts per bundle

10% of order
Three-Month Overnight Index Swap (“OIS”) futures

2,000 contracts

10% of order
One-Month Eurodollar futures

500 contracts

10% of order
13-Week T-Bill futures

50 contracts

10% of order
Euroyen futures

100 contracts

10% of order
All foreign currency futures and options excluding cross rates, Israeli shekel, Chinese renminbi, Korean won, Czech koruna, Hungarian forint and Polish Zloty futures and options and Turkish lira, Norwegian krone, Swedish krona and E-micro futures*

20 contracts

10% of order
Norwegian krone and Swedish krona futures, Czech koruna, Hungarian Forint and Polish zloty futures and options and all foreign currency cross rate futures and options excluding Chinese renminbi/Euro FX and Chinese renminbi/Japanese yen futures and options and Turkish lira/Euro FX and E-micro futures*

5 contracts – 5 contracts per leg in calendar spreads

5 contracts; 5 contracts per leg in calendar spreads


*AON spreads involving Eurodollar, foreign currency and foreign currency cross rate options vs futures may be executed provided that at least one option leg of the spread order meets the designated AON minimum order quantity for the option and the quantity of the futures leg is the appropriate delta equivalent.

CBOT

Contract AON Minimum Counterparty Minimum
5-, 10- and 30-Year Interest Rate Swap futures

1,000 contracts – Per leg for inter-market and intra-market spreads

10% of order
Interest Rate Swap futures/Treasury futures spread

1,000 contracts – Per leg for spreads

10% of order
Interest Rate Swap options*

1,000 contracts – At least one leg must be ≥ 1,000

10% of order
Treasury futures

2,000 contracts – Per leg for inter-market and intra-market spreads

10% of order
OTR Treasury Yield futures

2,000 contracts – Per leg for inter- and intra-market spreads

10% of order
30-Day Fed Funds futures

2,000 contracts – Per leg for spreads

10% of order
Treasury and 30-Day Fed Fund options*

2,500 contracts – At least one leg must be ≥ 2,500

10% of order


*AON spreads involving Treasury, 30-Day Fed Fund and Interest Rate Swap options vs futures may be executed provided that at least one option leg of the spread order meets the designated AON minimum order quantity for the option and the quantity of the futures leg is the appropriate delta equivalent.

 
 
 
 
 
 
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