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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 RA0814-3.
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; 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 |
| LIBOR futures |
500 contracts |
10% of order |
| 13-Week T-Bill futures |
50 contracts |
10% of order |
| Euroyen futures |
100 contracts |
10% of order |
| Japanese Government Bond (JGB) futures |
100 contracts |
10% of order |
| All foreign currency futures and options excluding cross rates, Israeli shekel, Chinese renminbi and Korean won futures and options* |
20 contracts |
10% of order |
| All foreign currency cross rate futures and options excluding Chinese renminbi/Euro FX and Chinese renminbi/Japanese yen futures and options* |
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 |
|---|---|---|
| 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 |
| 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.