Click-Through Rate (CTR) prediction, estimating the probability of a user clicking on items, plays a key fundamental role in sponsored search. E-commerce platforms display organic search results and advertisements (ads), collectively called items, together as a mixed list. The items displayed around the predicted ad, i.e. external items, may affect the user clicking on the predicted. Previous CTR models assume the user click only relies on the ad itself, which overlooks the effects of external items, referred to as external effects, or externalities. During the advertising prediction, the organic results have been generated by the organic system, while the final displayed ads on multiple ad slots have not been figured out, which leads to two challenges: 1) the predicted (target) ad may win any ad slot, bringing about diverse externalities. 2) external ads are undetermined, resulting in incomplete externalities. Facing the above challenges, inspired by the Transformer, we propose EXternality TRansformer (EXTR) which regards target ad with all slots as query and external items as key&value to model externalities in all exposure situations in parallel. Furthermore, we design a Potential Allocation Generator (PAG) for EXTR, to learn the allocation of potential external ads to complete the externalities. Extensive experimental results on Alibaba datasets demonstrate the effectiveness of externalities in the task of CTR prediction and illustrate that our proposed approach can bring significant profits to the real-world e-commerce platform. EXTR now has been successfully deployed in the online search advertising system in Alibaba, serving the main traffic.