What is a good UX for a Single Select Dropdown with an All option?

I saw Should multi-select dropdown/box have an "all" option? but it is different.

This is for a Web UX.

EDIT:

This is a form that generates a report. The user chooses from a list of "locations" to include in their report. The number of locations will differ for each user. Let's say there are between 5 and 25 locations.