Preheat the oven to 350 F. In a large bowl, mix together cake mix, eggs, and vegetable oil.
Using a cookie scoop, drop cookie dough onto a large ungreased baking sheet at least 2-inches apart.
Place one unwrapped Rolo candy on each cookie dough, and cover it with more dough, covering the Rolo fully. Bake for 10-12 minutes.