Step 1: Sign into Office 365 using the URL http://portal.office.com
Step 2: Click on Admin and navigate to Exchange admin center
Step 3: Scroll down and click on More Features.
Step 4: Click Open under Transport Rules.
Step 5: Click on the Mail Flow tab.
Step 6: Click on the Add icon on the top-left.
Step 7: Select the option Bypass spam filtering
Step 8: Enter a name and select The message is between members of these groups in the Apply the rule if area and then select the two users.
Step 9: In the Do the following area, select Block the messages > Delete the message without notifying anyone.
Step 10: Click Save.