News Release

September 2005 Volume

Mon Oct 03 2005

CME Third-Quarter Average Daily Volume Was 4.2 Million Contracts, Up 30 Percent from Year-Ago Quarter; September Average Daily Volume Was a Record 5.2 Million Contracts per Day CME Set Multiple Average Daily Volume Records in September: Total Volume, Electronic Volume, Total Options, Electronic Options, Interest Rate Products and Foreign Exchange Products CHICAGO, Oct. 3, 2005 – CME, the largest U.S. futures exchange, today reported that volume for the third quarter averaged 4.2 million contracts per day, up 30 percent from the same period a year ago. Total volume was above 267 million contracts for the quarter. Average daily volume on the CME® Globex® electronic trading platform was 2.9 million contracts, a 45 percent increase from third-quarter 2004. During the quarter, CME Globex volume represented 69 percent of total exchange volume, compared with 62 percent in third-quarter 2004. In September, CME average daily volume was a record 5.2 million contracts, up 45 percent from September 2004. Representing 68 percent of total exchange volume during September, trading on the CME Globex platform averaged a record 3.5 million contracts per day, up 60 percent from September 2004. CME’s foreign exchange (FX) markets hit a monthly average daily volume record of 411,000 contracts per day, an increase of 74 percent from the same period a year ago. Interest rate products exceeded 3 million contracts per day for the first month ever, with 3.2 million contracts per day, up 51 percent from September 2004. Third-quarter results include the following highlights: CME FX markets averaged a record 336,000 contracts per day, representing a notional value of $43 billion per day and an increase of 74 percent from the same period a year ago. Electronic trading in CME FX markets also hit a record, reaching 275,000 contracts per day. Trading in CME interest rate products of 2.5 million contracts per day was up 34 percent compared with third-quarter 2004. CME E-mini™ volume of 1.2 million contracts per day was up 15 percent compared with the same period a year ago. Total CME options volume averaged a record 910,000 options contracts per day, and overall electronic options averaged a record 56,000 contracts per day. September results include the following highlights: Total futures volume exceeded 4 million contracts per day for the first time ever, and total options volume exceeded 1 million contracts per day for the first time. CME electronic options averaged a record 79,000 contracts per day, up 71 percent from its previous high in July 2005. CME had its busiest trading day ever on September 1, with 10.7 million contracts traded, and set an open interest record of 36 million contracts on September 15. CME electronic FX reached a record 319,000 contracts per day in September, up 108 percent from September 2004. CME E-mini® volume reached 1.3 million contracts during September, up 31 percent compared with September 2004. CME E-mini S&P 500® options averaged a record 21,000 contracts per day. CME Eurodollar futures averaged a record 2.2 million contracts per day; of that, a record 1.8 million contracts were traded electronically on the CME Globex platform. CME Eurodollar options exceeded a record 1 million contracts per day. Eurodollar options on CME Globex averaged a record 56,000 contracts per day following the integration of new options functionality. CME AVERAGE DAILY VOLUME (In Thousands) Q3 2005 Q3 2004 Percent Change CME PRODUCT LINE Interest Rates 2,489 1,854 34% E-Minis 1,181 1,025 15% Equity Standard 120 111 8% Foreign Exchange 336 193 74% Commodities 50 41 23% Sub Total 4,179 3,223 30% trakrs 27 32 -13% Total 4,207 3,255 29% VENUE Open Outcry 1,263 1,191 6% CME Globex (Ex trakrs) 2,869 1,982 45% Privately Negotiated 47 50 -7% CME MONTHLY AVERAGE DAILY VOLUME (In Thousands) September 2005 September 2004 Percent Change CME PRODUCT LINE Interest Rates 3,203 2,128 51% E-Minis 1,322 1,010 31% Equity Standard 179 160 12% Foreign Exchange 411 237 74% Commodities 56 45 25% Sub Total 5,176 3,579 45% trakrs 25 29 -13% Total 5,201 3,608 44% VENUE Open Outcry 1,604 1,329 21% Globex (Ex trakrs) 3,510 2,192 60% Privately Negotiated 62 58 7% CME RATE PER CONTRACT THROUGH AUGUST 2005 (excluding TRAKRS) Average Rate Per Contract (In Dollars) Rolling Three-Month Average 3-Month Period Ending By Product Line Total By Venue Interest Rates E-Minis Equity Standard Foreign Exchange Commodities Open Outcry CME Globex Privately Negotiated Aug-05 0.506 0.692 1.346 1.361 0.886 0.664 0.470 0.696 3.604 Jul-05 0.502 0.684 1.324 1.348 0.855 0.655 0.472 0.679 3.561 Jun-05 0.506 0.687 1.330 1.357 0.870 0.651 0.467 0.678 3.615 Average Daily Volume (In Thousands) Rolling 3 Month Average 3-Month Period Ending By Product Line Total By Venue Interest Rates E-Minis Equity Standard Foreign Exchange Commodities Open Outcry CME Globex Privately Negotiated Aug-05 2,235 1,151 118 329 46 3,879 1,122 2,712 45 Jul-05 2,311 1,179 119 334 50 3,994 1,107 2,839 47 Jun-05 2,577 1,301 124 332 46 4,380 1,210 3,144 47 Monthly Volume Reports Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.6 billion per day in settlement payments in first-half of 2005 and managed $43.7 billion in collateral deposits at June 30, 2005, including $4.0 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE, NASDAQ: CME), which is part of the Russell 1000® Index. Statements in this news release that are not historical facts are forward-looking statements. These statements are not guarantees of future performance and involve risks, uncertainties and assumptions that are difficult to predict. Therefore, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statements. More detailed information about factors that may affect our performance may be found in our filings with the Securities and Exchange Commission, including our most recent quarterly report on Form 10-Q, which can be obtained at its Web site at www.sec.gov. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise. Chicago Mercantile Exchange, CME, the globe logo and CME Globex are registered trademarks of Chicago Mercantile Exchange Inc. E-mini is a trademark of CME. CLEARING 21 is a registered trademark of CME and New York Mercantile Exchange, Inc. S&P, S&P 500, NASDAQ-100, Nikkei 225, Russell 1000, Russell 2000, trakrs, Total Return Asset Contracts and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license.

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