News Release

Chicago Mercantile Exchange Holdings Inc. Announces Date of Third-Quarter 2006 Earnings Release and Conference Call

Wed Oct 04 2006

CHICAGO, Oct. 4 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) will announce earnings for the third quarter of 2006 before the financial markets open on Tuesday, October 24, 2006. The company has scheduled an investor conference call that day at 8:30 a.m. Eastern time (7:30 a.m. Central time).

A live audio Webcast of the conference call will be available on the Investor Relations section of the company's Web site, http://www.cme.com/ . Following the conference call, an archived recording will be available at the same site. Those wishing to listen to the live conference via telephone should dial (800) 289-0496 if calling from within the United States or (913) 981-5519 calling from outside the United States, at least 10 minutes before the call begins.

Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) became the first publicly traded U.S. financial exchange on Dec. 6, 2002. The company was added to the Russell 1000® Index on July 1, 2003, and to the S&P 500® Index on Aug. 10, 2006. It is the parent company of Chicago Mercantile Exchange Inc. ( http://www.cme.com/ ), the world's largest and most diverse financial exchange. As an international marketplace, CME brings together buyers and sellers on the CME Globex® electronic trading platform and on its trading floors. CME offers futures and options on futures in these product areas: interest rates, stock indexes, foreign exchange, agricultural commodities, energy, and alternative investment products such as weather, real estate and economic derivatives. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME).

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, our most recent Quarterly Report on Form 10-Q, which can be obtained at its Web site at http://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, CME Globex and E-mini are trademarks of Chicago Mercantile Exchange Inc. 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. Further information about CME and its products is available on the CME Web site at http://www.cme.com/ .

CME-G

SOURCE: Chicago Mercantile Exchange Holdings Inc.

CONTACT: Media Contacts, Anita Liskey, +1-312-466-4613, or William
Parke, +1-312-930-3467, news@cme.com , or Investor Contact, John Peschier,
+1-312-930-8491, all of Chicago Mercantile Exchange Holdings Inc.

Web site: http://www.cme.com/

Corporate Communications

+1 312 930 3434
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