News Release

Record CME First-Quarter 2006 Volume Rose to 5.0 Million Contracts Per Day, Up 26 Percent from Year-Ago Period; Record March Volume Exceeded 5.3 Million Contracts Per Day

Mon Apr 03 2006

CHICAGO, April 3 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today announced that record volume for the first quarter averaged 5.0 million contracts per day, up 26 percent from the same period a year ago. Total volume exceeded 307 million contracts for the quarter. On the CME Globex electronic trading platform, average daily volume increased 31 percent to a record 3.4 million contracts over the same timeframe, representing 69 percent of total exchange trading. During the quarter, total options reached a record 1.1 million contracts per day, up 40 percent compared with first-quarter 2005. Electronic options trading averaged 80,000 contracts per day for the first quarter, up from 22,000 in the same period a year ago.

CME interest rate volume was a record 2.9 million contracts per day during the quarter, up 31 percent from the same period a year ago. This increase was driven by continued growth in CME Eurodollar options, up 38 percent to a record 1.0 million contracts per day in the first quarter. Much of this growth came from record options volume traded on the floor, with volume averaging 968,000 contracts per day, up 33 percent from first-quarter 2005. Electronic average daily volume of CME Eurodollar options grew to 52,000 contracts per day in the first quarter, up from 13,000 during first-quarter 2005. CME Eurodollar futures grew 27 percent to 1.9 million contracts per day. Electronic CME Eurodollar futures averaged 1.6 million contracts per day in the first-quarter, up 42 percent from the same period a year ago.

CME foreign exchange volume reached a record average of 407,000 contracts per day, up 38 percent compared with first-quarter 2005. During the quarter, electronic foreign exchange products increased 53 percent to 345,000 contracts per day from the same period last year.

Trading in CME E-mini™ equity index products averaged a record 1.4 million contracts per day in the first quarter, an increase of 14 percent compared with the same period last year. CME E-mini options average daily volume increased 168 percent quarter over quarter, averaging 27,000 contracts per day. CME equity standard volume rose 18 percent to a record average of 152,000 contracts per day in the same period.

CME commodities volume reached a record 73,000 contracts per day in the first quarter, up 42 percent over the same period a year ago. Commodities volume traded on the CME Globex platform during the first quarter increased 42 percent compared with the prior year.

March Highlights

In March, CME volume was a record 5.3 million contracts per day, up 24 percent from March 2005. Total monthly volume was more than 122 million contracts. Trading on the CME Globex platform averaged a record 3.7 million contracts per day, up 32 percent from March 2005 and representing 69 percent of total exchange volume during the month. Total CME options reached a record 1.2 million contracts per day, up 30 percent compared with March 2005. Electronic options continued to gain momentum as average daily volume increased to 84,000, up from 28,000 in March 2005 -- an increase of nearly 200 percent and representing 7 percent of total options volume. At the same time, floor-traded options volume grew 24 percent to average nearly 1.1 million contracts per day.

Total CME interest rate volume was 3.1 million contracts per day in March, up 30 percent from the same period a year ago. This increase was driven by continued growth in CME Eurodollar options, up 28 percent to a record 1.1 million contracts per day in March. Floor-based trading volume in CME Eurodollar options reached a record level in March, averaging more than 1.0 million contracts per day. Electronic trading volume in CME Eurodollar options also reached a record level of 58,000 contracts per day in March, up sequentially from 47,000 in January and 51,000 in February. CME Eurodollar futures averaged more than 2.0 million contracts per day in March, up 32 percent, of which electronic CME Eurodollar futures averaged 1.8 million contracts, up 48 percent.

CME foreign exchange volume hit an average monthly record of 460,000 contracts per day, an increase of 42 percent from the same period a year ago. CME E-mini™ equity index volume averaged 1.5 million contracts per day, up 10 percent from March 2005. CME commodities volume averaged 79,000 contracts per day.

Open interest for all CME products was 40 million contracts at the end of March, up from 30 million contracts at the end of December. Additionally, the Chicago Board of Trade had approximately 14 million open positions with CME Clearing at the end of March. Open interest represents the number of contract positions that remain open at the end of a trading session.

All statistics in this news release exclude data on CME's non-traditional TRAKRS™ products, and CME Auction Markets™ products, unless otherwise noted. All references to options refer to options on futures contracts.

  CME QUARTERLY AVERAGE DAILY VOLUME (In Thousands)

                                   Q1 2006         Q1 2005    Percent Change
  CME PRODUCT LINE
  Interest Rates                    2,919           2,235           31%
  E-Minis                           1,408           1,237           14%
  Equity Standard                     152             129           18%
  Foreign Exchange                    407             294           38%
  Commodities                          73              51           42%
    Sub Total                       4,958           3,946           26%
  TRAKRS                              160              30          437%
    Total                           5,119           3,976           29%

  VENUE
  Open Outcry                       1,467           1,276           15%
  CME Globex (Ex TRAKRS)            3,435           2,618           31%
  Privately Negotiated                 57              52            9%



  CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)

                                 March 2006      March 2005   Percent Change
  CME PRODUCT LINE
  Interest Rates                    3,137           2,411           30%
  E-Minis                           1,454           1,323           10%
  Equity Standard                     196             180            9%
  Foreign Exchange                    460             324           42%
  Commodities                          79              56           41%
    Sub Total                       5,326           4,294           24%
  TRAKRS                              104              25          318%
    Total                           5,430           4,319           26%

  VENUE
  Open Outcry                       1,584           1,453            9%
  CME Globex (Ex TRAKRS)            3,674           2,781           32%
  Privately Negotiated                 68              60           14%



  CME RATE PER CONTRACT THROUGH FEBRUARY 2006 (excluding TRAKRS)

  Average Rate Per Contract (In Dollars)
  Rolling 3-Month Average

  3-Month                 By Product Line                     By Venue
  Period                                                               Pri-
  Ending                                                              vately
        Interest          Equity  Foreign  Commod-       Open    CME   Nego-
          Rates  E-Minis Standard Exchange ities  Total Outcry Globex tiated
  Feb-06  0.506   0.703   1.438    1.251   0.951  0.669  0.496  0.688  3.659
  Jan-06  0.506   0.708   1.428    1.216   0.942  0.672  0.502  0.689  3.670
  Dec-05  0.509   0.706   1.436    1.246   0.944  0.678  0.512  0.690  3.759



  Average Daily Volume (In Thousands)
  Rolling 3-Month Average

  3-Month                 By Product Line                     By Venue
  Period                                                               Pri-
  Ending                                                              vately
        Interest          Equity  Foreign  Commod-       Open    CME   Nego-
          Rates  E-Minis Standard Exchange ities  Total Outcry Globex tiated
  Mar-06  2,919   1,408    152      407     73    4,958  1,467  3,435   57
  Feb-06  2,477   1,315    147      394     62    4,395  1,273  3,068   54
  Jan-06  2,324   1,268    145      394     62    4,193  1,183  2,960   51
  Dec-05  2,209   1,335    147      375     51    4,117  1,107  2,961   49

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. It is the parent company of Chicago Mercantile Exchange Inc. ( http://www.cme.com/ ), the world's largest and most diverse futures exchange. As an international marketplace, CME brings together buyers and sellers on its CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in interest rates, equities, foreign exchange and commodities. The exchange moved about $1.7 billion per day in settlement payments in 2005 and managed $45.8 billion in collateral deposits at December 30, 2005, including $3.2 billion in deposits for non-CME products.

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 Annual Report on Form 10-K, 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 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. Further information about CME and its products is available on the CME Web site at http://www.cme.com/ .

CME-G

SOURCE: CME

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