News Release

CME Reports April 2006 Average Daily Volume of 5.3 Million Contracts, Up 10 Percent from Year-Ago Period

Mon May 01 2006

CHICAGO, May 1 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today said average daily volume in April was 5.3 million contracts, up 10 percent from April 2005, when uncertainty in the credit markets resulted in strong trading in CME interest rate and equity products. Total monthly volume in April 2006 exceeded 101 million contracts. In April, total options reached a record 1.4 million contracts per day, up 44 percent compared with April 2005. Electronic options trading averaged 109,000 contracts per day for the month, more than doubling from 43,000 in the same period a year ago.

CME total interest rate volume was a record 3.3 million contracts per day in April, up 12 percent from the same period a year ago. This increase was driven by continued growth in CME Eurodollar options, up 42 percent to a record 1.3 million contracts per day. Electronic average daily volume of CME Eurodollar options grew to a record 79,000 contracts per day during the month, more than doubling from 29,000 during April 2005, representing 6.1 percent of the total CME Eurodollar options volume, the highest monthly percentage to date. This was spurred in part by a record 293,000 Eurodollar options contracts traded on the CME Globex platform on April 28, representing 20.1 percent of total Eurodollar options volume. The prior daily record for Eurodollar options traded on the CME Globex platform was January 27, when 184,000 contracts were traded.

Average daily volume of CME foreign exchange products was 432,000 contracts, up 41 percent compared with April 2005, the highest non-roll volume month. In April, electronic foreign exchange products increased 49 percent to a record 379,000 contracts per day from the same period last year.

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.

Trading in CME E-mini™ equity index products averaged 1.4 million contracts per day in April, down 3 percent compared with April 2005. Total equity options volume grew 65 percent to a record 88,000 contracts per day during the month. CME E-mini options average daily volume more than doubled month over month, averaging 29,000 contracts per day. CME Equity Standard products grew 10 percent to 113,000 contracts per day. CME commodities and alternative investments volume reached 69,000 contracts per day in April, up 53 percent over the same period a year ago.

Open interest for all CME products was a record 45 million contracts at the end of April, up from 30 million contracts at the end of December. Additionally, the Chicago Board of Trade had 16 million open positions with CME Clearing at the end of the month. Open interest represents the number of contract positions that remain open at the end of a trading session.

  CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)

                                 April 2006     April 2005    Percent Change
  CME PRODUCT LINE
  Interest Rates                    3,284           2,933           12%
  E-Minis                           1,426           1,475           -3%
  Equity Standard                     113             101           12%
  Foreign Exchange                    432             307           41%
  Commodities and Alt. Inv.            69              45           53%
    Sub Total                       5,326           4,862           10%
  TRAKRS                              177              29          513%
    Total                           5,502           4,891           12%

  VENUE
  Open Outcry                       1,644           1,409           17%
  CME Globex (Ex TRAKRS)            3,630           3,413            6%
  Privately Negotiated                 51              41           25%

Note: CME Weather and GSCI products moved from Equity Standard to Commodities in April, and prior months were adjusted.

  CME RATE PER CONTRACT THROUGH MARCH 2006 (excluding TRAKRS)

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

                       By Product Line                        By Venue
                                           Commo-
                                           dities
  3-Month                        Foreign   and           Open      Privately
  Period  Interest  E-   Equity   Ex-      Alt.          Out-  CME    Nego-
  Ending   Rates  Minis Standard change    Inv.  Total   cry  Globex  tiated
  Mar-06   0.493  0.712  1.431   1.253    0.953  0.652  0.477  0.679  3.583
  Feb-06   0.506  0.703  1.452   1.251    0.972  0.669  0.496  0.688  3.659
  Jan-06   0.506  0.708  1.440   1.216    0.962  0.672  0.502  0.689  3.670


  Average Daily Volume (In Thousands)
  Rolling 3 Month Average

                       By Product Line                        By Venue
                                           Commo-
                                           dities
  3-Month                         Foreign  and           Open      Privately
  Period  Interest  E-    Equity   Ex-     Alt.          Out-  CME    Nego-
  Ending   Rates  Minis  Standard change   Inv.  Total   cry  Globex  tiated
  Apr-06   3,100  1,403    145     423      74   5,144  1,561  3,526    57
  Mar-06   2,919  1,408    145     407      80   4,958  1,467  3,435    57
  Feb-06   2,477  1,315    140     394      69   4,395  1,273  3,068    54
  Jan-06   2,324  1,268    139     394      68   4,193  1,183  2,960    51

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 managed $47.0 billion in collateral deposits at March 31, 2006, including $3.8 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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