News Release

CME Sets Trading Volume Records in Key Equity and FX Contracts

Thu May 18 2006

CHICAGO, May 18 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today reported record trading volume of 1,874,588 contracts in its benchmark CME® E-mini™ S&P 500® futures contract, overtaking the previous record of 1,603,008 contracts set on Oct. 6, 2005. This record exceeds the 1.4 million average daily volume that all CME E-mini equity index products achieved in the first quarter of 2006.

Two equity options on futures contracts, CME E-mini Russell 2000® options and CME S&P 500 options achieved record volume at 9,292 and 149,378 contracts respectively. The previous records were 8,593 contracts for the CME E-mini Russell 2000 options, set on May 15, 2006, and 112,189 for the CME S&P 500 options, set on Oct. 6, 2005. The CME E-mini MSCI EAFE® futures contract had its strongest volume day since its March 19, 2006, launch.

CME also set several FX volume records yesterday, including a new electronic FX volume record of 695,927 futures and options on futures contracts, representing $90 billion in notional value. This surpassed the previous record volume of 631,168 futures and options on futures contracts traded on Dec. 12, 2005.

CME EuroFX futures contracts accounted for nearly half of yesterday's electronic volume, with a record-setting 309,232 contracts trading electronically, reflecting notional value of $49.4 billion, which approaches the approximate notional value for CME's entire FX product group in April 2006. CME British Pound contracts also saw record volume on CME Globex® with 92,951 contracts traded.

Total CME volume on Wednesday, exceeded 7.72 million contracts, the exchange's fifth strongest volume day.

Chicago Mercantile Exchange Inc. ( http://www.cme.com/ ) is the world's largest and most diverse financial exchange. 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 managed $47.0 billion in collateral deposits at March 31, 2006, including $3.8 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(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 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: Chicago Mercantile Exchange Inc.

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