News Release

CME Sets Trading Volume Records in Key Equity Index Contracts

Thu May 25 2006

CHICAGO, May 25 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today reported record trading volume of 1,921,351 contracts in its benchmark CME® E-mini® S&P 500® futures contract, overtaking the previous record of 1,874,814 contracts set on May 17, 2006. The CME E-mini Russell 2000® futures reached a trading volume record of 289,016 contracts, surpassing the previous record of 255,528 traded on December 12, 2005, as well as a new open interest record of 418,648 contracts.

Other records reached Wednesday in the CME equity futures complex included CME E-mini MSCI EAFE® futures that traded a record 206 contracts and reached 289 in open interest, its strongest day since its March 19, 2006, launch.

The new E-mini S&P 500 End-of-Month options, launched Monday, now have 908 contracts in open interest.

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: CME

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