As previously reported, because the Good Friday exchange holiday coincides with the standard March quarterly expiration date (third Friday of the contract month), March 2008 CME Group Equity Index futures and options will expire on Thursday (March 20, 2008) instead of Friday, March 21, 2008, per exchange rules. Specifically:

• Open outcry trading of expiring contracts will conclude at the close of the regular trading hours on   Wednesday, March 19, 2008.
• Trading of most expiring E-mini futures and options contracts will conclude prior to the open of regular   open outcry trading hours on Thursday, March 20, 2008, as outlined below:

Visit www.cmegroup.com to view the rules and other information.

When is 500 + 400 >1000? That question is answered by one of two new strategy papers from CME Group designed to help our customers find solutions to Index exposure challenges.

"Hedging the Russell 1000 Index" and "Hedging the Equal Weight (EW) S&P 500 Index" outline how to use liquid E-mini S&P 500 futures alone or with E-mini S&P MidCap 400 futures to closely approximate the Russell 1000 and EW S&P indexes in the absence of liquid derivatives products based on those indexes. Consider the benefits of this approach:

Resolves the liquidity issue. Analysis over 61+ months shows that E-mini S&P 500 and E-mini S&P MidCap 400 futures offer high correlations to the indexes as well as superior liquidity, making them compelling replication candidates.

Relatively low tracking error. Average monthly tracking error from using a combination hedge of
E-mini S&P 500 and S&P MidCap 400 futures was relatively low (using hedge ratios in line with constituent weightings):
• 2.73 bps with a standard deviation of 10.02 bps when hedging the Russell 1000 index
• 13.69 bps with standard deviation of 55 bps when hedging the EW S&P 500 index

Download the Hedging the Russell 1000 Index strategy paper here
Download the Hedging the Equal Weight S&P 500 Index strategy paper here

As previously reported, at the beginning of this month CME Group implemented new fee waivers on standard and E-mini S&P MidCap 400 futures and options, similar to those already in place on our S&P SmallCap 600 contracts:

Waived CME Globex and Clearing fees for all S&P MidCap 400 and S&P SmallCap 600 contracts (for standard and E-mini futures and options). Effective through December 2008.

Waived block trading fees (minimum 50 contracts) for following block trades, effective through September 2008:
• E-mini Russell 2000 (ER2) vs. E-mini S&P MidCap 400 (EMD)
• E-mini Russell 2000 (ER2) vs. E-mini S&P SmallCap 600 (SMC)
• Russell 2000 (RL) vs. S&P MidCap 400 (MD)
• Russell 2000 (RL) vs. S&P SmallCap 600 (SMP)

These waivers are designed to help provide our customers with low-cost alternatives for transitioning their Russell 2000 open interest.

To see how these contracts compare on volatility, price return and index correlations, visit     our Equity Index Choices module at www.cmegroup.com/choices

European-style EOM options on S&P 500 and E-mini S&P 500 futures offer liquid trading choices to customers with S&P 500 exposure. Structured to expire on the last business day of each calendar month, these options offer unique features:

• Eliminates early assignment risk by disallowing contrarian exercise
• Auto-exercise of all in-the-money options (at- or out-of-the-money options are automatically   abandoned)
• A special fixing price calculated by CME Group to determine which EOM options are
  in-the-money/exercised. This price is based on the weighted-average trading price of E-mini S&P 500   futures in the last 30 seconds (2:59:30 – 3:00:00) before the 3:00 p.m. expiration.
• Nearly instantaneous dissemination of the fixing price under the symbol "ESF". For the Feb 2008   expiration, the ESF price was distributed 0.14 seconds after the 3 p.m. expiration.
• Free real-time quotes on EOM E-mini S&P 500 options.

More traders are using EOM options to manage their S&P 500 exposure:
• S&P 500 EOM options Feb 08 ADV               8,216 contracts
• E-mini S&P 500 EOM Feb 08 options ADV     3,796 contracts

Growing Demand for E-mini MSCI EAFE futures
ADV and open interest are steadily growing for E-mini MSCI EAFE futures. On March 18, 2008, E-mini MSCI EAFE futures reached a new open interest record of 16,993 positions, as more customers use the product to manage their global equity exposure.

E-mini MSCI EAFE futures through Feb 2008


Additional Monthly Highlights
• ADV for E-mini index products was 3 million contracts in February 2008, up 55% compared to   February 2007.
• Record month-end open interest for E-mini S&P 500 options of 770,674 contracts.
• Open interest in E-mini S&P MidCap 400 futures has grown nearly 30% in the last six months.

Download a copy of our Monthly Stock Index Update summary piece that includes stats on     ADV, Open Interest, volatility, correlations and more

On March 17, CME Group and NYMEX announced a strategic combination to benefit our valued customers. We expect to deliver significant customer benefits through clearing capital efficiencies related to equity holding requirements, portfolio margining and security deposits for joint clearing members. Additional benefits will include harmonized trading and administrative technology systems, building on the existing CME Group/NYMEX exclusive electronic trading agreement. We will keep you updated throughout the course of the transaction, which we expect to close later this year subject to regulatory, shareholder and NYMEX member approvals, as well as customary closing conditions.

Click here to read press release