News Release

CME Adds Functionality to Increase Electronic Trading of CME Eurodollar Options

Mon Jul 10 2006

CHICAGO, July 10 /PRNewswire-FirstCall/ -- In response to continued growth in customer demand for electronic trading of CME Eurodollar options, CME, the world's largest and most diverse financial exchange, today announced that it has launched user-defined covered spreads or "Covereds" on CME Globex®. A covered trade, also known as a "delta-neutral" trade, is a spread trade that includes both options and futures where the relationship between the price fluctuation of the option and the futures positions offset one another. CME Globex allows customers to enter orders for covered option and futures trades in a single order, where the futures and options "legs," of the trade will be filled together.

Covereds are designed for traders who commonly use volatility strategies to trade CME Eurodollar futures and options. With the addition of covereds, CME will embark on the first phase of its User-Defined Spreads. The exchange plans to add more user-defined spread functionality for options in the first quarter of 2007. User-defined spreads are spreads composed of CME-defined contracts, created by traders during the trading session.

"Covereds represent a significant portion of our CME Eurodollar options volume, so providing this functionality on CME Globex is an important milestone in expanding electronic participation in our CME Eurodollar options market," said Robin Ross, Managing Director, CME Interest Rate Products. "The ability to package options trades with futures is an important part of meeting customer trading strategies based on their specific needs and volatility parameters, and will provide greater flexibility to manage risk for the global interest rate market."

In June, average daily volume of CME Eurodollar options traded electronically was a record 119,000 contracts, up 357 percent from June 2005 and representing over eight percent of total CME Eurodollar options volume, the highest monthly percentage to date. Since the 2004 launch of CME's Enhanced Options System, which has since been integrated onto CME Globex, over 15.5 million CME Eurodollar options have traded electronically.

Eurodollars are U.S. dollars on deposit in commercial banks located outside of the United States. Eurodollar deposits play a major role in the international capital market, and they have long served as a benchmark interest rate for corporate funding.

Options on CME Eurodollar futures are the most actively traded, exchange- listed, interest rate options in the world. They are a risk management tool that provides the opportunity for market participants to limit losses while maintaining the possibility of profiting from favorable changes in futures prices. Options liquidity allows market participants to take advantage of their views on the direction of U.S. interest rates.

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Chicago Mercantile Exchange Inc. ( ) 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 . We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

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SOURCE: Chicago Mercantile Exchange Inc.

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