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CME Executive Officers Establish Personal Trading Plans

Date 29/10/2004

Chicago Mercantile Exchange Holdings Inc. (NYSE: CME) announced today that Chief Executive Officer Craig S. Donohue and President and Chief Operating Officer Phupinder S. Gill have established stock trading plans in accordance with Securities and Exchange Commission Rule 10b5-1. The plans will enable each individual to diversify his personal investment portfolio in an orderly, prearranged manner.

Under the terms of the plan, Donohue will exercise options on 22,500 shares of CME stock, which an authorized broker will sell over a period of 18 months, beginning in December 2004 and ending in May 2006. The number of shares involved represents less than 15 percent of Mr. Donohue’s current holdings of shares and options to acquire shares of CME stock.

Under the terms of the plan, Gill will exercise options on 17,000 shares of CME stock, which an authorized broker will sell over a period of 12 months, beginning in November 2004 and ending in November 2005. The number of shares involved represents less than 13 percent of Mr. Gill’s current holdings of shares and options to acquire shares of CME stock.

These plans were adopted during an authorized trading period when the individuals were not in possession of material, non-public information.

Chicago Mercantile Exchange Inc. (http://www.cme.com ) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on its trading floors and CME Globex® electronic trading platform. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved approximately $1.5 billion per day in settlement payments in the first nine months of 2004 and managed $39.8 billion in collateral deposits as of September 30, 2004. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.(NYSE: 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 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 a vailable on the CME Web site at http://www.cme.com.