SEC FORM 4

SEC Form 4

FORM 4

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934
or Section 30(h) of the Investment Company Act of 1940

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Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

1. Name and Address of Reporting Person^*

KRAUSE JAMES R

(Last)

(First)

(Middle)

20 S. WACKER DR.

(Street)

CHICAGO

60606

(City)

(State)

(Zip)

2. Issuer Name and Ticker or Trading Symbol
CHICAGO MERCANTILE EXCHANGE HOLDINGS INC [ CME ]

5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)

	Director	10% Owner
X	Officer (give title below)	Other (specify below)
	MD & CIO

3. Date of Earliest Transaction (Month/Day/Year)
12/03/2004

4. If Amendment, Date of Original Filed (Month/Day/Year)

6. Individual or Joint/Group Filing (Check Applicable Line)

X	Form filed by One Reporting Person
	Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	3. Transaction Code (Instr. 8)		4. Securities Acquired (A) or Disposed Of (D) (Instr. 3, 4 and 5)			5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4)	6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	Code	V	Amount	(A) or (D)	Price		6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
Common Stock Class A	12/03/2004		M		10,000	A	$22	12,100	D
Common Stock Class A	12/03/2004		S		10,000⁽¹⁾	D	$211.69⁽²⁾	2,100	D

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	4. Transaction Code (Instr. 8)		5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5)		6. Date Exercisable and Expiration Date (Month/Day/Year)		7. Title and Amount of Securities Underlying Derivative Security (Instr. 3 and 4)		8. Price of Derivative Security (Instr. 5)	9. Number of derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)	10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	Code	V	(A)	(D)	Date Exercisable	Expiration Date	Title	Amount or Number of Shares	8. Price of Derivative Security (Instr. 5)		10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
Stock Options (Right to buy)	$22	12/03/2004		M			10,000	05/07/2002⁽³⁾	05/07/2011	Common Stock Class A	10,000	$22	80,000	D

Explanation of Responses:

1. This sale was completed pursuant to the terms of a pre-arranged trading plan established in accordance with Rule 10b5-1.

2. The price of $211.69 represents the average sales price of the following transactions all of which took place on December 3, 2004 for a total sale of 10,000 shares (number of shares sold-price):100-$213.20; 200-$213.02; 100-$212.90; 100-$212.87; 100-$212.80; 100-$212.77; 400-$212.75; 500-$212.74; 100-$212.73; 100-$212.69; 200-$212.60; 200-$212.50; 100-$212.49; 100-$212.45; 100-$212.44; 400-$212.40; 100-$212.35; 100-$212.31; 100-$212.29; 100-$212.25; 200-$212.24; 100-$212.23; 200-$212.20; 100-$212.15; 200-$212.14; 100-$212.13; 100-$212.10; 100-$212.09; 200-$212.08; 310-$212.02; 390-$212.01; 700-$212; 100-$211.90; 100-$211.82; 100-$211.79; 200-$211.65; 200-$211.60; 100-$211.59; 400-$211.50; 100-$211.31; 100-$211.13; 100-$211.01; 400-$211; 200-$210.99; 100-$210.90; 100-$210.88; 100-$210.85; 100-$210.82; 500-$210.80; 100-$210.25; 100-$209.75; 100-$209.70; 100-$209.69; 100-$209.62; 100-$208.38; 100-$208.11; 300-$208.

3. On May 7, 2004, this option vested with respect to 80% of the granted number of shares covered by the option. On the anniversary of that date in the subsequent year, the option will vest with respect to the remaining 20% of the shares covered by the option, subject to acceleration or termination in certain circumstances.

	Kathleen M. Cronin, Attorney in Fact	12/07/2004
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 4 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
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