Ownership Submission
FORM 4
Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940
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(Print or Type Responses)
1. Name and Address of Reporting Person *
DUFFY TERRENCE A
  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)
__X__ Director _____ 10% Owner
__X__ Officer (give title below) _____ Other (specify below)
Executive Chairman
(Last)
(First)
(Middle)
20 S. WACKER DR
3. Date of Earliest Transaction (Month/Day/Year)
12/15/2006
(Street)

CHICAGO, IL 60606
4. If Amendment, Date 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
(City)
(State)
(Zip)
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)
Code V Amount (A) or (D) Price
Common Stock Class A 12/15/2006   A   460 (1) A $ 0 8,560 D  

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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 Underlying Securities
(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 of Derivative Security: Direct (D) or Indirect (I)
(Instr. 4)
11. Nature of Indirect Beneficial Ownership
(Instr. 4)
Code V (A) (D) Date Exercisable Expiration Date Title Amount or Number of Shares
Non-Qualified Stock Option (right to buy) $ 529.5 12/15/2006   A   3,475 (1)   12/15/2007(2) 12/15/2016 Common Stock Class A 3,475 $ 529.5 3,475 D  

Reporting Owners

Reporting Owner Name / Address Relationships
 Director  10% Owner  Officer  Other
DUFFY TERRENCE A
20 S. WACKER DR
CHICAGO, IL 60606
  X     Executive Chairman  

Signatures

 By: Margaret C. Austin For: Terrence A. Duffy   12/15/2006
**Signature of Reporting Person Date

Explanation of Responses:

* 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).
(1) On October 16, 2006, the Board of Directors of Chicago Mercantile Exchange Holdings Inc. (the "Company") appointed Terrence A. Duffy, the Company's current Chairman, to serve as the Executive Chairman. As an employee, Mr. Duffy will participate in the Company's equity program. On December 15, 2006, Mr. Duffy was granted a pro rata grant for 2006 of 3,475 options to purchase Class A common stock at a price of $529.50 and 460 shares of restricted stock.
(2) These options were granted on December 15, 2006. They vest over a five-year period with 20% vesting one year after the grant date and 20% vesting on that same date in each of the following four years, subject to acceleration or termination in certain circumstances.

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