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SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)

For the Fiscal Year Ended December 31, 2003

OR

Commission File Number 001-31553

CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.

(Exact name of registrant as specified in its charter)

Registrant’s telephone number, including area code: (312) 930-1000

Securities registered pursuant to Section 12(b) of the Act:

Securities registered pursuant to Section 12(g) of the Act: Class A common stock, Class A-1, $0.01 par value; Class A common stock, Class A-2, $0.01 par value; Class A common stock, Class A-3, $0.01 par value; Class A common stock, Class A-4, $0.01 par value; Class B common stock, Class B-1, $0.01 par value; Class B common stock, Class B-2, $0.01 par value; Class B common stock, Class B-3, $0.01 par value; and Class B common stock, Class B-4, $0.01 par value (in each case, including rights to acquire Series A Junior Participating Preferred Stock pursuant to our rights plan).

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

Indicate by check mark whether the registrant is an accelerated filer (as defined in Exchange Act Rule 12b-2). Yes x No ¨

The aggregate market value of the voting stock held by non-affiliates of the registrant as of June 30, 2003 was approximately $2.2 billion (based on the closing price per share of Chicago Mercantile Exchange Holdings Inc. Class A common stock on the New York Stock Exchange on such date). The number of shares outstanding of each of the registrant’s classes of common stock as of March 5, 2004 was as follows: 9,066,934 shares of Class A common stock, $0.01 par value; 5,859,639 shares of Class A common stock, Class A-1, $0.01 par value; 5,474,822 shares of Class A common stock, Class A-2, $0.01 par value; 6,434,907 shares of Class A common stock, Class A-3, $0.01 par value; 6,153,583 of Class A common stock, Class A-4, $0.01 par value; 625 shares of Class B common stock, Class B-1, $0.01 par value; 813 shares of Class B common stock, Class B-2, $0.01 par value; 1,287 shares of Class B common stock, Class B-3, $0.01 par value; and 413 shares of Class B common stock, Class B-4, $0.01 par value.

DOCUMENTS INCORPORATED BY REFERENCE:

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PART I

In this Annual Report on Form 10-K, we refer to Chicago Mercantile Exchange Holdings Inc. as “CME Holdings” and to Chicago Mercantile Exchange Inc. as “CME.” The terms “we,” “us” and “our” refer to CME Holdings and CME.

From time to time, in written reports and oral statements, we discuss our expectations regarding future performance. For example, these “forward-looking statements” are included in this Annual Report on Form 10-K in “Item 1. Business,” among other places. Forward-looking statements are based on currently available competitive, financial and economic data, current expectations, estimates, forecasts and projections about the industries in which we operate and management’s beliefs and assumptions. 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. We want to caution you to not place undue reliance on any forward-looking statements. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

Among the factors that might affect our performance are:

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For a detailed discussion of these and other factors that might affect our performance, see the section of this Annual Report on Form 10-K entitled “Item 1. Business—Certain Factors that May Affect Our Business.”

Chicago Mercantile Exchange, our globe logo, CME^®, GLOBEX^®, International Monetary Market^®, IEF^®, IOM^®, IMM^®, Growth and Emerging Markets^®, GEM^® and SPAN^® are our registered trademarks. CME$INDEX^™, Eagle-i^sm, E-px^sm, E-quivalents^sm, GLOBEX Trader^sm, CME E-quotes^™ and E-mini^™ are our service marks. CLEARING 21^® is a registered trademark, and e-miNY^sm is a service mark, of CME and New York Mercantile Exchange, Inc., or NYMEX, pursuant to agreement.

E-mini S&P 500^®, S&P^®, S&P 500^®, Standard & Poor’s 500, S&P/BARRA Growth^™, S&P/BARRA Value^™, S&P MidCap 400^™, S&P SmallCap 600^™, S&P/TOPIX 150^™, Nasdaq^®, NASDAQ-100^®, NASDAQ-100 Index^®, NASDAQ Composite^®, NASDAQ Composite Index^®, Russell 1000^®, Russell 2000^®, Russell 3000^®, LMC TRAKRS^®, Select-50 TRAKRS^sm, TRAKRS^sm, Total Return Asset Contracts^sm and other trade names, service marks, trademarks and registered trademarks that are not proprietary to us, are the property of their respective owners and are used herein under license.

General

We are the largest futures exchange in the United States for the trading of futures and options on futures, as measured by 2003 annual trading volume. In 2003, our customers, which include our members, traded futures and options on futures contracts with a notional dollar value of $333.7 trillion, making us the world’s largest exchange by this measure. We also have the largest futures and options on futures open interest of any exchange in the world. As of December 31, 2003, our open interest record was 35.4 million contracts, set on December 11, 2003, not including the 2.8 million contracts that we managed for CBOT on that day. Open interest is a widely recognized indicator of the level of customer interest in an exchange’s products.

We bring together buyers and sellers of derivatives products on our open outcry trading floors, on the GLOBEX electronic trading platform and through privately negotiated transactions that we clear. We offer market participants the opportunity to trade futures contracts and options on futures contracts on interest rates, equity, foreign exchange and commodities. Our key products include Eurodollar contracts and contracts based on major U.S. stock indexes, including the S&P 500 and the NASDAQ-100. We also offer contracts for the principal foreign currencies and for a number of commodity products, including cattle, hogs and dairy. We believe several of our key products serve as global financial benchmarks. Our Eurodollar contract provides a benchmark for measuring the relative value of U.S. dollar-denominated, short-term fixed-income securities. Similarly, our S&P 500 Index and NASDAQ-100 Index contracts are closely linked to the benchmark indexes for U.S. equity performance.

Our products provide a means for hedging, speculation and asset allocation relating to the risks associated with interest rate sensitive instruments, equity ownership, changes in the value of foreign currency and changes in the prices of commodity products. Our customer base includes professional traders, financial institutions, institutional and individual investors, major corporations, manufacturers, producers, supranational entities and governments.

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We own our clearing house, which is the largest derivatives clearing entity in the world, and guarantee, clear and settle every contract traded through our exchange. During 2003, we processed an average of approximately 531,000 trade transactions per day. We currently have the capacity to clear more than 2.5 million transactions per day. Our systems are scalable and give us the ability to increase our capacity with little lead time. As of December 31, 2003, we acted as custodian for approximately $37.0 billion in collateral. In 2003, we moved an average of $1.4 billion of settlement funds through our clearing system each day. In addition, 46 exchanges and clearing organizations worldwide have adopted our SPAN risk evaluation system, which is used to determine the appropriate performance bond requirements for trading portfolios. NYMEX and Clearnet-LCH also use CLEARING 21, our state-of-the-art clearing system jointly developed with NYMEX. We, however, do not generate material revenue from the adoption of these systems by other exchanges.

We have a history of innovation in our industry. In the 1960s, we introduced the first livestock futures contract that resulted in the physical delivery of live cattle. In 1972, we introduced the world’s first financial futures contracts when we launched seven foreign exchange futures contracts. That innovation fundamentally changed the nature and scope of futures markets, transforming them from agricultural hedging mechanisms to hedging and risk management markets for financial instruments and financial risks. We also developed the first cash-settled futures in 1981 with the introduction of Eurodollar futures, which is one of the world’s most actively traded futures contract. Cash settlement also enabled us to introduce in 1982 the first successful stock index futures contract, the S&P 500 futures. In 1987, we pioneered the concept of global electronic trading of derivatives contracts, and we subsequently launched the GLOBEX platform in 1992. Today, most of our products trade electronically in addition to on our open outcry trading floors. In 1997, we introduced the first of our E-mini stock index products, which are smaller-sized electronically traded versions of our successful benchmark stock index futures contracts. In April 2003, we entered into an agreement with the Chicago Board of Trade, or CBOT, for us to provide clearing and related services for CBOT futures and options on futures contracts.

CME was founded in 1898 as a not-for-profit corporation. In November 2000, we became the first U.S. financial exchange to demutualize and become a shareholder-owned corporation. As a consequence, we have adopted a for-profit approach to our business, including strategic initiatives aimed at optimizing volume, efficiency and liquidity. We posted record trading volume of 640.2 million contracts in 2003, an increase of 14.6% over 2002, which was previously our busiest year.

We devote substantial resources to introducing new products based on new markets or securities. For example, in 2001, we formed OneChicago, LLC, our joint venture with Chicago Board Options Exchange, or CBOE, and CBOT, to trade single stock futures and futures on narrow-based stock indexes. OneChicago commenced its trading operations in November 2002. In 2003, we added three additional TRAKRS products, which are private label index products developed with Merrill Lynch & Co., Inc. TRAKRS, which stands for Total Return Asset Contracts, are a series of non-traditional futures contracts licensed exclusively for us for North America and are the first broad-based index products traded on a U.S. futures exchange that can be sold by securities brokers. In addition, in 2003, we announced plans to list electronically traded futures contracts on the U.S. Consumer Price Index, or CPI. These new contracts began trading on February 8, 2004. In 2003, we also began listing weather products on five European cities and expanded the number of U.S. cities covered by our weather products from five to 15.

Throughout our history, our members have conducted their trading through our open outcry trading facilities. The roots of our open outcry trading began in the late 1800s when our predecessor, the Chicago Butter and Egg Board, established official quotations in butter, eggs, poultry and other farm products. Membership gave the right to participate in the markets, in what was to become open outcry trading, and was expanded over the decades to accommodate new traders in new commodities and financial products. For the year ended December 31, 2003, open outcry represented approximately 54% of our trading volume.

Trading on our open outcry trading floors is conducted exclusively by our members. Our members are individual traders, as well as most of the world’s largest banks, brokerages and investment houses. Prior to the introduction of our electronic trading platform, our members traded only on our open outcry trading floors. Today, our members are able to conduct trading on our open outcry trading floors, electronically through the GLOBEX platform and through privately negotiated transactions that we clear. Members who broker trades executed on our open outcry trading floors generally do not play a role in facilitating the execution of transactions on behalf of customers on GLOBEX.

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Prior to our demutualization, direct access to our markets, whether on our open outcry trading floors or through the GLOBEX platform, was limited to members and those with an exchange permit who met specified qualifications. In connection with our demutualization, we opened access to our markets by allowing unlimited, direct access to the GLOBEX platform for all market participants. Today, any individual or institutional customer guaranteed by a clearing firm is able to obtain direct access to the GLOBEX platform. We have further opened access to our markets by expanding the range of member and non-member customer choices for alternative execution procedures, such as block trading and privately negotiated exchange-for-physical, or EFP, transactions. While our members benefit from market information advantages that may accrue from their proximity to activity on the trading floors, as a result of the increased access to our markets, all market participants now have the ability to view bids and offers in the market. Generally, member customers are charged lower fees than our non-member customers. In 2003, our members were responsible for nearly 80% of our total trading volume.

As a result of our conversion into a for-profit corporation in the fall of 2000, individuals and entities who, at the time, were members and owned trading rights on our exchange became the owners of all our outstanding equity. These individuals and entities continued to own substantially all of our outstanding equity following our reorganization into a holding company structure in December 2001 and our initial public offering in December 2002. As of December 31, 2003, owners of trading rights on our exchange owned, of record, approximately 69% of our Class A common stock.

Our principal executive offices are located at 20 South Wacker Drive, Chicago, Illinois 60606, and our telephone number is 312-930-1000.

Competitive Strengths

We have established ourselves as a premier global marketplace for financial risk management. We believe our principal competitive strengths are:

Highly Liquid Markets. The liquidity in our markets is a key factor in attracting and retaining customers. We have the largest open interest of any exchange in the world of futures and options on futures contracts. As of December 31, 2003, our open interest record was 35.4 million contracts, set on December 11, 2003, not including the 2.8 million contracts that we managed for CBOT on that day. Before 2003, our open interest record was 24.8 million contacts set in 2002. During 2003, we posted record trading volume of 640.2 million contracts, an increase of 14.6% over 2002, making us the most active exchange in the United States and the second most active in the world for the trading of futures and options on futures contracts during that period. By notional value, we are the largest futures exchange in the world, with $333.7 trillion traded in 2003. Our deep and liquid markets tend to attract additional customers, which in turn further enhance our liquidity.

Global Benchmark Products. We believe our key products serve as global benchmarks for valuing and managing risk. Our Eurodollar contract serves as a global benchmark for measuring the relative value of U.S. dollar-denominated short-term fixed-income securities. Similarly, the S&P 500 and NASDAQ-100 indexes are considered primary tools for benchmarking investment performance against U.S. equity market exposure. Our S&P 500 Index and NASDAQ-100 Index contracts, which are based on these benchmarks, are recognized by our customers as efficient tools for managing and hedging their equity market risks.

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Diverse Portfolio of Products and Services. We differentiate ourselves from our competitors by developing and offering to our customers a diverse array of products, as well as a broad range of trade execution and clearing services. We have a long history of developing innovative interest rate, equity, foreign exchange and commodity products designed to appeal to institutional and individual customers. We offer both open outcry auction trading and electronic order-matching services, and we provide facilities to clear privately negotiated transactions. Our markets provide important risk management tools to our customers, which include leading global and financial institutions. We work closely with our customers to create markets and products that meet their needs. These relationships help us to anticipate and lead industry changes.

Wholly Owned Clearing House. We own our clearing house, which guarantees, clears and settles every contract traded through our exchange and futures and options on futures contracts traded through CBOT. During 2003, we processed an average of approximately 531,000 trade transactions per day. We currently have the capacity to clear more than 2.5 million transactions per day, and our scalable systems give us the ability to further increase our capacity, with little lead time. In April 2003, we entered into an agreement with CBOT for us to provide clearing and related services for CBOT futures and options on futures contracts. Pursuant to this agreement, we began providing clearing services on November 24, 2003 for some CBOT products and, as of January 2, 2004, we began clearing all of CBOT’s products. As of December 31, 2003, we acted as custodian for approximately $37.0 billion in performance bond collateral and, in 2003, moved an average of $1.4 billion of settlement funds through our clearing system each day. We believe our performance guarantee is a major attraction of our markets, particularly compared to the over-the-counter, or OTC, markets, because it substantially reduces counterparty risk. Our clearing system permits more efficient use of capital for our customers by allowing netting of long and short positions in a single type of contract and providing risk offset and cross-margining arrangements with several other leading clearing houses. In addition, ownership of our clearing house enables us to more quickly and efficiently bring new products to market through coordination of our clearing functions with our product development, technology, market regulation and other risk management activities. Our current capacity ensures that we are able to service peak volumes, provide clearing services to CBOT, introduce new products with high volume potential and provide clearing services to other exchanges in the future.

Proven and Scalable Technology. We believe our ability to use technology effectively has been a key factor in the successful development of our business. As a result of significant investments in our technology asset base, we possess fast, reliable and fully integrated trading and clearing systems. Our highly scalable systems are designed to accommodate additional products with relatively limited modifications and low incremental costs. The core components of our system infrastructure for trading, clearing and risk management are becoming widely adopted throughout the futures industry, resulting in common interfaces and efficiencies for intermediaries and customers. For example, our SPAN risk evaluation system has been adopted by 46 exchanges and clearing organizations worldwide. In addition, CLEARING 21, our state-of-the-art clearing system jointly developed with NYMEX, is being used by NYMEX and Clearnet-LCH.

Global Reach. Globalization of financial markets is expanding the customer base for futures products beyond traditional boundaries. Our electronic trading services, which are available more than 23 hours a day and five days per week, position us to take advantage of this development. We have established strategic relationships with other exchanges and clearing houses around the world to enable our customers to gain further capital and execution efficiencies. These relationships are intended to extend the market reach of our global derivatives business. We received $7.1 million in clearing and transaction fees from our strategic relationships during the year ended December 31, 2003. To further our global strategy, in early 2002, we installed a local telecommunications hub in London. We plan to further expand our global reach by installing similar hubs in Amsterdam, Dublin, Frankfort, Gibraltar, Milan and Paris in 2004. These hubs will further reduce connectivity costs and will house direct electronic connections between Europe and our GLOBEX electronic trading platform. As part of our strategy, in November 2003 we also introduced a pricing incentive program that significantly reduces the total transaction fees on all GLOBEX products for proprietary trading groups and trading arcades located in Europe. Additionally, in September 2003, we entered into an agreement with Bloomberg L.P to expand the global distribution of our electronically traded contracts by allowing all Bloomberg terminals worldwide access to our products on GLOBEX.

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Growth Strategy

Globalization, deregulation and advances in technology offer significant opportunities for expanding futures markets, and exchange markets generally. We intend to increase our trading volumes, revenues and profitability by capitalizing on these opportunities through implementation of the following four strategies:

Expand Our Current Core Business. We intend to advance our position as a leader in the futures industry by expanding customer access to our markets and services, offering additional trade execution choices and enhancing our market data and information products.

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Add New Products. We develop new products and product line extensions based on research and development in collaboration with our customers and financial services firms. We have created modified versions of some of our existing products in order to attract new types of customers. For example, in 1997 and 1999, respectively, we introduced E-mini versions of our larger open outcry-traded S&P 500 and NASDAQ-100 futures contracts. By creating smaller-sized products and offering electronic trading services in them, we have successfully expanded our customer base and overall volume. We introduced E-mini Russell 2000 futures contracts in October 2001, and in January 2002, we initiated trading in E-mini S&P MidCap 400 futures contracts, another smaller scale version of one of our larger contracts that offers exposure to small- and medium-sized capitalization company stocks. We also seek to introduce new contracts that complement our existing product line. In April 2003, we launched Russell 1000 futures contracts. In combination with our other products, the new contract offers exposure to the Russell 3000 universe of stocks, representing 98% of the investable U.S. equity market, based on total market capitalization. In October 2003, we launched our E-mini NASDAQ Composite Index, which we believe is a broad, well diversified real-time representation of the performance of NASDAQ-listed companies.

In July 2002, we launched TRAKRS. TRAKRS are designed to enable customers to track an index of stocks, bonds, currencies or other financial instruments. Long-Short Technology TRAKRS were the first in this new product line. We subsequently introduced in 2002, Select 50 TRAKRS contracts and LMC TRAKRS, which identify value and growth stocks of lower market capitalization companies. In 2003, Commodity TRAKRS, Euro Currency TRAKRS and Gold TRAKRS were launched. TRAKRS differ from traditional futures contracts in that most non-institutional customers who purchase these contracts are required to post 100% of the TRAKRS market value at the time of the purchase. As a result, these customers will not be subject to margin calls or any requirement to make any additional payments throughout the life of their TRAKRS positions.

In September 2002, we began to introduce futures contracts based on industry sectors within the S&P 500 Index. We also intend to continue expanding our derivatives product lines by introducing contracts based on new markets or securities, such as single stock futures and futures on narrow-based stock indexes. OneChicago, our joint venture with CBOE and CBOT, initiated trading of 21 single stock futures on November 8, 2002, and, as of December 31, 2003, listed 107 single stock, narrow-based index and exchange-traded fund futures. In addition, we intend to continue working with emerging cash market trading platforms to jointly develop innovative futures products.

In March 2003, we launched futures and options on futures based on a new dollar index, the CME$INDEX, a geometric index of seven foreign currencies that is weighted to reflect the relative competitiveness of U.S. goods in foreign markets. The CME$INDEX provides investors with a new instrument for euro currency speculation and risk management. The seven currencies included in the CME$INDEX index are the European Union euro, Japanese yen, British pound, Swiss franc, Australian dollar, Canadian dollar and Swedish krona.

On February 8, 2004, we launched new electronically traded futures contracts on the CPI. These new CPI contracts are the first product we have listed on a major economic indicator.

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Provide Transaction Processing Services and Other Business Services to Third Parties. We intend to leverage our existing capacity, scalable technology and business processes to provide a broad range of services to other exchanges, clearing organizations and e-marketplaces. We intend to offer services, including clearing and settlement processing and risk management, market structuring, product structuring and trade execution platforms. We believe we can differentiate ourselves from our competitors by offering some or all of these services on a cost-effective basis in combination with the potential to access our broad distribution, customer base and experienced liquidity providers. Users of our clearing services also have the potential to gain substantial capital and collateral efficiencies for their clearing firms. For example, in April 2003, we entered into an agreement with CBOT for us to provide clearing and related services for CBOT futures and options on futures contracts. Pursuant to this agreement, we began providing clearing services for CBOT on November 24, 2003 and, as of January 2, 2004, we began clearing all of CBOT’s products. The arrangement provides clearing firms and customers with the potential to gain operational, performance bond and capital efficiencies, as well as a combined risk capital pool and other expected cost savings. As a result of our agreement with CBOT, our clearing house is the largest derivatives clearing organization for futures and options on futures in the world. We cleared 9.5 million contracts for CBOT in 2003. Open interest for CBOT contracts cleared by us was 2.7 million contracts at December 31, 2003.

Pursue Select Alliances and Acquisitions. We plan to supplement our internal growth through the formation of joint ventures or alliances and select acquisitions of businesses or technologies. We will seek alliances and acquisitions that help us to enter new markets, provide services that we currently do not offer, open access to our markets or advance our technology. For example, in November 2003, we extended our mutual offset agreement, or MOS agreement, with the Singapore Derivatives Exchange Ltd. and added the yen-based Nikkei 225 futures contract to the agreement in January 2004. We also acquired the technology-related assets and intellectual property of Liquidity Direct in January 2004 to facilitate the trading of our options on futures contracts. In 2002, we entered into an agreement with NYMEX to introduce smaller-sized versions of key NYMEX energy futures contracts for trading on our GLOBEX electronic trading platform. The products, based on our successful E-mini stock index contracts, are called e-miNY energy futures and clear at the NYMEX clearing house. On June 17, 2002, e-miNY crude oil and natural gas futures contracts began trading.

Products

Our broad range of products includes futures contracts and options on futures contracts based on interest rates, equity, foreign exchange and commodities. Our products are traded through our open outcry auction markets, through the GLOBEX electronic trading platform or in privately negotiated transactions that we clear. For the year ended December 31, 2003, we derived $430.6 million, or 80.0% of our net revenues, from fees associated with trading and clearing products on or through our exchange. These fees include per contract charges for trade execution, clearing and GLOBEX fees. Fees are charged at various rates based on the product traded, the method of trade and the exchange trading privileges of the customer making the trade. Generally, members are charged lower fees than non-members. Certain of our customers benefit from volume discounts and limits on fees as part of our effort to encourage increased liquidity in our markets. Our markets also generate valuable data and information regarding pricing and trading activity in our products. Revenues from market data products totaled $53.2 million, or 9.9% of our net revenues, in 2003.

We identify new products by monitoring economic trends and their impact on the risk management and speculative needs of our existing and prospective customers. Historically, we have successfully introduced a variety of new futures products. We pioneered the trading of foreign exchange futures in 1972 and Eurodollar futures, the first cash-settled futures contracts listed for trading, in 1981. In 1982, we were the first to introduce a successful stock index futures contract, the S&P 500 Index futures contract, and in 1996 we introduced the NASDAQ-100 Index futures contract. We believe the S&P 500 Index and the NASDAQ-100 Index are the global benchmarks for managing exposure to the U.S. stock markets, and our futures contracts based on them are among the most successful products in our industry. The smaller, electronically traded versions of these contracts, the E-mini S&P 500 Index futures and the E-mini NASDAQ-100 Index futures, were introduced in 1997 and 1999, respectively.

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The following table shows the total notional value and average daily volume of contracts traded in our four principal product groups for the years ended December 31, 2003, 2002 and 2001.

Interest Rate Products. Our interest rate products include our global benchmark Eurodollar futures contracts. Eurodollars are U.S. dollar bank deposits outside the United States. Eurodollar futures contracts are short-term interest rate products and constitute one of the most successful products in our industry and one of the most actively traded futures contracts in the world. Open interest on Eurodollar futures and options on futures contracts traded on our exchange was approximately 13.7 million contracts on December 31, 2003, representing a notional value of approximately $31.6 trillion. We also trade contracts based on other short-term interest rates, such as one-month LIBOR, which stands for the London Interbank Offered Rate, and Euroyen. Interest rate products represented 48.6% of our trading volume during 2003, an average of approximately 1.2 million contracts per day.

The growth of our Eurodollar futures market has been driven by the general acceptance of the U.S. dollar as the principal reserve currency for financial institutions throughout the world. As a result, Eurodollar deposits have significance in the international capital markets. Participants in our Eurodollar futures market are generally major domestic and international banks and other financial institutions that face interest rate risks from their lending and borrowing activities, their activities as dealers in OTC interest rate swaps and structured derivatives products and their proprietary trading activities. Many of these participants use our Eurodollar and other interest rate contracts to hedge or arbitrage their money market swaps or convert their interest rate exposure from a fixed rate to a floating rate or a floating rate to a fixed rate. Asset managers also use our interest rate products to lengthen the effective maturity of short-term investment assets by buying futures contracts, or shorten the effective maturity by selling futures. Our contracts are an attractive alternative when physical restructuring of a portfolio is not possible or when futures transaction costs are lower than the cash market transaction costs. In 1999, we initiated simultaneous, side-by-side electronic trading in our Eurodollar contracts. Trading in our Eurodollar contracts often involves complex trading strategies that we believe cannot be fully accommodated by existing electronic trading platforms. Accordingly, electronic trading in our Eurodollar contracts initially achieved only limited market acceptance. We continue to develop and implement new electronic functionality to accommodate trading strategies required for electronic trading of Eurodollar contracts. In 2003, we launched our Eagle Project, which enables customers to execute trades electronically in the first eight quarterly expirations and 22 corresponding calendar spreads in Eurodollar futures. The introduction of this enhanced functionality contributed to a 45% increase in electronic trading of our Eurodollar futures contracts during 2003. This technology closely replicates Eurodollar trading conventions employed in open outcry and is designed to help maintain our leadership in Eurodollar futures. In January 2004, to further provide market users with innovative technology solutions to support their electronic trading needs, we acquired the technology-related assets and intellectual property of Liquidity Direct to incorporate its options and spread trading technology into our GLOBEX electronic trading platform. Liquidity Direct has developed an innovative patent-pending technology to effectively facilitate trading of the complex combinations and spreads typically used with options products in a fully transparent and competitive execution environment. We intend to introduce more functionality that will accommodate other complex trading strategies electronically.

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Our interest rate product trading volume grew significantly from 1998 to 2002. The increase was due primarily to the volatility of short-term interest rates, monetary policy of the U.S. Federal Reserve Board and a decline in the issuance of U.S. Treasury securities. With less availability of U.S. Treasury securities, swap dealers, who represent a significant group of our customers, turned to our Eurodollar contract as a benchmark for valuing fixed-income obligations and as a tool for managing dollar-denominated interest rate exposure. In 2003, we experienced modest growth of our interest rate product trading volume, with total 2003 trading volume up 0.6% over 2002.

We intend to increase our revenues from our interest rate product sector by optimizing pricing of existing products and introducing new products to increase our trading volume. We have been active in adopting new policies and practices that are closely aligned with customer demand and designed to promote enhanced market penetration.

Equity Products. We have been a leader in stock index futures since we began offering these products in 1982 and remain the largest exchange in the world for trading stock index futures. Stock index futures products permit investors to obtain exposure, for hedging or speculative purposes, to a change in the weighting of one or more equity market sectors more efficiently than by buying or selling the underlying securities. We offer trading in futures contracts based upon the S&P 500 Index and NASDAQ-100 Index, other small-, medium- and large-capitalization domestic indexes and indexes on foreign equity markets. As of December 31, 2003, our market share in all U.S. listed stock index futures was approximately 95%, based on the number of contracts traded.

Our total trading volume for stock index products rose 31.6% in 2003, to 286.2 million contracts, from 217.5 million contracts in 2002. Trading in stock index futures products represented 44.7% of our total trading volume during 2003, an average of more than 1.1 million contracts per day. In 2003, 90.4% of our stock index product trading volume was based on the S&P 500 Index and the NASDAQ-100 Index. The total notional value of S&P 500 futures and options on futures contracts traded on our exchange was approximately $13.8 trillion during 2003, compared to the approximately $9.4 trillion value of stock traded on the New York Stock Exchange. In addition, the notional value of our stock index futures contracts is significantly larger than the comparable exchange-traded fund, which is a basket of securities designed to track an index but trades on a securities exchange or electronic communications network like a single stock. In 2003, the total notional value of our S&P 500 futures contracts was more than $12.6 trillion, compared with approximately $1.0 trillion for S&P 500 Depositary Receipts. In 2003, the total notional value of our NASDAQ-100 futures contracts was approximately $2.2 trillion, compared to approximately $0.6 trillion for the QQQs, which is the NASDAQ-100 Index tracking stock.

Standard & Poor’s Corporation designed and maintains the S&P 500 Index to be a proxy for a diversified equity portfolio representing a broad cross-section of the U.S. equity markets. The Index is based on the stock prices of 500 large-capitalization companies. We have an exclusive license with Standard & Poor’s until 2008. The NASDAQ-100 Index is based on the 100 largest non-financial stocks listed on the NASDAQ National Market. We have a license with Nasdaq that allows us to offer the NASDAQ-100 Index and NASDAQ Composite contracts exclusively until October 2011. For a more detailed discussion of these license agreements, see the section of this Annual Report on Form 10-K entitled “Item 1. Business—Licensing Agreements.” Our standard S&P and NASDAQ products are traded through our open outcry facilities during regular trading hours and on GLOBEX after the close of open outcry trading.

We also offer futures and, in some cases, options on futures contracts, on the S&P MidCap 400, the S&P SmallCap 600, the S&P/BARRA Growth and Value indexes, which are based on data compiled by S&P and BARRA, Inc., the Nikkei Stock Average, the S&P/TOPIX 150, the Russell 1000 Stock Price Index, the Russell 2000 Stock Price Index and the Goldman Sachs Commodity Index. In July 2002, we launched TRAKRS, a private label index product developed with Merrill Lynch & Co., Inc. TRAKRS are a series of non-traditional futures contracts licensed exclusively to us for North America, and are the first broad-based index products traded on a U.S. futures exchange that can be sold by securities brokers.

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TRAKRS are designed to enable customers to track an index of stocks, bonds, currencies or other financial instruments. Long-Short Technology TRAKRS were the first in this product line. We subsequently introduced Select 50 TRAKRS and LMC TRAKRS in 2002. Trading in Commodity TRAKRS commenced in July 2003. EuroCurrency TRAKRS began trading in August 2003 and Gold TRAKRS in December 2003. We also launched our second round of our Long-Short Technology TRAKRS in January 2004. TRAKRS differ from traditional futures contracts in that most non-institutional customers who purchase these contracts are required to post 100% of the TRAKRS market value at the time of purchase. As a result, these customers will not be subject to margin calls or any requirement to make any additional payments throughout the life of their TRAKRS positions. In September 2002, we introduced SPCTR futures contracts based on subsets of the S&P 500 Index: Technology and Financial. Each contract is sized at $125 times the respective index price, making the contract size comparable to the E-mini stock index contracts.

We believe the variety of our stock index futures products appeals to a broad group of equity investors. These investors include public and private pension funds, investment companies, mutual funds, insurance companies and other financial services companies that benchmark their investment performance to different segments of the equity markets.

In 1997, we launched our E-mini S&P 500 futures contracts. We followed this highly successful new product offering with the introduction of E-mini NASDAQ-100 futures contracts in 1999. E-mini contracts are traded exclusively on our electronic GLOBEX platform and are one-fifth the size of their standard counterparts. These products are designed to address the growing demand for stock index derivatives and electronically traded products from individual traders and small institutions. Trading volumes in these products have grown rapidly, achieving new volume and open interest records on a regular basis during 2002 and 2003. This growth is attributable to the benefits of stock index futures, electronic market access and, prior to 2003, significant volatility in the U.S. equity markets. In October 2001, we also introduced E-mini Russell 2000 Index futures. In January 2002, we introduced an E-mini version of our S&P MidCap 400 futures contract. In October 2003, we launched our E-mini futures contracts on the NASDAQ Composite Index. This contract provides a product that tracks the entire NASDAQ Stock Market in contrast to the NASDAQ-100 Index which includes only the top 100 non-financial stocks listed on the NASDAQ Stock Market.

We believe our leading market position in equity products is a result of the liquidity of our markets, the status of the S&P 500 Index and the NASDAQ-100 Index as two of the principal U.S. financial standards for benchmarking stock market returns and the appeal to investors and traders of our E-mini products and GLOBEX. We believe future growth in our stock index products will come from expanding customer access to our electronic markets, as well as further educating the marketplace on the benefits of these products.

Other equity product growth opportunities are expected to come from the introduction of single stock futures and futures on narrow-based stock indexes. Industry deregulation permits futures and securities exchanges to offer single stock futures and futures contracts on narrow-based stock indexes. Single stock futures allow investors to obtain exposure, for hedging or speculative purposes, that is economically equivalent to owning or shorting an individual stock without actually buying or selling the stock. They are designed to offer leverage, ease of trading and less expensive, more customized risk management strategies than equity options, equity swaps and stock lending transactions. In November 2002, OneChicago, our joint venture with CBOE and CBOT, commenced its trading operations to trade single stock futures contracts on stocks trading worldwide as well as futures on narrow-based stock indexes. Under the terms of our operating agreement, we own approximately a 40% interest in OneChicago, CBOE owns approximately a 40% interest and CBOT and management each own a minority interest. Under the terms of our operating agreement, until May 31, 2005 we are restricted from in any way, directly or indirectly, engaging in the business of trading, marketing, regulating, selling, purchasing, clearing or settling transactions in single stock futures other than in conjunction with the joint venture. This restriction on our ability to compete applies whether or not we remain part of the joint venture, but it does not apply to futures based on narrow-based stock indexes.

Foreign Exchange Products. We became the first exchange to introduce financial futures when we launched foreign exchange futures in 1972. Since that time we have built a strong presence in foreign exchange futures. Institutions such as banks, hedge funds, commodity trading advisors, corporations and individuals use these products to manage their risks associated with, or speculate on, fluctuations in foreign exchange rates. Foreign exchange products represented 5.3% of our trading volume in 2003, an average of approximately 135,000 contracts per day. We offer futures and options on futures contracts on 30 currencies, including the European Union euro, Japanese yen, British pound, Swiss franc, Canadian dollar, Mexican peso, Australian dollar, Brazilian real, New Zealand dollar and South African rand.

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Our total foreign exchange trading volume increased 40.2% during 2003 from 2002. Previously, our volume was impacted by the introduction of the euro and subsequent phasing out of many of the major European currencies, the continuing consolidation in the financial institutions sector, increased use of internal netting mechanisms by our customers and wide use of electronic trading for foreign exchange transactions by competing markets. We have begun improving the performance of this product sector by expanding electronic trading in our foreign exchange products. We introduced side-by-side electronic and open outcry trading of foreign exchange futures in April 2001. We believe this change has helped facilitate the increase in volume in these products. In 2003, electronically traded foreign exchange futures volume increased 100.0% over 2002, from approximately 7.5 million contracts to nearly 14.9 million contracts and open outcry trading increased 6.2%, from 10.9 million contracts in 2002 to 11.5 million contracts in 2003.

In May 2002, we introduced 13 new cross-rate foreign exchange futures contracts, consisting of two U.S. dollar-based contracts and 11 non-dollar-based contracts.

We expect the growth in our foreign exchange product line to come from further transitioning to electronic trading. This will allow us to compete more effectively in an environment where electronic execution is growing rapidly and accounts for a significant portion of global foreign exchange volume. The foreign exchange interbank spot market is heavily reliant on electronic trading, with the majority of trades brokered online. We continue to increase both functionality and distribution and are in discussions to add electronic interfaces with OTC market electronic trading platforms. We believe these interfaces, if successfully implemented, will position us to increase our foreign exchange futures volume and expand our product offerings. In March 2003, we launched futures contracts and options on futures contracts based on a new dollar index, the CME$INDEX, a geometric index of seven foreign currencies that is weighted to reflect the relative competitiveness of U.S. goods in foreign markets. CME$INDEX provides investors with a new instrument for currency speculation and risk management. The seven currencies included in the index are the European Union euro, Japanese yen, British pound, Swiss franc, Australian dollar, Canadian dollar and Swedish krona.

Commodity Products. Commodity products were our only products when our exchange first opened for business. We have maintained a strong franchise in our commodity products, including futures contracts based on cattle, hogs, pork bellies, lumber, weather and dairy products. Commodity products accounted for 1.4% of our trading volume during 2003, an average of more than 35,000 contracts per day. These products provide hedging tools for our customers who deal in tangible physical commodities, including agricultural producers of commodities and food processors. Our commodity products are traded through our open outcry and electronic trading execution facilities. We introduced side-by-side electronic and open outcry trading of lean hog, live cattle and feeder cattle futures in 2002 and of frozen pork bellies in 2003.

Trading volume for our commodity products has been relatively stable in recent years. We believe continuing consolidation and restructuring in the agricultural sector, coupled with the reduction or elimination of government subsidies and the resulting increase in demand for risk management in this sector, could create growth in our commodity markets as more producers and processors adopt formal hedging and risk management programs.

We intend to leverage our experience in trading futures on physical commodities to jointly develop new commodity products with operators of electronic, cash and derivatives trading platforms. For example, in 2002 we entered into an agreement with NYMEX to introduce smaller-sized versions of key NYMEX energy futures contracts for trading on our GLOBEX electronic trading platform. The products, based on our successful E-mini stock index contracts, are called e-miNY energy futures and clear at the NYMEX clearing house. In June 2002, e-miNY crude oil and natural gas futures contracts began trading.

Market Data and Information Products. Our markets generate valuable information regarding prices and trading activity in our products. The market data we supply is central to trading activity in our products and to trading activity in related cash and derivatives markets. We sell our market data, which includes information about bids, offers, trades and trade size, to banks, broker-dealers, pension funds, investment companies, mutual funds, insurance companies, individual investors and other financial services companies or organizations that use our markets or monitor general economic conditions. We distribute our market data directly to our electronic trading customers as part of their access to our markets through our electronic facilities. We also distribute market data via dedicated networks to approximately 210 worldwide quote vendors who consolidate our market data with that from other exchanges, other third party data providers and news services, and then resell their consolidated data. As of December 31, 2003, approximately 60,000

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subscribers displayed our data on approximately 174,000 screens. Revenues from market data products totaled $53.2 million, or 9.9% of our net revenues, in 2003.

We continue to enhance our current market data and information product offerings by packaging the basic data we have traditionally offered with advanced analytical data and information. We have created marketing programs to increase the use of our market data. We are developing new business relationships with companies that develop value-added computer-based applications that process our market data to provide specific insights into the dynamics of trading activity in our products.

In March 2002, we expanded the scope of our market data offerings by providing CME E-quotes, direct, real-time price quotes, to the trading community over the Internet, through our Web site. The new service enables users to integrate interactive charting and news services with market data, building customized packages of data, charting and news that fit their particular needs. CME E-quotes received a 2002 European Banking Technology Award for the best use of information technology in the wholesale banking sector. In June 2002, enhancements to our market data interface software reduced customers’ bandwidth requirements 65% to 70%.

In August 2002, we introduced CME E-history to automate the process of supplying users with historical price data for our futures and options on futures contracts. We launched Eagle-i in March 2003, featuring real-time quotes and implied prices for outright and calendar spreads on Eurodollar contracts traded on the GLOBEX platform. In April 2003, we launched E-px, which provides complete real-time pack and bundle prices as well as the pricing data for all 40 underlying Eurodollar contracts. In May 2003, our E-quivalents product, which displays our real-time currency futures prices and quantities in spot foreign exchange convention, was made available to anyone visiting our Web site.

Execution

Our trade execution facilities consist of our open outcry trading pits and the GLOBEX electronic trading platform. Both of these execution facilities offer our customers immediate trade execution, anonymity and price transparency and are state-of-the-art trading environments supported by substantial infrastructure and technology for order routing, trade reporting, market data dissemination and market surveillance and regulation. In addition, trades can be executed through privately negotiated transactions that are cleared and settled through our clearing house. The chart below shows the range of trade execution choices we provide our customers in some of our key products.

Open Outcry Trading. Open outcry trading represented approximately 54% of our total trading volume in 2003. The trading pits are the centralized meeting place for floor traders and floor brokers representing customer orders to trade contracts. The trading floors, covering approximately 70,000 square feet, have tiered booths surrounding the pits from which clearing firm personnel can communicate with customers regarding current market activity and prices and receive orders either electronically or by telephone. In addition, our trading floors display current market information and news on electronic wallboards hung above the pits. During 2003, approximately 44% of our clearing and transaction fee revenues were derived from open outcry trading.

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GLOBEX Electronic Trading. We began electronic trading in 1992 using a system developed in partnership with Reuters. Our second generation electronic trading platform was introduced in 1998, and is based on the Nouveau Système de Cotation, or NSC, owned and licensed to us by Euronext-Paris, a subsidiary of Euronext N.V. GLOBEX maintains an electronic, centralized order book and trade execution algorithm for futures contracts and options on futures contracts and allows users to enter orders directly into the order book. Initially, these systems were used to offer our products to customers after the close of our regular daytime trading sessions. Today, however, we trade some of our most successful products on the GLOBEX platform more than 23 hours a day, five days a week. In 2003, 44.1% of our trading volume was executed using GLOBEX, compared to 35.5% in 2002. Our electronic volume has grown rapidly during the last five years. Electronic trading volume has increased from nearly 16.1 million contracts in 1999 to nearly 282.4 million contracts in 2003. GLOBEX volume exceeded one million contracts for a single day for the first time on June 12, 2002. As of December 31, 2003, GLOBEX had achieved 225 days of volume greater than one million contracts, excluding the volume attributable to the first-day trading volumes of TRAKRS. During 2003, approximately 47% of our clearing and transaction fee revenues were derived from electronic trading. This was the first year that the percentage of our clearing and transaction fee revenues derived from electronic trading exceeded that derived from open outcry trading.

Privately Negotiated Transactions. In addition to offering traditional open outcry and electronic trading through the GLOBEX platform, we permit qualified customers to trade our products by entering into privately negotiated EFP and exchange basis facility, or EBF, transactions and block trades, which are reported and included in the market data we distribute. We also clear, settle and guarantee these transactions through our clearing house. Some market participants value privately negotiated transactions as a way to ensure that large transactions can be completed at a single price or in a single transaction while preserving their ability to effectively complete a hedging, risk management or other trading strategy. During 2003, approximately 9% of our clearing and transaction fee revenues were derived from this type of trading.

EFP and EBF transactions involve privately negotiated exchanges of futures contracts for cash positions or other qualified instruments. While EFP capabilities have been available for many years, and constitute a significant and profitable segment of our foreign exchange futures trading, EFPs have been offered on a restricted basis in some of our other markets. We have taken steps to liberalize our trading policies, including extending EBF capabilities to all Eurodollar futures contracts.

A block trade is the privately negotiated purchase and sale of futures contracts. Block trading was introduced on our exchange in late 2000, and volume has been limited to date. We believe block trading provides an important source of access designed to appeal to large-scale institutional traders. Originally, these transactions were limited to a certain number of contracts and required high minimum quantity thresholds along with a fee surcharge. We have implemented pricing and trading rules designed to increase customer participation. We intend to continue to enhance the utility of EFP and block transactions while maintaining an appropriate balance with the transactions conducted within the open outcry and electronic trading environments.

Clearing

We operate our own clearing house that clears, settles and guarantees the performance of all transactions matched through our execution facilities and futures and options on futures contracts traded through CBOT. Many derivatives exchanges do not provide clearing services for trades matched through their execution facilities, relying instead on outside clearing houses to provide these services. Ownership and control of our own clearing house enables us to capture the revenue associated with both the trading and clearing of our products. This is particularly important for trade execution alternatives such as block trades, where we can derive a higher per trade clearing fee compared to other trades. By owning our clearing house, we also control the cost structure and the technology development cycle for our clearing services. It also helps us manage our new product initiatives without being dependent on an outside entity. We believe having a