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SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)

For the Fiscal Year Ended December 31, 2004

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 herein, 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, 2004, was approximately $4.9 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 February 18, 2005 was as follows: 34,212,286 shares of Class A common stock, $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:

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.

All references to volume, rate per contract and open interest in this Annual Report on Form 10-K exclude our non-traditional TRAKRS^® products, for which we receive significantly lower clearing fees than other CME products.

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” and in Exhibit 13.1, 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^®, E-mini^™, Globex^®, International Monetary Market^®, IEF^® IOM^®, IMM^®, Growth and Emerging Markets^®, GEM^®, SPAN^® and Globex Trader-Internet^sm are our trademarks. CLEARING 21^® and e-miNY^sm are trademarks, of CME and New York Mercantile Exchange, Inc., or NYMEX.

Goldman Sachs Commodity Index^®, NASDAQ-100^®, NASDAQ-100 Index^®, NASDAQ Composite^®, NASDAQ Composite Index^®, Nikkei 225^™, Russell 1000^®, Russell 2000^®, Russell 3000^®, S&P 500^®, S&P^®, S&P/BARRA Growth^™, S&P/BARRA Value^™, S&P MidCap 400^™, S&P/TOPIX 150^™, TRAKRS^® and other trade names, service marks, trademarks and registered trademarks are the property of their respective owners and are used herein under license.

ITEM 1. BUSINESS

General

We are the largest futures exchange in the United States for the trading of futures contracts and options on futures contracts, often called derivatives, as measured by 2004 annual trading volume. In 2004, our customers, which include our members, traded futures contracts and options on futures contracts with an underlying value of $463 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, 2004, our open interest record was 28.5 million contracts set on December 9, 2004. Open interest is the number of outstanding contracts at the close of the trading day at the exchange and is a leading indicator of liquidity. Liquidity of markets, or the ability of a market to quickly and efficiently absorb the execution of large purchases or sales, is a key to attracting customers and contributing to a market’s success.

Futures and options on futures provide a way to protect against – and potentially profit from – price changes in financial instruments and physical commodities. Futures contracts are legally binding agreements to buy or sell something in the future, such as livestock or foreign currency. The buyer and seller of a futures contract agree on a price today for a product to be delivered and paid for in the future. Each contract specifies the quantity of the item and the time of delivery or payment.

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.

As a marketplace for global risk management, our exchange brings together buyers and sellers of derivatives products, which trade on our CME^® Globex^® electronic trading platform, on our trading floors through open outcry and via 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 indexes, foreign exchange and commodities. Our key products include CME 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. For example, our CME 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.

We own our clearing house, which is the largest derivatives clearing operation in the world for futures and options on futures, and we guarantee, clear and settle every contract traded through our exchange. As a result of our agreement to provide clearing and related services to the Chicago Board of Trade, or the CBOT, we now clear approximately 90% of all futures contracts and options on futures contracts in the United States. During 2004, we processed an average of approximately 701,000 and 365,000 trade transactions per day for CME, including our non-traditional TRAKRS contracts, and CBOT products, respectively. We currently have the capacity to clear more than 4.0 million trade transactions per day. Our systems are scalable and give us the ability to increase our capacity with little lead time. As of

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December 31, 2004, we acted as custodian for approximately $44.1 billion in performance bond collateral, including $3.1 billion in deposits for non-CME products. In 2004, we moved an average of $1.5 billion of settlement funds through our clearing system each day. In addition, 50 exchanges and clearing organizations worldwide have adopted our CME SPAN^® risk evaluation system, which is used to determine the appropriate performance bond requirements for trading portfolios.

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 approximately 787 million contracts in 2004, an increase of approximately 27% over 2003, which was previously our busiest year.

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 CME Eurodollar futures, which is one of the world’s most actively traded futures contracts. 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 CME Globex electronic trading platform in 1992. Today, most of our products trade electronically, as well as on our open outcry trading floors. In 1997, we introduced the first of the CME E-mini^™ stock index products, which are smaller-sized electronically traded versions of our benchmark stock index futures contracts. In April 2003, we entered into an agreement with the CBOT to provide clearing and related services for CBOT futures contracts and options on futures contracts.

We devote substantial resources to introducing new products based on new markets or securities and increasing the distribution of our existing products. In 2004, we launched Japanese yen denominated Nikkei 225^™ stock index futures contracts; futures and options on futures contracts based on three of the most commonly used varieties of fertilizer; weather futures and options on futures for Tokyo and Osaka, Japan; electronically traded futures contracts on the U.S. Consumer Price Index, or CPI, and equity index options on E-mini NASDAQ-100 futures contracts. Options on E-mini Russell 2000^® futures contracts, the fourth most active stock index contract in the United States, were launched in the first quarter of 2005. In addition, in 2004 we announced our agreement with Reuters Transaction Services Limited, or Reuters, to offer access to our electronic foreign exchange markets to Reuters’ global customer base over the Reuters Dealing 3000 trading system. This arrangement will give dealers in the interbank market direct access to our foreign exchange products in cash equivalent format and will enhance their ability to seamlessly trade foreign exchange spot, forwards and futures. To further expand access and increase efficiency of our CME Globex platform throughout Europe, we added six telecommunications hubs, in addition to the one we had in London, in the key European financial centers of Amsterdam, Dublin, Frankfurt, Gibraltar, Milan and Paris. To reduce connectivity costs for our Pacific Rim customers, we also plan to establish our first Asian hub in Singapore in 2005.

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 and through privately negotiated transactions. Today, our members are able to conduct trading on our open outcry trading floors, electronically on the CME 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 the CME Globex platform. In 2004, volume on the CME Globex electronic trading platform represented approximately 57% of our trading volume compared to approximately 42% in 2003.

Prior to our demutualization, direct access to our markets, whether on our open outcry trading floors or through the CME 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 CME 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 CME Globex platform. 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. Certain of our customers benefit from volume discounts and limits on fees as part of our effort to encourage increased liquidity in our markets. In 2004, our members were responsible for nearly 78% 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. We believe that owners of trading rights on our exchange continue to own a substantial amount of our Class A common stock.

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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, 2004, our open interest record was 28.5 million contracts set on December 9, 2004. During 2004, we posted record trading volume of approximately 787 million contracts, an increase of approximately 27% over 2003, making us the most active exchange in the United States and the second most active in the world for the trading of futures contracts and options on futures contracts during that period. By notional or underlying value, we are the largest futures exchange in the world, with $463 trillion traded in 2004.

Global Benchmark Products. We believe our key products serve as global benchmarks for valuing and managing risk. Our CME 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, NASDAQ-100 and Russell indexes are considered primary tools for benchmarking investment performance against U.S. equity market exposure. Our S&P 500, NASDAQ-100 and Russell Index contracts, which are based on these benchmarks, are recognized by our customers as efficient tools for managing and hedging their equity market risks.

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 index, 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 the CBOT. During 2004, we processed an average of approximately 701,000 and 365,000 trade transactions per day for CME, including our non-traditional TRAKRS contracts, and CBOT products, respectively. We currently have the capacity to clear more than 4.0 million trade transactions per day, and our scalable systems give us the ability to further increase our capacity with little lead time. On September 24, 2004, the clearing house surpassed one billion contracts cleared in 2004. In January 2004, we fully implemented our agreement with the CBOT to provide clearing and related services for CBOT futures contracts and options on futures contracts. As of December 31, 2004, we acted as custodian for approximately $44.1 billion in performance bond collateral, including 3.1 billion in deposits for non-CME products, and, in 2004, moved an average of $1.5 billion of settlement funds through our clearing system each day. We believe our performance guarantee is a major attraction to 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 goal is to design our system to service historical peak volumes, provide clearing services to the CBOT and other exchanges and introduce new products with high volume potential.

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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 goal is to design our highly scalable systems 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 CME SPAN risk evaluation system has been adopted by 50 exchanges and clearing organizations worldwide.

Global Reach. Globalization of financial markets is expanding the customer base for futures products beyond traditional boundaries. Our electronic trading services, which are available nearly 24 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. In addition, we expanded our telecommunications capacity in Europe to include six new telecommunications hubs, similar to our hub in London that was established in 2002. These hubs reduce connectivity costs and house direct electronic connections between the foreign customer and CME Globex, our electronic trading platform. In 2005, we plan to establish our first Asian telecommunications hub in Singapore. We also introduced new incentive programs for certain types of customers in Europe and Asia that have fueled our global expansion by attracting new customers to our products and markets worldwide.

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, we have introduced the following E-mini versions of our larger open outcry-traded futures contracts: E-mini S&P 500; E-mini NASDAQ-100; E-mini Russell 1000^®; E-mini Russell 2000; E-mini S&P MidCap 400^™ and E-mini NASDAQ Composite^®. By creating smaller-sized products and offering electronic trading services for them, we have successfully expanded our customer base and overall volume. We also seek to introduce new contracts that complement our existing product line. We offer futures contracts based on the Russell 1000 and Russell 2000 Indexes. These contracts offer exposure to the Russell 3000^® universe of stocks, representing 98% of the investable U.S. equity market, based on total market capitalization.

In 2004, we launched futures contracts on the Japanese yen denominated Nikkei 225 stock index; futures and options on futures based on three of the most commonly used varieties of fertilizer; weather futures and options on futures for Tokyo and Osaka, Japan; electronically traded futures contracts on the CPI and equity options on our E-mini NASDAQ-100 futures contracts. Options on our E-mini Russell 2000 futures contracts were launched in the first quarter of 2005. In addition, in 2005 we will launch new euro FX and Japanese yen options on futures contracts with European-style expiration on the CME Globex platform.

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 OTC markets. 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. In January 2004, we fully implemented our agreement with the CBOT to provide clearing and related services for CBOT futures and options on futures contracts. 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 the CBOT, our clearing house is the largest derivatives clearing operation for futures and options on futures in the world and we now clear approximately 90% of all futures contracts and options on futures contracts traded in the United States. In 2004, we cleared 600 million contracts for the CBOT. Open interest for CBOT contracts was 9.9 million contracts as of December 31, 2004.

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, we acquired the technology-related assets and intellectual property of Liquidity Direct in January 2004 to acquire new options and spread trading technology to enhance the growth of CME Eurodollar options and ultimately other options markets on the CME Globex platform. In May 2004, we entered into an agreement with Reuters to offer our electronic foreign exchange markets to Reuters’

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global customer base in cash equivalent format and to provide Reuters Dealing 3000 interbank dealer customers with direct access to our foreign exchange products. This initiative, scheduled to launch in the first quarter of 2005, will open our markets to a new group of potential users.

Products

Our broad range of products includes futures contracts and options on futures contracts based on interest rates, equity indexes, foreign exchange and commodities. Our products are traded through our open outcry auction markets, through the CME Globex electronic trading platform or in privately negotiated transactions that we clear. For the year ended December 31, 2004, we derived $553.0 million, or 75% of our net revenues, from fees associated with trading and clearing our products. These fees include per contract charges for trade execution, clearing and CME 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 $60.9 million, or 8% of our net revenues, in 2004.

We identify new products by monitoring economic trends and their impact on the risk management and speculative needs of our existing and prospective customers.

The following table shows the total notional value and average daily volume of contracts traded in our four principal product lines for the years ended December 31, 2004, 2003 and 2002.

Interest Rate Products. Our interest rate products include our global benchmark CME Eurodollar futures contract. 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 in CME Eurodollar futures contracts and options on futures contracts traded on our exchange was 18.3 million contracts as of December 31, 2004, representing a notional value of $18.3 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 approximately 55% of our trading volume during 2004, an average of approximately 1.7 million contracts per day.

The growth of our CME 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 the 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 CME 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. CME 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 CME Eurodollar contract. Trading in CME Eurodollar contracts often involves complex trading strategies that we believe cannot be fully accommodated by existing electronic trading platforms. We continue to develop and implement new electronic functionality to accommodate trading strategies required for electronic trading of Eurodollar contracts. In August 2004, we launched our enhanced options system for electronic trading of options on CME Eurodollars for a limited group of market participants. This system is designed to facilitate trading of complex

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combination and spread trades typically used with short-term interest rate options on futures, within a fully transparent and competitive execution environment. To make the enhanced functionality available to the entire marketplace, we plan to link the system with the CME Globex platform in the second half of 2005. In addition, in October 2004 we introduced new implied spread trading functionality for CME Eurodollars on CME Globex. This functionality added the capability to more efficiently establish and liquidate certain spread positions within the first three years of the ten-year yield curve. In 2004, electronic average daily volume of CME Eurodollars increased to approximately 593,000 contracts from approximately 45,000 in 2003. We intend to introduce more functionality that will accommodate other complex trading strategies electronically.

We intend to increase our revenues from our interest rate product sector by optimizing pricing of existing products, introducing new products to increase our trading volume and enhancing the functionality of our CME Globex electronic platform through the integration of our enhanced options system to increase the electronic trading volume of our options on futures contracts. 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 Index Products. We began offering stock index futures in 1982. 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, NASDAQ-100 Index, certain Russell indexes and other small-, medium- and large-capitalization domestic indexes and indexes on foreign equity markets. As of December 31, 2004, our market share in all U.S. listed stock index futures was approximately 92%, based on the number of contracts traded.

Our total trading volume for stock index products rose 10% in 2004, to 294 million contracts, from 266 million contracts in 2003. Trading in stock index futures products represented approximately 37% of our total trading volume during 2004, an average of nearly 1.2 million contracts per day. In 2004, approximately 92% of our stock index futures trading volume was based on the S&P 500 Index and the NASDAQ-100 Index.

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 size S&P and NASDAQ contracts are traded through our open outcry facilities during regular trading hours and on the CME Globex platform after the close of open outcry trading.

In addition to contracts based on the S&P 500 and NASDAQ-100 indexes, we also offer the following equity futures and options on futures contracts: E-mini NASDAQ Composite; S&P Midcap 400; Russell 2000; NIKKEI 225 and the Goldman Sachs Commodity Index^®. We also offer seven TRAKRS contracts. TRAKRS are a series of non-traditional futures contracts developed with Merrill Lynch & Co., Inc. and 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. TRAKRS are designed to enable customers to track an index of stocks, bonds, currencies or other financial instruments.

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 new product offering with the introduction of E-mini NASDAQ-100 futures contracts in 1999. E-mini contracts are traded exclusively on our electronic CME 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 during 2004 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. We also trade the E-mini Russell 2000, E-mini Russell 1000, E-mini S&P MidCap 400 and E-mini NASDAQ Composite.

We believe our leading market position in equity index 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 our CME Globex platform. We believe future growth in our stock index products will come from the introduction of electronically traded options on our existing equity index products, including our E-minis, expanding customer access to our electronic markets, enhancing the functionality of our CME Globex electronic platform to increase the electronic trading volume of our options on futures contracts as well as further educating the marketplace on the benefits of these products.

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Foreign Exchange Products. We became the first exchange to introduce financial futures when we launched foreign exchange futures in 1972. 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 nearly 7% of our trading volume in 2004, an average of approximately 202,000 contracts per day. We offer futures and options on futures contracts on 36 currencies, including the euro, Japanese yen, British pound, Swiss franc, Canadian dollar, Mexican peso, Australian dollar, Brazilian real, New Zealand dollar and South African rand.

Our total foreign exchange trading volume increased 51% during 2004 from 2003. We have begun improving the performance of this product sector by expanding the distribution of our foreign exchange products through the CME Globex platform and by establishing incentive programs to increase volume. 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 2004, electronically traded foreign exchange futures volume increased approximately 127% over 2003, from 14.9 million contracts to 34.0 million contracts. Open outcry trading decreased approximately 14%, from 11.5 million contracts in 2003 to 9.9 million contracts in 2004.

We expect the growth in our foreign exchange product line to come from further transitioning to electronic trading and through our new distribution agreement with Reuters. 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.

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% of our trading volume during 2004, an average of more than 40,000 contracts per day and an increase of approximately 13% from 2003. On January 11, 2005, we had our highest volume day ever with nearly 100,000 contracts traded. 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 and through privately negotiated transactions.

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, provide an opportunity for 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.

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, 2004, approximately 63,000 subscribers displayed our data on approximately 179,000 screens. Revenues from market data products totaled $60.9 million, or 8% of our net revenues, in 2004.

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.

Execution

Our trade execution facilities consist of our open outcry trading floors and the CME Globex electronic trading platform. Both of these execution facilities offer our customers immediate trade execution 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 following chart shows the range of trade execution choices we provide our customers in some of our key products.

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Open Outcry Trading. Open outcry trading represented approximately 41% of our total trading volume in 2004. The trading floors 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 2004, nearly 32% of our clearing and transaction fee revenues were derived from open outcry trading.

CME Globex Electronic Trading Platform. The CME Globex electronic trading platform 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, our electronic trading platform was 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 CME Globex platform nearly 24 hours a day, five days a week. In 2004, approximately 57% of our trading volume was executed using CME Globex, compared to approximately 42% in 2003. This was the first year that total volume traded on the CME Globex platform exceeded total volume traded on open outcry. Electronic trading volume has increased from approximately 35 million contracts in 2000 to more than 451 million contracts in 2004. On October 19, 2004, the one billionth contract was traded on the CME Globex platform since it was launched in 1992. During 2004, nearly 61% of our clearing and transaction fee revenues were derived from electronic trading.

Privately Negotiated Transactions. In addition to offering traditional open outcry and electronic trading through the CME Globex platform, we permit qualified customers to trade our products by entering into privately negotiated transactions, 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 2004, approximately 7% of our clearing and transaction fee revenues were derived from this type of trading.

Our privately negotiated transactions include exchange for physical, or EFP, transactions, exchange basis facility, or EBF, transactions and block trades. Both EFP and EBF trades involve a futures contract and a spot commodity or cash position. The term EFP is used with all of these types of futures transactions, except interest rate transactions, which are referred to as EBFs. 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 privately negotiated 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 contracts and options on futures contracts traded through the 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 clearing fee for each contract traded 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 an integrated clearing function provides significant competitive advantages. Additionally, owning our own clearing house allows us to provide clearing services to other exchanges, such as the CBOT.

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On September 24, 2004, the clearing house surpassed one billion contracts cleared in 2004. We processed an average of approximately 701,000 trade transactions per day in 2004 for CME products, including our non-traditional TRAKRS products, with an average transaction size of 9.1 contracts. We maintain the largest futures and options on futures open interest of any exchange in the world. As of December 31, 2004, our open interest stood at 22.5 million contracts. As of such date, our open interest record was 28.5 million contracts set on December 9, 2004. As of December 31, 2004, we acted as custodian for approximately $44.1 billion in performance bond collateral deposited by our clearing firms and, during 2004, we moved an average of approximately $1.5 billion a day in settlement funds through our clearing system. In addition, our clearing house guarantees the performance of our contracts with a financial safeguards package of approximately $4.0 billion.

In January 2004, we fully implemented our agreement with the CBOT for us to provide clearing and transaction processing services. In providing these services to the CBOT, our clearing house clears, settles and guarantees all CBOT transactions, using the full resources of our clearing processes and financial safeguards package. Open interest in CBOT products cleared by our clearing house on December 31, 2004 was 9.9 million contracts.

The clearing function provides three primary benefits to our markets: efficient, high-volume transaction processing; cost and capital efficiencies; and a reliable credit guarantee. The services we provide can be broadly categorized as follows:

Transaction Processing and Position Management. We developed a state-of-the-art clearing system, CLEARING 21