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

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940
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(Print or Type Responses)
1. Name and Address of Reporting Person *
KEEVE EILEEN
   2. Issuer Name and Ticker or Trading Symbol
CHICAGO MERCANTILE EXCHANGE HOLDINGS INC [CME] 		5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)
_____ Director _____ 10% Owner
__X__ Officer (give title below) _____ Other (specify below)
MD Org. Development
(Last)
(First)
(Middle)
20 S. WACKER DR.		 3. Date of Earliest Transaction (Month/Day/Year)
07/01/2005
(Street)

CHICAGO, IL 60		 4. If Amendment, Date Original Filed(Month/Day/Year)
07/05/2005		 6. Individual or Joint/Group Filing(Check Applicable Line)
_X_ Form filed by One Reporting Person
___ Form filed by More than One Reporting Person
(City)
(State)
(Zip)
Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1.Title of Security
(Instr. 3)		 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code
(Instr. 8)		 4. Securities Acquired (A) or Disposed of (D)
(Instr. 3, 4 and 5)		 5. Amount of Securities Beneficially Owned Following Reported Transaction(s)
(Instr. 3 and 4)		 6. Ownership Form: Direct (D) or Indirect (I)
(Instr. 4)		 7. Nature of Indirect Beneficial Ownership
(Instr. 4)
Code V Amount (A) or (D) Price
Common Stock Class A 07/01/2005   M   350 (1) A $ 35 2,980 D  
Common Stock Class A 07/01/2005   S   750 (2) D $ 298.5 2,230 D  

Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
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Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security
(Instr. 3)		 2. Conversion or Exercise Price of Derivative Security 3. Transaction Date (Month/Day/Year) 3A. Deemed Execution Date, if any (Month/Day/Year) 4. Transaction Code
(Instr. 8)		 5. Number of Derivative Securities Acquired (A) or Disposed of (D)
(Instr. 3, 4, and 5)		 6. Date Exercisable and Expiration Date
(Month/Day/Year)		 7. Title and Amount of Underlying Securities
(Instr. 3 and 4)		 8. Price of Derivative Security
(Instr. 5)		 9. Number of Derivative Securities Beneficially Owned Following Reported Transaction(s)
(Instr. 4)		 10. Ownership Form of Derivative Security: Direct (D) or Indirect (I)
(Instr. 4)		 11. Nature of Indirect Beneficial Ownership
(Instr. 4)
Code V (A) (D) Date Exercisable Expiration Date Title Amount or Number of Shares
Stock Options (Right to buy) $ 35 07/01/2005   M     350 12/06/2004(3) 12/06/2012 Common Stock Class A 350 $ 35 5,900 D  

Reporting Owners

Reporting Owner Name / Address Relationships
 Director  10% Owner  Officer  Other
KEEVE EILEEN
20 S. WACKER DR.
CHICAGO, IL 60		       MD Org. Development  

Signatures

 Margaret C. Austin, Attorney in Fact   07/08/2005
**Signature of Reporting Person Date

Explanation of Responses:

* If the form is filed by more than one reporting person, see Instruction 4(b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(3) On December 6, 2004, this option vested with respect to 60% of the granted number of shares covered by the option. An additional 20% of the shares subject to the option will become exercisable on each of two subsequent anniversaries of that date, subject to acceleration or termination in certain circumstances.
(2) This sale was completed pursuant to the terms of a pre-arranged trading plan established in accordance with Rule 10b5-1.
(1) This amendment is being filed to accurately refect that the reporting person's sale of 750 shares on July 1, 2005, which sale was accurately reported, consisted of 350 shares acquired upon the exercise of options with a $35 exercise price and 400 shares of stock rather than 750 shares acquired upon the exercise of options.

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