SecProbe.io

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549-7010

       DIVISION OF
CORPORATION FINANCE

Mail Stop 7010
        March 26, 2007

James E. Parisi
Chief Financial Officer
Chicago Mercantile Exchange Holdings, Inc.
20 South Wacker Drive
Chicago, Illinois 60606

Re: Chicago Mercantile Exchange Holdings, Inc.
Form 10-K for Fiscal Year Ended December 31, 2006
Filed March 1, 2007
  File No. 0-33379

Dear Mr. Parisi:

We have reviewed your filing and have the following comments.  Where
indicated, we think you should re vise your document in response to these comments.  If
you disagree, we will consider your explanation as to why our comment is inapplicable or
a revision is unnecessary.  Please be as deta iled as necessary in your explanation.  In
some of our comments, we may ask you to provi de us with information so we may better
understand your disclosure.  After reviewing th is information, we may raise additional
comments.

 Please understand that the purpose of our re view process is to assist you in your
compliance with the applicable disclosure  requirements and to  enhance the overall
disclosure in your filing.  We look forward to  working with you in these respects.  We
welcome any questions you may have about our comments or any other aspect of our
review.  Feel free to call us at the telephone numbers listed at the end of this letter.

FORM 10-K FOR FISCAL YE AR ENDED DECEMBER 31, 2006

Controls and Procedures, page 98

1.  We note that your Chief Executive Officer  and Chief Financial Officer concluded
the Company’s disclosure controls and pr ocedures “…are eff ective in recording,
processing, summarizing, and reporting, on a ti mely basis, information required to
be disclosed by us in the reports that we  file or submit under the Exchange Act.”
In future filings, please revise your disclosu re to clarify, if tr ue, that your officers
also concluded that your di sclosure controls and pro cedures are effective to

James Parisi
Chicago Mercantile Exchange Holdings, Inc.
March 26, 2007
Page 2
ensure that information required to be disc losed by an issuer in the reports that it
files or submits under the Exchange Act is accumulated and communicated to
your management, including its principa l executive and principal financial
officers, or persons performing similar f unctions, as appropriate to allow timely
decisions regarding required disclosure.  Alternatively, your officers may conclude that the Company's disclosure controls and proce dures are “effective”
without defining disclosure controls and procedures.

Exhibits 31.1 and 31.2

2.  In future filings, please ensure the wo rding of your Section 302 certifications is
exactly as set forth in Item 601(31) of Regulation S-K, including the following:
• Delete the officers’ title in the first line as they are signi ng the certification
in a personal capacity.
• Replace “annual report” with “report.”

Please respond to these comments within  10 business days or tell us when you
will provide us with a response.  Please furnish a letter that keys your responses to our comments and provides any requested information.  Detailed letters greatly facilitate our
review.  Please understand that we may have  additional comments after reviewing your
responses to our comments.

 We urge all persons who are responsible for the accuracy and adequacy of the disclosure in the filing to be certain that the filing includes all in formation required under
the Securities Exchange Act of 1934 and th at they have provided all information
investors require for an informed invest ment decision.  Since the company and its
management are in possession of all facts re lating to a company’s disclosure, they are
responsible for the accuracy and adequacy of the disclosures they have made.

 In connection with responding to our comments, please provide, in writing, a statement from the company acknowledging that:

• the company is responsible for the adequacy and accuracy of the disclosure in the filing;

• staff comments or changes to disclosure  in response to staff comments do not
foreclose the Commission from taking a ny action with respect to the filing;
and

• the company may not assert staff comme nts as a defense in any proceeding
initiated by the Commission or any pers on under the federal securities laws of
the United States.

James Parisi
Chicago Mercantile Exchange Holdings, Inc.
March 26, 2007
Page 3
In addition, please be advise d that the Division of Enfo rcement has access to all
information you provide to the staff of the Divi sion of Corporation Fi nance in our review
of your filing or in response to our comments on your filing.

 You may contact Bret Johnson at (2 02) 551-3753, Jennifer Thompson at (202)
551-3737, or me at (202) 551-3768 if you have  questions regard ing our comments.

Sincerely,

John Cash
Accounting Branch Chief