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CORRESP
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SEC Correspondence

 Skadden, Arps, Slate, Meagher & Flom LLP

 333 West Wacker Drive

 Chicago, Illinois 60606

 Tel: (312) 407-0700

Fax: (312) 407-0411

 http://www.skadden.com

 February 22, 2007

 VIA EDGAR AND FACSIMILE

 Jennifer R. Hardy

 Branch Chief

 Division of Corporation Finance

 Securities and Exchange Commission

 100 F Street, N.E.

 Washington, D.C. 20549-0303

Re:
Chicago Mercantile Exchange Holdings Inc.

Registration Statement on Form S-4

Commission File
No. 333-139538

 Dear Ms. Hardy:

 We are writing on behalf of our client, Chicago Mercantile Exchange Holdings Inc. (the
“Company”), in response to the letter of the staff (the “Staff”) of the Division of Corporation Finance of the Securities and Exchange Commission (the “Commission”), dated February 22, 2007 (the “Comment
Letter”), relating to the Company’s Amendment No. 2 to Registration Statement on Form S-4 filed with the Commission on February 20, 2007 (the “Registration Statement”) in connection with the merger of the Company and
CBOT Holdings, Inc. (“CBOT Holdings”).

 Enclosed is a copy of changed pages to the Registration Statement as we propose to file
them in Amendment No. 3 to the Registration Statement, which will also be filed via EDGAR and which have been marked to show changes from Amendment No. 2 to the Registration Statement as previously filed.

 * * * * *

 Securities and Exchange Commission

 February 22, 2007

 Page 2

 After you
have had the opportunity to review the attached, please do not hesitate to contact the undersigned (312-407-0531) or Susan S. Hassan (312-407-0527) with any questions or further comments you may have. Facsimile transmissions may be sent to us at
(312) 407-0411.

 Very truly yours,

 /s/ Rodd M. Schreiber

 Rodd M. Schreiber

 Skadden, Arps, Slate, Meagher & Flom LLP

cc:
Matt Franker (Securities and Exchange Commission)

 Bret
Johnson (Securities and Exchange Commission)

 Jennifer Thompson (Securities and Exchange Commission)

 Kathleen M. Cronin (Chicago Mercantile Exchange Holdings Inc.)

 Susan S. Hassan (Skadden, Arps, Slate, Meagher & Flom LLP)

 Kevin J.P. O’Hara (CBOT Holdings,
Inc.)

 Scott J. Davis (Mayer Brown Rowe and Maw LLP)

 Bruce F. Perce (Mayer Brown Rowe and Maw LLP)

MATERIAL U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE MERGER

 CME Holdings and CBOT Holdings have structured
the merger to qualify as a reorganization within the meaning of Section 368(a) of the Code. As described below under “—Tax Consequences of the Merger Generally,” in connection with the filing of the registration statement of
which this document forms a part, Skadden, Arps has delivered an opinion to CME Holdings, and Mayer Brown has delivered an opinion to CBOT Holdings, to the effect that the merger will be treated as a reorganization within the meaning of
Section 368(a) of the Code.

 The following is a summary of the material U.S. federal income tax consequences of the merger applicable
to a holder of shares of CBOT Holdings Class A common stock that receives CME Holdings Class A common stock or cash in the merger. This discussion is based upon the Code, Treasury regulations, judicial authorities, published positions of
the Internal Revenue Service, or the “IRS,” and other applicable authorities, all as currently in effect and all of which are subject to change or differing interpretations (possibly with retroactive effect). This discussion is limited to
U.S. holders (as defined below) and non-U.S. holders (as defined below) that hold their shares of CBOT Holdings Class A common stock as capital assets for U.S. federal income tax purposes (generally, assets held for investment). This discussion
does not address all of the tax consequences that may be relevant to a particular CBOT Holdings Class A stockholder or to CBOT Holdings Class A stockholders that are subject to special treatment under U.S. federal income tax laws, such as:

•

 financial institutions;

•

 insurance companies;

•

 tax-exempt organizations;

•

 dealers in securities or currencies;

•

 persons whose functional currency is not the U.S. dollar;

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 traders in securities that elect to use a mark to market method of accounting;

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 persons that hold CBOT Holdings Class A common stock as part of a straddle, hedge, constructive sale or conversion transaction; and

•

 U.S. holders who acquired their shares of CBOT Holdings Class A common stock through the exercise of an employee stock option or otherwise as compensation.

 If a partnership or other entity taxed as a partnership holds CBOT Holdings Class A common stock, the tax treatment
of a partner in the partnership generally will depend upon the status of the partner and the activities of the partnership. Partnerships and partners in such a partnership should consult their tax advisers about the tax consequences of the merger to
them.

 This discussion does not address the tax consequences of the merger under state, local or foreign tax laws. No assurance can be
given that the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences set forth below.

 Holders of CBOT Holdings Class A common stock should consult with their own tax advisors as to the tax consequences of the merger in their particular circumstances, including the applicability and effect of the alternative minimum
tax and any state, local or foreign and other tax laws and of changes in those laws.

 For purposes of this section, the term “U.S.
holder” means a beneficial owner of CBOT Holdings Class A common stock that for U.S. federal income tax purposes is:

•

 a citizen or resident of the United States;

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 a corporation or partnership, or other entity treated as a corporation or partnership for federal income tax purposes, created or organized in or under the laws of
the United States or any State or the District of Columbia;

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•

 an estate that is subject to U.S. federal income tax on its income regardless of its source; or

•

 a trust, the substantial decisions of which are controlled by one or more U.S. persons and which is subject to the primary supervision of a U.S. court, or a trust
that validly has elected under applicable Treasury regulations to be treated as a U.S. person for U.S. federal income tax purposes.

 For purposes of this section, the term “non-U.S. holder” means a beneficial owner of CBOT Holdings Class A common stock that is not a U.S. holder.

Tax Consequences of the Merger Generally

 CME Holdings and CBOT Holdings have structured the merger to qualify
as a reorganization within the meaning of Section 368(a) of the Code. It is a condition to CME Holdings’ obligation to complete the merger that CME Holdings receive an opinion of its counsel, Skadden, Arps, dated the closing date of the
merger, substantially to the effect that the merger will be treated as a reorganization within the meaning of Section 368(a) of the Code. It is a condition to CBOT Holdings’ obligation to complete the merger that CBOT Holdings receive an
opinion of its counsel, Mayer Brown, dated the closing date of the merger, substantially to the effect that the merger will be treated as a reorganization within the meaning of Section 368(a) of the Code. In connection with the filing of the
registration statement of which this document forms a part, Skadden, Arps has delivered an opinion to CME Holdings, and Mayer Brown has delivered an opinion to CBOT Holdings, to the effect that the merger will be treated as a reorganization within
the meaning of Section 368(a) of the Code. In rendering these opinions, counsel may require and rely upon representations contained in letters and certificates to be received from CME Holdings and CBOT Holdings. In addition, the opinions will
be subject to certain qualifications and limitations as set forth in the opinions. None of the tax opinions given in connection with the merger or the opinions described below will be binding on the IRS. Neither CME Holdings nor CBOT Holdings
intends to request any ruling from the IRS as to the U.S. federal income tax consequences of the merger.

  Consequently, no assurance
can be given that the IRS will not assert, or that a court would not sustain, a position contrary to any of those set forth below. In addition, if any of the representations or assumptions upon which those opinions are based is inconsistent with the
actual facts, the U.S. federal income tax consequences of the merger could be adversely affected.

 The discussion below as to the material
U.S. federal income tax consequences of the merger is the opinion of Skadden Arps and Mayer Brown, subject to the qualifications and limitations referenced and summarized above.

 Tax Consequences of the Merger for CME Holdings, CME Holdings Stockholders and CBOT Holdings

 As a
result of the merger qualifying as a reorganization within the meaning of Section 368(a) of the Code, no gain or loss will be recognized by CME Holdings, CME Holdings stockholders, or CBOT Holdings.

 Tax Consequences of the Merger for CBOT Holdings Stockholders

  Exchange of CBOT Holdings Class A common stock solely for CME Holdings Class A common stock.

•

 For a U.S. holder who exchanges all of its shares of CBOT Holdings Class A common stock solely for shares of CME Holdings Class A common stock in the
merger, no gain or loss will be recognized.

 Exchange of CBOT Holdings Class A common stock solely for cash.

•

 For a U.S. holder who exchanges all of its shares of CBOT Holdings Class A common stock solely for cash in the merger, capital gain or loss equal to the
difference between the amount of cash received and the holder’s tax basis in the CBOT Holdings Class A common stock generally will be recognized.

•

 Any capital gain or loss generally will be long-term capital gain or loss if the U.S. holder held the shares of CBOT Holdings Class A common stock for more
than one year at the time the merger is completed. Long-term capital gain of an individual generally is subject to a maximum U.S. federal income tax rate of 15%. Short-term capital gains of an individual generally are subject to a maximum U.S.
federal income tax rate of 35%. The deductibility of capital losses is subject to limitations.

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•

 In some cases, such as if the U.S. holder actually or constructively owns CME Holdings Class A common stock immediately after the merger, such cash received in
the merger could be treated as having the effect of the distribution of a dividend, under the tests set forth in Section 302 of the Code, in which case such cash received would be treated as ordinary dividend income. These rules are complex and
dependent upon the specific factual circumstances particular to each U.S. holder. Consequently, each U.S. holder that may be subject to those rules should consult its tax advisor as to the application of these rules to the particular facts relevant
to such U.S. holder.

 Exchange of CBOT Holdings Class A common stock for combination of CME Holdings Class A
common stock and cash.

•

 For a U.S. holder who exchanges shares of CBOT Holdings Class A common stock for a combination of CME Holdings Class A common stock and cash, gain (but
not loss) will be recognized, and the gain recognized will be equal to the lesser of (i) the excess, if any, of the amount of cash plus the fair market value of any CME Holdings Class A common stock received in the merger, over such U.S.
holder’s tax basis in the shares of CBOT Holdings Class A common stock surrendered by the U.S. holder in the merger, or (ii) the amount of cash received in the merger.

•

 For a U.S. holder who acquired different blocks of CBOT Holdings Class A common stock at different times and at different prices, realized gain or loss
generally must be calculated separately for each identifiable block of shares exchanged in the merger, and a loss realized on the exchange of one block of shares cannot be used to offset a gain realized on the exchange of another block of shares.

•

 If a U.S. holder has differing bases or holding periods in respect of shares of CBOT Holdings Class A common stock, the U.S. holder should consult its tax
advisor prior to the exchange with regard to identifying the bases or holding periods of the particular shares of CME Holdings Class A common stock received in the merger.

•

 Any capital gain generally will be long-term capital gain if the U.S. holder held the shares of CBOT Holdings Class A common stock for more than one year at
the time the merger is completed. Long-term capital gain of an individual generally is subject to a maximum U.S. federal income tax rate of 15%. Capital gains on stock held for one year or less my be taxed at regular rates of up to 35% for
individuals.

•

 In some cases, such as if the U.S. holder actually or constructively owns CME Holdings Class A common stock immediately after the merger, such gain could be
treated as having the effect of the distribution of a dividend, under the tests set forth in Section 302 of the Code, in which case such gain would be treated as ordinary dividend income. These rules are complex and dependent upon the specific
factual circumstances particular to each U.S. holder. Consequently, each U.S. holder that may be subject to those rules should consult its tax advisor as to the application of these rules to the particular facts relevant to such U.S. holder.

 Treatment of non-U.S. holders who exchange CBOT Holdings Class A common stock in the merger.

•

 For a non-U.S. holder who exchanges its shares of CBOT Holdings Class A common stock in the merger, its tax consequences, including the computation of capital
gain or loss, will generally be determined in the same manner as that of a U.S. holder, except as otherwise described below.

•

 A non-U.S. holder generally will not be subject to U.S. federal income tax on any gain recognized with respect to the merger unless (i) such gain is
effectively connected with a trade or business of the non-U.S. holder in the United States (or, if certain income tax treaties apply, is attributable to a permanent establishment), (ii) CBOT Holdings is a U.S. real property holding corporation
(as defined below) at any time within the shorter of the five-year period ending on the date on which the proposed transaction is consummated or such non-U.S. holder’s holding period or (iii) the non-U.S. holder is an individual who is
present in the United States for a period or periods aggregating 183 or more days in the taxable year of the exchange and certain other conditions are met, (iv) or cash paid to a non-U.S. holder in the merger for some or all of such non-U.S.
holder’s CBOT Holdings Class A common stock

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has the effect of a distribution of a dividend for U.S. federal income tax purposes. In the case of (i)-(iii), a non-U.S. holder will be subject to U.S.
federal income tax on such gain in the same manner as a U.S. holder. In addition, a non-U.S. holder that is a corporation may be subject to a branch profits tax equal to 30% (or lesser rate under an applicable income tax treaty) on such effectively
connected income.

•

 Generally, a corporation is a “U.S. real property holding corporation” if the fair market value of its U.S. real property interests, as defined in the
Code and applicable regulations, equals or exceeds 50% of the aggregate fair market value of its worldwide real property interests and its other assets used or held for use in a trade or business. CBOT Holdings does not believe that it is or has
been a U.S. real property holding corporation within the last five years and does not expect to become a U.S. real property holding corporation prior to the date of closing of the merger.

•

 If a non-U.S. holder in the merger receives a cash payment in exchange for all or some of its CBOT Holdings Class A common stock that has the effect of a
distribution of a dividend for U.S. federal income tax purposes, then such cash payment m