SECURITIES AND EXCHANGE COMMISSION
                           WASHINGTON, D.C. 20549


                                  FORM 8-K

                               CURRENT REPORT
                   PURSUANT TO SECTION 13 OR 15(d) OF THE
                      SECURITIES EXCHANGE ACT OF 1934


              Date of report (Date of earliest event reported)
                               June 26, 2001


                      CHICAGO MERCANTILE EXCHANGE INC.
                   -------------------------------------
             (Exact Name of Registrant as Specified in Charter)


           Delaware                   000-32645               36-4340266
           ----------                 ----------           ---------------
 (State or Other Jurisdiction        (Commission             (IRS Employer
      of Incorporation)               File Number)         Identification No.)


30 South Wacker Drive, Chicago, Illinois                           60606
--------------------------------------------                      --------
(Address of Principal Executive Office)                          (Zip Code)


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

                                    N/A
            ---------------------------------------------------
       (Former Name or Former Address, if Changed Since Last Report)



ITEM 9.  Regulation FD Disclosure

         On June 26, 2001, Chicago Mercantile Exchange Inc. issued a press
release with an attached letter to shareholders announcing the approval by
its board of directors of the formation of a holding company structure.

         A copy of the press release, dated June 26, 2001, is attached
hereto as Exhibit 99.1.


                               EXHIBIT INDEX


Exhibit
Number            Description
-----------       --------------

99.1              Press Release dated June 26, 2001.






                                 SIGNATURES

          Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.



                                            CHICAGO MERCANTILE EXCHANGE INC.

                                            Registrant


Date:  June 26, 2001                        By: /S/ David Gomach
                                               ------------------------------
                                                  David Gomach
                                                  Managing Director and
                                                  Chief Financial Officer





                                EXHIBIT 99.1

June 26, 2001

To Media Covering Chicago Mercantile Exchange Inc.

For your information, please see the attached letter to shareholders
disseminated this morning.

Ellen G. Resnick
Director, Corporate Communications
312/930-3435
eresnick@cme.com

William Burks
Associate Director, Corporate Communications
312/930-3446
wburks@cme.com


In connection with the proposed formation of a holding company and related
transactions, CME will file with the Securities and Exchange Commission, as
soon as reasonably practicable, a registration statement on SEC Form S-4.
The registration statement will contain a joint proxy statement/prospectus,
which describes the proposed terms and conditions of the holding company
formation. Shareholders are encouraged to read the registration statement
after it is filed, and the joint proxy statement/prospectus contained in
the registration statement, because these documents will contain important
information about the holding company formation. The registration
statement, including the joint proxy statement/prospectus, will be
available for free, both on the SEC's Web site (www.sec.gov) and on the
Investor Information section of CME's Web site at www.cme.com. Final
materials will be mailed to all shareholders.

                  ------------------------------------

June 26, 2001

To All Shareholders:

On March 13, 2001, we announced that the Board of Directors authorized
preparations for a possible initial public offering of Class A shares in
Chicago Mercantile Exchange Inc. These steps included an examination of our
corporate structure, our charter and our bylaws to ensure that CME is well
positioned for the future. Upon the advice and recommendations of our
financial and legal advisors, the Board of Directors approved the formation
of a new holding company structure that will enable us to address a number
of important issues relating to our business and corporate structure. This
holding company proposal will be submitted for shareholder approval. We
intend to file a registration/proxy statement shortly with the Securities
and Exchange Commission.

o        Implementation of Transfer Restrictions. In connection with our
         review, it has come to our attention that the recent charter
         amendment extending the transfer restrictions on Class A shares to
         all shareholders is not valid under Delaware law. Consequently,
         the original transfer restrictions put in place in connection with
         our November 13 demutualization are in effect. This means that 25
         percent of your Class A shares can be transferred separately from
         the related Series B share.

         Our financial advisors have counseled us that the extended
         transfer restrictions contained in the recent charter amendment
         are critical to the success of an initial public offering. The
         formation of a holding company will enable us to address this
         issue. It is the only practical way to implement the extended
         transfer restrictions for all shareholders. Subject to shareholder
         approval, we will establish the holding company through the merger
         of CME into a newly formed subsidiary. In doing so, we will
         effectively implement the extended transfer restrictions that we
         asked you to support at the April 18 annual shareholders' meeting.
         Following the merger, these restrictions will bind all CME
         shareholders. We continue to believe that CME and its shareholders
         will benefit from effectively implementing the extended transfer
         restrictions.

o        Strategic and Business Flexibility. Other public companies,
         including exchanges, have reorganized as holding companies to
         prepare for public offerings. A holding company will provide us
         with greater strategic flexibility and business opportunities,
         allowing us to separate our regulated derivatives exchange
         business from other businesses that we may pursue. The Boards of
         the holding company and CME will be the same. In the merger, the
         shareholders of CME will receive equivalent equity in the new
         holding company, with trading privileges remaining at the Exchange
         subsidiary. The "core rights" of Class B shareholders, including
         the right to elect a specified number of directors, will be
         maintained.

o        Separate the Value of the "Class A Share Equivalents." At the time
         of demutualization, we adopted a capital structure consisting of
         Class A common stock, representing "pure" equity in Chicago
         Mercantile Exchange Inc. We also exchanged CME, IMM, IOM and GEM
         memberships and fractions for different series of Class B shares,
         representing trading privileges and membership rights, as well as
         allocations of equity rights in the form of "Class A share
         equivalents," which were embedded in the Class B shares. The
         decision to embed equity in the Class B shares was made in order
         to help ensure a tax-free transaction for our shareholders. Since
         the completion of our demutualization transaction, many
         shareholders have inquired about whether an opportunity exists for
         them to achieve the direct benefit of the Class A share equity
         component of their Class B shares. One important advantage of the
         formation of the holding company is that we will extract the Class
         A equity component of each series of Class B shares by issuing to
         each Class B shareholder additional Class A shares equal to that
         equity component. On the basis of both the tax ruling we received
         and the advice of our tax counsel, we believe that this separation
         can be done on a tax-free basis. We are seeking a supplemental
         ruling from the Internal Revenue Service to that end. The Board
         believes that shareholders will benefit from the ability to
         realize the existing equity value of their Class B shares, if they
         so choose, by selling the newly issued Class A shares when
         permitted.

Please be advised that, in order to ensure that this significant
information is widely distributed to our shareholders, the share market
conducted in the Shareholder Relations and Membership Services Department
will not open until 12:00 noon (Chicago time) today, Tuesday, June 26,
2001.


Note that we will hold informational meetings at 2:15 and 3:30 p.m. on
Tuesday, July 17, in the Auditorium to address shareholder questions. In
the interim, questions regarding the foregoing should be directed to: Ms.
Ann Cresce, Director and Corporate Secretary, at (312) 930-3488, or Mr. Jim
Falvey, Director and Associate General Counsel, at (312) 930-3046.


Scott Gordon                          Jim McNulty
Chairman                              President and Chief Executive Officer


In connection with the proposed formation of the holding company and
related transactions, we will file with the Securities and Exchange
Commission, as soon as reasonably practicable, a registration statement on
SEC Form S-4. The registration statement will contain a joint proxy
statement/prospectus, which describes the proposed terms and conditions of
the holding company formation. Shareholders are encouraged to read the
registration statement after it is filed, and the joint proxy
statement/prospectus contained in the registration statement, because these
documents will contain important information about the holding company
formation. The registration statement, including the joint proxy
statement/prospectus, will be available for free, both on the SEC's Web
site (www.sec.gov) and on the Investor Information section of our Web site
at www.cme.com. Final materials will be mailed to all shareholders.
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SECURITIES AND EXCHANGE COMMISSION
                           WASHINGTON, D.C. 20549

                                  FORM 8-K

                               CURRENT REPORT
                   PURSUANT TO SECTION 13 OR 15(d) OF THE
                      SECURITIES EXCHANGE ACT OF 1934

              Date of report (Date of earliest event reported)
                               June 26, 2001

                      CHICAGO MERCANTILE EXCHANGE INC.
                   -------------------------------------
             (Exact Name of Registrant as Specified in Charter)

           Delaware                   000-32645               36-4340266
           ----------                 ----------           ---------------
 (State or Other Jurisdiction        (Commission             (IRS Employer
      of Incorporation)               File Number)         Identification No.)

30 South Wacker Drive, Chicago, Illinois                           60606
--------------------------------------------                      --------
(Address of Principal Executive Office)                          (Zip Code)

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

                                    N/A
            ---------------------------------------------------
       (Former Name or Former Address, if Changed Since Last Report)

ITEM 9.  Regulation FD Disclosure

         On June 26, 2001, Chicago Mercantile Exchange Inc. issued a press
release with an attached letter to shareholders announcing the approval by
its board of directors of the formation of a holding company structure.

         A copy of the press release, dated June 26, 2001, is attached
hereto as Exhibit 99.1.

                               EXHIBIT INDEX

Exhibit
Number            Description
-----------       --------------

99.1              Press Release dated June 26, 2001.

                                 SIGNATURES

          Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.

                                            CHICAGO MERCANTILE EXCHANGE INC.

                                            Registrant

Date:  June 26, 2001                        By: /S/ David Gomach
                                               ------------------------------
                                                  David Gomach
                                                  Managing Director and
                                                  Chief Financial Officer

                                EXHIBIT 99.1

June 26, 2001

To Media Covering Chicago Mercantile Exchange Inc.

For your information, please see the attached letter to shareholders
disseminated this morning.

Ellen G. Resnick
Director, Corporate Communications
312/930-3435
eresnick@cme.com

William Burks
Associate Director, Corporate Communications
312/930-3446
wburks@cme.com

In connection with the proposed formation of a holding company and related
transactions, CME will file with the Securities and Exchange Commission, as
soon as reasonably practicable, a registration statement on SEC Form S-4.
The registration statement will contain a joint proxy statement/prospectus,
which describes the proposed terms and conditions of the holding company
formation. Shareholders are encouraged to read the registration statement
after it is filed, and the joint proxy statement/prospectus contained in
the registration statement, because these documents will contain important
information about the holding company formation. The registration
statement, including the joint proxy statement/prospectus, will be
available for free, both on the SEC's Web site (www.sec.gov) and on the
Investor Information section of CME's Web site at www.cme.com. Final
materials will be mailed to all shareholders.

                  ------------------------------------

June 26, 2001

To All Shareholders:

On March 13, 2001, we announced that the Board of Directors authorized
preparations for a possible initial public offering of Class A shares in
Chicago Mercantile Exchange Inc. These steps included an examination of our
corporate structure, our charter and our bylaws to ensure that CME is well
positioned for the future. Upon the advice and recommendations of our
financial and legal advisors, the Board of Directors approved the formation
of a new holding company structure that will enable us to address a number
of important issues relating to our business and corporate structure. This
holding company proposal will be submitted for shareholder approval. We
intend to file a registration/proxy statement shortly with the Securities
and Exchange Commission.

o        Implementation of Transfer Restrictions. In connection with our
         review, it has come to our attention that the recent charter
         amendment extending the transfer restrictions on Class A shares to
         all shareholders is not valid under Delaware law. Consequently,
         the original transfer restrictions put in place in connection with
         our November 13 demutualization are in effect. This means that 25
         percent of your Class A shares can be transferred separately from
         the related Series B share.

         Our financial advisors have counseled us that the extended
         transfer restrictions contained in the recent charter amendment
         are critical to the success of an initial public offering. The
         formation of a holding company will enable us to address this
         issue. It is the only practical way to implement the extended
         transfer restrictions for all shareholders. Subject to shareholder
         approval, we will establish the holding company through the merger
         of CME into a newly formed subsidiary. In doing so, we will
         effectively implement the extended transfer restrictions that we
         asked you to support at the April 18 annual shareholders' meeting.
         Following the merger, these restrictions will bind all CME
         shareholders. We continue to believe that CME and its shareholders
         will benefit from effectively implementing the extended transfer
         restrictions.

o        Strategic and Business Flexibility. Other public companies,
         including exchanges, have reorganized as holding companies to
         prepare for public offerings. A holding company will provide us
         with greater strategic flexibility and business opportunities,
         allowing us to separate our regulated derivatives exchange
         business from other businesses that we may pursue. The Boards of
         the holding company and CME will be the same. In the merger, the
         shareholders of CME will receive equivalent equity in the new
         holding company, with trading privileges remaining at the Exchange
         subsidiary. The "core rights" of Class B shareholders, including
         the right to elect a specified number of directors, will be
         maintained.

o        Separate the Value of the "Class A Share Equivalents." At the time
         of demutualization, we adopted a capital structure consisting of
         Class A common stock, representing "pure" equity in Chicago
         Mercantile Exchange Inc. We also exchanged CME, IMM, IOM and GEM
         memberships and fractions for different series of Class B shares,
         representing trading privileges and membership rights, as well as
         allocations of equity rights in the form of "Class A share
         equivalents," which were embedded in the Class B shares. The
         decision to embed equity in the Class B shares was made in order
         to help ensure a tax-free transaction for our shareholders. Since
         the completion of our demutualization transaction, many
         shareholders have inquired about whether an opportunity exists for
         them to achieve the direct benefit of the Class A share equity
         component of their Class B shares. One important advantage of the
         formation of the holding company is that we will extract the Class
         A equity component of each series of Class B shares by issuing to
         each Class B shareholder additional Class A shares equal to that
         equity component. On the basis of both the tax ruling we received
         and the advice of our tax counsel, we believe that this separation
         can be done on a tax-free basis. We are seeking a supplemental
         ruling from the Internal Revenue Service to that end. The Board
         believes that shareholders will benefit from the ability to
         realize the existing equity value of their Class B shares, if they
         so choose, by selling the newly issued Class A shares when
         permitted.

Please be advised that, in order to ensure that this significant
information is widely distributed to our shareholders, the share market
conducted in the Shareholder Relations and Membership Services Department
will not open until 12:00 noon (Chicago time) today, Tuesday, June 26,
2001.

Note that we will hold informational meetings at 2:15 and 3:30 p.m. on
Tuesday, July 17, in the Auditorium to address shareholder questions. In
the interim, questions regarding the foregoing should be directed to: Ms.
Ann Cresce, Director and Corporate Secretary, at (312) 930-3488, or Mr. Jim
Falvey, Director and Associate General Counsel, at (312) 930-3046.

Scott Gordon                          Jim McNulty
Chairman                              President and Chief Executive Officer

In connection with the proposed formation of the holding company and
related transactions, we will file with the Securities and Exchange
Commission, as soon as reasonably practicable, a registration statement on
SEC Form S-4. The registration statement will contain a joint proxy
statement/prospectus, which describes the proposed terms and conditions of
the holding company formation. Shareholders are encouraged to read the
registration statement after it is filed, and the joint proxy
statement/prospectus contained in the registration statement, because these
documents will contain important information about the holding company
formation. The registration statement, including the joint proxy
statement/prospectus, will be available for free, both on the SEC's Web
site (www.sec.gov) and on the Investor Information section of our Web site
at www.cme.com. Final materials will be mailed to all shareholders.