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 *
DONOHUE CRAIG S
   2. Issuer Name and Ticker or Trading Symbol
CME GROUP INC. [CME] 		5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)
__X__ Director _____ 10% Owner
__X__ Officer (give title below) _____ Other (specify below)
CEO
(Last)
(First)
(Middle)
20 S. WACKER DRIVE		 3. Date of Earliest Transaction (Month/Day/Year)
09/14/2010
(Street)

CHICAGO, IL 60606		 4. If Amendment, Date Original Filed(Month/Day/Year)
 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 09/14/2010   M   1,500 A $ 22 28,234 (1) D  
Common Stock Class A 09/14/2010   M   5,000 A $ 63.01 33,234 (1) D  

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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
Non-Qualified Stock Option (right to buy) $ 22 09/14/2010   M     1,500 05/07/2005(2) 05/07/2011 Common Stock Class A 1,500 $ 0 0 D  
Non-Qualified Stock Option (right to buy) $ 63.01 09/14/2010   M     5,000 06/06/2008(3) 06/06/2013 Common Stock Class A 5,000 $ 0 22,400 D  

Reporting Owners

Reporting Owner Name / Address Relationships
 Director  10% Owner  Officer  Other
DONOHUE CRAIG S
20 S. WACKER DRIVE
CHICAGO, IL 60606		   X     CEO  

Signatures

 By: Margaret C. Austin For: Craig S. Donohue   09/15/2010
**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).
(1) On September 14, 2010, Mr. Donohue increased his beneficial ownership in CME Group Class A shares by 6,500 shares. Mr. Donohue is now the beneficial owner of 33,234 CME Group Class A shares with a market value of approximately $9 million, based on the closing price of $269.32 on September 14, 2010. Mr. Donohue paid approximately $900,000 in cash, to satisfy his tax withholding obligations and the exercise price associated with his exercise of 6,500 options with exercise prices of $22.00 (1,500 options) and $63.01 (5,000 options).
(2) On May 7, 2005, this option vested with respect to 100% of the granted number of shares covered by the option.
(3) On June 6, 2008, this option vested with respect to 100% of the granted number of shares covered by the option.

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