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Exhibit 10.1

CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.
ANNUAL INCENTIVE PLAN

        1.    Purpose.    The purpose of the Chicago Mercantile Exchange
Holdings Inc. Annual Incentive Plan is to align the interests of Company
management with those of the shareholders of the Company by encouraging
management to achieve goals intended to increase shareholder value.

        2.    Definitions.    The following terms, as used herein, shall have
the following meanings:

        (a)   "Award" shall mean an incentive compensation award, granted
pursuant to the Plan, which is contingent upon the attainment of Performance
Factors with respect to a Performance Period.

        (b)   "Board" shall mean the Board of Directors of the Company.

        (c)   "Code" shall mean the Internal Revenue Code of 1986, as amended.

        (d)   "Committee" shall mean the Compensation Committee of the Board or
such other committee as may be appointed by the Board to administer the Plan in
accordance with Section 3 of the Plan.

        (e)   "Common Stock" shall mean the common stock of the Company, par
value $0.01 per share.

        (f)    "Company" shall mean Chicago Mercantile Exchange Holdings Inc., a
Delaware corporation, or any successor corporation.

        (g)   "Disability" shall mean permanent disability as determined
pursuant to the long-term disability plan or policy of the Company or its
Subsidiaries in effect at the time of such disability and applicable to a
Participant.

        (h)   "Effective Date" shall mean January 1, 2003.

        (i)    "Exchange Act" shall mean the Securities Exchange Act of 1934, as
amended.

        (j)    "Participant" shall mean an employee of the Company or any
Subsidiary of the Company who is, pursuant to Section 4 of the Plan, selected to
participate herein.

        (k)   "Performance Factors" shall mean the criteria and objectives,
determined by the Committee, which must be met during the applicable Performance
Period as a condition of the Participant's receipt of payment with respect to an
Award. Performance Factors may include any or all of the following or any
combination thereof: gross margin, operating margin, revenue growth, free cash
flow, operating cash flow, earnings per share, economic value added, cash-flow
return on investment, net income, total shareholder return, return on
investment, return on equity, return on assets or any increase or decrease of
one or more of the foregoing over a specified period. Such Performance Factors
may relate to the performance of the Company, a Subsidiary, any portion of the
business, product line, or any combination thereof and may be expressed on an
aggregate, per share (outstanding or fully diluted) or per unit basis. Where
applicable, the Performance Factors may be expressed in terms of attaining a
specified level of the particular criteria, the attainment of a percentage
increase or decrease in the particular criteria, or may be applied to the
performance of the Company, a Subsidiary, a business unit, a product line, or
any combination thereof, relative to a market index, a group of other companies
(or their subsidiaries, business units or product lines), or a combination
thereof, all as determined by the Committee. Performance Factors may include a
threshold level of performance below which no payment shall be made, levels of
performance below the target level but above the threshold level at which
specified percentages of the Award shall be paid, a target level of performance
at which the full Award shall be paid, levels of performance above the target
level but below the maximum level at which specified multiples of the Award
shall be paid, and a maximum level of performance above which no additional
payment

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shall be made. Performance Factors may also specify that payments for levels of
performances between specified levels will be interpolated.

        (l)    "Performance Period" shall mean the twelve-month periods
commencing on January 1, 2003 and each January 1 thereafter, or such other
periods as the Committee shall determine; provided that a Performance Period for
a Participant who becomes employed by the Company or its Subsidiaries following
the commencement of a Performance Period may be a shorter period that commences
with the date of the commencement of such employment.

        (m)  "Plan" shall mean this Chicago Mercantile Exchange Holdings Inc.
Annual Incentive Plan.

        (n)   "Subsidiary" shall mean any company, partnership, limited
liability company, business or entity (other than the Company) of which at least
50% of the combined voting power of its voting securities is, or the operations
and management are, directly or indirectly controlled by the Company.

        3.    Administration.    The Plan shall be administered by a Committee
of the Board. The Committee shall have the authority in its sole discretion,
subject to and not inconsistent with the express provisions of the Plan, to
administer the Plan and to exercise all the powers and authorities either
specifically granted to it under the Plan or necessary or advisable in the
administration of the Plan, including, without limitation, the authority to
grant Awards; to determine the persons to whom and the time or times at which
Awards shall be granted; to determine the terms, conditions, restrictions and
Performance Factors relating to any Award; to determine whether, to what extent,
and under what circumstances an Award may be settled, cancelled, forfeited, or
surrendered; to make adjustments in the Performance Factors in recognition of
unusual or non-recurring events affecting the Company or its Subsidiaries or the
financial statements of the Company or its Subsidiaries, or in response to
changes in applicable laws, regulations or accounting principles; to construe
and interpret the Plan and any Award; to prescribe, amend and rescind rules and
regulations relating to the Plan; to determine the terms and provisions of
Awards (including provisions relating to a change in control of the Company);
and to make all other determinations deemed necessary or advisable for the
administration of the Plan. Without limiting the generality of the foregoing,
the Committee shall have the sole discretion to determine whether, or to what
extent, Performance Factors are achieved; provided, however, that the Committee
shall have the authority to make appropriate adjustments in Performance Factors
under an Award to reflect the impact of extraordinary items not reflected in
such goals. For purposes of the Plan, extraordinary items shall be defined as
(1) any profit or loss attributable to acquisitions or dispositions of stock or
assets, (2) any changes in accounting standards or treatments that may be
required or permitted by the Financial Accounting Standards Board or adopted by
the Company or its Subsidiaries after the goal is established, (3) all items of
gain, loss or expense for the year related to restructuring charges for the
Company or its Subsidiaries, (4) all items of gain, loss or expense for the year
determined to be extraordinary or unusual in nature or infrequent in occurrence
or related to the disposal of a segment of a business, (5) all items of gain,
loss or expense for the year related to discontinued operations that do not
qualify as a segment of a business as defined in APB Opinion No. 30 (or
successor literature), (6) the impact of capital expenditures, (7) the impact of
share repurchases and other changes in the number of outstanding shares, and
(8) such other items as may be prescribed by Section 162(m) of the Code and the
Treasury Regulations thereunder as may be in effect from time to time, and any
amendments, revisions or successor provisions and any changes thereto.

        The Committee shall consist of two or more persons each of whom shall be
an "outside director" within the meaning of Section 162(m) of the Code. All
decisions, determinations and interpretations of the Committee shall be final
and binding on all persons, including the Company and the Participant (or any
person claiming any rights under the Plan from or through any Participant).

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        Subject to Section 162(m) of the Code or as otherwise required for
compliance with other applicable law, the Committee may delegate all or any part
of its authority under the Plan.

        4.    Eligibility.    Awards may be granted to Participants in the sole
discretion of the Committee. In determining the persons to whom Awards shall be
granted and the Performance Factors relating to each Award, the Committee shall
take into account such factors as the Committee shall deem relevant in
connection with accomplishing the purposes of the Plan.

        5.    Terms of Awards.    Awards granted pursuant to the Plan shall be
communicated to Participants in such form as the Committee shall from time to
time approve and the terms and conditions of such Awards shall be set forth
therein.

        (a)    In General.    On or prior to the date on which 25% of a
Performance Period has elapsed, the Committee shall specify in writing, by
resolution of the Committee or other appropriate action, the Participants for
such Performance Period and the Performance Factors applicable to each Award for
each Participant with respect to such Performance Period. Unless otherwise
provided by the Committee in connection with specified terminations of
employment, payment in respect of Awards shall be made only if and to the extent
the minimum Performance Factors with respect to such Performance Period are
attained.

        (b)    Special Provisions Regarding Awards.    Notwithstanding anything
to the contrary contained herein, in no event shall payment in respect of Awards
granted hereunder exceed $2,500,000 to any one Participant in any one year. The
Committee may at its discretion decrease the amount of an Award payable upon
attainment of the specified Performance Factors, but in no event may the
Committee increase at its discretion the amount of an Award payable upon
attainment of the specified Performance Factors.

        (c)    Time and Form of Payment.    Unless otherwise determined by the
Committee, all payments in respect of Awards granted under this Plan shall be
made in cash within one hundred and twenty (120) days after the end of the
Performance Period.

        6.    Term.    Subject to the approval of the Plan by the holders of a
majority of the Common Stock represented and voting on the proposal at the
annual meeting of Company stockholders to be held in 2003 (or any adjournment
thereof), the Plan shall be effective as of January 1, 2003 and shall continue
in effect until the fifth anniversary of the date of such stockholder approval,
unless earlier terminated as provided below.

        7.    General Provisions.    

        (a)    Compliance with Legal Requirements.    The Plan and the granting
and payment of Awards, and the other obligations of the Company under the Plan
shall be subject to all applicable federal and state laws, rules and
regulations, and to such approvals by any regulatory or governmental agency as
may be required.

        (b)    Nontransferability.    Awards shall not be transferable by a
Participant except upon the Participant's death following the end of the
Performance Period but prior to the date payment is made, in which case the
Award shall be transferable in accordance with any beneficiary designation made
by the Participant in accordance with Section 7(k) below or, in the absence
thereof, by will or the laws of descent and distribution.

        (c)    No Right To Continued Employment.    Nothing in the Plan or in
any Award granted pursuant hereto shall confer upon any Participant the right to
continue in the employ of the Company or any of its Subsidiaries or to be
entitled to any remuneration or benefits not set forth in the Plan or to
interfere with or limit in any way whatever rights otherwise exist of the
Company or its Subsidiaries to terminate such Participant's employment or change
such Participant's remuneration.

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        (d)    Withholding Taxes.    Where a Participant or other person is
entitled to receive a payment pursuant to an Award hereunder, the Company shall
have the right either to deduct from the payment, or to require the Participant
or such other person to pay to the Company prior to delivery of such payment, an
amount sufficient to satisfy any federal, state, local or other withholding tax
requirements related thereto.

        (e)    Amendment, Termination and Duration of the Plan.    The Board or
the Committee may at any time and from time to time alter, amend, suspend, or
terminate the Plan in whole or in part; provided that, no amendment that
requires stockholder approval in order for the Plan to continue to comply with
Code Section 162(m) shall be effective unless the same shall be approved by the
requisite vote of the stockholders of the Company. Notwithstanding the foregoing
(but subject to Section (j)), no amendment shall affect adversely any of the
rights of any Participant under any Award following the grant of such Award,
provided that neither an adjustment of an Award (as contemplated by Section 3)
nor the exercise of the Committee's discretion pursuant to Section 5(b) to
reduce the amount of an Award shall not be deemed an impermissible amendment of
the Plan or an Award.

        (f)    Participant Rights.    No Participant shall have any claim to be
granted any Award under the Plan, and there is no obligation for uniformity of
treatment for Participants.

        (g)    Termination of Employment.    

          (i)  Unless otherwise provided by the Committee, and except as set
forth in subparagraph (ii) of this Section 7(g), a Participant must be actively
employed by the Company or its Subsidiaries at the time Awards are generally
paid with respect to a Performance Period in order to be eligible to receive
payment in respect of such Award.

         (ii)  Unless otherwise provided by the Committee, if a Participant's
employment is terminated as result of death, Disability or voluntary retirement
with the consent of the Company prior to the end of the Performance Period, such
Participant shall receive a pro rata portion of the Award that he or she would
have received with respect to the applicable Performance Period, which shall be
payable at the time payment is made to other Participants in respect of such
Performance Period.

        (h)    Unfunded Status of Awards.    The Plan is intended to constitute
an "unfunded" plan for incentive and deferred compensation. With respect to any
payments not yet made to a Participant pursuant to an Award, nothing contained
in the Plan or any Award shall give any such Participant any rights that are
greater than those of a general creditor of the Company.

        (i)    Governing Law.    The Plan and all determinations made and
actions taken pursuant hereto shall be governed by the laws of the State of
Delaware without giving effect to the conflict of laws principles thereof.

        (j)    Effective Date.    The Plan shall take effect upon its adoption
by the Board; provided, however, that the Plan shall be subject to the requisite
approval of the stockholders of the Company in order to comply with
Section 162(m) of the Code. In the absence of such approval, the Plan (and any
Awards made pursuant to the Plan prior to the date of such approval) shall be
null and void.

        (k)    Beneficiary.    A Participant may file with the Committee a
written designation of a beneficiary on such form as may be prescribed by the
Committee and may, from time to time, amend or revoke such designation. If no
designated beneficiary survives the Participant and an Award is payable to the
Participant's beneficiary pursuant to Section 7(b), the executor or
administrator of the Participant's estate shall be deemed to be the grantee's
beneficiary.

        (l)    Interpretation.    The Plan is designed and intended to comply,
to the extent applicable, with Section 162(m) of the Code, and all provisions
hereof shall be construed in a manner to so comply.

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CHICAGO MERCANTILE EXCHANGE HOLDINGS INC. ANNUAL INCENTIVE PLAN