I guess this is pretty big news. According to the announcement about, “with average daily volume approaching 9 million contracts per day and notional value of approximately $4.2 trillion per day based on recent results,” big. That’s big.

Chicago Mercantile Exchange Holdings Inc. and CBOT Holdings, Inc. today announced they have signed a definitive agreement to merge the two organizations to create the most extensive and diverse global derivatives exchange. The combined company, to be named CME Group Inc., a CME/Chicago Board of Trade Company, is expected to transform global derivatives markets, creating operational and cost efficiencies for customers and exchange members, while delivering significant benefits to shareholders. Corporate headquarters of the combined organization will remain in Chicago.

The transaction is expected to close by mid-year 2007, pending approvals by regulators, and shareholders of both companies and CBOT members, as well as completion of customary closing conditions.