Chicago is the birthplace of futures trading. It all started 160 years ago at the Chicago Board of Trade. The merger last year of the Chicago Mercantile Exchange and the Chicago Board of Trade created the CME Group, now the world's largest futures exchange.

CME Group Chairman Terry Duffy traded live hogs for a decade-and-a-half before being tapped to head up the Merc six years ago, and CME Group last year. So, he knows a thing or two about life in the trading pits or, more appropriately now, life on the trading screen. While the CME saw its trading volume rise nearly 27% last year, Duffy knows his exchange can't rest on its laurels.

Competition in the futures industry has always been fierce, and it is getting even more fierce. The Korea Exchange is only slightly smaller than CME Group. The unregulated over-the-counter market is getting even more aggressive in the industry. And, a group of investment banks plans to start another all-electronic exchange soon.

That is why the CME Group is aggressively pursuing a merger with the New York Mercantile Exchange. Duffy can't say much about the exclusive talks that have been going on between CME Group and NYMEX, but he will admit that trading energy is a priority for his exchange. While no energy contract was among the top ten futures contracts traded globally last year, Duffy thinks energy is emerging as an asset class. It is also something that would help better diversify the CME.

If a merger doesn't happen with NYMEX, don't count the CME out of energy trading. This is the exchange that spearheaded financial futures and was among the nation's first exchanges to demutualize and become a publicly traded company.

During my interview with Duffy he deflected a question about the CME trading its own energy contracts, but he didn't deny it as a possibility. He's determined to keep the CME at the top of the industry. And, for a man who admits never having an easy day in his 20 years in the futures industry, he may be prepared to do what he has to just to stay on top.