CBOE Holdings Inc. (Nasdaq: CBOE), parent of the Chicago Board Options Exchange, is considering moving its headquarters out of Chicago due to the high tax rate in Illinois.

CBOE has reportedly held talks with officials of other states about a possible relocation.

Another Chicago-based exchange operator, CME Group Inc. (NYSE: CME), is also reportedly considering leaving Illinois after the state’s tax rate was boosted to 7 percent from 4.8 percent.

Illinois officials raised the tax rate in January to deal with the state’s massive budget deficit.

CME has reportedly held discussions with officials of at least five states about relocating – although its principal trading floor would remain in Chicago.

"We've had a series of meetings with people in this state and outside this state," said Bill Brodsky, CBOE’s chairman and chief executive, told media.

"The bottom line is that we don't want to leave Illinois, but the structure that exists as it relates to exchanges is virtually punitive."

CBOE estimates that its tax bill would rise by about 25 percent due to the state’s tax hike.

If CBOE and CME both left Chicago, it would seriously compromise the city’s image as the “derivatives capital of the world.”

According to media reports, the trading business employs about 120,000 people in Chicago, partially compensating for the decline in manufacturing jobs in recent decades.

Brodsky added: "Our goal is to find a way that will remove the punitive aspects that will allow us not to move operations out. Hopefully we will come to a solution, but if not we have many other alternatives."