First received a phone call from HR recruiter at CME, discussed my current role and why I was looking to move, what type of role I was hoping to attain, and salary requirements. He then called me back about 2 weeks later to set up an interview. I went down to the CME at the Nymex and had a video interview with two managers in the Chicago office.
It went well, was fairly low stress with mostly questions about what my current role involved, and what their group does.