Last week walking through the CBOT for the first time in a while, I saw this plaque in the lobby which listed all the locations where the CBOT was located in the past and put them on a Google Map shown below. As you can see the exchange had to move quite a bit in it's early days and most of the locations were on South Water Street (modern day Wacker Dr.) which bordered the river as that was where the grain trade was centered. The blue line follows from the first to present day location but with thirteen different locations it might be hard to follow. A bigger version can be accessed via this link.
View CBOT locations from 1848 - Present in a larger map