CHICAGO (AP) _ Officials at the Chicago Mercantile Exchange asked nervous traders Monday not to overreact to a sweeping federal probe of fraud in the markets, but warned that they would deal harshly with rule violators.

The futures exchange's board of governors met Monday to discuss the broad undercover investigation and issued a letter urging traders ''not to be driven to irrational or self-destructive behavior by the adverse publicity.''

''Our own internal compliance department had already focused on many of the same practices that appear to be central to the federal investigation,'' the letter read. ''We will deal harshly with violators. We stand ready to revise rules and enforce procedures where necessary.''

The letter followed last week's revelations that federal authorities have been investigating the Merc and the Chicago Board of Trade for two years on allegations that as many as 100 brokers and traders systematically cheated customers out of millions of dollars.

Also Monday, the nation's top futures market regulator acknowledged that her agency has been involved in the investigation from the outset and said the probe should bolster investor confidence in the government's ability to police the markets.

''I think this is a very good example of how we're doing in our job,'' Wendy Gramm, chairman of the Commodities Futures Trading Commission, said at a news conference in Washington.

FBI agents posing as traders recorded conversations about the alleged fraud at the exchanges, and the government has subpoenaed traders and trading records dating back to Jan. 1, 1983.

Public disclosure of the investigation in news reports last week raised jitters among many traders and sparked a rash of seat sales on the major exchanges. Six more seats were sold on both exchanges by the close of business Monday, bringing to 32 the total number sold since the probe went public.

In their letter, Merc officials said ''an overreaction is not warranted.''

Merc spokesman Andrew Yemma would not comment on what was discussed in the Board of Governors meeting.

In Washington, Gramm declined to say whether her commission, an independent federal agency that regulates the futures markets, simply had been informed of the probe or had assigned personnel to it from the start.

She also did not say whether the commission knew that undercover FBI agents were operating on the floors of the exchanges and whether commission records have been subpoenaed.

The commission normally does not comment on investigations in progress but Gramm said she obtained Justice Department approval of Monday's statement.

Separately, a Chicago commodities attorney who says he has been approached for legal counsel by several traders contended that FBI agents used high- pressure tactics to induce them to cooperate.

Attorney John Troelstrup contended FBI agents had bullied traders to cooperate with the investigation.

Troelstrup said those who had approached him for legal counsel indicated that agents would show up at traders' homes and say: ''You like your house, you like your car? Your wife likes her jewels? They're ours now.''

''I would call that pretty high-pressure,'' he said.

FBI officials in Chicago did not immediately return telephone calls. U.S. Attorney Anton R. Valukas's office would have no comment, said Assistant U.S. Attorney Dan Gillogly.