Notice to Members 06-26

Amendments to Margin Rules to Reflect Additional Complex Option Spread Strategies

On April 3, 2006, NASD filed with the Securities and Exchange Commission (SEC) for immediate effectiveness a rule change to amend NASD Rules 2520 and 2522 that revised the margin requirements to recognize specific additional complex option spread strategies for purposes of determining required margin, and has amended the provisions relating to "permitted offsets" for certain listed option transactions.1 Rules 2520 and 2522, as amended, are set forth in Attachment A of this Notice. The effective date and the implementation date of the amendments was April 3, 2006.

Questions regarding this Notice may be directed to Susan M. DeMando, Associate Vice President, Financial Operations, at (202) 728-8411; or Kathryn M. Moore, Assistant General Counsel, Office of General Counsel, Regulatory Policy and Oversight, at (202) 974-2974.

1 See Exchange Act Release No. 53743 (April 28,2006), 71 FR 26797 (May 8, 2006) (File No. SR-NASD-2006-045). Under Section 19(b) of the Securities Exchange Act of 1934, the SEC has the authority to summarily abrogate this type of rule change within 60 days of filing.