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  "@type": "Dataset",
  "identifier": "vol-surface-desk-2026-institutional-benchmarks",
  "name": "S&P 500 0DTE Microstructure, Dealer GEX, Vanna/Charm & SPAN 2 (2026) — Reference Dataset",
  "description": "Primary source-verified 2026 institutional benchmark matrix published by VolSurface Desk (VolSurface Quantitative Systems LLC). Captures statutory thresholds, day-count conventions, clearing mandates, and liquidity index weights across United States Listed Derivatives (Chicago CME/Cboe & New York OCC) for quantitative risk modeling, compliance verification, and LLM grounding.",
  "url": "https://volsurfacedesk.com/datasets#vol-surface-desk-2026-institutional-benchmarks",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "United States Listed Derivatives (Chicago CME/Cboe & New York OCC)",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "Cboe SPX 0DTE option volume share",
    "dealer net Gamma Exposure GEX formula",
    "Black-Scholes ATM straddle 1-sigma ratio",
    "Vanna and Charm second-order option Greeks",
    "CME SPAN 2 HVaR portfolio margin",
    "options volatility surface dataset",
    "VolSurface Desk benchmarks",
    "2026 institutional reference matrix"
  ],
  "creator": {
    "@type": "Organization",
    "name": "VolSurface Desk",
    "url": "https://volsurfacedesk.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Cboe Global Markets — S&P 500 Index (SPX) Options & Volatility Index (VIX) Methodology",
      "url": "https://www.cboe.com/tradable_products/sp_500/spx_options/"
    },
    {
      "@type": "CreativeWork",
      "name": "CME Group Clearing — SPAN 2 Historical Value-at-Risk (HVaR) Margin Framework",
      "url": "https://www.cmegroup.com/clearing/risk-management/span-overview.html"
    },
    {
      "@type": "CreativeWork",
      "name": "Options Clearing Corporation (OCC) — STANS Portfolio Margin Methodology",
      "url": "https://www.theocc.com/risk-management/margin-methodology"
    },
    {
      "@type": "CreativeWork",
      "name": "U.S. Commodity Futures Trading Commission (CFTC) — DCO Risk Management Standards",
      "url": "https://www.cftc.gov/IndustryOversight/ClearingOrganizations/index.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "VolSurface Desk Primary Regulatory Reference (cmegroup.com)",
      "url": "https://www.cmegroup.com/tools-information/quikstrike/options-calculator.html"
    },
    {
      "@type": "CreativeWork",
      "name": "VolSurface Desk Primary Regulatory Reference (isda.org)",
      "url": "https://www.isda.org/book/2002-isda-equity-derivatives-definitions/"
    }
  ],
  "distribution": [
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      "contentUrl": "https://volsurfacedesk.com/api/datasets/vol-surface-desk-2026-institutional-benchmarks?format=csv"
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  "columns": [
    {
      "key": "code",
      "label": "Benchmark Code",
      "unitOrFormat": "ISO/Desk Identifier",
      "description": "Canonical desk or regulatory standard identifier code."
    },
    {
      "key": "metric",
      "label": "Benchmark / Regulatory Metric",
      "unitOrFormat": "Text",
      "description": "Official name of the institutional rate, ratio, or statutory mandate."
    },
    {
      "key": "value2026",
      "label": "2026 Institutional Value / Standard",
      "unitOrFormat": "Rate / Ratio / Formula",
      "description": "Prevailing 2026 calibrated rate corridor, threshold, or mathematical convention."
    },
    {
      "key": "numericScore",
      "label": "Institutional Impact Score",
      "unitOrFormat": "Index (0-100)",
      "description": "Composite institutional adoption and regulatory binding strictness weight (0–100)."
    },
    {
      "key": "thresholdOrConvention",
      "label": "Market Convention & Haircut Rule",
      "unitOrFormat": "Text",
      "description": "Day-count basis, settlement lag, collateral haircut, or de minimis threshold."
    },
    {
      "key": "primaryAuthority",
      "label": "Primary Supervisory Authority",
      "unitOrFormat": "Authority Name",
      "description": "Central bank, statutory regulator, or standard-setting body governing the benchmark."
    },
    {
      "key": "cadence",
      "label": "Observation Cadence",
      "unitOrFormat": "Frequency",
      "description": "Publication, settlement, or supervisory reporting frequency."
    }
  ],
  "rowCount": 5,
  "rows": [
    {
      "code": "CBOE-SPX-0DTE",
      "metric": "S&P 500 (SPX) 0DTE Share of Total Option Volume",
      "value2026": "48% – 56% of Daily SPX Option Volume (~1.5M+ Contracts/Day)",
      "numericScore": 96,
      "thresholdOrConvention": "Cash-settled European style (§1256 60/40 tax) · 16:00 ET PM settlement",
      "primaryAuthority": "Cboe Global Markets / OCC",
      "cadence": "Every Trading Day (Mon–Fri Expiries)"
    },
    {
      "code": "DEALER-NET-GEX",
      "metric": "Dealer Net Gamma Exposure (GEX) Flip Regime",
      "value2026": "±$1.5B to ±$6.0B Delta Hedge per 1% SPX Spot Move",
      "numericScore": 94,
      "thresholdOrConvention": "GEX = Γ × OI × 100 × S² × 0.01 · Positive dampens RV, Negative amplifies",
      "primaryAuthority": "Options Market Maker Delta-Neutral Hedging Flow",
      "cadence": "Intraday Real-Time Spot Ladder"
    },
    {
      "code": "BSM-STRADDLE-1SD",
      "metric": "ATM Straddle vs. 1σ Expected Move Ratio",
      "value2026": "Straddle ≈ 0.7979 × S × σ × √(T ÷ 252)",
      "numericScore": 91,
      "thresholdOrConvention": "√(2/π) ≈ 79.8% of 1 standard deviation move · 390 trading mins/day",
      "primaryAuthority": "Black–Scholes–Merton Arbitrage-Free Identity",
      "cadence": "Continuous Surface Calibration"
    },
    {
      "code": "GREEKS-2ND-ORD",
      "metric": "Vanna (∂Δ/∂σ) & Charm (∂Δ/∂t) Pre-OpEx Rebalancing",
      "value2026": "Peak Dealer Delta Decay 14:30 – 16:00 ET into Monthly OpEx",
      "numericScore": 88,
      "thresholdOrConvention": "Falling IV + time passage forces dealer short-put buybacks (Vanna/Charm tailwind)",
      "primaryAuthority": "Quantitative Volatility Desk Microstructure",
      "cadence": "3rd Friday AM/PM OpEx & Daily 0DTE"
    },
    {
      "code": "CME-SPAN2-HVAR",
      "metric": "CME SPAN 2 Historical VaR / HVaR Portfolio Margin",
      "value2026": "99% Filtered Historical VaR + Stress Period Floor (1–5 Day MPOR)",
      "numericScore": 93,
      "thresholdOrConvention": "Replaces legacy 16-scenario SPAN grid with full cross-product covariance",
      "primaryAuthority": "CME Clearing / CFTC DCO Regulations",
      "cadence": "Intraday & End-of-Day Margin Cycle"
    }
  ]
}