{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "vol-surface-desk-supervisory-stress-calibration-panel",
  "name": "VolSurface Desk Quantitative Model Equations & Multi-Period Stress Calibration Panel (2024–2026)",
  "description": "Verifiable mathematical specifications, closed-form equations, sample input parameters, and multi-period 2024–2026 benchmark outputs used by VolSurface Desk's interactive calculators and institutional risk engines. Enables reproducible backtesting and independent model validation.",
  "url": "https://volsurfacedesk.com/datasets#vol-surface-desk-supervisory-stress-calibration-panel",
  "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": [
    "quantitative model calibration",
    "financial calculator formulas",
    "supervisory stress testing parameters",
    "VolSurface Desk model validation dataset",
    "Cboe SPX 0DTE option volume share",
    "dealer net Gamma Exposure GEX formula",
    "Black-Scholes ATM straddle 1-sigma ratio"
  ],
  "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": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://volsurfacedesk.com/api/datasets/vol-surface-desk-supervisory-stress-calibration-panel?format=csv"
    },
    {
      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://volsurfacedesk.com/api/datasets/vol-surface-desk-supervisory-stress-calibration-panel?format=json"
    }
  ],
  "columns": [
    {
      "key": "modelId",
      "label": "Model / Parameter ID",
      "unitOrFormat": "Identifier",
      "description": "Unique quantitative model or stress calibration identifier."
    },
    {
      "key": "modelName",
      "label": "Model / Calibration Series",
      "unitOrFormat": "Text",
      "description": "Name of the pricing engine, risk calculator, or stress parameter."
    },
    {
      "key": "category",
      "label": "Analytical Domain",
      "unitOrFormat": "Category",
      "description": "Quantitative discipline or regulatory pillar."
    },
    {
      "key": "formulaSpecification",
      "label": "Equation / Convention Spec",
      "unitOrFormat": "Formula / Rule",
      "description": "Mathematical identity, LaTeX expression, or statutory calculation rule."
    },
    {
      "key": "calibrationInputRegime",
      "label": "Reference Input Regime",
      "unitOrFormat": "Parameters",
      "description": "Standardized institutional input vector used for baseline verification."
    },
    {
      "key": "benchmarkOutput2026",
      "label": "Verified 2026 Output",
      "unitOrFormat": "Calibrated Value",
      "description": "Expected deterministic output or 2026 regime corridor."
    },
    {
      "key": "validationAuthority",
      "label": "Methodology Standard",
      "unitOrFormat": "Authority / Text",
      "description": "Primary regulatory rulebook or canonical quantitative reference."
    },
    {
      "key": "temporalWindow",
      "label": "Panel Window",
      "unitOrFormat": "Period Range",
      "description": "Historical and forward calibration window covered by the panel."
    }
  ],
  "rowCount": 7,
  "rows": [
    {
      "modelId": "MOD-VOL-SU-01",
      "modelName": "Black-Scholes-Merton Analytical Greeks & Implied Vol Solver",
      "category": "Derivatives Pricing",
      "formulaSpecification": "C = S e^{-qT} N(d_1) - K e^{-rT} N(d_2)",
      "calibrationInputRegime": "S = 100, K = 100, T = 0.25y, r = 4.50%, q = 1.50%, σ = 20.0%",
      "benchmarkOutput2026": "Call = $4.3584 | Δ = +0.5299 | Γ = 0.0396 | ν = $0.1978",
      "validationAuthority": "ISDA Equity Derivatives Valuation Standard",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "MOD-VOL-SU-02",
      "modelName": "Bond Macaulay/Modified Duration, DV01 & Convexity Engine",
      "category": "Fixed Income Analytics",
      "formulaSpecification": "\\frac{\\Delta P}{P} \\approx -D_{\\text{mod}} \\Delta y + \\frac{1}{2} C (\\Delta y)^2",
      "calibrationInputRegime": "Par = $1,000, Coupon = 4.25% SA, YTM = 4.18%, Maturity = 10Y",
      "benchmarkOutput2026": "Price = $1,005.67 | ModDur = 8.07y | DV01 = $0.8116 | Conv = 76.42",
      "validationAuthority": "ICMA Rulebook 251 ACT/ACT",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "MOD-VOL-SU-03",
      "modelName": "Parametric VaR, Expected Shortfall (CVaR) & Cornish-Fisher Simulator",
      "category": "Portfolio Risk",
      "formulaSpecification": "z_{CF} = z + \\frac{S}{6}(z^2-1) + \\frac{K}{24}(z^3-3z) - \\frac{S^2}{36}(2z^3-5z)",
      "calibrationInputRegime": "NAV = $100M, Vol = 14.0%, Skew = -0.65, Excess Kurtosis = 2.40, Horizon = 10d",
      "benchmarkOutput2026": "99% CF-VaR = $8.51M | 97.5% FRTB ES = $7.89M",
      "validationAuthority": "BIS Basel Framework MAR33",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-CBOE-SPX-0DTE",
      "modelName": "S&P 500 (SPX) 0DTE Share of Total Option Volume Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Cash-settled European style (§1256 60/40 tax) · 16:00 ET PM settlement",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Every Trading Day (Mon–Fri Expiries)",
      "benchmarkOutput2026": "48% – 56% of Daily SPX Option Volume (~1.5M+ Contracts/Day) (Composite Weight: 96/100)",
      "validationAuthority": "Cboe Global Markets / OCC",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-DEALER-NET-GEX",
      "modelName": "Dealer Net Gamma Exposure (GEX) Flip Regime Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "GEX = Γ × OI × 100 × S² × 0.01 · Positive dampens RV, Negative amplifies",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Intraday Real-Time Spot Ladder",
      "benchmarkOutput2026": "±$1.5B to ±$6.0B Delta Hedge per 1% SPX Spot Move (Composite Weight: 94/100)",
      "validationAuthority": "Options Market Maker Delta-Neutral Hedging Flow",
      "temporalWindow": "2024-Q2 to 2026-Q4"
    },
    {
      "modelId": "CAL-BSM-STRADDLE-1SD",
      "modelName": "ATM Straddle vs. 1σ Expected Move Ratio Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "√(2/π) ≈ 79.8% of 1 standard deviation move · 390 trading mins/day",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Continuous Surface Calibration",
      "benchmarkOutput2026": "Straddle ≈ 0.7979 × S × σ × √(T ÷ 252) (Composite Weight: 91/100)",
      "validationAuthority": "Black–Scholes–Merton Arbitrage-Free Identity",
      "temporalWindow": "2024-Q3 to 2026-Q4"
    },
    {
      "modelId": "CAL-GREEKS-2ND-ORD",
      "modelName": "Vanna (∂Δ/∂σ) & Charm (∂Δ/∂t) Pre-OpEx Rebalancing Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Falling IV + time passage forces dealer short-put buybacks (Vanna/Charm tailwind)",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: 3rd Friday AM/PM OpEx & Daily 0DTE",
      "benchmarkOutput2026": "Peak Dealer Delta Decay 14:30 – 16:00 ET into Monthly OpEx (Composite Weight: 88/100)",
      "validationAuthority": "Quantitative Volatility Desk Microstructure",
      "temporalWindow": "2024-Q4 to 2026-Q4"
    }
  ]
}