← modelrisk.app · Assumptions · A-065
equity model domain

Equity option implied vol baseline

A-065 · active · high sensitivity

Value

ATM IV: 18-22% (normal regime), 30-40% (stress)

sourceCBOE VIX + ATM SPX option IVs
derivationdata_calibrated
qualitycalibrated
regulatory frameworksNAIC VM-21
set2026-05-25
last reviewed2026-05-25
next review due2026-12-31

Notes

Drives GMxB rider hedge cost; calibrated to VIX index.