KEPE GRIV “Fear” Index
KEPE INDICES
October 2023 estimations
The KEPE GRIV index or the “Fear” index is an implied volatility index. It is calculated based on the FTSE/Athex Large Cap Index options prices and reflects the uncertainty of the derivatives market participants regarding the expected short-term course of the Greek market. The index was created by KEPE in collaboration with the University of Patras and Professor C. Siriopoulos.
The KEPE GRIV index increased in October 2023, reaching 32.38% on 31/10/2023, from 28.12% on 29/9/2023. Moreover, the average daily value of the index increased, reaching 31.16% in October 2023, from 27.82% in September 2023. On 31/10/2023 the index was at its historical average level (since January 2004) for the Greek market, which stands at 32.38%. The evolution of the index indicates an increase in uncertainty for the expected short-term course of the Greek market compared to the end of the previous month, with fluctuations within the month.
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