KEPE GRIV “Fear” Index

KEPE INDICES

March 2024 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 decreased in March 2024, reaching 22.40% on 28/3/2024, from 24.35% on 29/2/2024. Moreover, the average daily value of the index decreased, reaching 24.44% in March 2024, from 24.64% in February 2024. The index remained below its historical average level (since January 2004) for the Greek market, which stands at 32.25%. The evolution of the index indicates a decrease 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.

Press here for the figure.

 

More details for the index (in Greek)…