KEPE GRIV “Fear” Index

Published in KEPE INDICES

December 2021 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 December 2021, reaching 28.10% on 31/12/2021 from 32.40% on 30/11/2021. 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. The index remained below its historical average level (since January 2004) for the Greek market, which stands at 32.68%. Moreover, in December 2021, the average daily value of the index increased, reaching 30.67% from 25.95% in November 2021. The year 2021 ended with the KEPE GRIV index at a higher level compared to the end of 2020, which was 23.97% on 31/12/2020, reflecting the concerns about the course of the pandemic and the new Omicron variant.

 

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More details for the index (in Greek)...