KEPE GRIV “Fear” Index

Published in KEPE INDICES

May 2020 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 May 2020, reaching 29.56% on 29/5/2020 from 32.66% on 30/4/2020. The index is below its historical average level (since January 2004) for the Greek market, which stands at 33.28%. Moreover, the average daily value of the index significantly decreased in May 2020 to 29.35%, from 39.42% in April 2020. This is a positive development that reflects the gradual reduction of investor uncertainty in the Greek market resulting from the coronavirus pandemic management in Greece.

 

Press here for the figure.

 

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