KEPE GRIV “Fear” Index

Published in KEPE INDICES

August 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 recorded a small decrease in August 2020, reaching 25.67% on 31/8/2020 from 26.46% on 31/7/2020. The index remains below its historical average level (since January 2004) for the Greek market, which stands at 33.21%. Moreover, the average daily value of the index also decreased in August 2020 to 26.93% from 27.96% in July 2020. This is a positive development as it captures a reduction in investor uncertainty in the Greek market for the second consecutive month.


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