KEPE GRIV “Fear” Index

Published in KEPE INDICES

February 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 about 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 reached 32.37% on 28/2/2020, its highest value in 2020, from 22.77% on 31/1/2020. The index recorded a significant increase reflecting increased uncertainty during the last week of February when the first cases of coronavirus appeared in Greece. The index remains below its historical average level (since January 2004) for the Greek market, which stands at 33.22%. In addition, the average daily value of the index, which had been gradually declining for several months, reached 23.59% in February 2020 from 21.86% in January 2020.

 

Press here for the figure.

 

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