KEPE GRIV “Fear” Index

Published in KEPE INDICES

January 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 increased in January 2021, reaching 25.43% on 29/1/2021 from 23.97% on 31/12/2020. The index remained below its historical average level (since January 2004) for the Greek market, which stands at 33.02%. Moreover, the average daily value of the index also increased in January 2021 to 23.62%, from 22.15% in December 2020. The evolution of the index reflects an increase in uncertainty for the course of the market, which is related to the course of the pandemic and its economic consequences.

 

Press here for the figure.

 

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