KEPE GRIV “Fear” Index

Published in KEPE INDICES

August 2023 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 August 2023, reaching 27.69% on 31/8/2023, from 23.45% on 31/7/2023. The evolution of the index indicates an increase in uncertainty for the expected short-term course of the Greek market compared to the end of the previous month. Note that the average daily value of the index decreased, reaching 25.60% in August 2023, from 26.27% in July 2023. Moreover, the index remained below its historical average level (since January 2004) for the Greek market, which stands at 32.41%.


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