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KEPE GRIV “Fear” Index

Published in KEPE INDICES

July 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 July 2020, reaching 26.46% on 31/7/2020 from 33.80% on 30/6/2020. The index is below its historical average level (since January 2004) for the Greek market, which stands at 33.24%. Moreover, the average daily value of the index also decreased in July 2020 to 27.96% from 32.03% in June 2020. The evolution of the index reflects a decrease in investor uncertainty in the Greek market, given the underlying health, political and economic developments at domestic and European levels during the month.

 

Press here for the figure.

 

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