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KEPE GRIV “Fear” Index

Published in KEPE INDICES

March 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 March 2021, reaching 25.97% on 31/3/2021 from 23.86% on 26/2/2021. The index remained below its historical average level (since January 2004) for the Greek market, which stands at 32.94%. Moreover, the average daily value of the index in March reached 25.35% from 23.71% in February 2021. The evolution of the index reflects an increase in uncertainty for the expected short-run course of the Greek market.

 

Press here for the figure.

 

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