Sell Greek bank stocks? Sell the Greek index?
My point is that, in general, in any govt bond mkt, failing to deliver a bond is considered to be a bad and disruptive thing, both by the authorities and the mkt participants. Different mkts across the world address these issues in different ways*. The Greek mkt has been rather dysfunctional recently, with one particular mega fail last week. That's a very bad thing for dealers and the HDAT committee (half of the seats on which belong to dealers) decided that enough is enough. So they have, basically, instituted an auction mechanism for automatically covering all repo fails at the end of each day.
* For example, in the US trsy mkt these days, for every day you fail during the first month, you will be automatically covered in repo at -3%. After a month, you will trigger a cash buy-in (i.e. your short position can be liquidated by the cpty at a price of their choice). Obviously, these are broad guidelines and the specifics will depend on the exact legal language in the agreements that govern your repo lines. Another example is the Japanese govt bond mkt (JGB), where you can't fail at all, period. If you do, you get a call from the authorities and are threatened with all sorts of dire consequences (loss of banking license, etc).