How Does a Change in the ‘Risk-Free Rate’ Affect the Theoretical Price of a Crypto Option?

In option pricing models like Black-Scholes, an increase in the risk-free rate generally leads to a higher theoretical price for Call options and a lower theoretical price for Put options. This is because a higher rate increases the present value of the strike price for a Call (a benefit) and decreases it for a Put (a cost).

The effect is usually minor for short-dated options but becomes more significant for long-term contracts.