How Does a High-Interest Rate Environment Influence the Delta of Deep ITM Call Options? ⎊ Path

How Does a High-Interest Rate Environment Influence the Delta of Deep ITM Call Options?

A high-interest rate environment slightly increases the Delta of deep ITM call options. This is because higher interest rates increase the carrying cost of the underlying asset, making the call option relatively more valuable compared to holding the asset.

The Black-Scholes model reflects this by slightly pushing the Delta closer to 1.0. The effect is marginal but present in theoretical pricing.

How Do Trading Fees and Funding Rates Slightly Alter the Theoretical Liquidation Percentage?

How Does the Funding Rate of the Underlying Perpetual Futures Contract Affect the Theoretical Price of a Perpetual Option?

Why Is the Interest Rate Effect Often Negligible for Short-Term Crypto Options?

How Does the Concept of ‘Carrying Costs’ Affect the Early Exercise Decision for a Call Option?

How Does a Change in the Underlying Asset’s Lending Rate Impact the IRC?

Does the Cost of Borrowing the Underlying Asset (Repo Rate) Impact the Delta of a Short Call Position?

How Does the Cost of Carry Affect Delta for Cryptocurrency Futures Options?

How Does the Risk-Free Rate Affect the Delta of Deep ITM Put Options?

Glossar

Deep ITM

Depth ⎊ In cryptocurrency options and financial derivatives, a Deep In-The-Money (ITM) position signifies an option contract where the strike price is significantly below the current market price of the underlying asset for calls, or substantially above for puts.

Deep ITM Call

Valuation ⎊ A Deep In-The-Money (ITM) call option, within cryptocurrency derivatives, signifies a contract where the underlying asset’s market price substantially exceeds the option’s strike price, indicating a high probability of intrinsic value.