How Does the Interest Rate Component of the Black-Scholes Model Impact Delta?

The risk-free interest rate (r) component of the Black-Scholes model has a minor, but specific, impact on Delta. For call options, a higher interest rate slightly increases the Delta.

This is because higher rates reduce the present value of the strike price payment, making the call option more valuable and thus more sensitive to the underlying price. Conversely, for put options, a higher interest rate slightly decreases the absolute value of Delta (makes it closer to zero).

This effect is generally small unless the time to expiration is very long.