What Is the Option Greek That Measures the Sensitivity of the Option Price to the Risk-Free Rate?
The option Greek that measures the sensitivity of the option price to the risk-free rate is Rho. Rho is defined as the change in the option's price for a one-percent change in the risk-free interest rate.
Rho is positive for call options and negative for put options. It is typically the least important of the major Greeks for short-term options.
