What Is the Options Greek “Rho” and How Is It Measured?
Rho is the options Greek that measures the sensitivity of an option's price to a 1% change in the risk-free interest rate. It is a derivative of the option pricing model.
Rho is positive for call options (calls increase in value as rates rise) and negative for put options (puts decrease in value as rates rise). It is generally considered the least important Greek for short-term options.
Glossar
Options Greek
Definition ⎊ Options Greeks are a collection of quantitative measures that represent the sensitivity of a derivative's price, or premium, to changes in its underlying market factors.
Greek
Sensitivity ⎊ : These are the first-order partial derivatives of an option's price with respect to underlying parameters, providing a measure of risk exposure.
Rho
Sensitivity ⎊ Rho, within the context of cryptocurrency options and financial derivatives, quantifies the rate of change in an option’s price with respect to a one percent change in the underlying asset’s volatility.