What Is the Significance of the Rho Greek in a Zero-Interest-Rate Environment for Crypto Options?

Rho measures the sensitivity of an option's price to a change in the risk-free interest rate. In a zero-interest-rate environment, the Rho of an option approaches zero, meaning changes in the risk-free rate have a minimal impact on the option's price.

This simplifies the pricing model. However, as crypto derivatives often use a non-zero borrowing rate (e.g.

DeFi lending rates), Rho remains relevant for long-dated options.