The rate of change in price of a derivative with respect to a change in the risk-free rate. This “Greek” metric determines the sensitivity of an option or options portfolio to the movement in interest rates. If, for instance, the rho of an options portfolio is 10.25, that indicates that the value of this portfolio would increase (or decrease) by 10.25% relative to a percentage point increase (or decrease) in the benchmark interest rate.
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.
Comments