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The Greek that measures how much an option price changes for a 1% change in interest rates.
Why It Matters
Rho is the least-watched Greek for short-dated equity options because rate moves are small relative to other drivers. It matters more for long-dated options like LEAPS, where months of accrued interest can shift theoretical value. A rising-rate environment helps call values and hurts put values, all else equal.
Key Points
- Call rho is positive (higher rates lift calls); put rho is negative
- Quoted per 1% change in the risk-free rate, e.g. 0.05 = $5 per contract per 1%
- Larger for LEAPS and deep-ITM options, near zero for weekly options
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Common Questions
The Greek that measures how much an option price changes for a 1% change in interest rates. Rho is the least-watched Greek for short-dated equity options because rate moves are small relative to other drivers. It matters more for long-dated options like LEAPS, where months of accrued interest can shift theoretical value.
Rho is the least-watched Greek for short-dated equity options because rate moves are small relative to other drivers. It matters more for long-dated options like LEAPS, where months of accrued interest can shift theoretical value. A rising-rate environment helps call values and hurts put values, all else equal.
Call rho is positive (higher rates lift calls); put rho is negative
Quoted per 1% change in the risk-free rate, e.g. 0.05 = $5 per contract per 1%
Larger for LEAPS and deep-ITM options, near zero for weekly options