Option Greeks: Rho
Interactive

Option Greeks: Rho

Intuition Publishing
Updated Sep 24, 2020

Rho measures the sensitivity of an option's price to changes in the risk-free rate of interest. We look at the basic definition of rho, and give the various formulas for rho for the Black-Scholes family of European options. We finish with a look at the effects of rates and time on rho.