Rho

What Does Rho Mean?
The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest. Rho measures the sensitivity of an option or options portfolio to a change in interest rate.

Investopedia explains Rho
For example, if an option or options portfolio has a rho of 12.124, then for every percentage-point increase in interest rates, the value of the option increases 12.124%.

Filed Under: Derivatives, Derivatives, Futures, Options

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