Rho
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 Says:
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%. Related Terms:
Delta
Derivative
Gamma
Greeks
Interest Rate
Option
Vega |