Option Greeks

Rho

Definition

What is Rho?

The sensitivity of an option's value to a change in interest rates.

Example in practice

Long-dated options usually have more rho exposure.

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The estimated change in an option's price for a small change in the underlying price.

The rate at which an option's delta changes as the underlying price changes.

The estimated loss in an option's value from the passage of time, all else equal.

Land and buildings held for use, rental income, development, or appreciation.

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