Options trading
Rho
Definition
Rho is the estimated change in an option's price for a one-point change in interest rates. It is positive for calls, negative for puts and matters mostly for long-dated options.
Example
Say a call that expires in two years has a rho of 0.40. If interest rates rise by one percentage point, the call would gain about $0.40 per share, or $40 per contract, and a put on the same stock with a rho of −0.30 would lose about $30. A one-month option might have a rho of only 0.02, so the same rate change moves it by about $2 per contract.
Hypothetical numbers, for illustration only.
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