Rho Sensitivity

Rho is the options Greek that measures the sensitivity of an option's price to a change in interest rates — specifically, how much the option's premium is expected to change for a one percentage point change in the risk-free interest rate. Call options generally have positive Rho (they benefit from rising interest rates, as higher rates increase the cost of carrying the underlying), while put options have negative Rho (they lose value when rates rise). Rho is the least discussed of the primary Greeks in short-term trading because interest rates typically move slowly and infrequently. However, Rho becomes meaningful for longer-dated options (LEAPS) and in environments of significant rate volatility — such as periods of active RBI rate action — where interest rate changes materially affect the present value of future option payoffs.