The previous articles in this Greek textbook series explored Delta, Gamma, Theta and Vega, each representing a different sensitivity in option pricing.
In this article, we turn our attention to Rho, the Greek that measures an option’s sensitivity to changes in the risk-free rate. Rho quantifies the change in an option’s value given a change in the risk-free rate, assuming all other factors remain constant. It is especially relevant in interest rate-sensitive environments or when pricing long-dated options. Rho’s impact is often negligible for short-dated options, where changes in interest rates have little time to significan