Rho
Rho measures how much an option’s price changes for a 1-percentage-point change in the risk-free interest rate.
Rho is positive for calls and negative for puts: higher rates raise call values and lower put values. It is the least influential Greek for short-dated equity options.
Rho matters more for long-dated options (LEAPS) and in high-rate environments, where the cost of carry is significant.
Example. A long-dated call with a rho of 0.08 gains about $0.08 per share if interest rates rise one percentage point.
FAQ
Is rho important for short-term options?
Rarely — its effect is small relative to delta, theta, and vega; it matters most for long-dated options and big rate moves.
Why is call rho positive and put rho negative?
Higher rates increase the cost of carrying the underlying, which lifts call values and depresses put values, per put–call parity.