MarketXLS

Historical Rho (Options)

Returns the rho Greek for an option contract on a specific historical date. Rho measures the option price sensitivity to a 1% change in interest rates.

Parameters

Parameter Required Description
Symbol Yes Option symbol (OCC format)
OnDate Yes Historical date (DATE function or string)

Input Requirements

Use OptionSymbol() to generate the option symbol:

Parameter Source Example
Symbol OptionSymbol() output OptionSymbol("AAPL",DATE(2026,3,15),"Call",170)

Understanding Rho

Option Type Rho Sign Reason
Calls Positive Higher rates increase call values
Puts Negative Higher rates decrease put values
Characteristic Description
Smaller impact Rho is typically the smallest Greek
Increases with time Longer-dated options have higher rho
Per 1% rate change Shows $ change per 1% interest rate move

Notes

  • Rho is often the least significant Greek for short-term options
  • Long-dated LEAPS options have more meaningful rho exposure
  • Call rho is positive; put rho is negative

Syntax

=opt_RhoHistorical(Symbol, OnDate)
Excel Desktop (Windows)

Parameters

symbolstringRequired
onDatedateRequired

Returns

number

Historical rho value (interest rate sensitivity) on the specified date

Examples

Using OptionSymbol() - RECOMMENDED
=opt_RhoHistorical(OptionSymbol("AAPL",DATE(2026,3,15),"Call",170),DATE(2025,12,15))
Using raw OCC symbol
=opt_RhoHistorical("AAPL240315C00170000", DATE(2025,12,15))
Put option rho (will be negative)
=opt_RhoHistorical(OptionSymbol("AAPL",DATE(2026,3,15),"Put",170),DATE(2025,12,15))
Using cell references
=opt_RhoHistorical(A1, B1)
LEAPS options have higher rho
=opt_RhoHistorical("AAPL260116C00200000", DATE(2025,12,15))
1+ year expiration

When to Use

  • Analyze interest rate exposure for LEAPS
  • Backtest strategies during rate-change periods
  • Study historical rate sensitivity
  • Calculate complete position Greeks
  • Analyze long-dated option pricing

When NOT to Use

Scenario Use Instead
Need current rho opt_Rho()
Need historical delta opt_DeltaHistorical()
Need historical theta opt_ThetaHistorical()
Need all Greeks at once opt_HistoricalOptionChain()

Common Issues & FAQ

Why is rho so small compared to other Greeks?

Interest rate changes typically have a smaller impact on option values compared to price moves, volatility, or time decay. Rho matters more for long-dated options.

Why is put rho negative?

Higher interest rates reduce put values because the present value of the strike price (received at exercise) decreases.

When does rho matter most?

For LEAPS (options expiring 1+ year out) and during periods of significant interest rate changes.

Excel Templates Using Historical Rho (Options)

These ready-made MarketXLS templates call opt_RhoHistorical() in their worksheet formulas. Open one to see the function working inside a complete model.

Related Formulas

More MarketXLS Options formulas you can use in the same worksheet:

See opt_RhoHistorical used in a complete workbook: SPX Options Historical Data: Complete Guide to In-Depth Analysis and Trends

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MarketXLS Excel Add-in Tutorial - How to Use Historical Rho (Options) and Other Financial Formulas
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