Options Rho
Calculates Rho, which measures the sensitivity of an option's price to changes in the risk-free interest rate.
Parameters
| Parameter | Type | Required | Description |
|---|---|---|---|
| CurrentStockPrice | number | Yes | Current underlying stock price |
| MarketOptionPrice | number | Yes | Current option market price |
| ExpiryDate | date | Yes | Option expiration date |
| OptionType | string | Yes | "Call" or "Put" |
| StrikePrice | number | Yes | Option strike price |
| RiskFreeRate | number | No | Risk-free rate (default 0.05) |
| ImpliedVolatility | number | No | IV as decimal |
Interpretation
- Call options have positive Rho (benefit from rising rates)
- Put options have negative Rho (hurt by rising rates)
- Rho is typically smaller for short-dated options
Examples
When to Use
- Analyzing interest rate exposure
- Portfolio hedging for rate changes
- Options pricing models
- Risk management
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Price sensitivity | opt_Delta() |
| Delta sensitivity | opt_Gamma() |
| Time decay | opt_Theta() |
| Volatility sensitivity | opt_Vega() |
Common Issues & FAQ
Q: Why is Rho smaller than other Greeks? A: Rho measures sensitivity to a 1% change in rates, which typically has less impact than price or volatility changes.
Q: When is Rho most important? A: For longer-dated options and LEAPS where rate changes have more time to compound.
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