Compute option rho, the sensitivity of an option's price to a 1% change in the risk-free interest rate. Rho is most significant for long-dated options and is the least traded of the primary Greeks under Black-Scholes.
Enter the values for the scenario you are assessing. Compute option rho, the sensitivity of an option's price to a 1% change in the risk-free interest rate. Rho is most significant for long-dated options and is the least traded of the primary Greeks under Black-Scholes. Use the option rho result to inform your calculation.