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    Question

    In derivatives and options trading, the Greek parameter

    "Rho" specifically measures sensitivity of the optionтАЩs price to changes in which of the following variables?
    A Underlying asset volatility Correct Answer Incorrect Answer
    B Time until expiry Correct Answer Incorrect Answer
    C Interest rate levels Correct Answer Incorrect Answer
    D Underlying asset price Correct Answer Incorrect Answer
    E Dividend yield Correct Answer Incorrect Answer

    Solution

    Rho indicates how much an optionтАЩs value changes with a 1% change in interest rates. ItтАЩs more significant in long-term options.

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