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      Question

      In derivatives and options trading, the Greek parameter

      "Rho" specifically measures sensitivity of the option’s 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 option’s value changes with a 1% change in interest rates. It’s more significant in long-term options.

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