Rho of a call option formula
Description of the Rho of a call option formula
Formula for the calculation of the rho of a call option. Rho is an option value's sensitivity to a change of the risk-free interest rate.
Formula
\[ \rho = Kte^{-rt}N\left ( d2 \right ) \\ {\small where: d1 = \frac{ln \left( \frac{S}{K} \right ) + \left(r+\frac{\sigma^{2}}{2}\right)t}{\sigma\sqrt{t}} ; } \] \[ {\small d2 = d1 - \sigma \sqrt{t}} \ \]
Symbols
\(K\ \)
Option strike price
\(N\ \)
Standard normal cumulative distribution function
\(r\ \)
\(σ\ \)
Volatility of the underlying
\(t\ \)
Time to option's expiry
Additional information related to this formula
Related definitions from the glossary of financial terms
Call option • Option • Rho • Risk-free interest rate • Strike price
Related calculators
Option strategy calculator • Pricing of an option (Black & Scholes)