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Derivatives, Futures & Options

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Derivatives, Futures & Options

Rho

The change in an option's price for a one-percentage-point change in the risk-free interest rate.

Rho = Change in Option Price / Change in Risk-Free Rate (per 1 percentage point) ₹ Derivatives, Futures & Options

Rollover

Closing a derivative position in the expiring contract and opening the equivalent position in the next expiry.

Rollover Cost = Price of the Far Contract - Price of the Near Contract, per unit index points