Derivatives, Futures & Options
2 terms
Rho
Derivatives, Futures & Options
₹
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)
Rollover
Derivatives, Futures & Options
index points
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