Thursday, January 28, 2016

greeks - How does Rho behaves with moneyness of option?



I was trying to find the relationship between nature of Rho and moneyness of the option.


After finding certain values I found that Rho Value keep increases as the option gets further in the money. But I can't think of a reason to justify this behaviour.


Can you please explain this behaviour of Rho?


Thanks in advance.




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