The risk indicators of options are usually expressed in Greek letters, including delta value, gamma value, theta value, vega value, rho value and so on.

ρ refers to the sensitivity of option price to the change of risk-free interest rate.

ρ value is an index to measure the influence of interest rate change on warrant value.

When pricing warrants in the market, futures prices are often used instead of spot prices. Futures prices include spot prices and holding costs. Holding cost is the total financing cost of the underlying securities before the expiration date of the warrant agreement, and the financing cost is mainly affected by the interest rate.

The formula is as follows: Rho= option price change/risk-free interest rate change.

Generally speaking, the Rho of the foreign exchange option buyer is positive. With the increase of risk-free interest rate, the exercise price decreases and the option value increases. On the premise that other factors remain unchanged, the longer the time from the maturity date, the greater the Rho of foreign exchange options. Compared with other factors affecting option value, option value is less sensitive to the change of risk-free interest rate. Therefore, in the actual operation of the market, the impact of risk-free interest rate changes on option prices is often ignored.