The document discusses the interest rate sensitivity of call options, focusing on the Greek 'rho'. It explains how interest rate levels affect call option pricing through discounting and forward effects. The document includes tables showing the impact of interest rates on call prices and rho as a percentage of option price over different maturities. It advises against trading long-dated calls solely for rate exposure but notes the potential positive impact of rate increases on call premiums.
documents/vol00010-efta01364949-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055511","SDNY_GM_00201695","EFTA01364949"]}