The document discusses the interest rate sensitivity of call options, focusing on the Greek 'rho'. It explains how interest rates affect call option pricing through discounting and forward effects. The document includes tables showing the impact of interest rates on call prices and rho values over different maturities. It advises against trading long-dated calls solely for rate exposure but notes potential benefits in current low-rate environments.
documents/vol00010-efta01365342-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0056048","SDNY_GM_00202232","EFTA01365342"]}