Rho

Rho is one of the option greeks, which measures the sensitivity of the price of an option with respect to the change in the interest rate.

Rho is denoted by the greek letter and is calculated as:

Rho = Change in price of an option/ Change in rate of interest
 

When interest rate increases, call option prices rise while put option prices fall. Similarly, when interest rate decreases call option prices drop and put option prices rise.