Explanation:
In-the-money options are more sensitive to changes in rates (rho is higher) than out-of-the-money options.
(Book 4, Module 62.3, LO 62.e)
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Question 3
Which of the following statements regarding option "Greeks" is incorrect?
A
Vega is highest when options are at-the-money.
B
Forward instruments cannot be used to create gamma-neutral positions.
C
Rho is higher for at-the-money versus in-the-money options.
D
Gamma represents the expected change in delta for a change in the value of the underlying instrument.
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