Rho of the at the money call is small, and it shrinks as expiry nears
In Black 76 the rate enters only through discounting. An option on a future is priced as the discounted expected payoff, and the future is held fixed, so a higher rate lowers the value of both a call and a put by a small amount. That effect is rho, and it is negative for both.
The chart shows rho for the at the money call on the 10 Jun 2026 chain, in rupees per lot for each one percentage point move in the rate. The figure is small, and it shrinks as expiry nears, because the discounting runs over a shorter time.
Compare it with the other Greeks on the same call. Delta moves the premium by a large amount for each point of the index, and vega moves it for each point of volatility. Rho moves it by far less for a full percentage point in the rate. A full point is a large move for the rate curve in a month, so rho is rarely the number that changes a short dated position's result.
Rho matters more in two cases. The first is a long dated option, where discounting runs for many months. The second is a position where the future itself carries the rate. For the future, the rate sits inside the price through the cost of carry, covered in the futures basis module.
The school takes the rate as the T bill yield on the example date, from FBIL. That is a stand in for the risk free rate over the horizon, not a borrowing cost, and any tool that shows rho inherits that choice.
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study