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+The Effect of Time on Rho
+The more time until expiration, the greater the effect interest rate changes
+will have on options. In the previous example, a 25-basis-point change in
+the interest rate on the 80-strike based on a three-month period caused a
+change of 0.05 to the interest component of put-call parity. That is, 80 ×
+0.0025 × (90/360) = 0.05. If a longer period were used in the example—say,
+one year—the effect would be more profound; it will be $0.20: 80 × 0.0025
+× (360/360) = 0.20. This concept is evident when the rhos of options with
+different times to expiration are studied.
+Exhibit 2.16 shows the rhos of ATM Procter & Gamble Co. (PG) calls
+with various expiration months. The 750-day Long-Term Equity
+AnticiPation Securities (LEAPS) have a rho of 0.858. As the number of
+days until expiration decreases, rho decreases. The 22-day calls have a rho
+of only 0.015. Rho is usually a fairly insignificant factor in the value of
+short-term options, but it can come into play much more with long-term
+option strategies involving LEAPS.
+EXHIBIT 2.16 The effect of time on rho (Procter & Gamble @ $64.34)