A stock is trading at $20.A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09.An increase in interest rates of 10 basis points changes the call value to,approximately,

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Rho measures the sensitivity of an option's price to a change in interest rates. Here, a rho of 1.09 means the option's price will increase by $0.0109 (1.09 cents) for a 1 percentage point (100 basis points) increase in interest rates. For a 10 basis point increase, the price increase would be 1/10th of that, or approximately $0.00109. Adding this to the original price of $1.439 gives approximately $1.440.

A Stock Is Trading at $20