Invest and Trade Profitably with Jon Johnson

I am looking at the formula used by “CBOE” in the calculation of Deltas. The formula includes a multiplication of “interest rate”. Is the rate, the Bank’s lending rate? What interest rate is used to calculate Deltas?

August 30, 2000

The rate most commonly used is the two-year U.S. Treasury Bill interest rate. The current rate at today’s close is 4.625%.

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