Vega and Rho - Vega is an estimate of how much the theoretical value of an option changes when volatility changes 1%. Higher volatility means higher option prices. The reason for this is that higher volatility means a greater price swing' in the stock price, which translates into a greater likelihood for an option to make money by expiration. Vega of all options declines as expiration approaches.

Rho is the rate at which the price of a derivative changes relative to a change in the risk-free rate of interest. Rho measures the sensitivity of an option or options portfolio to a change in interest rate.