The call option is deep in-the-money and must have a delta close to one. The put option is deep out-of-the-money and must have a delta close to zero. Therefore, when the underlying stock falls by USD 1, the value of the deep in-the-money call will decrease by close to USD 1, and the value of the deep out-of-the-money put will increase by an amount very close to zero. The choice that is closest to satisfying both conditions is C.

Key Concepts:

• Delta: Measures the sensitivity of an option's price to changes in the underlying asset price
• Deep in-the-money call: Delta ≈ 1 (price moves almost 1:1 with stock)
• Deep out-of-the-money put: Delta ≈ 0 (price barely changes with stock movement)
• Current scenario: Stock at $80, strike at $50 → Call is $30 ITM, Put is $30 OTM