Analysis of Statement I: "Rho of a call and a put will change with expiration of time and it tends to approach zero as expiration approaches" - This is TRUE. Rho (sensitivity to interest rates) decreases as expiration approaches and approaches zero at expiration.

Analysis of Statement II: "Theta is positive for long ITM European put" - This is FALSE. Theta (time decay) is:

• Negative for long option positions (both calls and puts)
• Positive for short option positions
• ITM European puts still have negative theta when held long

Since Statement II is false, the correct answer is that both statements are false.