Answer: Both statements are false

**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.

Author: LeetQuiz Editorial Team