Answer-first summary for fast verification
Answer: II only
## Explanation Let's analyze both statements: **Statement I: False** - Rho measures the sensitivity of an option's price to changes in the risk-free interest rate - For both call and put options, rho approaches zero as expiration approaches, regardless of whether it's a call or put - The statement incorrectly claims this is only true for call options but not for put options **Statement II: True** - Theta measures the time decay of an option's value - For long positions (buying calls or puts), theta is always negative because the option loses value as time passes - For short positions (selling calls or puts), theta is always positive because the seller benefits from time decay Therefore, only Statement II is correct, making Option B the correct answer.
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Which of the following statements is correct? I. The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches, but this is not true for the rho of put options. II. Theta is always negative for long calls and long puts and positive for short calls and short puts.
A
I only.
B
II only
C
I and II
D
Neither
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