Explanation

Let's analyze each option:

A. Theta tends to be large and positive when buying at-the-money options.

• False: Theta measures time decay and is typically negative for long option positions (buying options), as options lose value over time. Theta is most negative for at-the-money options.

B. Gamma is greatest for in-the-money options with long maturities.

• False: Gamma is highest for at-the-money options, not in-the-money options. Gamma measures the rate of change of delta and peaks when options are at-the-money.

C. Vega is greatest for at-the-money options with long maturities.

• True: Vega measures sensitivity to volatility changes. It is highest for at-the-money options with long maturities because these options have more time value and are most sensitive to volatility changes.

D. Delta of deep in-the-money put options tends toward +1.

• False: Delta for deep in-the-money put options tends toward -1, not +1. Put options have negative delta values, with deep in-the-money puts approaching -1.

Therefore, the correct answer is C as it accurately describes the behavior of Vega in options pricing.