Vega is an option's sensitivity to changes in volatility of the underlying stock. Vega is close to zero for deep in- or deep out-of-the-money puts and calls. Rho is an option's sensitivity to changes in interest rates and tends to be the highest for in-the-money calls and puts. Increases in rates will cause larger increases for in-the-money calls, but larger decreases for in-the-money puts. Given this info, Choice B will work because it is a deep in-the-money call, and Choice C will not work because it is a short position in an at-the-money put. Choice A will not work because it is an at-the-money call (which would be highly sensitive to vega), and Choice D will not work because rising rates will have little impact on the position since it is an out-of-the-money put.

(Book 4, Module 62.3, LO 62.e)