An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive to changes in the price of the underlying.

Assume that the options are European and that the Black-Scholes formula holds. An increase in the price of the underlying has the largest absolute value impact on delta for:

a. Calls deep in-the-money and puts deep out-of-the-money

b. Deep in-the-money puts and calls

c. Deep out-of-the-money puts and calls

d. At-the-money puts and calls