The correct option is C Alveoli
Alveoli of lungs are directly involved in the exchange of O2CO2 between air and blood capillary.
Primary bronchus of lungs divides to from secondary bronchi which further divides to form tertiary bronchi. The tertiary bronchi are sub-divided into bronchioles. The bronchioles open to alveoli through the alveolar duct, atria and alveolar sacs. The alveoli have a very thin wall consisting of squamous epithelium. The wall of alveoli has an extensive network of blood capillaries. Due to very intimate (one cell thick wall to wall ) contact of blood capillaries with the alveoli, the exchange of gases takes place easily.