Yo pienso que es fascinante.

English Translation

I think it’s fascinating.

One of the other choices is “profundo”. Wouldn’t that also be correct here? “Yo pienso que es profundo”. Maybe the yo should be omitted too.

Profundo is deep/intense/profound. Whether various profound things are fascinating greatly depends on personal opinion. Inclusion of yo could be used for emphasis; maybe this statement is in response to someone who just claimed no pienso que es fascinante

That’s true, but since both “profundo” and “fascinante” were listed as possible answers, there was no way to know which was the correct answer. This has happened to me occasionally, where it is not possible to choose between two answers because both could be correct.