I ran into this once, well it might be the same thing, might not but... what I did was to set up a quiz the same way, put in the answer and 3 alternatives, but didn't realize I had added another answer, then instead of clicking out of it, I hit the enter key. Drove me nuts until I went in and deleted that question and then re-wrote it. I couldn't think of any other way this could have happened, or fix it, so okay, we don't always get it right.

If, as Colin suggests, you cannot delete the empty option, check that there is not "hidden code" written. Swich to HTML view and delete anything that's there, save the question and check.