Step 1: Understanding the Concept:
A point of inflection is a point on a curve at which the concavity changes (from concave up to concave down, or vice versa).
Mathematically, this occurs where the second derivative of the probability density function with respect to $x$ is equal to zero:
\[ \frac{d^2 f(x)}{dx^2} = 0 \]
Detailed Explanation:
The probability density function of a normal distribution is:
\[ f(x) = \frac{1}{\sigma \sqrt{2\pi}} e^{-\frac{(x-\mu)^2}{2\sigma^2}} \]
Taking the first derivative with respect to $x$:
\[ f'(x) = -\frac{(x-\mu)}{\sigma^2} f(x) \]
Taking the second derivative:
\[ f''(x) = \left[ -\frac{1}{\sigma^2} + \frac{(x-\mu)^2}{\sigma^4} \right] f(x) \]
Set $f''(x) = 0$. Since $f(x) \neq 0$ for all real $x$:
\[ \frac{(x-\mu)^2}{\sigma^4} = \frac{1}{\sigma^2} \]
\[ (x-\mu)^2 = \sigma^2 \]
\[ x-\mu = \pm \sigma \]
\[ x = \mu \pm \sigma \]
Therefore, the points of inflection of the normal curve are at a distance of one standard deviation from the mean.
Step 2: Final Answer:
The points of inflection are $\mu \pm \sigma$, which matches Option (A).