Step 1: Understanding the Concept:
The values for which $p(x) = 0$ are the roots of the polynomial.
Key Formula or Approach:
A quadratic with roots $\alpha, \beta$ is \( p(x) = a(x - \alpha)(x - \beta) \).
Step 2: Detailed Explanation:
Roots are $\alpha = 1$ and $\beta = -1$.
\[ p(x) = a(x - 1)(x - (-1)) = a(x - 1)(x + 1) \]
Using the identity $(x-1)(x+1) = x^{2} - 1$:
\[ p(x) = a(x^{2} - 1) = ax^{2} - a \]
In the standard form $ax^{2} + bx + c$, the coefficient of $x$ is $b$.
Here, the polynomial has no $x$ term, so $b = 0$.
Step 3: Final Answer:
The coefficient is 0.
This matches option (A).