Your answer would be A, they form a covalent bond.
We can rule out B and C, as they require completely different elements. An oxygen molecule is made up of what it sounds like, oxygen, and a water molecule, 2 hydrogens and 1 oxygen. Therefore, it is neither of these.
When you look at the two other choices, you can see they are both bond types. An ionic bond is the exchange of an electron and the subsequent attraction between the positive and negative charges, while a covalent bond is the sharing of electrons. When you look at the question, it specifically states "when they share electrons", meaning that the bond that forms is a covalent bond.
Hope this helped!