Answer: B) hyperbola
If the cutting plane was parallel to the circular base of the cones, then we would have a circular cross section (assuming the plane doesnt cut through the vertex). However, we're told than the plane intersects both nappes, or cones, so it's not possible for the plane to be parallel to the base faces. We can rule out choice A.
We can rule out choice C and choice D for similar reasons. An ellipse only forms if the plane only cuts through one cone only, which is the same story for a parabola as well.