Which of the following explains that the price increase of oil cause the price of natural gas to increase?
I think your answer is OK.


A doesn't connect prices in any way. In a two-goods economy and given that wealth doesn't change... you may give it some more thought but you need to add extra assumptions.
B tells us nothing on why such change would take effect. It may just as well be that oil is more valued.
C is the right answer
You need more assumptions for D, e.g. why the oil price increased. At least in the really short term, though, supply isn't a factor.