In the following question, out of the four alternatives, select the alternative which is the best substitute of the phrase.
Extreme anxiety, sorrow, or pain.

Let's look at the meanings of the given words:
Distress: Extreme anxiety, sorrow, or pain.

Pique: A feeling of irritation or resentment resulting from a slight, especially to one's pride.

Vexation: The state of being annoyed, frustrated, or worried.

Chagrin: Annoyance or distress at having been failed or humiliated.

Clearly, "distress" is the exact definition given in the prompt.