The correct option is this: THE ENERGY IS TRANSFERRED TO WAVES IN THE SURROUNDING WATER.
According to the law of conservation of energy, energy can neither be created nor destroy. This law is valid in all systems including biological systems. When a dolphin jumps, some of the potential energy that are converted to kinetic energy is lost to the fish, but this lost energy is gained by the waves in the surrounding water. So, in the real sense, the energy is not lost but converted to another form.