I think "Neither of" is one of the answers by itself. That is to say, one of the correct answers is "Neither of the cinemas are showing the new Scorcese film."
I don't think "Neither of" is referring to the two above answers. That is, "Neither answer A nor answer B" is not what "Neither of" means, or refers to.
So, "Both", "Both of", and "Neither of" are all correct answers. Therefore, the best answer is "All of the above", which refers to "A. Both", "B. Both of", and "C. Neither of".
I hope that helps.