A, B, C and D are grammatical. Even taking SvenYarg's comment to your question into consideration, there exists a grammatical interpretation for D.
Your question asked about C in particular. The word they in "than they do" refers to the previously-mentioned sound waves, and do refers to travel. It can be expanded to "... than sound waves travel ...". This phrasing (C) is grammatically correct. (This link provides more examples of similar phrasing.)
E is the correct answer as a meta-statement about the preceding sentence. Alternatively, E is incomplete as a sentence because it's missing a full-stop (and arguably incomplete even with a full stop). Either way, E is the correct answer.