The dialogue that is properly formatted for a play is the first option:
OLIVIA: Like under your bed.
RYAN: Or in a closet.
STEPHEN: Oh, Mitch, aren't you embarrassed that you hate storms when Storm is your own last name?
In a play script, character names are typically written in all capital letters, followed by a colon, and then the dialogue begins with a capital letter. This format clearly differentiates the characters from their spoken lines.