In the context of mathematics, particularly in set theory and algebra, a set is said to be "closed" under an operation if performing that operation on members of the set always produces a member of the same set.
Therefore, the correct interpretation from your options would be:
An operation performed on members of that set will result in a member of the same set.
This means that if you take any two elements from the set and apply the operation (like addition, multiplication, etc.), the result will also be an element of that same set.