Which of these boxes should I check if I traded Section 1256 contracts in 2019?

If you were simply buying and selling SPY options during the year, you would report those gains/losses the same as you would other investment gains/losses, and you wouldn't be seeing that screen.  If you were buying straddles, and/or Section 1256 trades and you're unsure what to check, you should consult with a local tax professional that is familiar with taxation of option trades.

SPX contracts are section 1256 and have to be filed separately 

Refer to the instructions for Form 6781 starting on page 2 of the PDF at this link for guidance on your Section 1256 contract reporting.

Separately from what?  Please clarify in relation to turbotax questions.

Can anyone answer this with clear instruction as what box should we check for SPX options?

To report these correctly:

1. After logging into Turbo Tax
2. Go to federal>income and expenses>Investment Income>start or review>
3. Go to Contracts and Straddles>start or review
4. Here is where you will enter information about your 1256 contracts. 
5. If you need additional help about your specific need, I would suggesting to call tax support at 1-800-446-8848 as they have the ability to look at your screen to assist you in reporting the transactions properly.