The answer is: C. Annoy.
Vex means annoy, bother or distress. Other synonyms of the verb vex are afflict
, agitate and displease.
In the excerpt from "The Red-Headed League," by Sir Arthur Conan Doyle, Sherlock Holmes wishes to relax and spend the evening listening to music at St. James's Hall in London. As a violin lover, he intends to unwind away from red-haired clients who bring him difficult cases.
