The correct question is _______

Cause, There’s is a rule that you must have to use auxiliary verb after W/h word(interrogative pronoun).

Example:Where does he live?

But there is a another rule that if the w/h word(interrogative pronoun)is replaced in the middle of a sentence you don’t have to use aux. verb after that . In this case,the rule will be w/h word+sub+verb.

Example:Do you know where he lives?