Could you tried with below query
;WITH MyRelation AS (
SELECT OptiondID, convert(varchar(max), Caption) AS Caption, ParentOptionID
FROM Options
WHERE ParentOptionID = 0
UNION ALL
SELECT Options.OptiondID, MyRelation.Caption + ' - ' + Options.Caption, Options.ParentOptionID
FROM Options
INNER JOIN MyRelation ON Options.ParentOptionID = MyRelation.OptiondID
WHERE Options.ParentOptionID <> 0
)
SELECT * FROM MyRelation