He said, "I am feeling sad today,".

He said that he was feeling sad that day

He said that he is feeling sad that day

He said that he was feeling sad the previous day

None of these

Direct speech: He said, "I am feeling sad today,".

Indirect speech: He said that he was feeling sad that day.

Remover inverted commas.

Change today into that day.

Add that.

Change present tense into past tense.