What happens when I set up as New iPhone?

I reset all network settings on my iPhone because my internet wasn't working, now it gives me three options 1) set up as new iphone, would that delete everything i have saved? Ie: games, texts, emails, notes?

2) restore from iCloud backup. I can't do this one cause apparently i don't have WI-FI or so it says.

3) Restore from iTunes backup. Which I chose this option, but it doesn't do anything.

"set up as new iphone" will delete all used data.
Hope that helps.