Q: auto unlock with apple watch

I am having the exact same issue. I have verified that I have two factor, not two step authentication. I have a the same devices, 2015 MacBook Pro, Apple Watch, and iPhone 6S Plus. The option does not show up for me either.

I have the same problem.

I'm having the same problem on a MacBook Pro (Retina, 13-inch, Late 2012) model  I upgraded my 27" iMac on Thursday and it is working fine with my Apple Watch.  On the MBP, the check box is not present on the Security & Privacy screen.

So, The problem can't be two factor authentication

Could it be needing a NFC chip that might not be present in my older MBP?

Simple answer, your 2012 MacBook Pro does NOT support auto-unlock. Your MacBook pro must be 2013 or newer. See compatibility link below...

System requirements for Continuity on Mac, iPhone, iPad, iPod touch, and Apple Watch - Apple Support

You don't mention at least three other requirements

Bluetooth and WiFi must be on

The Watch must have a passcode enabled

Devices must all be signed into the SAME Apple ID (iCloud and Apple ID are not the same thing)

You answered my question.

Thank you.

Do you have more than one Apple ID? You must be signed in to your Mac, your iPhone andWatch, and iCloud using the same Apple ID on all devices and services. Some people use multiple Apple IDs (one for iTunes, one for iCloud, one for this or that, etc.) which is NOT recommended by Apple. It can cause great confusion.