I feel like the “3rd” option is stacking UK navy in 92 and building an air base in Gibraltar UK1. Same risk of Sea Lion as building the IC in Egypt UK1 tho. This requires “breaking out” by attacking the Italian Destroyer in 96 with air power (bomber from London and Fighter from Malta). I would also recommend an attack on Ethiopia via India support combined with the Tac and TT with 2 units from egypt, then consolidating Alex/Egypt forces in Egypt. If, for whatever reason, UK navy in 110 was avoided, send them to 92 as well.
Just another option to consider with lots of “ifs”. Germany’s opening move should dictate your options rather than have a hard and fast “this is what the UK MUST DO”.