Highest and Best Use of a Pensions retirement plan?

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In your opinion what would be your advice for the best use of a pension that will be released in the future? The options are rolling it into another 401k, cash it out (with all the tax penalties that go along with that), take monthly annuity for life, or keep it in the same account it is in now until retirement. 

What do you think the would be the highest and best use with this money? I am leaning into rolling into a solo 401K, but It is the only money I have so the decision I make needs to be the right one. I have a couple days before I have to make  my final decision.

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@Justin Windham Thank you, Justin. I opened a Solo 401K with @Dmitriy Fomichenko and Sense Financial on Tuesday. My first recommendation is to look up the set-up fees from every company and carefully read through the terms of the agreement. I will keep BP'ers up to date with this process. You want to do business with someone who will be there for you through this process, especially if you are not familiar with this process.

Thank you all for the suggestions.