What are my trading options working as a freelancer?

You can trade as any one of the following:

PAYE at the agency / client
Umbrella Company
Personal Service Company (PSC)
Sole Trader

If you are truly self-employed and are able to demonstrate that you're working patterns are 'outside IR35', by far the most tax efficient way of trading is through a PSC.

If you are operating within IR35, then you can either work PAYE at the agency or client, via an Umbrella Company or through your own PSC but using the 'deemed employment payment' calculation. Acting as a Sole Trader is the simplest business model and has very little legal formalities or constraints. The downside is that, unlike a limited company, you have unlimited liability for the debts of the business should it fail.

Further reading

What's the difference between temping and contracting?
What is a managed service company?