score:9
what are my options?
Not great. Typically if your bag doesn't show up, you file a missing bag claim with the incoming airlines. If you are lucky, they can scan the bar code on your receipt and at least tell you whether it's in the airport or went somewhere else.
When you file the claim they will ask your address where you will be for the next few days. Many airlines will make a good faith attempt to deliver it when it shows up even if it needs to go to a different country. However, that depends a lot on the airline and the destination. If there is no reasonable way for the bag to get to you, they will return it to the point of departure (assuming you will return there too eventually) and/or just buy you out.
Your second airline is not going to wait for you. Filing a lost bag claim, can take quite a while. Many operators won't accept a claim until maybe half an hour after "last bag out". If that doesn't work for you, you can try to take them into accepting a claim earlier. This may or may not work and you may have to choose between missing your second flight and abandoning your bag. Even if you have to leave before the claim is filed and accepted, they will probably not just throw it away but may agree to ship it back to your departure airport. But every airline is different, so that's hard to predict and also depends on your own negotiation skills.
CONCLUSION: Self connections are not for the faint of heart. If you absolutely can not avoid it, than make sure you have PLENTY of time between flights and try to avoid checked luggage in the first place.