First I have to say that you are in dangerous waters when trusting that $_GET['option'] too much. If you include files that trust input from url(or any other user input), do some parsing before including those. If I were a hacker it wouldnt take much to run my own code through your site.
Ok, that aside.. The easiest way to restrict direct access would be to use define in index.php:
index.php
define('PAGE_INITIALIZE',1);
in other pages:
if (!defined('PAGE_INITIALIZE')) {
header('Location: http://www.mysite.com/');
}
Now when people use direct access to some page, the constant is not defined so it will redirect them to first page. But when included from index.php the constant is defined so it will work from there.