While being vectored, if crossing the ILS final approach course becomes imminent and an approach clearance has not been issued, the action that should be taken by the pilot is option C: Maintain the last assigned heading and query ATC.
In an instrument flight rules (IFR) flight plan, a contact approach is one in which the pilot may veer from the published instrument approach means (IAP) and reach the destination airport by using visual cues from the ground.
Once ATC has given you the all-clear for the approach, you are free to keep the direction and altitude they have given you and turn to intercept the localizer on your own without their authorization.
Therefore, An approach clearance automatically enables the aircraft to carry out the missed approach procedure shown for the instrument approach being flown, with the exception of a VFR aircraft practicing an instrument approach.
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