In July, Iran's oil minister issued the threat and received the US response, as reported by Fox:

The US Navy and its Gulf allies will not allow Iran to seal off the strategic Strait of Hormuz if the country is attacked, the commander of US naval forces in the Gulf said Wednesday.

The warning comes as Iran's oil minister vows that any attack on his country by the United States or Israel would provoke an unimaginably fierce response.

The announcement by Vice Adm. Kevin Cosgriff, commander of the 5th Fleet, came as he was holding talks with naval commanders of Gulf countries at a conference in the United Arab Emirates capital of Abu Dhabi. The one-day meeting was to focus on the region's maritime and trade-route security and the threat of terrorism.

The 5th Fleet is based in Bahrain, across the Gulf from Iran. Cosgriff said that if Iran choked off the Strait of Hormuz, it would be "saying to the world that 40% of oil is now held hostage by a single country."

"We will not allow Iran to close it," he told reporters.

Cosgriff's comments follow Iranian threats that it could seal off the key passageway in case of a Western attack on Tehran. But Cosgriff said that if Iran moved to choke off Hormuz, the "international community would find its voice rapidly" against Iran.

Here, we run up against the risk of an oil price spike. Whenever 40% of the world's oil supply is perceived to be held hostage, prices will spike.

That's where we may be heading. Yesterday, Iran test-fired missiles that it claims can hit any regional target. That came on the heels of the US and its allies expressing concern that not only has Iran not slowed down its nuclear ambitions, but has in fact grown them by building a second uranium enrichment facility.

There is always the option of doing nothing, but that would make the US look unbelievably weak to sit by idly while Iran makes nuclear weapons. It would also force Israel to go it alone, which would cause Iran to close the Strait of Hormuz, which would draw the US into the fight anyway. Doing nothing would be about the worst option because the US would look weak and still end up in another military action.

Thus, as Iran moves ahead, the options before the US are sanctions that won't work, a military strike that will result in the Strait of Hormuz closing for a brief period, or doing nothing until forced into joining an Israeli military strike that causes the closing of the Strait of Hormuz for a while.

As you can see, the odds are pretty good that we'll see the Strait of Hormuz close in the near future, which will send oil prices higher. That's why we're watching this issue carefully, and may need to sell our oil hedge soon.

Disclosure: Long PowerShares DB Crude Oil Double Short (DTO)