Olive oil (10ish) and especially sesame oil (SPF 25-30ish) (unrefined/extra virgin) has a higher SPF. Coconut oil is lower at around SPF 4.
I would use natural oils if you were doing some light gardening or just doing errands. For water play, outdoor fun, picnics, etc, - I would personally stick to higher SPFs in manmade sunscreens. That's just me though.