Where to place commas when a possibly parenthetical phrase follows "that"

Which of these three options is correct and why? I’ve included my best guess as to why each one could be considered correct.

1. He decided that despite the impending thunderstorm he was going to go for a run.
   • Why: despite the impending thunderstorm is not a parenthetical phrase and so should not have commas around it.
2. He decided that despite the impending thunderstorm, he was going to go for a run.
   • Why: despite the impending thunderstorm is not a parenthetical phrase and so should not have commas around it. However, adding a comma after the phrase adds emphasis and so is okay.
3. He decided that, despite the impending thunderstorm, he was going to go for a run.
   • Why: despite the impending thunderstorm is a parenthetical phrase and so should have commas around it.

I realize that the word order could be changed to:

He decided that he was going to go for a run despite the impending thunderstorm.

However, my question assumes that the word order needs to remain unchanged.

Here are a couple of similar questions, but none of their answers satisfactorily answer my question.

Comma after "and that"

Using a comma after "that"