In a bowl combine the flour, sugar, baking powder, baking soda, salt, dry mustard and the cayenne. Add the butter and blend the mixture until it resembles meal. Stir in the cheddar cheese gently.
In a small bowl whisk together the egg, buttermilk and the Worcestershire sauce; stir the mixture into the flour mixture until it is not quite combined.
Add the bacon and olives and stir once again briefly until the dough is just combined.
Turn the batter into a well buttered loaf pan and bake the bread for 30 to 40 minutes, or until a tester comes out clean. Let the bread cool in the pan on a rack for 5 minutes, then turn it out onto the rack and let it cool completely.