another conflict

if we have a statement :
John said, "We ----- to leave now".

&the selections are:
a- ought.
b- had ought.
c- must.
d- should.

i choosed (should) but it was wrong
& the correct one is (ought)
but (as i know) there is no difference between should & ought to
so can any one tell me when i can use each of them?
thanks in advance