Two Internships at the same time

Basically, I'm in crisis mode. I've been working at a local boutique investment bank for a month which started in winter. It was supposed to be only for the winter, but I said I could stay longer if they wanted, and they did. Before this, I also interviewed for a hedge fund but hadn't heard back when I took the boutique offer. I recently heard back from the fund and got offered the internship. I was thinking I could do both but I am also weary of the conflict of interest and any potential compliance issues. I want to quit the bank, but things there are going so smoothly, and they are great people and pay as well (the fund pays 30% higher). Some people would give up a lot to get a boutique internship on their resume right before recruiting so I don't want to sound ungrateful. I am interested in the HF because of how big of a learning opportunity this is. My gut is telling me to work at both, but it doesn't sit well with me especially if one finds out about the other. What do I do and what's a good way to quit the boutique if I have to?

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