Option Early Exercise Statistics

[AshBax 0]

Hi,

 

I'm looking to see if anyone publishes data on early exercise of options.  Particularly I'm looking at the quarterly expiry of S&P and Nasdaq options. 

If I'm short of a put or call option that is slightly in the money, is the holder more likely to close their position or exercise the option?

 

Many thanks

[zxcv64 707]

@Ashbax,  S&P options are European style so they cannot be exercised early, even if they are ITM. I believe NASDAQ are also European.

 

I trade a lot of SPX options, and being European-style and cash-settled are two very useful benefits for me. I've often been short of an option that is several hundred points ITM and I know that I don't need to roll till expiry if required. (Being naked with short options is not something I want to do again, or recommend.)

 

However, pls not that if you trade SPY or QQQ (to mirror S&P or Nasdaq), then these are American style, and CAN be exercised at any time, and are stock-settled.

 

 

 

Edited December 3, 2021 by zxcv64

[AshBax 0]

58 minutes ago, zxcv64 said:

@Ashbax,  S&P options are European style so they cannot be exercised early, even if they are ITM. I believe NASDAQ are also European.

 

I trade a lot of SPX options, and being European-style and cash-settled are two very useful benefits for me. I've often been short of an option that is several hundred points ITM and I know that I don't need to roll till expiry if required. (Being naked with short options is not something I want to do again, or recommend.)

 

However, pls not that if you trade SPY or QQQ (to mirror S&P or Nasdaq), then these are American style, and CAN be exercised at any time, and are stock-settled.

 

 

 

Hi thanks for the quick response.

The E-min S&P quarterly options are American, all the monthly/weekly are European.

https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.contractSpecs.options.html#optionProductId=138

For those, I'm wondering if you're short the option what the chances of these being exercised early (assuming its ITM)

best regards