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I see my error now. I assumed the option would yield less because of the lower delta than the underlying but i have money invested in time value. Once the option starts trading at intrinsic value both deltas would be at 1. So they are equivalent. Thank you for your help.

I did not include cost of carry because it didnot effect my out come. Which was early exercising and then offsetting with an opposite position seemed to be more profitable than selling. Lets say i buy an ed call at 99.25 for $700 and libor is at 99.50. Now prices go up to 99.75. If i exercise i...

Suppose i buy a ed call option with a delta of .5 at a price of 99.50. Now say prices rise one basic point in my favor. I would only make $12.50 by selling the option. At the same time I think exercise the call option at 99.50 and immediately sell a ed future at 99.51 to lock in the entire $25...