Option Exercise Data
- Thread starter JKG77
- Start date
Open Interest at the close, for all strikes ≥ price.
How about those DITM American options that are exercised way before maturity date?
According to historical OCC statistics for the year 2015 (for activity in customer and firm accounts), the breakdown is as follows:
Position closed by selling the option: 71.3%
exercised: 7.0%
Held and allowed to expire worthless: 21.7%
2016 should be available by now from the OCC. This raw statistics don't really offer much insight as there is a ton noise generated by transaction costs and available capital. It also doesn't really provide any insight into profitability
They also haven't change much over the years.
This is also just customer date. Both the OCC and the CBOE used to actually publish a written document. I expect it's too expensive today. If you're looking for something different you should reach out to OCC. Ask for Joe Burgyon - good place to start,
figure that in a world with no capital restrictions and no transaction cost about 50% would be exercised.
Position closed by selling the option: 71.3%
exercised: 7.0%
Held and allowed to expire worthless: 21.7%
2016 should be available by now from the OCC. This raw statistics don't really offer much insight as there is a ton noise generated by transaction costs and available capital. It also doesn't really provide any insight into profitability
They also haven't change much over the years.
This is also just customer date. Both the OCC and the CBOE used to actually publish a written document. I expect it's too expensive today. If you're looking for something different you should reach out to OCC. Ask for Joe Burgyon - good place to start,
figure that in a world with no capital restrictions and no transaction cost about 50% would be exercised.
I am interested in the data for each individual option. I guess OCC does not publish this..
Hmmmn that exercise number used to be higher like 30% before.
