American style options early exercise - realistic figure

Thank you, now I get it. I traded XMI many years ago. Same issues with short duration ITM options.

 

Sorry, I meant "trading day" and for some reason wrote "expiration day".

PS. with the increase in street-wide S&P variance positions, the wild-card optionality is worth more, but OEX does not trade much nowdays.

PPS. another aspect of American optionality is when the funding on the intrinsic value is worth more then optionality - which lead to some non-efficient ex decision during the funding crisis

 

Re your pps: I remember boxes trading over intrinsic because of this. But it all became bust. No one needed to exercise anything. Citi was trading at a dollar and the implied borrow was a dollar!

 

Yup, I remember that one too. I meant the whole débâcle with the convertible bonds.