I understand why a call option holder may exercise early to capture a dividend on a stock. If they do not exercise, the price of their call will typically drop when the stock goes ex-dividend and the stock price drops by the amount of the dividend. I'm wondering exactly how they capture the dividend. Do they instruct their broker to exercise the call at the close of the market one day prior to the ex-dividend date, and then sell the stock at the open on the next trading day? That captures the dividend, but doesn't it also put the investor at risk not knowing how the market will open the following day? I realize there is a second scenario where the investor may want to be long the stock and will hold it after exercising, but I suspect that is a relatively modest percentage of investors.