This is more of a 'hail Mary' quest, as I expect any data may be aggregated, and loss of detail that would make the information not useful for me. Detail should include: instrument (UVXY, SVIX, ...), strike (or ITM quantifier), expiration, date, ... (OPRA code, quantity, and date would be ideal) Data devoid of the detail referenced is of no value to me. I expect the answer is no, but there are some very knowledgeable folks here that have been around the block, that would know if data is available somewhere or some white papers have been produced on the subject. If you are tempted to post something like 'Don't write ITM options!' Please resist the urge.
Assume you are talking about early assignment risk. Yes. Generally, since options are priced on risk-neutral expectation, your expectation of early assignment is quantified by the difference between the options price and the "europeanized" or "de-americanized" price. Google those terms for how to europeanize an american option. For calls, since call early assignment is mostly attributable to the underlying going ex-dividend before expiry. Price two calls using the IV on the observed option C0: C1 using expiry-date and S = S - divAmount C2 using ex-div-date and S = S Then solve for p: C = p * C2 + (p - 1) * C1 For a little more accuracy, fit a smooth term structure in IV and use the fitted IVs for C1 and C2
Yes: Early assignment risk! However, am looking for data to allow more useful analysis of likelihood of early assignment. I expect time to expiration to be a key factor for example (from my own early assignments) I can also guess, but would prefer some data to support it. For example, for SVIX ITM options, would assume if DTE>30, and standardized moneyness (of short strike) < 1, risk of assignment likely within my tolerance! However, this is just seat of the pants, and not supported by data other than personal instances. Like I mentioned, I seriously doubt data is available in usable form, but hoping someone proves me wrong. I am not looking for a 'generic' answer that attempts to address all cases. Only the instruments I trade, primarily, as referenced: SVIX and UVXY for now!