European options dont have to settle into cash. A 100 lot in options is not that big a deal and if you offered them a dime or 15 cents below parity they'd be scooped up. Thats only if its a very illiquid book. In any book thats listed on 3 or 4 exchanges then a 100 lot is tiny and the market will buy 1000's at a dime under parity all day long. If you were actually in this situation you wouldn't want to bother with anything but selling them.