What if this happens: You buy a liquid option, let's say an at-the-money IBM 80 call. The market keeps going up to 120. You now own what I imagine is a pretty illiquid option (b/c very few people buy calls w/ 40 points of intrinsic value). So are you confronted with only low bids if you try to sell your call? On the other hand, if you decided to exercise, don't you need enough equity in your account to buy IBM at 80, eventhough you plan to immediately re-sell the shares at the market? Thanks for your help.