Does anyone know if there’s a service that reports on the number of exercised contracts? Looking to create a data model with the exercise rate for options that close the cash session OTM but move ITM by the exercise cutoff. E.g SPY closed yesterday at 540.36 but dropped below 539 after-hours. I’d like to capture the number of 540 and 539 puts that were exercised relative to the open interest.
Posted by Few_Ad_7689