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
3 Comments
A few people have asked for this data, but it is surprisingly hard to find. The OCC and OIC have several publicly available market data reports (see below) they generate on option activity, like volume and OI, but exercise and expiration consequences are conspicuously absent. I have no idea why.
https://www.optionseducation.org/referencelibrary/market-data
This is a pretty niche data point. You’d likely need to get this data directly from the Options Clearing Corporation (OCC) or use a specialized data provider like Bloomberg Terminal or S&P Global Market Intelligence. They might have APIs you could tap into for your models.
The OCC doesn’t release this data. I have asked them several times over the years, and they politely thank me for the suggestion.
I agree that it would be helpful information to have.