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One of the most frequent inquiries received by the Exchange is – how likely are options to be exercised or not? Certainly the most actively traded options tend to be somewhat out-of-the-money with generally lower premiums than at- or in-the-money options. Thus, we would expect that the proportion of exercised options might be reasonably small.
In order to address this issue, we investigate the number of options exercised in the context of the two most actively traded of CME Group option markets in the form of the options on Eurodollar futures and options on (standard) S&P 500 futures.