By how much does an option have to be in-the-money for automatic exercise to take place at expiration?
Automatic expiration takes place only at expiration and not before. To be automatically exercised at expiration, an option needs only to be in-the-money by the smallest price increment possible (e.g., a quarter tick). At expiration, all in-the-money Eurodollar options are exercised automatically, in the absence of contrary instructions delivered to the Clearing House.
