The only reason to do this that I can think of would be if there's so little time value left that you would lose more money on the Bid/Ask spread than the amount of time value left.Thank you. one more follow up -
If I all I want to do is exercise an option and then sell at market price, do I need to have the full cash value of the strike price * number of shares on hand? or I can simultaneously buy at strike and sell at market without having to front the cash?
However, by waiting until execution you now subject yourself to additional risk as the stock could be worth much less on the execution day than it is today negating any potential gain you could have had selling the options today. You also have to look at transaction costs as you will have to pay a brokerage fee for option assignment and then another commission when you sell the stock. Depending on your brokerage and transaction size this could either not be a big deal or it could be a decent chunk of change if you're doing small time trading.