OCC automatically assigns any in-the-money options. Easy to understand if the stock traded close to 4PM, so moneyness is clear. But what if for a stock not traded much before market close? The OCC website only says **closes in-the-money** without elaborating which price is used. Say, I am long XYZ 100 call. It traded at 100.2 at 3:50 and nothing after, the quotes moved to 99.92-99.96 at 4:00. Is it **ITM** and will be automatically exercised, so I need to notify the broker of my exercise decision?
They will use the 4pm closing price on the stocks primary exchange. These closing prices are typically done with closing auctions, with their own rules.
FSU is spot on. If you are trading single name, the exchange appoints a primary. Spend a moment and learn it.