The recommendation to immediately transform your options to shares and sell them is the exception rather than the rule. In this context, it is assumed that options are very illiquid.

But in general, if you want to recover as much as you can, you should sell your options directly. That is why the value of an American and a European option tends to be the same.

https://en.m.wikipedia.org/wiki/Option_style#Difference_in_v...