We examine the rationality of investor exercise behavior by analyzing two years' tendered exercise notices for Treasury bond futures options. We conclude that exercise behavior is generally rational, but document numerous failures to exercise as well as some exercises that should not have occured, both at and prior to expiration. The most frequent type of error is failing to exercise, suggesting that traders do not monitor their positions with sufficient care. Finally, we show that investors use information arriving after trading closes, but before exchange-imposed exercise deadlines, in forming their exercise decisions.