You fill out the dealing form and send it back. They then sell the shares reserved in your name, subtract the exercise price and their commission and pay you the difference. You don't need to buy the shares - that's all dealt with for you. The omission is 0.5%, so not big. You will be paid the difference between share sale and exercise prices, but that is a gross amount subject to tax. In the UK, the amount involved is small enough that it is dealt with under PAYE or income tax rather than capital gains tax, so 40% of the sum will go to HMRC.