Went through this a few years ago (after a 10 year stretch from pre-revenue to post-ipo)... it's a mental discipline to figure out how to best approach this. Those that did best understood that nothing counts until you sell your options and have cash in the bank. Take a step back and ask yourself what your Net Worth financial goal is - first step is to sell enough asap to meet that goal and remove risk. Anything you sell after that is a bonus.
Those that didn't do well, didn't sell at "ok" prices because they kept on waiting for higher and higher prices. Or, they exercised and held (to try and get LTCG vs. short term tax gains), and then were underwater and still owed taxes. It often wasnt worth the risk to lower taxes by exercising and holding for a year...
An option that might be available to you is a 10b51 plan - this lets you set up an automatic trading plan that lets you sell during lockouts based on trigger prices.
Lastly, plan on paying 50% taxes on your gains if you're selling 6-figures or more. Save this money! If you're expecting 6-figure gains, talk to your accountant sooner rather than later.
Should I sell the immediately when lockup expires? Wait a few days? Sell over time? I'd like to sell all my shares to diversify.
--- see above... sounds like youre mentally on the right track to sell most/all to diversify
Does it matter which brokerage I use? Currently shares are held by AST, my company's transfer agent. I believe that I can request the shares be transferred to broker of my choice. I don't know if any brokerage is faster w/ transferring or would have better execution. I have active accounts with Vanguard, Fidelity and M1, and still have open legacy accounts with TD Ameritrade and Schwab.
--- Probably easiest to leave your options with the current transfer agent. Any changes runs the small chance of something being messed up. Once you've sold, then it becomes easy to transfer the cash to your other accounts.
Anything else to consider? Perhaps take advantage of asset transfer bonuses? BofA/Merrill Edge?
--- Yep, you can pick up free money. Fidelity and BoA had the same transfer bonuses and i would recommend staying with Fidelity vs. opening a new account at Merrill. If you're in mid/upper management, you may find yourself on a wealth manager's cold call list. As a Boglehead you should be immune to their sales pitch... for the low 1% AUM fee you can access all types of amazing investment strategies that they wont guarantee to beat the market
Congrats - it's a long slog to win the IPO race and have the chance to pick up some cash!