The exercise of a non-qualified option should not result in you receiving a Form 3921. That form would be appropriate if this option was a statutory option, commonly referred to as an Incentive Stock Option (ISO).
The simple exercise of a non-qualified stock option creates compensation calculated as:
(GROSS # of shares acquired at exercise) x (per share spread between "FMV" at exercise and exercise price).
and that compensation is included in your W-2.
It's not clear what you mean by "gain" here; I'm guessing that you sold the stock the same day you acquired it and did not receive a 1099-B for the sale. (That guess is arising from your use of the word "gain" and "did not receive a form".)
If I've guessed accurately, then you really do not to do anything else. Brokers are not required to issue a 1099-B for same day sales and without a 1099-B you have no reporting obligation. You might want to report the sale anyway, telling TurboTax "no 1099-B was received" as a typical "same day" sale results in a small loss due to selling commissions and fees.
Tom Young
