I don't have any data, but here is a strong opinion: Don't use option 2.
An e-mail is generally viewed as a piece of data. A virtual alternative to the good old letter. It is supposed to hold a text, period. Even if your technology allows you to add functionality to it, you shouldn't do it. Users don't want to receive an application in their mailbox, they want a document.
Besides breaking a very-long established and widely held mental model, you are also raising security concerns for the user. A user with a bit of internet savvy will know not to click on .exe or other funny attachments. But he knows that in general, a .pdf or .jpg attachment is OK, because it "can't do anything". Even more so the mail body itself: it can't do anything, so they can be sure nothing will happen when they open it.
And now you are sending them something which looks like a mail, but it suddenly does something. Not a button linking somewhere else - this is accepted as navigation via hyperlinks is known from the early days of mails. It changes the mail body on user action. This is not how a document behaves, this is how an application behaves. And applications sent via mail frequently turn out to be viruses. You are not only confusing the user, you are also looking untrustworthy.
All in all, it sounds like a bad idea to me. And besides, if you are faced with a problem countless people have solved before you, and have an idea for a solution nobody uses, the reason is almost always that it isn't a good solution. I said I don't have any data; I doubt that anybody has data, because probably nobody has a system of the second type to gather data on.