You want Series.str.get_dummies
then use DataFrame.add_prefix
to get your desired column names:
df['Feature'].str.get_dummies(sep=',').add_prefix('feature_')
feature_option1 feature_option2 feature_option3 feature_option4
0 1 0 1 0
1 0 0 0 1
2 0 1 1 0
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